Turtle Trading Breakouts, Exits, and Position Sizing

Summary

This document explains a trend-following approach that enters on breakouts of recent highs or lows and exits when price crosses a shorter-period opposing boundary. It describes two channel settings: a main system using 20-day entries and 10-day exits, and a failsafe system using 55-day entries and 20-day exits. It also describes an indicator variant that waits for a bar to close beyond the trendline before signaling a change, which can delay detection compared with a touch-based trigger.

The rules include conditional use of the main and failsafe signals, an initial stop two ATRs from entry, adding units as price advances, and reducing risk as account drawdown increases. The document presents these as Turtle rules but offers no performance data or independent evidence that they remain profitable. It also contains inconsistent attribution and some ambiguous wording around trade history and risk adjustment, so the settings should be treated as a described system rather than a validated recommendation.

Key ideas

• The system enters long or short after price breaks a multi-day high or low.
• A shorter-period opposing channel provides the exit signal.
• The described main and failsafe systems use different entry and exit periods.
• The rules combine ATR-based stops, staged additions, and drawdown-based risk reductions.
• A close-confirmed signal may reduce touch-triggered changes but arrives only after the bar closes.

Tags

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