Multi-Level Turtle Trend Following with ATR Stops and Pyramiding

Summary

This system adapts Turtle-style trend following with two breakout lookbacks: a shorter L1 channel for faster entries and a longer L2 channel for slower signals. It enters long when price breaks above either channel, with a rule to skip the next L1 entry after a profitable L1 trade until an L2 signal occurs. ATR sets the initial stop distance and the interval for adding units as a trend advances. Positions can exit at the corresponding channel’s low or at a rising stop, while position size is tied to a stated account-risk limit.

The document gives BTC/USDT futures backtest settings covering about one month at a one-hour chart interval, but reports no results. Its source excerpt is incomplete, so the full implementation cannot be checked against the written rules. The approach may struggle in choppy markets, and the many adjustable parameters create overfitting risk. Frequent additions, stop updates, limited capital, and illiquid markets can also affect execution and realized risk.

Key ideas

• The system uses separate short and long breakout lookbacks to capture trends at different speeds.
• ATR informs initial stop distance and the spacing of additional entries.
• A profitable short-lookback trade can suppress the next signal from that channel until a longer-lookback signal appears.
• Exit rules use channel lows or a rising stop, with position sizing tied to account risk.
• The supplied backtest configuration has no reported performance results, and the source excerpt is incomplete.

Tags

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