Does the Donchian Breakout strategy beat buy & hold on Semiconductor ETF (SMH)? (SMH · backtested honestly)
The 'turtle' channel rule: it tracks the highest high and lowest low of a recent window (both excluding the current bar) and trades a break beyond them.
Over this period, Donchian Breakout on Semiconductor ETF (SMH) returned +117.1%, while simply buying and holding returned +321.1% — it lagged buy & hold by 204 points, with a worst drawdown of -27.1%. It traded 21 times and sat in cash about 52% of the time. It's a mechanism you test.
It lagged buy & hold over this window — that's a result, and a backtest you can kill for free just did its job. Re-tuning this same idea until it looks better only adds another shot at looking good by luck, so the honest next move is a fresh one: test a different strategy on Semiconductor ETF (SMH), or build your own — free. Most ideas die cheaply right here, and that's exactly how the rare one that holds up gets found.
Or stop here — walking away from an idea that didn't beat simply holding is a result, not a failure.
Run it yourself
Change the parameters and the window, then re-run — no account needed.
Change the rules? Open the Donchian Breakout rules on Semiconductor ETF (SMH) in the no-code builder — the same rules tested here — and make them your own.
Open in the builder →Two real trades from this backtest
Shown at the modeled fills — entries at the next open; a stop at its level, or at that day's open if the day opened past it; a target at its level; costs on. A single trade is never a signal and says nothing about the next one — not the best or worst, a middling winner and a middling loser among the completed trades.
21 trades total — 9 winners, 12 losers (43% won). Below is one of each, not a scoreboard.
- Entry. A long entry fired; filled at the next open on 2023-04-03 at $130.93 — never the signal bar's own close.
- Held. 14 daily bars.
- Exit. Exited on 2023-04-24 at $123.90 (the exit rule fired (filled at the next open)).
- Result. -5.47% after costs.
The worst single trade in this whole test reached -11.55%.
- Entry. A long entry fired; filled at the next open on 2024-05-15 at $229.27 — never the signal bar's own close.
- Held. 43 daily bars.
- Exit. Exited on 2024-07-18 at $259.13 (the exit rule fired (filled at the next open)).
- Result. +12.92% after costs.
Trading costs + slippage (0.10%) are already deducted from every figure above. One trade is never the edge — it's the whole distribution (the win rate, the losers, the reality-check) that matters; this just makes the mechanics concrete. It describes the past; it is not a prediction.
A live badge that re-runs itself and links back here. Free to embed on any blog, newsletter or forum — it shows the honest result, beat or lagged.
<iframe src="https://stratsemble.com/embed/semiconductor-etf-donchian-breakout-backtest" width="360" height="340" style="border:0;border-radius:12px;max-width:100%" loading="lazy" title="Does the Donchian Breakout strategy beat buy & hold on Semiconductor ETF (SMH)?"></iframe>See which strategies actually beat buy & hold — and which only look like they do.
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- See if it's an edge, or just luck
- Read today's names that cleared every check
Put it to the proof the honest way — real costs, every loss, measured against simply holding. Free, no sign-up.
Prove it →Paste their exact claim and watch the honest engine put it to the test — free, losses and all.
Test the claim →Put a survivor through the reality check — is the edge curve-fit to the past, or does it hold up? The honest way to tell a pattern from luck.
Run the reality check →an honest backtest — real costs on, measured against simply buying & holding
- • The strategy line is Donchian Breakout on Semiconductor ETF (SMH); the dashed line is simply buying and holding SMH. Beating the dashed line is the whole point — many strategies don't.
- • Max drawdown is the worst peak-to-trough fall you'd have sat through. A higher return with a much deeper drawdown is not obviously better.
- • Every fill assumes next-open execution with costs & slippage on — no acting on prices you couldn't have known.
- • A small number of trades means a small sample. Treat a great-looking result on a handful of trades with suspicion.
This is a hypothetical backtest of a well-known mechanism on past data. It is not advice, not a prediction, and not a claim that the strategy works. We hold no funds and place no orders. The value here is the ability to test an idea honestly — see where it would have helped, and where it would have hurt — before you ever risk real money on your own broker.
How this is computed → · who's behind it · where a backtest fits
See what actually beats buy & hold — most don't, here are the rare few that do →