Donchian Turtle Breakout
Donchian Turtle Breakout is the classic "Turtle Trading" system: buy when price makes a new N-bar high, and get out either on a new (shorter) M-bar low or when a volatility-scaled trailing …
Donchian Turtle Breakout is the classic "Turtle Trading" system: buy when price makes a new N-bar high, and get out either on a new (shorter) M-bar low or when a volatility-scaled trailing stop is hit, whichever comes first. It's a pure trend-following breakout system with no oscillator or trend-strength filter at all - the breakout itself is the entire signal.
How it trades
| Ingredient | Meaning |
|---|---|
| Close vs HIGHEST(entryWindow) | Entry - price just made a new high over the last entryWindow bars |
| Close vs LOWEST(exitWindow) | Exit - price just made a new low over a shorter exitWindow bars |
| TRAILINGSTOP ATR * multiplier | A second, independent exit - a ratcheting, volatility-scaled stop |
Buy:
Close > HIGHEST(entryWindow)
Sell:
Close < LOWEST(exitWindow)
HIGHEST/LOWEST both scan the window immediately preceding the current candle (the current candle itself is excluded), so a breakout is measured against genuinely prior price action, not a level the candle itself just set.
The exit has two independent triggers, checked every candle: whichever of LOWEST(exitWindow) or TRAILINGSTOP fires first closes the trade. In the classic system the two exit windows are deliberately asymmetric - a much shorter lookback for the exit (20 bars) than the entry (55 bars) - so the strategy gives a new trend room to develop but reacts quickly once it starts to reverse.
When it works best
Works best in a market with long, sustained trends and infrequent whipsaws - a pure breakout system with no trend-strength or momentum filter will take every new-high breakout, including ones that immediately fail, so its win rate is typically low with a small number of large winning trends carrying the overall result (the classic "cut losses short, let winners run" profile of trend- following systems). In a choppy, range-bound market, expect a string of small losses as breakouts repeatedly fail and reverse quickly.
Backtest this strategy yourself
Build these rules on the Free plan, adjust them, and see how they would have traded.