Turtle Breakout (Breakout)

The classic Turtle rule: buys a breakout above the 20-bar high and exits on a drop below the 10-bar low or a stop 2 average true ranges below entry.

How It Works

1. Track the previous 20-bar high, the previous 10-bar low, and the 20-bar average range.
2. Buy when the close breaks above the 20-bar high — the classic Turtle trend entry.
3. Exit on whichever comes first: the close falling below the 10-bar low (the trend has rolled over), or a safety stop 2 average ranges below the entry price (the trade went wrong quickly).

Worked example. Price closes at 105, above the previous 20-bar high of 104.6, with an average bar range of 1.2 — buy with a safety stop at 105 − 2·1.2 = 102.6. The trend runs until a close under the rising 10-bar low (or a fall through the stop) ends the trade.

The Math Behind The Indicators

Everything runs on closing prices of the traded timeframe: P is a close, P_t today's close, and N counts bars — one bar is one candle of that timeframe, so 20 bars on a 1h chart is 20 hours.

Price Channel (Rolling High / Low)

The highest and lowest close over the previous N bars — the edges of the recent trading range. Closing above the channel top means price just beat every close in that window (a breakout); the channel bottom marks recent support.

\[\mathrm{Upper}_N = \max(P_{t-1}, \ldots, P_{t-N}), \quad \mathrm{Lower}_N = \min(P_{t-1}, \ldots, P_{t-N})\]

Example: If the previous 5 closes were 100, 103, 101, 102, 104, the channel spans 100 to 104. A close at 105 breaks above the top; a close at 99 breaks below the bottom.

Average Range (ATR)

How much price typically moves per bar. Each bar's true range is its own high-to-low span, widened if the market gapped from the previous close — so an overnight jump counts as movement even when the bar itself is small. The ATR averages the last N of them. It sizes stops: a stop placed k ATRs away automatically adapts to how volatile the market currently is.

\[\mathrm{TR}_t = \max\left(H_t - L_t,\ \lvert H_t - P_{t-1}\rvert,\ \lvert L_t - P_{t-1}\rvert\right), \quad \mathrm{ATR}_N = \dfrac{1}{N}\sum_{i=1}^{N} \mathrm{TR}_{t-i+1}\]

Example: A bar running from a low of 99 to a high of 102 after a previous close of 100 has a true range of 3 — the high-low span, since neither gap measure beats it. If the last three true ranges were 3, 1 and 2, the 3-bar ATR is 2, so a stop 2 ATRs below an entry at 100 sits at 96.

Example Chart

Real Data45/ 100Composite score

Metrics Per Trade

Final Metrics

Scores

Resampled Data49/ 100Composite score

Metrics Per Trade

Final Metrics

Scores