Turtle Breakouts with ATR Trailing Stops and Pyramiding

Summary

This strategy combines a Turtle-style price breakout with a long-term trend filter, staged entries, and two exit mechanisms. It opens long positions when the close exceeds the highest high over the entry lookback and, by default, sits above a simple moving average. It can add entries after each further half-ATR rise, up to the configured limit, with each entry sized as a share of current equity.

Positions close when price falls below either the lowest low over the exit lookback or a trailing ATR stop. The stop is updated upward as price rises, so it does not loosen during a long trade. The document gives default parameter settings and source code, but no performance results or instrument-specific evidence. Position sizing is based on equity value per entry rather than a stated maximum loss at the stop, so the configured percentage should not be read as a defined risk percentage. The rules are long-only and may behave differently across markets and timeframes.

Key ideas

• A long entry requires a close above the prior lookback highs, optionally filtered by a long-term moving average.
• Additional entries are allowed after each half-ATR rise, subject to a maximum count.
• Each entry uses a fixed percentage of current equity to determine position value.
• An exit can be triggered by a channel breakdown or a rising ATR-based trailing stop.
• The document provides implementation details but no backtest evidence or market-specific validation.

Tags

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