Turtle Soup: Trading Failed 20-Day Breakouts Against the Trend
Summary
Turtle Soup is presented as a short-term countertrend response to the Turtle trend-following method. Rather than entering in the direction of a 20-day high or low breakout, the strategy seeks to benefit when such breakouts fail. The rationale is that trend systems can endure extended losing periods and drawdowns, while crowded breakout levels may attract false moves that reverse.
The supplied implementation measures average true range and recent 20-bar highs and lows. It opens long positions near the 20-bar low and shorts near the 20-bar high, adds units as price moves favorably by a fraction of ATR, and assigns each unit ATR-based stop and target levels. It also includes exits tied to 10-bar extremes. The document gives no performance data, and its general account of failed breakouts is not evidence of an edge. Countertrend entries can lose when breakouts persist; the implementation is exchange-specific and includes operational assumptions that may affect live execution.
Key ideas
- The strategy reverses the usual direction of 20-day breakout entries, seeking failed breakouts near recent highs and lows.
- ATR sets per-unit stop and target distances and helps determine when to add to a position.
- The implementation also exits positions at shorter-period price extremes.
- Persistent trends can make countertrend trades lose, and the document supplies no performance evidence.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.