Donchian Breakout Turtle System with ATR Adds and Exits
Summary
This spot Bitcoin strategy presents a simplified Turtle-style trend system. It opens a position when price moves above a Donchian upper channel, adds to the position after a further rise measured as a fraction of ATR, and exits the accumulated holdings when price falls below a lower channel boundary or retreats by an ATR-based amount from the most recent entry. Position units are calculated from portfolio value, a configurable allocation fraction, ATR, and available cash, so the design limits both volatility-scaled exposure and purchases that exceed the balance.
The author reports a one-year backtest with an annualized return of 80% and maximum drawdown of 16%, while cautioning that the strategy was minimally optimized and that spot use leaves capital less fully deployed. Published settings describe BTC-USDT spot trading over roughly a year, though the parameter listing and backtest arguments show different channel and ATR periods. The supplied implementation also relies on a locally maintained order history for add-on prices and does not establish that the reported figures account for fees, slippage, or live execution. Treat the results as a limited historical claim, not evidence of future performance.
Key ideas
- The initial long entry is triggered by a close above a Donchian channel high.
- Additional units are added after price advances by a fraction of ATR from the prior recorded entry.
- The system liquidates holdings when price falls below a channel low or an ATR-based threshold.
- Position sizing uses portfolio value, an allocation fraction, volatility, and available cash.
- The author reports historical returns but provides no validation across other periods or execution conditions.
Tags
Cited by
- Strategies Guyamin FMZ BTC Spot Turtle Breakout
- Hypotheses Guyamin FMZ BTC Spot Turtle Breakout
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.