Turtle Breakout Entries with ATR-Based Scaling and Stops

Summary

This strategy enters long or short positions when price reaches the rolling high or low over an entry window. It adds up to four fixed-size units at progressively spaced price levels, with spacing tied to the average true range (ATR). When a position is open, it uses an exit channel based on a shorter rolling window and a protective stop set two ATRs from the recorded entry price.

The implementation updates signals on each bar, derives channels from recent highs and lows, and sends stop orders for entries and exits. It also clears pending orders before recalculating. The document provides no backtest results or performance evidence. Its exit-channel calculation uses the entry-window length for the lower boundary, and its stop levels are set from trade callbacks; these implementation details may affect behavior and warrant review before relying on the strategy.

Key ideas

• Entry signals use rolling highs and lows to define breakout levels.
• The strategy scales into positions in fixed-size units spaced by fractions of ATR.
• A stop is placed two ATRs away from the recorded entry price.
• Position exits combine the stop level with rolling channel boundaries.
• The document describes implementation but gives no performance evaluation.

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From a private course collection; the original is not published.