Turtle Breakout Trading with ATR Sizing and Pyramiding

Summary

This strategy implements a Turtle-style trend-following system for long and short positions. It enters when the closing price crosses beyond the prior 55-period high or low, then exits when price crosses the opposing 20-period channel boundary. The lookback periods are configurable, and the author describes the intended use as intraday or positional trading, including trades lasting a few days.

Position units are sized from account equity, a risk fraction, ATR, and the instrument’s point value. The strategy can add units as price moves favorably by ATR-scaled increments, up to a configurable cap, and can place an ATR-based stop. It also plots channel levels, average entry, and stops, and includes alerts and an information table. The document supplies implementation details but no performance statistics or testing methodology. The stated risk fraction does not by itself establish realized risk, which can vary with gaps, contract specifications, execution, and how the stop and added units behave in practice.

Key ideas

• Entries follow breakouts beyond prior channel highs or lows, while exits use a shorter opposing channel.
• ATR and account equity determine the nominal size of each unit.
• The system can pyramid into a profitable position at ATR-scaled intervals up to a unit limit.
• An optional ATR-multiple stop supplements the channel exit.
• The document reports no backtest results or evidence that the approach performs reliably.

Tags

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