The original Turtle trading system rule: buy on breakouts above the 20-day high, sell below the 20-day low. Position size based on ATR (1 unit = 1% account risk per N, where N = 20-day ATR). Rigorous trend-following with mechanical risk management.
Indicators Used
Donchian ChannelATR
Rules
📈 Long Breakout (System 1)
- Monitor 20-day Donchian Channel
- Enter long on break above 20-day high
- Position size: 1% account risk / (2 × 20-day ATR × contract value)
- Stop: 2× ATR below entry (N-based stop)
- Add pyramid units: every ½ N move in favor (max 4 units)
- Exit: break below 10-day Donchian low (trailing exit)
📉 Short Breakdown (System 1)
- Enter short on break below 20-day low
- Position size: same N-based formula
- Stop: 2× ATR above entry
- Pyramid on ½ N favorable moves
- Exit: break above 10-day Donchian high
🚫 Rule Filter (Original Turtles)
- Skip entries if prior signal was a winning trade (avoid over-participation)
- System 2 variant: use 55-day breakout (always take these, no skip rule)
- Maximum concurrent units: 4 per market, 12 per highly-correlated group
⚙️ Configuration
- // Turtle System 1 Config
- Entry: 20-day Donchian breakout
- Exit: 10-day Donchian reverse
- Position size: 1% risk / (2 × ATR)
- Pyramid: +1 unit per ½ N favorable
- Max units: 4 per market
20-day
Breakout
10-day
Exit
N=ATR20
Risk Unit
💡 Pro Tip
The original Turtles traded diversified futures baskets. Currencies, grains, metals, energies, bonds. The edge came from capturing occasional massive trends across many uncorrelated markets. Running this on a single market (like BTC alone) sacrifices the diversification that made the system work.