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Buy a close above the highest high of the last 20 sessions; sell on a close below the lowest low of the last 10.
Backtest of Donchian 20/10 Breakout on Sensex from Dec 2005 to Nov 2026: CAGR 3.7%, max drawdown 32.3%, win rate 40.4% over 94 trades, vs buy-and-hold 10.9%.
As of · Hypothetical backtest by Jivani Markets on Sensex daily data; re-run weekly
| Measure | Donchian 20/10 Breakout | Buy and hold Sensex |
|---|---|---|
| CAGR (annual return) | 3.7% | 10.9% |
| Total return | 112% | 764% |
| Max drawdown | −32.3% | −60.9% |
| ₹10 lakh became | ₹21.2 lakh | ₹86.4 lakh |
| Win rate | 40.4% | — |
| Trades (closed) | 94 | — |
| Winning / losing trades | 38 / 56 | — |
| Profit factor | 1.32 | — |
| Sharpe ratio | 0.37 | — |
| Volatility (annual) | 11.8% | — |
| Time in the market | 48% | 100% |
| Average holding | 26 sessions | — |
| Charges and slippage paid | ₹9,96,833 | — |
# Donchian 20/10 Breakout (Turtle) on Sensex
universe("SENSEX", asset="index")
settings(
timeframe="1d",
entry_timing="next_open",
cost_model="retail",
slippage_model="tiered",
start="2006-01-01",
benchmark="SENSEX",
allow_short=False,
participation_ignore_zero_volume=True,
)
exit_when(close() < low().lowest(10).shift(1))
buy(close() > high().highest(20).shift(1), size=percent_of_equity(100))
| Year | Strategy | Buy and hold |
|---|---|---|
| 2026* | −2.7% | −4.8% |
| 2025 | −12.0% | +9.1% |
| 2024 | −13.8% | +8.2% |
| 2023 | +10.5% | +18.7% |
| 2022 | −4.1% | +4.4% |
| 2021 | +13.0% | +22.0% |
| 2020 | +14.7% | +15.8% |
| 2019 | −4.6% | +14.4% |
| 2018 | +8.3% | +5.9% |
| 2017 | +9.4% | +27.9% |
| 2016 | −5.5% | +1.9% |
| 2015 | −7.6% | −5.0% |
| 2014 | +14.9% | +29.9% |
| 2013 | −9.7% | +9.0% |
| 2012 | +7.7% | +25.7% |
| 2011 | −9.5% | −24.6% |
| 2010 | +14.3% | +17.4% |
| 2009 | +32.4% | +81.0% |
| 2008 | −15.5% | −52.5% |
| 2007 | +28.1% | +47.1% |
| 2006 | +27.7% | +46.8% |
| Bought | At | Sold | At | Return |
|---|---|---|---|---|
| 3 Nov 2026 | 76,403.08 | 9 Nov 2026 (end of test) | 81,066.1 | +5.9% |
| 18 Jun 2026 | 77,247.35 | 24 Jul 2026 | 75,594.63 | −2.4% |
| 16 Apr 2026 | 78,795.58 | 12 May 2026 | 75,574.86 | −4.3% |
| 21 Nov 2025 | 85,475.42 | 9 Jan 2026 | 83,896.06 | −2.1% |
| 17 Oct 2025 | 83,456.78 | 6 Nov 2025 | 83,391.41 | −0.3% |
| 17 Sept 2025 | 82,630.16 | 26 Sept 2025 | 80,834.57 | −2.4% |
| 22 Apr 2025 | 79,847.98 | 14 Jul 2025 | 82,414.06 | +3.0% |
| 21 Mar 2025 | 76,269.23 | 7 Apr 2025 | 71,342.76 | −6.7% |
| 5 Feb 2025 | 78,822.66 | 25 Feb 2025 | 74,328.64 | −5.9% |
| 4 Dec 2024 | 81,157.77 | 20 Dec 2024 | 79,216.47 | −2.6% |
From 30 Dec 2005 to 9 Nov 2026, these Donchian 20/10 Breakout rules on the Sensex index returned a CAGR of 3.7% after costs, less than the 10.9% a year from buying and holding the index, with a worst fall of 32.3% against 60.9% for buy-and-hold. It made 94 trades and was invested 48% of the time. This is a hypothetical test on past data, not a recommendation, and past performance is not indicative of future results.
40.4%: 38 of 94 closed trades made money after charges and slippage. On a ₹10 lakh account the average winning trade made ₹1,20,654 and the average losing trade lost ₹61,815; the profit factor (gross profit ÷ gross loss) was 1.32. A high win rate with small wins can still lose money, so read it with the CAGR and drawdown.
Buy: The close is above the highest high of the previous 20 sessions. Sell: The close is below the lowest low of the previous 10 sessions. One position at a time with all of the capital; out of the market (in cash, earning nothing) between trades. Daily candles, long only, orders filled at the next session's open.
Buying and holding the Sensex index over the same dates returned 10.9% a year with a worst fall of 60.9%; the strategy returned 3.7% a year with a worst fall of 32.3%. A strategy that is out of the market part of the time usually gives up some return in rising years in exchange for missing part of the falls; the year-by-year table on this page shows where each one gained or lost.
Retail delivery charges (STT, exchange and SEBI fees, stamp duty and GST) and size-based slippage on every buy and sell; signals are read on the daily close and filled at the next session's open; price return only, so dividends are left out of both the strategy and buy-and-hold. An index cannot be bought directly; a fund or ETF that tracks it adds its own expense ratio and tracking error, and pays dividends this price-index test leaves out.
Yes. The "Run it yourself" link opens these exact rules in the Jivani Markets backtest builder, where you can change the indicator settings, add a stop-loss, pick other stocks or indices and re-run it on the latest data.