Bitcoin Turtle Strategy Using Donchian Breakouts and ATR Pyramiding

Summary

This document presents a simplified Turtle-style strategy for Bitcoin spot trading. It opens a position when price exceeds a Donchian upper channel, adds units after price advances by a fraction of ATR from the last entry, and exits the entire position when price falls below a lower channel or drops by a multiple of ATR from the last entry. Position units are sized using portfolio value, a configurable risk fraction, and ATR, with available cash also limiting purchases.

The author reports a one-year backtest with an annualized return of 80% and a maximum drawdown of 16%, while noting that spot capital use is relatively low and that the system received little optimization. The published settings show a daily BTC/USDT spot test, while the code uses configurable bar frequency and channel and ATR lengths. These figures are a single reported test, not independent validation; the document does not discuss fees, slippage, or out-of-sample performance. The suggested use is experimentation and further tuning, not evidence of reliable live results.

Key ideas

• The strategy enters long when price breaks above a Donchian upper channel.
• It adds to the position after an ATR-scaled favorable move from the previous entry.
• The position exits when price breaches a lower channel or an ATR-based loss threshold.
• Position size depends on portfolio value, a risk fraction, ATR, and available cash.
• The author reports backtest returns and drawdown, but the figures come from a single test with limited optimization.

Tags

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