Donchian Breakouts with ATR-Based Position Sizing and Pyramiding

Summary

This Turtle-style breakout system uses Donchian channel highs and lows to trigger long or short entries. It calculates ATR, labeled N, and sizes each unit in proportion to account equity and a configurable risk percentage, subject to a minimum order size. Once in a position, it adds units whenever price advances by half an ATR from the latest recorded entry reference, with pyramiding enabled. A trailing exit uses the opposite boundary of a shorter Donchian channel, while a stop is placed two ATR units from the reference price.

The rules also include a longer breakout channel as a fail-safe entry route and a filter related to the previous breakout’s outcome. The document provides code and a BTC/USD daily backtest configuration spanning roughly one year, but no performance statistics, so effectiveness cannot be assessed from the material. Position sizing depends on ATR and account equity; the source’s bar-based logic and fill assumptions may differ from live execution, and the method gives no analysis of costs or slippage.

Key ideas

• Donchian channel breakouts provide the initial long and short entry signals.
• Position size scales with account equity, a risk ratio, and ATR, subject to a minimum unit size.
• The system adds units after each half-ATR move from the latest entry reference.
• A trailing Donchian boundary and a two-ATR stop define exit conditions.
• The provided BTC/USD test configuration includes no reported performance results.

Tags

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