Dual-Period Turtle Breakouts with ATR Sizing and Pyramiding

Summary

This trend-following system combines 20-day and 55-day breakout entries with ATR-based position sizing, pyramiding, and shorter-period exits. It enters when price clears a prior high or low, sizes units according to account equity, a stated risk fraction, ATR, and point value, and adds units when an open position moves favorably by a specified ATR multiple. Long and short positions exit on opposite 10-day channel breaks.

After a losing trade in one direction, the next entry in that direction uses the slower channel; after a profitable trade, the faster system resumes. The document describes the rules and cites no performance results or backtest evidence. It warns that choppy markets can produce false breakouts and repeated losses, while pyramiding can magnify reversals. Parameter sensitivity, liquidity and slippage, and position rounding are also noted as limitations.

Key ideas

• The system enters on 20-day breakouts and switches to 55-day breakouts after a loss in the same direction.
• ATR and account equity determine unit size from a stated per-trade risk fraction.
• Winning positions can be enlarged in steps as price advances by an ATR-based distance.
• A 10-day reverse channel break closes open positions.
• The document provides strategy rules and risks but no reported performance evidence.

Tags

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