A Turtle Breakout Strategy with 20-Day Entries and 10-Day Exits

Summary

This document outlines a Turtle style trend following strategy for stocks. It buys when the close crosses above the prior 20 trading days’ high and exits when the close crosses below the prior 10 trading days’ low. The examples define signals using current and lagged prices, then describe how to apply them to a chosen stock universe and date range.

For portfolio handling, the instructions sell held stocks that trigger exits and allocate equal capital among new or already held stocks with buy signals. They also mention removing records with missing data and setting fees and slippage in a simulated backtest. The document provides a workflow rather than performance results: it reports no test period, benchmark, returns, or drawdowns. It also omits position sizing based on volatility, risk limits, and details such as how to handle execution at the closing price. Readers should treat the rules as a basic example to evaluate with realistic costs and data safeguards.

Key ideas

• The strategy enters a stock when its close breaks above the previous 20 trading days’ high.
• It exits a holding when its close falls below the previous 10 trading days’ low.
• The example assigns equal capital to stocks with buy signals, including existing holdings.
• The proposed backtest includes configurable fees and slippage but reports no performance evidence.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.