Donchian Breakout
Turtle-style: go long on a break of the 30-bar high, exit on a break of the 15-bar low (and vice versa).
Profitability — TV multi-year derived
NEGATIVE EV“Low win rate, big winners. The Turtle approach: accept many small losses to catch the rare runaway trend. Not for the impatient.”
The featured config below was not directly covered by the walk-forward grids (different dataset or timeframe, or the in-sample SQN was too low to promote to OOS evaluation). Treat the in-sample numbers with appropriate caution — no unseen-window validation yet.
This strategy: Donchian variants did not reach the Mode A top-10 on legacy_5m (so never walk-forward-tested on OOS). Featured legacy_60m config has no OOS verdict yet.
TradingView 5m, multi-year history
TV Wave-2 multi-year on 5m: -76k MYR, 27% WR, PF 0.6. Frequent false breakouts followed by mean-reversion — the opposite of what a breakout strategy needs. Confirms FCPO 5m is mean-reverting / chop-dominant at intraday TF.
Local 1-month sweep — in-sample only, weak signal
In-sample only — weak signalTV Strategy Tester evidence
Captured from TradingViewEntries on chart (3 screenshots)
Strategy properties
- Style
- swing
- Profile
- High R
- Trades / day
- 0.45
- Avg bars held
- —
- TV compile status
- Compiled (Pine v6 PASS)
- Walk-forward
- Walk-forward untested
Parameters
- entryPeriod
- 30
- exitPeriod
- 15
Applies to
- Market: FCPO (Crude Palm Oil Futures, Bursa Malaysia)
- Timeframe: 60m
- Style: Swing (hours to days)
- Complexity: 1 rule, plug-and-play
When it works
Did not show a stable edge in the sample — treat with caution.
Related strategies (breakout)
Full raw backtest result
{
"dataset": "legacy_60m",
"tf": "60m",
"params": {
"entryPeriod": 30,
"exitPeriod": 15
},
"trades": 10,
"winRate": 40,
"netProfitMYR": 450,
"profitFactor": 1.14,
"sqn": 0.19,
"maxDrawdownMYR": 1275
}