Price & Market BehaviorCore researchResearchNew
ATR breakout
Updated dailyData needs: lowlong onlyshort onlylong short
In plain terms
Trade large channel breakouts relative to recent volatility. Exit at the opposite10-session extreme; decisions execute at the following open.
How it works
Internal volatility-normalized Donchian rule: a close beyond the prior20- or55-session high or low by1,1.5or2 times the completed-session20-day average true range. Exit when the close breaks the opposite prior10-session extreme. Each direction has independent state; fills occur at the next admissible open. No original Turtle replication claim.
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
See the source research for the original effect size; a modern replication on new data may be weaker.
Related families
Explore ATR breakout on alphactor.ai
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