20 years old Turtles strategy still work!!

The 20 years old Turtles strategy indicator automates the iconic trend-following system designed to identify and execute breakout trades based on historical price extremes.

Usage

The Usage section describes how the script can be used to capture momentum in trending markets. This tool provides two distinct trading systems that operate simultaneously to provide comprehensive market coverage:

• Fast System (System 1): Designed for shorter-term breakouts. It initiates a position when the price exceeds a 20-period high or low and closes the position when the price crosses a 10-period extreme in the opposite direction.
• Slow System (System 2): Designed for major trend capture. It utilizes a 55-period lookback for entries and a 20-period lookback for exits, filtering out minor price fluctuations to stay in long-term moves.

Users can apply this strategy to various asset classes, such as commodities, forex, or equities, to automate the detection of price breakouts. The script generates visual entry and exit signals on the chart and supports pyramiding, allowing for multiple positions to be scaled into a single trend.

Details

The script is based on the concepts detailed in "Way of the Turtle" by Curtis Faith (2007). It utilizes the Donchian Channel methodology to define market volatility and trend direction.

The execution logic follows a non-repainting approach by evaluating the current price against the high or low of the previous bar's lookback period. This ensures that signals are confirmed based on closed historical data. The strategy tracks four specific price levels for each system:

1. Entry High: The highest price over the entry period.
2. Exit Low: The lowest price over the exit period (for longs).
3. Entry Low: The lowest price over the entry period (for shorts).
4. Exit High: The highest price over the exit period (for shorts).

Settings

• Enter Fast Length: Sets the lookback period (default 20) used to trigger entries for the Fast System.
• Exit Fast Length: Sets the lookback period (default 10) used to trigger exits for the Fast System.
• Enter Slow Length: Sets the lookback period (default 55) used to trigger entries for the Slow System.
• Exit Slow Length: Sets the lookback period (default 20) used to trigger exits for the Slow System.

FAQ

What is the primary advantage of using two different systems (Fast and Slow)?

The dual-system approach allows traders to capture different types of market volatility. The Fast system captures quick momentum shifts, while the Slow system ensures the trader remains positioned for massive, multi-month trends that might otherwise be exited too early by tighter parameters.

Can this strategy be used for short selling?

Yes, the script is bidirectional. It includes logic for both long entries (breaking above the highest high) and short entries (breaking below the lowest low), making it suitable for both bull and bear markets.

How can I access the 20 years old Turtles strategy?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.