Turtle Trading Rules: Volatility Sizing, Breakouts, and Trade Management

Summary

This automated trading system implements the principal components of the Original Turtle rules. It sizes positions according to market volatility, enters on breakouts of fast or slow Donchian channels, and skips a later signal after a successful breakout. It can add units at volatility-based intervals, place and adjust stop orders, and exit on a fast-channel breakout. Alternative exits include a Parabolic SAR trailing system or a take-profit level.

The description identifies configurable channel ranges, risk per position, a cap on units per symbol, and ATR-based intervals for adding positions and setting stops or targets. These details explain the system’s structure and risk controls, but the document offers no backtest, performance results, or parameter recommendations. It is an overview of an EA implementation rather than a full specification of the historical Turtle rules, so users would need to validate its behavior and assumptions before relying on it.

Key ideas

• Position size is adjusted according to current market volatility.
• Entries use breakouts of fast or slow Donchian channels.
• The system can skip a subsequent breakout signal after a successful signal.
• It can add units at ATR-based intervals and manage stops or exits through channel breaks, Parabolic SAR, or take profit.
• The description gives no backtest results or recommended parameter values.

Tags

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