Turtle Breakout Entries with ATR and 10-Day Exit Stops

Summary

This note describes a trend-following approach based on Richard Dennis’s Turtle trading ideas. It enters long when the close exceeds the previous 20-day high and short when it falls below the previous 20-day low. After entry, it sets a stop using a multiple of a smoothed 20-day ATR and also watches the 10-day high or low as an exit threshold.

The material explains the rules and lists common limitations: breakouts can fail or trigger repeated trades in choppy markets, and stops may exit too early. It suggests tuning lookback periods and ATR multiples, adding trend filters, and testing trailing stops or other information sources. The published settings identify a daily BTC/USDT futures backtest over roughly one year, but no performance figures or comparative results are provided. The code’s stop handling and use of “slippage stop” terminology are not fully reconciled with the prose, so the description should be treated as a basic strategy outline rather than evidence of profitability.

Key ideas

• The strategy enters long or short when the close breaks the preceding 20-day price extreme.
• A stop is set using a multiple of smoothed ATR after entry.
• A 10-day price extreme provides an additional exit condition.
• False breakouts and premature exits are stated risks, especially in choppy markets.
• The published backtest configuration gives a market and period but reports no results.

Tags

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