20-day breakout (Donchian) backtest on real data
The classic Turtle-style channel breakout: trade a new 20-day high or low, but only in the direction of the 200-day SMA, with a 2 ATR stop and a 2R target.
82trades
46%win rate
1.65profit factor
+0.36Raverage trade
-9.6%max drawdown
+32.7%return at 1% risk
XAU/USD · Gold · daily candles · 2016-11-09 to 2026-11-09 · Yahoo Finance data · equity in %, 1% risk per trade
A positive edge in this period after costs. Check the year-by-year table: an edge that only shows up in one year is fragile.
The exact rules tested
Buy when price breaks above the 20-day high and price is above the 200 SMA. Sell when price breaks below the 20-day low and price is below the 200 SMA. Stop at 2x ATR. Target 2R.
How WickCheck reads these rules:
- Long: Close > 20-bar high
- Long: Close > SMA(200)
- Short: Close < 20-bar low
- Short: Close < SMA(200)
- Stop: 2×ATR(14)
- Target: 2R
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Same rules on 9 markets
| Market | Trades | Win rate | Profit factor | Avg trade | Max DD | Return | Period |
|---|---|---|---|---|---|---|---|
| XAU/USD · Gold | 82 | 46% | 1.65 | +0.36R | -9.6% | +32.7% | 2016-11 – 2026-11 |
| ES · S&P 500 | 82 | 43% | 1.48 | +0.28R | -6.0% | +24.2% | 2016-11 – 2026-11 |
| NQ · Nasdaq 100 | 81 | 43% | 1.54 | +0.30R | -6.9% | +26.6% | 2016-11 – 2026-11 |
| CL · Crude oil | 72 | 42% | 1.44 | +0.26R | -6.1% | +19.7% | 2016-11 – 2026-11 |
| EUR/USD | 45 | 47% | 1.69 | +0.37R | -7.8% | +17.6% | 2016-11 – 2026-11 |
| SPY · S&P 500 ETF | 93 | 38% | 1.19 | +0.12R | -7.8% | +10.9% | 2016-11 – 2026-11 |
| QQQ · Nasdaq 100 ETF | 91 | 48% | 1.83 | +0.43R | -6.3% | +46.8% | 2016-11 – 2026-11 |
| NVDA · Nvidia | 92 | 47% | 1.73 | +0.40R | -6.0% | +42.8% | 2016-11 – 2026-11 |
| AAPL · Apple | 94 | 41% | 1.37 | +0.23R | -6.0% | +22.4% | 2016-11 – 2026-11 |
Click a market to open that exact test in WickCheck.
Year by year (XAU/USD)
| Year | Trades | Win rate | Result |
|---|---|---|---|
| 2016 | 2 | 50% | +0.9R |
| 2017 | 9 | 11% | -6.3R |
| 2018 | 9 | 44% | +2.8R |
| 2019 | 8 | 63% | +7.0R |
| 2020 | 10 | 40% | +2.0R |
| 2021 | 5 | 0% | -5.0R |
| 2022 | 9 | 44% | +2.9R |
| 2023 | 8 | 50% | +3.9R |
| 2024 | 7 | 57% | +5.0R |
| 2025 | 8 | 88% | +13.0R |
| 2026 | 7 | 57% | +3.1R |
How this test was run
- Real historical candles from Yahoo Finance, daily timeframe, 2016-11-09 to 2026-11-09.
- Signals only on closed candles, so a candle never uses information from its own future.
- Spread and commission included, at typical levels for each market.
- 1% of the account risked per trade. When stop and target both fall inside the same candle, 1-minute data decides which came first (where available).
- Results refresh automatically as new candles come in. Last updated 2026-11-09.
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