Systems
Turtle Trading System
A price channel decides the entry, volatility decides the size, and a shorter channel decides the exit. Nothing about it is a feeling, and that was the entire point of the original experiment.
Watch the channel build a position
Set the entry and exit channel lengths, then step forward. A close beyond the entry channel starts a position, price advancing by half a volatility unit adds another unit up to four, and a close back through the exit channel closes the whole thing at once.
No open position. Waiting for a channel breakout.
How it works
- The entry rule is a clean breakout of a rolling price channel. A close above the highest high of the last N bars starts a long, a close below the lowest low of the last N bars starts a short. Twenty bars is the classic setting, but the rule doesn't care what the underlying market is.
- Position size and unit adds are driven by recent volatility, not conviction. Each unit's stop sits a fixed multiple of the market's own average true range away from its entry, and a new unit only gets added once price has moved a further half of that range in the position's favor, up to a capped number of units.
- The exit is a separate, shorter channel, not a fixed profit target. A close back through the low of a shorter lookback (for a long) closes the entire position at once, letting winners run as far as the trend does while still defining exactly where the trade ends.
- Every rule is mechanical on purpose. The original Turtles were deliberately given a fixed rule set with no room for discretionary judgment, the whole experiment was testing whether the rules themselves, followed exactly, could produce an edge independent of who was executing them.
Where this breaks
Choppy markets generate breakout after breakout that goes nowhere
A channel breakout system's entire edge depends on breakouts actually turning into trends. In a market that's genuinely range-bound rather than quietly building toward a move, price pokes through the channel, triggers an entry, and reverses back through the exit channel within a handful of bars, over and over. Each individual loss is small and clearly defined, but a long enough stretch of them in a row is exactly what this system looks like when it's failing, and it's indistinguishable in the moment from the early bars of a real trend that hasn't developed yet.