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Volatility Breakout

Donchian breakout with ATR position sizing (Turtle Trading)

Volatility Breakout (Turtle)

3Y
Total Return
-1.3%
3Y
Sharpe Ratio
-1.73
3Y
Max Drawdown
-5.0%
3Y
Win Rate
21.4%
3Y
Alpha
-23.6%
3Y
Comp. Score *
0.10
Risk Parameters
Max Allocation0.0%
Stop Loss5.0%
Take Profit5.0%
Max DD Tolerance5.0%
Rebalanceweekly
Execution Guidance
Order TypeLimit
Entry RuleBuy 0.5% below market in uptrend.
TimingSAFE TO BUY. *
ScalingEnter in 3 tranches over 1-2 weeks.
Positions — Vol-Adjusted Sizing
SymbolActionVol Stop LossTake ProfitSizeLinks
AAPL FLAT 29% 6.0% below entry 6.0% above entry 0.0% TVYH
MSFT FLAT 24% 5.1% below entry 5.1% above entry 0.0% TVYH
NVDA FLAT 49% 10.2% below entry 10.2% above entry 0.0% TVYH
GOOGL FLAT 30% 6.3% below entry 6.3% above entry 0.0% TVYH
AMZN FLAT 33% 6.9% below entry 6.9% above entry 0.0% TVYH
META FLAT 36% 7.6% below entry 7.6% above entry 0.0% TVYH
TSLA FLAT 62% 13.1% below entry 13.1% above entry 0.0% TVYH
GLD FLAT 23% 4.8% below entry 4.8% above entry 0.0% TVYH
TLT FLAT 13% 2.6% below entry 3.0% above entry 0.0% TVYH
XLE FLAT 23% 4.8% below entry 4.8% above entry 0.0% TVYH
SPY FLAT 17% 3.6% below entry 3.6% above entry 0.0% TVYH
QQQ FLAT 22% 4.6% below entry 4.6% above entry 0.0% TVYH
▶ For Passive Investors (Buy & Hold)

This strategy is NOT recommended for passive investing. - Take profit: Take profit at +50%. This strategy is inconsistent — capture gains when available. - Stop loss: Reduce position by 50% at -25% drawdown. Consistency is only 0%. - Exit rule: Review annually. Exit if strategy underperforms its benchmark for 3 consecutive years.

Avg 5Y Return
-0.6%
Avg 5Y Sharpe
-1.77
10Y Return
2.6%
10Y Sharpe
-1.57
HODL Composite
0.05
Consistency
0%
Suitable for passive
No