33.0 points behind buy and hold after costs; mixed check results.
Donchian 20/10 (turtle-style) · 14 global commodity futures
It returned +0.5% in total over the test, after costs; buying and holding over the same period returned +33.4%, 32.9 points more. It kept making money on the years it wasn't tuned on (+10.8%). The nearby-settings check wasn't run (it isn't run on a group of stocks), so this doesn't show whether the result depends on the exact settings. With the trades in a worse order, the worst fall was 35% or more in 1 of 20 reshuffles. 334 trades, enough to judge.
The rules: Enters when the price closes above the highest high of the previous 20 days; leaves when it closes below the lowest low of the previous 10 days; the stop is 2 times the 14-day ATR below the entry.
StratLab ran these rules through its own backtest on every stock in the group, after costs, and through four checks: unseen years, nearby settings, a bad-luck drawdown and enough trades. The page shows the return beside buy and hold and the result of each check. A verdict describes the past, not what comes next, and nothing here is investment advice.