Donchian Breakouts with ATR Sizing and Pyramiding

Summary

This Turtle-style futures strategy opens a position when price breaks a Donchian channel boundary, sizing each unit from account equity, current price, and ATR. It adds units as price advances by half an ATR from the last adjustment, up to four units, and exits after a two-ATR adverse move or a stop-channel breach. The listed parameters include 20-period Donchian entry and stop inputs and a 20-period ATR.

The supplied code also contains hard-coded channel lengths that override some of those inputs, including a 55-bar breakout channel and 20-bar stop calculations. The stop calculations and comments are not fully consistent, so the implemented exit behavior may differ from the parameter labels or intended Turtle rules. The document provides no explanatory analysis or backtest settings, and it reports no results. These implementation details and the dependence of sizing on equity and volatility should be checked before interpreting or applying the strategy.

Key ideas

• The strategy enters long or short when price moves beyond a Donchian channel boundary.
• Position units are calculated using equity, current price, and ATR.
• The strategy adds units after favorable moves of half an ATR, with a stated maximum of four units.
• It describes a two-ATR adverse move as a stop and channel breaks as exits.
• Hard-coded channel lengths override some configurable inputs, and the code's stop calculations warrant careful review.

Tags

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