Turtle Trading System
Dennis and Eckhardt’s taught breakout: System 1 (20-day entry / 10-day exit) and System 2 (55/20), ATR unit sizing, 2-ATR stops, and pyramiding.
Definition
System 1 trades 20-day breakouts with a skip-if-last-trade-won filter; System 2 takes every 55-day breakout. Size is 1% of equity per 1 ATR (the ‘unit’). Adds (pyramid) as the trend extends, with a hard 2-ATR stop from entry. Markets were a diversified futures list.
Why it matters
It proved a complete CTA — signal, size, stop, add — could be written on a page and taught. Most ‘Turtle’ products today change the parameters and keep the story.
Case
A full pyramid into a climax day: units 1–4 are on, the 2-ATR stop from the last add is tight, and a two-day reversal hands back a year of units. The stop is not optional folklore.
How to read it
Units, stop, and the skip rule. A Donchian without ATR sizing is not the Turtle system.