Nasdaq-100 Turtle-style breakouts with a cash regime filter
Buy Nasdaq-100 stocks breaking to new multi-week highs, size by volatility, use a time stop, and go to cash when the market regime turns.
What they did
SetupAlpha describes a Turtle-style breakout system on Nasdaq-100 stocks, tested with survivorship-free data in RealTest with costs. It buys breakouts, sizes positions by volatility, exits on a time stop, and moves to cash when a market regime filter turns negative. They say it has been live since March 17, 2026. The post is self-promotional, and the exact parameters aren't public.
How it went
SetupAlpha's claims: 17.4% a year from 2000 to July 2026 versus 8.1% for SPY, with a worst drawdown of 20.9% versus 55.2%.
Sources:
Worth knowing
- Self-promotional: the author sells or markets this system. Treat the numbers as marketing until you rebuild it.
- The breakout length, volatility sizing, time stop and regime filter settings aren't published. The prompt uses classic Turtle-style defaults as [blanks], which won't match their results.
- Survivorship-free data matters a lot for Nasdaq-100 tests. If you rebuild it, use historical index members, not today's list.
- About seven months live is too short to confirm a 26-year backtest.
The prompt
Universe: current Nasdaq-100 members (note: a proper backtest needs historical members).
After each daily close:
1. Regime filter: if [QQQ / SPY] closes below its [200]-day SMA, propose closing all positions at the next open and taking no new entries.
2. Entry (regime OK): if a stock closes at a [55]-day high and I don't hold it, propose buying at the next open.
3. Size: risk [0.5]% of the paper account per position, using [2]×ATR([20]) as the distance to the initial stop.
4. Exits: the stop at entry − [2]×ATR, OR a close at a [20]-day low, OR a time stop after [40] trading days, whichever comes first.
5. Max [10] positions. If more than that signal, prefer the ones with the [strongest 6-month return].
Report the regime, new signals, sizes and exits each day.
SAFETY DEFAULTS (keep unless you deliberately change them):
- Use the PAPER trading account only. Never touch a live account.
- Before every order, show me: symbol, side, size, order type, limit price, stop, and the rule that triggered it. Then WAIT for my "approve".
- Hard limits: max [$500] per trade, max [3] open positions, stop all trading for the day after a loss of [$300].
- Log every signal, decision and fill to [a running log / spreadsheet] with timestamps.To go fully autonomous: (1) run on paper for at least [4–8 weeks] or [30+ trades]; (2) delete the 'WAIT for my approve' line and keep the hard limits; (3) switch to live keys or account. On Robinhood, turn off trade approvals in your agent settings, but note that some orders can still require in-app approval or acknowledging a pre-trade alert, so unattended execution isn't guaranteed for every order. IBKR's AI connector always asks for approval; use its regular API for unattended trading. Never remove the daily loss limit.