66.0 points behind buy and hold after costs; 3 of 4 checks run · 2 passed.
Donchian 20/10 (turtle-style) · 20 of the largest US companies
It returned +82.2% in total over the test, after costs; buying and holding over the same period returned +148.2%, 66.0 points more. The checks test whether the result holds up (on the unseen years, nearby settings and shuffled trades); they don't compare it with buying and holding. It kept making money on the years it wasn't tuned on (+19.9%). 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 much deeper. 373 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.