Way Of Turtle: Donchian Backtest

The model from P129 of book “Way Of The Turtle”:

1. Trend filter on SMA for 25 days as short term, and 350 as long term.
2. Entry long on next open when today’s close is above yesterday’s upper band on Donchian channel. Likewise for short direction. The entry channel is measured using 20 days of bars.
3. Exit long on next open when today’s close is below yesterday’s lower band on Donchian channel, where the stop channel is measured using 10 day of bars.
4. Each position is calculated with 25bp impact to the portfolio.
5. 31 products list on Chinese exchanges, covering non-ferrous metals, bulk, energy, chemicals, soft commodities, financials, and algriculture.

Backtest period from 2007 – 2022 for more than 15 years, on daily frequency.

Over the long run, the model still shows positive expected returns with annualized return as 20%. The max draw down is quite high, at 35%.

The sharpe ratio and Calmar ratio is not attractive, at 0.41 and 0.58. Winning ratio is sensible at 33%, which is typical for turtle strategies.