Turtle Trading 20-Day vs. 55-Day Breakouts: When to Skip the Next Signal After a Winning Breakout
In Turtle Trading, 20-day breakout entries are skipped depending on the outcome of the previous breakout, while 55-day breakout entries are taken regardless of previous results. Importantly, the skip rule for 20-day breakouts considers not only profits from actual trades but also the hypothetical outcomes of breakouts that were never traded.
As of 2026-10-20, the focus is not on new trading signals or market forecasts but on the publicly documented original Turtle Trading rules taught by Richard Dennis and William Eckhardt.
20-Day and 55-Day Breakouts Differ in Both Entry and Exit Rules
Turtle Trading is a trend-following strategy that enters positions in the direction of a trend when prices break above or below the highest or lowest levels reached over a specified period. Both systems use breakouts, but their entry periods, signal filters, and exit periods differ.
| Category | System 1 | System 2 |
|---|---|---|
| Entry criteria | Breakout of the previous 20 trading days' range | Breakout of the previous 55 trading days' range |
| Long entry signal | Price exceeds the 20-day high | Price exceeds the 55-day high |
| Short entry signal | Price falls below the 20-day low | Price falls below the 55-day low |
| Signal skipping | Applied if the previous breakout was a winner | Not applied |
| Trend exit | Breakout in the opposite direction over 10 days | Breakout in the opposite direction over 20 days |
| Initial stop-loss | 2N | 2N |
The 20-day and 55-day periods here do not refer to moving averages.
The reference levels are the highest and lowest prices over the previous 20 or 55 trading days, excluding the current trading day. Therefore, a price moving above its 20-day moving average does not constitute a Turtle Trading 20-day breakout.
The original rules also did not require waiting for the closing price to finish above the breakout level. Instead, entry was triggered intraday when the price exceeded the previous period's extreme by at least the minimum tick size.
The 20-day system responds to relatively shorter-term price movements, while the 55-day system captures movements that break beyond a longer-term price range.
However, this does not mean 55-day breakouts are always more profitable than 20-day breakouts. Because entry timing and exit criteria differ, the two systems can produce different trading results even in the same market.
When Should a 20-Day Breakout Signal Be Skipped?
The key rule of System 1 is that if the previous 20-day breakout was a winning breakout, the next 20-day breakout entry must be skipped.
Here, the previous breakout means the most recent System 1 breakout in the same market. The rule applies regardless of whether the breakout was actually traded and regardless of whether it was a long or short signal.
For example, suppose a previous upward 20-day breakout occurred and was classified as a winner. Even if the next 20-day breakout occurs in the downward direction, the condition for skipping that entry still applies.
Conversely, if the previous breakout was classified as a loser, the next 20-day breakout becomes an eligible entry signal again.
It would therefore be inaccurate to interpret this rule simply as 'If you made money on your last actual trade, skip the next trade.'
Turtle Trading tracked the outcomes of breakout signals separately from actual trading records.
How Are Winning and Losing Breakouts Distinguished?
The original system evaluated the outcome of the previous 20-day breakout using the 2N stop-loss and 10-day exit criteria.
N is a unit representing market volatility. Turtle Trading used a 20-day volatility measure calculated from TR (True Range), which represents the actual daily price range.
If the price moved 2N against the entry direction after the previous breakout and reached the stop-loss condition first, the breakout was classified as a loser.
Conversely, if the 10-day exit condition in the opposite direction was met while the position was profitable, before the 2N stop-loss was reached, the breakout was classified as a winner.
Therefore, a breakout cannot be definitively classified as a winner simply because the price rose briefly afterward.
What matters is which occurred first: the stop-loss condition or the profitable exit condition.
Can a Breakout That Was Never Traded Affect the Next Signal?
Yes. Under System 1, even if the previous breakout was not actually traded, its hypothetical outcome is still tracked.
Consider a hypothetical price scenario.
Suppose the following sequence occurs in a particular asset:
The first 20-day breakout occurs, and the profitable exit condition is subsequently met first.
A second 20-day breakout occurs, but no position is entered because the first breakout was a winner.
When the second breakout is tracked hypothetically, it reaches the 2N stop-loss condition first.
A third 20-day breakout occurs.
How should the third breakout be handled?
Even though the second breakout was never actually traded, it was classified as a losing breakout. Therefore, the third breakout becomes an eligible entry signal under System 1.
Conversely, if the skipped second breakout had been classified as a winner, the condition for skipping the third 20-day breakout would remain in effect.
This is why actual execution records alone are insufficient to reproduce the original rules. A breakout history that includes signals that were never traded is also necessary.
What If the Price Breaks Above the 55-Day High After a 20-Day Breakout Was Skipped?
The 55-day breakout operates independently of the signal filter used by System 1.
Even if the next 20-day breakout is skipped because the previous 20-day breakout was a winner, the 55-day entry rule applies if the price breaks above the previous 55-day high.
In the original Turtle Trading system, this was used as a safeguard against missing a major trend, known as the *Failsafe Breakout*.
For example, suppose a new upward price movement begins after the previous 20-day breakout has been classified as a winner.
Even if the price exceeds the previous 20-day high, no entry is taken because of the System 1 filter. However, if the advance continues and the price breaks above the previous 55-day high, a 55-day breakout entry becomes possible.
This means that skipping a 20-day breakout does not necessarily mean abandoning the entire upward trend.
However, existing positions, capital allocation between systems, and overall risk limits must be considered separately. A 55-day breakout does not authorize unlimited additional purchases regardless of existing positions.
Why Are 10-Day and 20-Day Exit Periods Used Separately After Entry?
System 1 enters on a 20-day breakout and exits on an opposite-direction 10-day breakout. System 2 enters on a 55-day breakout and exits on an opposite-direction 20-day breakout.
For a long position, System 1 generates a trend exit signal when the price falls below the lowest price of the previous 10 days. System 2 generates a trend exit signal when the price falls below the lowest price of the previous 20 days.
For short positions, the exit criterion is reversed: a breakout above the highest price over the corresponding period.
Using different observation periods for entries and exits means the two systems may respond differently to temporary declines during an upward trend.
Because System 2 uses a longer exit period, it may avoid exiting during a brief price correction. On the other hand, it may also give back more unrealized profits while holding the position.
Furthermore, the 10-day or 20-day exit condition is not the only exit rule. The original rules also included an initial stop-loss triggered when the price moved 2N against the entry price.
Trend exits and stop-losses serve different purposes. In actual trading, it is necessary to identify which risk-management condition is triggered first.
How to Check 20-Day and 55-Day Breakouts on a Chart
When applying Turtle Trading to a chart, the breakout prices should be calculated first, followed by an assessment of the previous signal's outcome.
1. Calculate the highest and lowest prices over the previous 20 trading days, excluding the current trading day.
2. Use the same method to calculate the highest and lowest prices over the previous 55 trading days.
3. Check whether the current price has actually broken beyond the relevant price range.
4. For a 20-day breakout, determine whether the previous System 1 breakout in the same market was a winner or a loser.
5. For a 55-day breakout, do not apply the System 1 skip rule. Instead, check the separate position and risk limits.
6. If entering a position, use volatility N to calculate position size and the stop-loss price.
For a hypothetical calculation, suppose the previous 20-day high is KRW 100 and the previous 55-day high is KRW 115.
When the price reaches KRW 101, the upward 20-day breakout condition is satisfied, but the upward 55-day breakout condition is not.
When the price reaches KRW 116, it has exceeded the highs of both periods. However, whether an actual entry is taken depends on the classification of the previous breakout, existing positions, and capital allocation rules.
This is a hypothetical example intended to illustrate the difference between the two breakout prices, not a trading signal for an actual asset.
Differences That Arise When Implementing Turtle Trading in an Automated Trading System
When programming 20-day and 55-day breakouts, the signal calculation methods must be clearly distinguished from the outset.
In particular, confusing the following three points can produce results that differ from the original rules.
First, the current price bar must not be included when calculating the highest price. Including the current bar changes the reference level used to determine whether a breakout has occurred.
Second, a strategy based on confirmed closing prices must be distinguished from one based on intraday breakouts. Waiting for the closing price differs from the intraday breakout method used in the original Turtle rules, so execution timing and backtesting results may differ.
Third, the System 1 filter must be calculated using the outcome of the previous breakout, including hypothetical outcomes, rather than only the profits or losses of actual trades. Tracking separate records of the most recent winning breakout for long and short directions also differs from the original rules.
Original Turtle Trading was designed for highly liquid futures markets. When applying it to Korean stocks, ETFs, or cryptocurrencies, market-specific conditions such as trading hours, short-selling availability, price limits, commissions, and slippage must also be evaluated separately.
Simply applying the 20-day and 55-day periods does not reproduce the entire original strategy. Volatility-based position sizing, stop-losses, additional entries, and exits must also be considered.
Skipping a 20-Day Breakout Is Not the Same as Giving Up on Trading
The two Turtle Trading entry systems are not distinguished merely by fast and slow signals.
The 20-day system selectively accepts the next signal based on the outcome of the previous breakout, while the 55-day system treats a new longer-term breakout as an entry opportunity regardless of previous breakout performance.
Two details are particularly important for understanding the original rules: the outcome of a previous breakout is tracked even if it was never actually traded, and the previous breakout classification continues to apply even when the signal direction changes between long and short.
Before considering practical implementation, it is advisable to record breakout signals and hypothetical profit-and-loss classifications separately using historical price data. Breakout strategies can suffer repeated losses in sideways markets, and past effectiveness does not guarantee future profits.
※ This article is provided for informational purposes to help readers understand market behavior and does not constitute an investment recommendation for any particular security or asset. All final investment decisions and responsibilities rest with the individual investor.
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