Entry
- System 1 (short): long when price closes above the 20-day high; short below the 20-day low
- System 2 (long): long when price closes above the 55-day high
- Pyramiding: an additional unit every +0.5×ATR (max 4)
- Risk per trade: 2×ATR × unit size
Exit
- Stop at 2×ATR (N) against entry
- System 1: exit on a 10-day counter-breakout
- System 2: exit on a 20-day counter-breakout
| Name | Typ. value | Description |
|---|---|---|
| entry_period | 20 or 55 | Lookback for the breakout level |
| exit_period | 10 or 20 | Shorter channel for the exit |
| atr_period | 20 | N calculation (True Range average) |
| unit_risk_pct | 1-2% | Risk per unit on the account |
Pros
- One of the best-documented mechanical approaches
- Clear rules, no discretion needed — ideal for bots
- ATR sizing is standard today
- Profitable across commodities/FX/crypto historically
Cons
- Low win rate — psychologically demanding
- Many false breakouts in ranges
- Weaker since the 2000s in some markets (crowded)
- Barely works on individual stocks
This is what the strategy looks like on real BTC 4h candles — exactly the configuration deployed on Wallet 1 (donchian 20 + adx_rising + ATR trailing 1×/3× + partial TP), all trades from a real live-sim backtest 2025-2026. Interactive: zoom/scroll, click a trade in the list → the chart jumps to it, dotted terms explain themselves on hover. Open in fullscreen
The story
In 1983, Richard Dennis (then one of Chicago's best-known commodity traders) started a bet with his partner William Eckhardt: trading rules are teachable. He recruited 23 beginners with no prior knowledge, taught them his system in two weeks, and gave each real capital. Result: the 'Turtles' together made over $175 million in profit in 4 years.
The system was kept secret into the 1990s and only made public by ex-Turtle Curtis Faith.
The rules
System 1 (short)
- Long: price closes above the high of the last 20 days
- Exit: price closes below the low of the last 10 days (or 2N stop)
- Skip: if the previous signal would have been profitable, skip (anti-whipsaw)
System 2 (long)
- Long: price closes above the high of the last 55 days
- Exit: price closes below the low of the last 20 days
- No skip rule
ATR-based sizing
- N = 20-day ATR of the asset
- Unit = 1% of the account / N (in contracts)
- Maximum 4 units per market; add every +0.5N
- Stop: always 2N against the average entry price
Why it works
The actual edge lies not in the breakout signal but in risk management:
- Win rate only ~38% — most trades are small losses
- But: the few winners run 5-20× as far as the losers
- Pyramiding turns medium winners into large ones
- ATR sizing ensures consistent risk-per-trade across different vol regimes
Modern relevance
Donchian breakouts still work today, but weaker on stocks (too many whipsaws in single names), still strong on commodities and crypto. A typical modernization: an additional trend filter (e.g. only long breakouts when above the 200-MA) to reduce sideways false signals.
Relevance for Botty
Botty trades BTC perp intraday. A Donchian breakout on 4h or daily would be a natural add-on: simple, mechanical, ATR-stop-compatible with Botty's existing risk infrastructure. The challenge: position holding time with the 55-day system is weeks long, which does not fit Botty's current intraday loop — a 20-day system on 1h bars would be more practical.