Original Turtle Trading Rules: Breakouts, N-Based Sizing, and Pyramiding

Summary

The article presents an Expert Advisor implementation of the original Turtle trend-following rules. System 1 enters on 20-day breakouts and skips a same-direction signal after a winning prior breakout; System 2 takes every 55-day breakout. Each system exits on shorter opposite breakouts. The method uses a 20-day Wilder-smoothed true range, called N, to set unit size, stops, and add-on intervals. It risks a fixed share of equity per unit, uses a 2N stop, adds to winning positions at N-based intervals, and caps the position at four units.

The document maps these rules to EA components and reports testing on EURUSD over multiple years, though the excerpt gives no detailed performance statistics. It also identifies implementation constraints: sufficient history is needed to initialize N, and the unit tracking assumes a hedging account. Trend-following can produce uneven equity paths, and the article’s claims about the system’s historical effectiveness do not establish future performance across markets or costs.

Key ideas

• System 1 uses 20-day breakouts with a skip filter after a winning breakout, while System 2 uses 55-day breakouts without that filter.
• Both systems exit on shorter lookback breakouts in the opposite direction.
• Wilder-smoothed 20-day true range provides the N value for sizing, stops, and pyramiding.
• The rules risk a fixed equity fraction per unit, add only to winners, and limit positions to four units.
• The described EA requires enough history to initialize N and a hedging account for separate unit tracking.

Tags

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