Turtle-Style Breakout Entries, ATR Sizing, and Pyramiding

Summary

This long and short trend-following strategy enters when price crosses beyond the previous bar's 55-period high or low, then exits through a 20-period opposite-side breakout. It estimates volatility with ATR and sizes each unit from account equity, a chosen risk fraction, and dollar volatility. In a favorable move, it adds units at intervals measured in ATR; optional stops are placed using an ATR multiple.

The script includes configurable periods, unit limits, stop settings, plots, an information table, and alerts. The accompanying description characterizes it as a directional momentum system, but supplies no backtest results or market-specific evidence. Its code's settings and formulas are a template rather than proof of performance; actual behavior depends on the instrument, data, and execution assumptions. The advertised stop and sizing controls also do not establish a fixed realized loss, especially when prices gap or execution differs from the assumed stop price.

Key ideas

• The strategy uses a longer lookback breakout for entries and a shorter lookback breakout for exits.
• ATR-based dollar volatility determines the calculated size of each trading unit.
• The system can add to winning positions at price intervals tied to ATR, subject to a unit cap.
• Optional stop levels use an ATR multiple, while the strategy can trade both long and short.
• The document reports no test results, so it does not establish the strategy's profitability or risk in practice.

Tags

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