Turtle Swing Breakouts with RSI, Volume, and ATR Risk Controls

Summary

This long-only swing strategy adapts Turtle-style Donchian breakouts through two selectable systems: a shorter entry channel and a longer entry channel. Entry requires a close above the prior channel high, with optional filters for price above an exponential moving average, RSI above a threshold, and volume relative to its recent average. The shorter system also has a filter that skips an entry after the previous closed trade was profitable.

Initial stops use a multiple of ATR, and unit size is calculated from a user-entered portfolio value and risk percentage. The strategy can add units at ATR-based price intervals, subject to an EMA slope guard, and exits through shorter Donchian lows or a close below the EMA. The script specifies Indian equities and includes assumed commission and slippage settings, but provides no reported backtest evidence. Its sizing, trade tracking, and overlapping system exits should be checked against the intended instrument and execution model before interpreting results.

Key ideas

• Two Donchian channel systems offer different breakout lookbacks and exit channels.
• Optional EMA, RSI, and volume filters qualify long entries.
• ATR-based stops and portfolio-risk inputs determine a calculated unit size.
• Pyramiding adds units at ATR-based intervals when the EMA slope condition permits.
• The source gives configurable rules and cost assumptions but no performance results.

Tags

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