20-Day Donchian Breakout
Classic Turtle entry: close above the prior 20-day high.
Exact criteria (as backtested)
| Universe | S&P 500 + Nasdaq 100 (current members) |
| Price | > $5 |
| 20d avg $ volume | > $5M |
| Close | > prior 20-day high |
Backtest · 2021-10-13 → 2026-10-12
How we testEqual-weight trade curve (weekly, 1.0× = start). Each signal held 5 sessions; daily return = mean of open positions. No fees, slippage or taxes. Survivorship-biased universe. Not indicative of future results.
Copyable platform settings
Pine: close > ta.highest(high,20)[1]ta_highlow20d=nhclose>Highest(high,20)[1]Finviz strings are URL filter codes (append to finviz.com/screener.ashx?v=111&f=). ThinkorSwim strings are thinkScript scan conditions. Platform equivalents may differ slightly from the backtested definition; verify before use.
Most recent signals in backtest
How the 20-Day Donchian Breakout screen works
The 20-Day Donchian Breakout screen is a breakout setup: classic Turtle entry: close above the prior 20-day high. A stock qualifies on a given day when every condition is true at the close: close > prior 20-day high. To keep results tradable, only S&P 500 and Nasdaq-100 members above $5 with more than $5M of average daily dollar volume are included.
Across 518 tickers from 2021-10-13 to 2026-10-12, the screen fired 48,592 times on 515 different stocks. 51.8% of signals were higher five sessions later, ranking #20 of 25 screens on SetupHits by hit rate. The average 5-day move was +0.16% (median +0.15%), behind SPY's +0.17% over the same days, and the equal-weight trade curve's worst drawdown was -22.0%.
Setup is copy-paste: TradingView, Finviz, ThinkorSwim versions are listed above. In TradingView use the string in the Stock Screener filter or a Pine condition; in Finviz append the filter codes to the screener URL; in ThinkorSwim paste the thinkScript into a Stock Hacker custom study filter. Platforms compute indicators slightly differently, so expect small differences in the hit list.
Treat these numbers as context, not a forecast. The backtest uses daily bars, ignores commissions and slippage, overlaps signals on the same stock, and tests today's index members back in time, which adds survivorship bias. A mostly rising 2021–2026 market also lifted most long setups.
Full test rules: methodology. Compare every setup in our ranked list of stock screeners.
FAQ
What is the 20-Day Donchian Breakout stock screener?
Classic Turtle entry: close above the prior 20-day high. It is a breakout screen evaluated on daily closes for S&P 500 and Nasdaq-100 stocks.
What is the 20-Day Donchian Breakout backtest hit rate?
51.8% of 48,592 signals between 2021-10-13 and 2026-10-12 closed higher 5 trading days later, with an average 5-day move of +0.16% and a max drawdown of -22.0%.
How do I set up the 20-Day Donchian Breakout screen in TradingView, Finviz or ThinkorSwim?
Copy the platform string on this page: TradingView, Finviz, ThinkorSwim settings are provided. Results can differ slightly because each platform calculates indicators its own way.
Is the 20-Day Donchian Breakout screen good for day trading?
It is an end-of-day screen measured over a 5-day hold, so it suits swing trading or building a next-day watchlist more than intraday entries. Past, simulated results do not predict future returns.