The Test Bench › gate

Does The Turtle System (Dennis & Eckhardt) actually work?

Real but small -- not worth what it costs to run.

The claim

A classic breakout/trend system that beats the market — Richard Dennis & William Eckhardt (1983)

What we did

Tested against Buy & hold SPY, same window, SPY 1993-2026, prior-day, OOS 2014+.

The result

Result: -0.07 dSharpe (vs buy-hold); both systems negative

System 1 (20/10) +5.0%/yr, System 2 (55/20) +4.0%/yr vs +10.8% buy-hold; dSharpe -0.07 / -0.15

Verdict

The famous 1983 experiment that turned novices into traders — 20- and 55-day breakout entries, 10- and 20-day exits, ATR-sized with pyramiding and a 2N stop. Stripped to a long/cash S&P timer, both systems badly trail buy-and-hold (+4-5%/yr vs +10.8%) for only a modest drawdown cut, and the risk-adjusted edge is negative on the full sample. The Turtles traded a DIVERSIFIED basket of FUTURES with leverage and shorts — that, not single-index equity timing, is where the method earned its legend. We tested the part that maps to our bench; the futures version is a different, fairer test we flag but don’t claim here.

What the test did and did not do

• tested out of sample
• point-in-time data
• checked for look-ahead
• net of real costs

Almost nobody publishing a backtest says which of these they did. We list the ones we failed as well as the ones we passed.

Tested 2026-06-23. The same treatment, applied to every other system, is on the test bench.

Written with AI assistance from our own test database. The numbers are computed, not composed.
General market commentary for education, not personalised investment advice. Backtested results are hypothetical. Trading carries a real risk of loss.