Turtle Breakout 55 20 (Breakout)
The Turtle program's slower System 2: buys a breakout above the 55-bar high and exits on a drop below the 20-bar low or a stop 2 average true ranges below entry.
How It Works
- Track the previous 55-bar high, the previous 20-bar low, and the 20-bar average range.
- Buy when the close breaks above the 55-bar high — the Turtle program's slower System 2, which fires rarely and only on major moves.
- Exit on whichever comes first: the close falling below the 20-bar low, or a safety stop 2 average ranges below the entry price.
Worked example. Price closes at 108, clearing the previous 55-bar high of 107.5 with an average range of 1.5 — buy with a stop at 108 − 3 = 105. Because both windows are long, the trade only ends on a deep pullback below the 20-bar low — small dips don't shake it out.
The Math Behind The Indicators
Everything runs on closing prices of the traded timeframe: P is a close, Pt 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. These backtests run on closing prices, so each bar's range is the absolute close-to-close change, and the ATR is the average of the last N ranges. It sizes stops: a stop placed k ATRs away automatically adapts to how volatile the market currently is.
- \[\mathrm{ATR}_N = \dfrac{1}{N}\sum_{i=1}^{N} \left|P_{t-i+1} - P_{t-i}\right|\]
- Example: If the last three close-to-close moves were +2, −1 and +3, the ranges are 2, 1, 3 and the 3-bar ATR is 2. A stop 2 ATRs below an entry at 100 then sits at 96.