Turtle Swing Breakouts with Momentum Filters and ATR Stops

Summary

This Indian equity swing strategy adapts the Turtle trend-following approach with separate 20-day and 55-day Donchian breakout systems. It describes exits using shorter Donchian channels and adds an EMA trend filter, an RSI threshold, volume confirmation, and a rule that skips some System 1 entries after a profitable trade. ATR sets stop distance and the spacing for adding to positions; the stated defaults include a 1.5 ATR stop and half-ATR pyramid steps.

The document presents configurable rules and design changes, but the supplied excerpt ends partway through the inputs. It does not include the complete entry, exit, sizing logic, or backtest results, so the effectiveness of the filters and risk settings cannot be assessed from this text. The strategy is presented for Indian equities, and its stated settings should not be treated as evidence of performance in other markets or timeframes.

Key ideas

• The strategy enters on Donchian channel breakouts using separate shorter and longer lookbacks.
• An EMA trend filter, RSI threshold, and volume check are intended to qualify entries.
• Pyramiding is spaced by a fraction of ATR and can be restricted to periods when the EMA is rising.
• ATR-based stops and channel exits define risk and trade closure rules.
• The excerpt does not provide full implementation details or performance evidence.

Tags

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