Turtle-Style Breakouts with ATR Stops and Pyramided Entries

Summary

This long-only Turtle-inspired strategy enters when the close exceeds the prior period’s highest high over a configurable lookback, optionally requiring price to be above a simple moving average. It uses a shorter lookback’s prior lowest low as a channel exit. Position additions are allowed at fixed ATR increments above the last entry, subject to a configurable maximum number of entries.

Each entry’s quantity is calculated as a percentage of strategy equity divided by price. The script initializes an ATR-based stop on the first entry and trails it upward using the greater of the existing stop and a newly calculated stop. The excerpt ends during the sell logic, so the full exit implementation cannot be assessed. It supplies strategy mechanics and configurable parameters, but no market, backtest results, or evidence that the approach is profitable; costs and market-specific behavior also require evaluation.

Key ideas

• A long entry requires a close above the prior lookback high, with an optional moving-average trend filter.
• The strategy adds to a position after price advances by a fraction of ATR, up to a configured entry limit.
• Position size is based on a percentage of strategy equity divided by the current close.
• An ATR stop is initialized on entry and trailed upward as price and volatility change.
• The provided excerpt ends before the complete exit logic and contains no performance evidence.

Tags

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