Turtle-Style Breakout Entries with ATR Stops and Risk-Based Position Sizing

Summary

This trend-following system enters long when price exceeds the preceding N1-period high and short when it falls below the preceding N1-period low. The document gives a default N1 of 20 periods. It exits using either a stop set two ATRs from the recorded entry price or a reversal through the opposite N2-period extreme, with N2 defaulting to 10 periods. New entries are allowed only when there is no open position.

Position size is calculated from a fixed share of initial capital divided by ATR times the value per point; the stated default risk share is 1%. The supplied strategy excerpt also caps unit size at 10,000 and describes using prior-bar values to set the stop after entry. The approach aims to adapt exposure to volatility, but the document warns that range-bound markets can generate false breakouts and repeated losses. It also flags parameter sensitivity, slippage, transaction costs, price gaps, and drawdown risk. No backtest performance results are provided.

Key ideas

• Entry signals break the previous N1-period high or low, while N2-period extremes provide trend reversal exits.
• The stop distance is based on two ATRs from the recorded entry price.
• Position size scales with a stated account risk percentage and ATR-adjusted point value.
• Only one position may be open at a time, and the excerpt caps units at 10,000.
• The document describes risks from ranging markets, costs, parameter sensitivity, gaps, and consecutive losses, without reporting performance results.

Tags

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