The short version. I ran the original Turtle trading rules, unchanged, on Exness tick data from January 2020 to September 2026. On 11 markets (forex, gold, S&P 500, bitcoin) a $100,000 account ended at $62,136 (−37.9%, max drawdown 58.3%). Switching off the filter, the unit limits or the drawdown rule made it worse; none of the variants made money. On 26 markets it got worse again: $42,299 (−57.7%, max drawdown 75.6%). The split by direction is the clearest finding: long trades made money in every market group, short trades lost money in every group.

This is part 4 of 5. Part 2 has the rules and part 3 the simulator and its checks.

The setup, in one paragraph

Original rules as published in 2003: N = 20-day Wilder ATR updated on Mondays, 1% risk per unit, System 1 (20/10 days, with the filter and 55-day failsafe) and System 2 (55/20 days) each on half the capital, adds every half N up to 4 units, 2N stops, 4/6/10/12 unit limits, the 10% drawdown rule. Daily signals, fills minute by minute on Exness Raw Spread data, real spreads, one shared account. No parameter was changed or optimised. "Positions" below count one trade with all its units; profit factor is per position; drawdown is on daily equity.

How did Turtle trading do on 11 markets?

11 markets
Markets EURUSD, GBPUSD, NZDUSD, USDJPY, AUDCAD, NZDCAD, AUDNZD, EURCHF, XAUUSD, US500, BTCUSD
Period 29 Jan 2020 – 23 Sep 2026 (6.7 years)
End equity $62,136
Return −37.9% (−6.9% a year)
Max drawdown 58.3%
Positions / units 834 / 1,498
Winning positions 27.3%
Profit factor 0.89
Average win / loss +$1,392 / −$586
Commission / swap −$3,090 / −$19,499

Equity of the original Turtle rules on 11 Exness markets, 2020 to 2026, with the maximum drawdown marked

A 27% win rate with winners more than twice the size of losers is exactly what a trend system is supposed to look like. It just wasn't enough: winners need to be roughly 2.7 times the losers at that win rate to break even, and these were 2.4 times.

By year, on equity at the start of each year:

2020 2021 2022 2023 2024 2025 2026 (to Sep)
−26.5% −13.8% +40.1% −37.5% +23.8% −16.6% +8.4%

Return by year for the 11-market basket

By market, the money came from a few long trends and was lost in pairs that went sideways:

Made money Lost money
USDJPY +$13,589 AUDCAD −$22,539
BTCUSD +$13,359 NZDCAD −$18,132
XAUUSD +$12,927 GBPUSD −$16,387
EURUSD +$9,092 NZDUSD −$13,088
EURCHF −$8,842
AUDNZD −$5,092
US500 −$2,768

Both systems lost: System 1 −$7,268 on 478 positions, System 1 via the 55-day failsafe −$7,182 on 108, System 2 −$23,430 on 248.

Which Turtle rules actually helped?

I switched off one rule at a time on the 11 markets. (This set was run before I switched currency conversion to real daily FX rates, so the base line is −37.5% instead of −37.9%; the difference doesn't change any comparison.)

Configuration End equity Return a year Max drawdown
Full rules $62,473 −6.8% 58.6%
No System 1 filter $34,934 −14.6% 71.5%
No unit limits $30,861 −16.2% 80.8%
No drawdown rule $47,933 −10.5% 76.8%
System 1 only $25,231 −18.7% 85.3%
System 2 only $30,955 −16.2% 90.3%
N updated daily $64,013 −6.5% 55.4%
Spread × 2 $55,259 −8.5% 59.9%

Yearly return for each configuration with one rule switched off

Every safety layer did its job: without the filter, the limits or the drawdown rule, losses grew. Running only one system (with all the capital on it, so twice the risk per unit) was much worse. Updating N daily instead of weekly made no real difference. Doubling the spread cost about 1.7% a year. And none of the eight configurations made money.

Does a bigger basket fix it?

The original Turtles traded more than 20 futures markets across rates, currencies, metals, energy, softs and stock indices. Eleven mostly-forex markets is a narrow basket, so I added 15 more: AUDUSD, USDCAD, USDCHF, US and UK oil, natural gas, silver, platinum, copper, and six stock indices (DE30, STOXX50, UK100, JP225, AUS200, HK50).

11 markets 26 markets
End equity $62,136 $42,299
Return −37.9% −57.7%
Return a year −6.9% −12.1%
Max drawdown 58.3% 75.6%
Positions / units 834 / 1,498 1,232 / 1,945
Winning positions 27.3% 29.4%
Profit factor 0.89 0.83

Equity of the 26-market basket against the 11-market basket

By year on 26 markets: 2020 −34.4%, 2021 −24.0%, 2022 +2.7%, 2023 −37.0%, 2024 +6.8%, 2025 +16.6%, 2026 to September +5.3%.

The unit limits worked hard: they blocked 6,670 entries, and 5,645 adds were skipped. With more markets competing for the same 12 units per direction, the basket isn't 26 independent bets, it's the same risk budget spread across more signals. And most of the new markets lost money too.

Profit per market for the 26-market basket, grouped by asset class

Do Turtle long trades and short trades behave differently?

This is the clearest result in the whole test.

Group Positions Total Long trades Short trades
Forex (11) 637 −$27,743 +$1,513 −$29,256
Metals (4) 132 −$264 +$12,352 −$12,616
Energy (3) 141 −$5,118 +$6,093 −$11,212
Stock indices (7) 296 −$30,205 +$2,658 −$32,863
Bitcoin 26 +$5,620 +$5,662 −$42
All 26 1,232 −$57,710 +$28,279 −$85,989

Long trades made money in every group. Short trades lost money in every group. Part of the reason is the period: 20 of the 26 markets ended higher than they started (comparing the first and last daily close in the data), several by a lot: silver +266%, gold +172%, the S&P 500 +136%. A breakout system sells new lows, and in a market that keeps recovering, new lows tend to be followed by a bounce that hits the stop.

Long trades against short trades on 26 markets, and which markets ended higher than they started

Here's what that looks like on one trade. Gold, June 2020: System 1 sold a new 20-day low on 5 June at 1,687.58 and added a second unit at 1,674.09. By 10 June the rebound hit the stop at 1,728.05. Loss: −$1,322.95 for both units together.

A gold short in June 2020: sold at a new 20-day low and stopped out on the rebound within days

It's tempting to read this table and conclude "just trade the longs". Part 5 explains why I didn't.

What I can't verify

  • Swap on 23 of the 26 markets is not measured and is set to zero, and commission on the commodity and index CFDs is unconfirmed. Turtle trades are held for weeks, so real results would likely be somewhat worse. On the 11 markets, where three swaps are measured, swap already cost $19,499.
  • Slippage at breakouts beyond the spread isn't modelled.
  • Data gaps: UKOIL is missing November 2020 to February 2022, XPTUSD November 2020 to November 2023, and XNGUSD, JP225 and XCUUSD start in 2022–2023.
  • Earlier periods. My data starts in 2020. These results say nothing about how the rules did in the 1980s or 2000s.

Next, part 5: what I learned.

Research, not financial advice. Past results do not predict future results.