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PZ Turtle Trading MT5

The Turtle Trading Indicator implements the original Dennis Richards and Bill Eckhart trading system, commonly known as The Turtle Trader. This trend following system relies on breakouts of historical highs and lows to take and close trades: it is the complete opposite to the "buy low and sell high" approach. The main rule is "Trade an N-day breakout and take profits when an M-day high or low is breached (N must me above M)".  

An Introduction

The Turtle Trader legend began with a bet between American multi-millionaire commodities trader, Richard Dennis and his business partner, William Eckhardt. Dennis believed that traders could be taught to be great; Eckhardt disagreed asserting that genetics were the determining factor and that skilled traders were born with an innate sense of timing and a gift for reading market trends. What transpired in 1983-1984 became one of the most famous experiments in trading history. Averaging 80% per year, the program was a success, showing that anyone with a good set of rules and sufficient funds could be a successful.

In mid-1983, Richard Dennis put an advertisement in the Wall Street Journal stating that he was seeking applicants to train in his proprietary trading concepts and that experience was unnecessary. In all he took on around 21 men and two women from diverse backgrounds. The group of traders were shoved into a large sparsely furnished room in downtown Chicago and for two weeks Dennis taught them the rudiments of futures trading. Almost every single one of them became a profitable trader, and made a little fortune in the years to come.

The Entry Strategy

The Turtles learned two breakout variants or "systems". System One (S1) used a 20-day price breakout for entry. However, the entry was filtered by a rule that was designed to increase the odds of catching a big trend, which states that a trading signal should be ignored if the last signal was profitable.

But this filter rule had a built-in problem. What if the Turtles skipped the entry breakout and that skipped breakout was the beginning of a huge and profitable trend that roared up or down? Not good to be on the sidelines with a market taking off!

If the Turtles skipped a System One 20-day breakout and the market kept trending, they could and would get back in at the System Two (S2) 55-day breakout. This fail-safe System Two breakout was how the Turtles kept from missing big trends that were filtered out.

The entry strategy using System Two is as follows:

  • Buy a 55-day breakout if we are not in the market;
  • Short a 55-day breakout if we are not in the market.

The entry strategy using System One is as follows:

  • Buy a 20-day breakouts if last S1 signal was a loss;
  • Short a 20-day breakouts if last S1 signal was a loss.

The Turtles calculated the stop-loss for all trades using the Average True Range of the last 30 days, a value which they called N. Initial stop-loss was always ATR(30) * 2, or in their words, two volatility units. Additionally, the Turtles would pile profits back into winning trades to maximize their winnings, commonly known as pyramiding. They could pyramid a maximum of 4 trades separated from each other by 1/2 volatility unit.

The Exit Strategy

The Turtles learned to exit their trades using breakouts in the opposite direction, which allowed them to ride very long trends.

The exit strategy using System Two is as follows:

  • Exit long positions if/when the price touches a 20-day low
  • Close shorts positions if/when the price touches a 20-day high

The exit strategy using System One is as follows:

  • Close long positions if/when the price touches 10-day low
  • Close short positions if/when the price touches a 10-day high

Money Management

The initial risk allocation for all trades was 2%. However, aggressive pyramiding of more and more units had a downside: if no big trend materialized, then those little losses from false break-outs would eat away even faster at the Turtles' limited capital.

How did Eckhardt teach the Turtles to handle losing streaks and protect capital? They cut back their unit sizes dramatically. When markets turned around, this preventive behavior of reducing units increased the likelihood of a quick recovery, getting back to making big money again.

The rules were simple. For every 10 percent in drawdown in their account, Turtles cut their trading unit risk by 20 percent. This of course applies for bigger numbers: the unit risk would be decreased by 80% with a 40% drawdown!


Arturo López Pérez, private investor and speculator, software engineer and founder of Point Zero Trading Solutions.
Thiago Ferreira
2014.06.17 06:32 

Ótimo indicator! Gostei muito e estarei estudando mais para implementar em minha estratégia. Mas, para ajudar a todos, acredito que também seria importante ter o sinal do SL inicial usando o ATR, sinais de entrada de pirâmides e com gerenciamento de risco. Com isso será um indicator completo!

Gennadiy Sidorov
2014.05.15 08:06 

User didn't leave any comment to the rating

Vadim Strelkov
2014.03.17 13:42 

User didn't leave any comment to the rating

2013.10.18 21:35 

Thank you for a very interesting indicator and strategy! Really like how indivator is implemented graphically. Is seen that created a professional. Be sure I will test and write a review on the results. I would venture even a real account.

Five stars!