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well, as you can see from the picture, the testudo does have a few vulnerabilities. it limits manueverability, vision, and one is still vulnerable at the sides/gaps.
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The sides aren't vulnerable, as the men on the side and rear flanks would simply face in those directions to form a complete testudo when needed.
There are also no gaps in the testudo, other than the front (or sides and rear) where those soldiers peer outwards, which is only vulnerable from nearby enemy aiming at that gap firing directly head on.
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a resourceful enemy (such as the parthians) could and would keep up a withering hail of fire, and then let off at the last second to allow heavy cavalry to charge the formation, which was not designed to hold against it.
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The soldiers in the front (or sides and rear) would alert the formation of an oncoming threat, so they were not going to be caught by surprise. If the enemy let up arrow fire at the last possible moment when the cavalry hit the legionnaires head-on, the Romans would be as ready for the cavalry charge as they would be if there were not an arrow barrage.
I don't believe the hands were exposed, thus the arrows would have to penetrate the shield to pin a soldiers hand to his shield.
I looked up the Battle of Carrhae, and it appears the Parthians tired the Romans in the desert by alternating between cavalry charges and missile barrages, forcing the Romans to repeatedly change formation. Sheer exhaustion.