TurtleTrader
TurtleTrader is an Expert Advisor based on the classic Turtle Trading system developed by Richard Dennis and William Eckhardt. It enters long positions on breakouts above the Donchian Channel high and short positions on breakouts below the Donchian Channel low, using ATR-based position sizing and pyramiding. Exits are triggered when price breaks the opposite channel or when a fixed ATR-based stop loss is hit.
Open the interactive view (equity curve, symbol switch)Key facts
Backtest results (H1, about 1 year)
| Symbol | P&L | Annual | Max DD | Trades | Win rate | Sharpe | Recovery | Losing streak | Per trade | Status |
|---|---|---|---|---|---|---|---|---|---|---|
| EURUSD | 0.00% | 0.00% | 0.00% | 0 | — | — | — | — | — | Not convertible yet |
| GBPUSD | 0.00% | 0.00% | 0.00% | 0 | — | — | — | — | — | Not convertible yet |
| USDJPY | 0.00% | 0.00% | 0.00% | 0 | — | — | — | — | — | Not convertible yet |
| XAUUSD | 0.00% | 0.00% | 0.00% | 0 | — | — | — | — | — | Not convertible yet |
Why this EA never traded: no entry rule survived the conversion.
Converted from MQL5 to Python and run with the same rules for every EA. Positions use MT5 lot sizes (100,000 units per FX lot, 100 oz per gold lot) with 1:100 leverage, one order at a time, and a stop-out below 10% of the starting balance. Sharpe is computed from the equity curve. Results marked as unreliable are shown for completeness only.
Blow-up risk: No blow-up pattern found
- Can hold up to 4 positions at once
On its own this is not a typical blow-up pattern, and the account was not stopped out in our backtests. That is not a guarantee: any EA can lose money.
High: stopped out in our backtest, or martingale/grid sizing without a stop loss. Elevated: martingale or grid sizing with a stop loss, or several positions at once without a stop loss. What the label means and what we found →
Strategy analysis
This EA implements the classic Turtle Trading strategy, whose core concept is a breakout system based on the Donchian Channel. Entry conditions are: go long when price breaks above the N-day high, and go short when price breaks below the N-day low, typically using a 20-day channel for short-term entries and a 55-day channel for long-term entries. Exit conditions are: close long positions when price breaks below the 10-day low, close short positions when price breaks above the 10-day high, with a 2x ATR stop loss serving as a secondary protective exit. Position sizing uses ATR normalization, where each position's volatility risk is limited to a fixed percentage of account equity (typically 1%-2%), calculated as lots = (account equity × risk percentage) / (ATR × point value). Money management supports pyramiding — adding one unit each time price moves 0.5x ATR in the favorable direction, up to a maximum of 4 additional units, keeping total position risk manageable. The overall strategy emphasizes the trend-following philosophy of cutting losses short and letting profits run.
Strengths
- Based on the decades-proven classic Turtle Trading strategy with clear logic and solid theoretical foundation
- ATR-normalized position sizing links risk to market volatility, automatically adapting to different instruments and market conditions
- Pyramiding mechanism captures full trend moves while capping total risk through maximum unit limits
Weaknesses
- Trend-following strategy generates frequent false breakout losses in ranging markets, with potentially long drawdown periods
- Lacks a market regime filter (such as ADX or volatility screening), continuing to trade in non-trending conditions
- Fixed-parameter Donchian Channel cannot adapt to volatility characteristic differences across instruments and timeframes
Possible improvements
- Add a market regime filter (e.g., only trade when ADX>25) to reduce false breakout losses in ranging markets
- Introduce adaptive channel periods (e.g., dynamically adjusting N based on volatility) to improve applicability across instruments and timeframes
Risk assessment
Overall risk: Medium
- Trend-following strategy may incur consecutive stop losses in ranging markets, leading to significant drawdown
- Pyramiding can amplify losses in extreme market conditions; gap openings may cause stop loss slippage
Evaluation scores
Parameters
| Parameter | Default | Description |
|---|---|---|
ChannelPeriod | 20 | Donchian channel period for breakout entry |
ExitPeriod | 10 | Exit channel period for breakout exit |
ATRPeriod | 20 | ATR period for position sizing and stop loss |
RiskPercent | 1.0 | Risk percentage of account equity per trade |
MaxUnits | 4 | Maximum pyramid add-on units |
StopLossATRMultiplier | 2.0 | Stop loss distance as ATR multiplier |
PyramidATRMultiplier | 0.5 | Add-on interval as ATR multiplier |
Similar Breakout EAs
Backtests are historical simulations and do not guarantee future results. Not financial advice.