Turtle Breakouts with ATR-Based Position Sizing and Pyramiding

Summary

This Turtle-style example combines short- and long-period price breakouts with ATR-based sizing and staged position additions. It calculates true range and averages it over a volatility period, then sets the initial trade size as a fraction of account equity scaled by ATR. Breaks above rolling highs or below rolling lows open positions; further units are added when price advances by a fraction of ATR, subject to a cap on total exposure. The exit logic combines a two-ATR adverse move with an opposing shorter-period breakout, and a global state variable affects whether short-period re-entry signals are allowed after an exit.

The document is primarily a code demonstration of position calculation and maximum-position control, with a published one-year BTC spot backtest configuration but no performance results. Its stated sizing ratio is a risk budget per ATR movement, not a guarantee of maximum loss. The example also includes exchange-specific contract scaling and integer lot handling, so the sizing logic may not transfer directly across instruments. The source explicitly presents the model as illustrative and cautions against treating it as a ready-made trading recommendation.

Key ideas

• Short- and long-period high or low breakouts provide initial entry signals.
• Initial position size is scaled by account equity and ATR, with contract-specific adjustments.
• The strategy adds units at favorable price increments measured as fractions of ATR, up to a position cap.
• A two-ATR adverse move or an opposing shorter-period breakout can close exposure.
• The code demonstrates sizing and position controls but reports no backtest performance results.

Tags

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