Turtle trading system explained
The Donchian Breakout trading system rules and explanations further below is explained classic trend following system. As such, we included it in our State of Trend Following reportwhich aims to establish a benchmark to track the generic performance of trend following as a trading strategy. The portfolio is global, diversified and balanced over the main sectors. Trading publish updates to the report every month, including that of the Donchian Breakout trading system. The Donchian Breakout Trading System is based on the Turtle system. It uses the Turtle logic, except it is single unit, does not use the Last Trade is Winner rule, does not use correlations, and uses a MACD Portfolio Manager to filter trades. The Donchian System trades on breakouts similar to a Donchian Dual Channel system. There are two breakout figures, a longer breakout for entry, and a shorter breakout for exit. The Donchian system explained a stop based on the Average True Range ATR. Note that the Turtle concept of N has been replaced by the more common and equivalent term Average True Range ATR. A trade is entered when the price hits the high or the low of the preceding X-days. If set to zero, this parameter has no effect. If Entry Offset in ATR is set to 1. Either a positive or negative value can be specified for this parameter. A positive value effectively delays entry until the specified point after the breakout threshold chosen; a negative value would enter before the breakout threshold chosen. This parameter defines the distance from the entry price to the initial stop, in terms of ATR. This system system default uses the order entry price, not the fill price, as a basis of the stop price. Since ATR is a measure of daily volatility and the Turtle System stops are based on ATR, this means that the Donchian System equalizes the position size across the various markets based on volatility. According to the original Turtle Turtle, long positions were stopped out if price fell 2 ATR from the entry price. Conversely, short positions were stopped out if the price rose 2 ATR from the entry price. Once set, it does not vary throughout the course of the trade. Note that trades are liquidated when price hits either the Exit Breakout, Entry Breakout for the opposite direction, or the Stop in ATR, whichever is closest to the price at the time. Trades in progress are exited when the price hits the high or the low of the preceding X-days. This concept is the identical to Entry Breakout, but the logic is reversed: Long trades are exited when price hits the X-day low, and short trades are exited when the price hits the X-day low. The Exit Breakout moves up trading down with price. It protects against adverse price excursions, and also serves as a trailing stop that acts to lock in a profit when the trend reverses. These options can be enabled or disabled with the Hold Initial Stops and Use Reversal Exit parameters. If the initial stop is held, then the initial stop price will be used to exit during the trade. If trading the reversal exit, then explained trade will be exited if the price hits the entry breakout for the opposite direction. If Exit Offset in ATR is set to 1. A positive value effectively delays exit until the specified point after the breakout threshold chosen; a negative value would exit before turtle breakout threshold chosen. Defined the number of days for the ATR calculation. This is an exponential moving average of the True Range. The MACD itself explained the Short Moving Average minus the Long Moving Average. The turtle will allow Long trades when the MACD is greater than zero and allow Short trades when the MACD is less than zero. We can provide you with a customized version of this system to suit your trading objectives. Get Your Custom Simulation Report Alternative Systems In addition to the public trading systems, we offer to our clients several proprietary trading systemswith strategies ranging from long-term trend following to short-term mean-reversion. We also provide full execution services for a fully automated strategy trading solution. Please click on the picture below to see our trading systems performance. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is system to achieve profits or losses similar to those shown. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to explained implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and system of which system adversely affect actual trading results. Trading Global Markets Trading Platforms Futures Margins Managed Managed Futures Trading Systems CTA Services Our Company Blog Contact. Donchian Breakout Trading System The Donchian Breakout trading system rules and explanations further below is a classic trend following system. Donchian Breakout System Explained The Donchian Breakout Trading System is based on the Turtle system. Entry Breakout days A trade is entered when the price hits the high or the low of the preceding X-days. Entry Offset ATR If set to zero, this parameter has no effect. Stop ATR This parameter defines the distance from the entry price to the initial stop, in terms of ATR. Exit Breakout days Trades in progress are exited when the price hits the high or the low of the preceding X-days. Exit Offset ATR If set to zero, this parameter has no effect. ATR days Defined the number of days for the ATR calculation. MACD Long Average days This is the number of days for the long moving average portion turtle the MACD indicator. MACD Trading Average days This is the number of days for the short moving average portion of the MACD indicator. Money Manager This system uses the Fixed System Money Manager Turtle Custom Version of this System We can provide you with a customized version of trading system to suit your trading objectives. Get Your Custom Simulation Report. Futures trading involves a substantial risk of loss and is not suitable for all investors. Past performance is not indicative of future results.
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