Strategies

Myquant TurtleStrategy: Frozen Startup Channels with Basket-Wide Liquidation on Binance Spot

Outcome: Abandoned

MyquantFrozenTurtleSpotBasket

Outcome Summary

The strategy attempted frozen-channel breakouts on a DOT/LINK/LTC Binance Spot basket with basket-wide liquidation. After one iteration, it was abandoned because required LINK trade ticks were unavailable locally and operator policy barred bulk historical backfill. No backtest or optimization results were available, leaving its trading merit unevaluated.

Strategy report

Hypothesis

Faithful signal-rule port of Myquant's Apache-2.0 TurtleStrategy at commit 17595e6bf4a118e1fa87c90bfb0fd78afa69a60b. Source: https://github.com/myquant/strategy/blob/17595e6bf4a118e1fa87c90bfb0fd78afa69a60b/Turtle/python/turtle.py. Trade a fixed DOT/LINK/LTC Binance Spot basket using trade ticks and daily bars for initialization. Preserve the actual code rather than conventional Turtle rules: initialize each instrument's high and low once from preceding daily bars, never roll those thresholds, enter long above its frozen high, and liquidate all selected holdings when any selected instrument trades below its own frozen low. The Python source supplies no default for period, csv_file or buy_amount; its companion configuration could not be retrieved. Therefore period=20 and the chosen basket are explicitly platform selections, not verified original defaults. Preserve the source's hop fallback of 0.1 quote-currency units. Replace CSV cash amounts and 100-share stock lots with equity-relative budgets and exchange quantity increments. Entry remains a buy limit at last trade price plus hop, not a guaranteed fill at that price. No ATR, pyramiding, rolling Donchian channel, trailing stop, profit target or calendar rebalance is added. Historical initialization uses only completed daily bars before each evaluation window; thresholds then remain frozen throughout that window.

A submitted exact-rule strategy must be tested without replacing its unusual rules with a more familiar Turtle system. This basket preserves both frozen initialization thresholds and cross-instrument liquidation, distinguishing it from the failed Hyperliquid Turtle Whipsaw adaptation. Binance Spot is appropriate for its unleveraged long-only execution and provides trade-tick data without Hyperliquid's short candle-history limitation. The multi-instrument scope and underrepresented spot venue improve diversity, although faithful reproduction necessarily adds to the overrepresented long-only direction. corpus_concentration is empty, so recent symbol or timeframe shares cannot be verified. No performance pre-study was conducted.

data_unavailable: events:trade:LINKUSDT.BINANCE_SPOT cannot be obtained (operator policy): Operator decision 2026-10-08: no bulk historical tick backfill; section 3C of operator-approved Claude handoff 2026-10-17 specifically authorizes data-close (operator_policy) for this run. This is a collection policy limitation, not proof that the exchange never published the data. Previously retained audit (2026-10-19): LINKUSDT.BINANCE_SPOT trade events: none stored for 2020-08-24 22:16:32.871865+00:00 to 2026-10-19 10:16:53.993620+00:00; the catalog holds none. Historical trade events are not collected on demand.. This closes the run for missing data; it says nothing about the strategy.

Implementation

Faithful port of Myquant's TurtleStrategy on a DOT/LINK/LTC Binance Spot basket. At the first trade tick, each instrument's high and low are frozen from its last 20 completed daily bars and never rolled. Any trade tick strictly above an instrument's frozen high, with no position and no pending entry on it, sends a GTC buy limit at last trade + hop (0.1 quote units) sized to 10% of equity. Any trade tick strictly below ANY instrument's frozen low sends market closes for every held basket position.

Translates on_tick one-for-one into on_trade_tick. Thresholds come from get_highest_lowest_price (max high and min low of the last `period` daily bars), computed once and frozen, as in __init_data__. The entry branch (price > high, no long held, open_long at last + hop) and the elif liquidation branch (price < low closes every basket position at market, the source's close_long price 0) keep the source's order. Daily bars only feed the initialization window, and calculate_signal reports the primary close's position in its channel as a diagnostic. should_enter/should_exit return None/False because the source trades on ticks only. Frozen thresholds are kept in string-keyed scalar dicts, so they survive restarts. Data check: trade ticks exist in the catalog only for LTC (about 30 days); DOT and LINK spot ticks rely on the pipeline's on-demand aggTrades collection, which covers the last 30 days. Frozen 20-day channels from daily bars are breached upward and downward in the September 2026 tick window for all three coins, so both branches can be reached.

Outcome Summary

Confirm required historical tick availability and collection-policy compatibility before pursuing a tick-driven strategy.

Required LINKUSDT.BINANCE_SPOT trade ticks were absent from the catalog, and operator policy prohibited bulk historical tick backfill. The closure reflected a data limitation, not strategy performance.

Trade a long-only DOT/LINK/LTC Binance Spot basket using frozen startup channels, buying tick breakouts and liquidating all holdings when any instrument breached its frozen low.

No backtest metrics were available; optimization and later reviews were not reached.

Analysis

TurtleStrategy

Analysis

turtle.py

Backtest and paper results are hypothetical. Trading involves risk of loss.