Dual-Channel Turtle Trend Following with Fast and Slow Breakouts

Summary

This trend-following strategy uses two sets of rolling high and low price levels to create breakout entries and exits. The fast channel uses a 20-period entry lookback and a 10-period exit lookback; the slower channel uses 55 periods for entries and 20 for exits. A break above the prior entry-period high opens a long position, while a break below the prior low opens a short. Positions close when price reaches the opposing boundary of the shorter exit lookback. The code maintains separate fast and slow entries.

Although the title refers to simple moving averages, the supplied implementation uses rolling highs and lows rather than calculating moving-average crossovers. The document gives a one-month BTC futures backtest configuration but no outcome statistics, so its claims of long-term live profitability are not substantiated by the included evidence. It identifies lag, mechanical responses to unusual conditions, and lack of a maximum drawdown control as limitations. Stop losses and additional filters are suggested, but no tests of these modifications are provided.

Key ideas

• The strategy uses separate fast and slow rolling price channels for entry breakouts.
• Long entries follow breaks above prior lookback highs, while short entries follow breaks below prior lows.
• Positions exit at boundaries calculated from shorter lookback periods.
• The supplied implementation uses channel highs and lows, despite the title's reference to simple moving averages.
• Published backtest settings do not include results, and no maximum drawdown control is described.

Tags

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