Turtle-Style Breakouts with ATR Risk Sizing and Pyramiding

Summary

Despite the document title referring to selling, the supplied script describes a two-sided Turtle-style trend-following system. It enters long after a close crosses above the prior 55-period high, or short after crossing below the prior 55-period low. Positions exit on a cross through the opposite 20-period channel boundary. ATR estimates volatility, and unit size is calculated from account equity, a chosen risk fraction, and dollar volatility.

The strategy can add units as price moves favorably by configured ATR increments, up to a maximum, and can place a stop a selected ATR distance from price. The script supplies parameters for entry and exit lookbacks, risk, unit expansion, and stops, but the excerpt contains no backtest settings or results. It also does not show a detailed portfolio or contract-sizing validation; actual risk can differ with gaps, instrument specifications, and execution. The code should therefore be treated as a rule specification rather than evidence of performance.

Key ideas

• The system enters on breakouts beyond prior rolling highs or lows and exits through shorter opposing channels.
• ATR-based dollar volatility is used to calculate an initial position unit from account equity and a risk fraction.
• Additional units are added as a position moves favorably, up to a configurable maximum.
• Optional stops are placed at a multiple of ATR from the latest entry level.
• The document provides no backtest evidence, and realized risk can differ from the sizing estimate.

Tags

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