The Ledger · Public record

Turtle-style Breakout

Spec frozenspec 0af9…3e8d ✓ verifiedby houseForward-tested 2 days1d

Execution model · Paper trading on end-of-day data: signals are evaluated on the daily close and filled per the strategy's entry price field with the same slippage assumption as backtests. The deployed spec is frozen (hash-verified); the ledger is append-only.

Share on X

Original backtest (in-sample, 2016 →)

CAGR
6.74%
Total return
+99%
Max drawdown
17.2%
Sharpe
0.65

Live forward test (out-of-sample, since 2026-08-03)

Forward return
+0.34%
Max drawdown
0.0%
Days live
2
Ledger signals
3

Forward paper equity

Drawdown

Open paper positions

  • SPY — 26 shares since 2026-08-03 @ 758.05
  • XLF — 346 shares since 2026-08-04 @ 57.91
  • DIA — 37 shares since 2026-08-04 @ 540.70

Signals ledger

append-only — rows can never be edited or deleted

DateActionSymbolPriceSharesReason
2026-08-03EntrySPY758.0526RULE_LONG
2026-08-04EntryXLF57.91346RULE_LONG
2026-08-04EntryDIA540.7037RULE_LONG
Frozen strategy rules (immutable since deployment)
{
  "backtest_timeframe": "1d",
  "description": "40-day high entry, 20-day low exit, 2-ATR stop, diversified ETFs.",
  "entry_price_field": "close",
  "entry_rule_long": "close > high_40_prev",
  "exit_rule": "close < low_20_prev",
  "indicators": [
    {
      "length": 40,
      "name": "high_40",
      "source": "high",
      "type": "rolling_max"
    },
    {
      "length": 20,
      "name": "low_20",
      "source": "low",
      "type": "rolling_min"
    },
    {
      "length": 1,
      "name": "high_40_prev",
      "source": "high_40",
      "type": "lag"
    },
    {
      "length": 1,
      "name": "low_20_prev",
      "source": "low_20",
      "type": "lag"
    },
    {
      "length": 20,
      "name": "atr_20",
      "source": "close",
      "type": "atr"
    },
    {
      "formula": "atr_20 * 2",
      "name": "stop_2n",
      "type": "custom"
    }
  ],
  "max_holding_days": 0,
  "max_positions": 5,
  "name": "Turtle-style Breakout",
  "position_size_mode": "notional_pct",
  "position_size_pct": 20,
  "stop_loss_field": "stop_2n",
  "stop_loss_pct": 0,
  "symbols": [
    "SPY",
    "QQQ",
    "IWM",
    "DIA",
    "SMH",
    "XLF",
    "XLE",
    "GLD",
    "TLT",
    "EEM"
  ],
  "take_profit_pct": 0
}

Forward testing has no survivorship bias — signals are recorded as they happen, on the symbols the strategy actually watches. Historical simulation for research and education. Not financial advice. Past performance does not predict future results.