Turtle trading strategy

🧩 1. Overview

1.1 Purpose

The purpose of this EA is to automate the Turtle Trading System, originally developed by Richard Dennis and William Eckhardt, using Donchian Channel breakouts and ATR-based volatility stops. The EA will execute entries, exits, and risk management automatically.

1.2 Scope

The EA should:

• Trade any MT5-compatible instrument (Forex, Crypto, Commodities, Indices, Synthetic Indices).

• Support backtesting and live trading.

• Implement both System 1 (short-term) and System 2 (long-term) Turtle breakout rules.

• Manage trade sizing, pyramiding, stop-loss, and trailing stops based on ATR volatility.

⚙️ 2. Functional Requirements

2.1 Entry Logic

• System 1 (Short-term):

  • Buy when price closes above the Donchian Channel high (N = 20).

  • Sell when price closes below the Donchian Channel low (N = 20).

• System 2 (Long-term):

  • Buy when price closes above the Donchian Channel high (N = 55).

  • Sell when price closes below the Donchian Channel low (N = 55).

• Filter Option:

  • Enable/disable each system independently.

  • Optionally confirm with trend filter (e.g., 200 EMA direction).

2.2 Exit Logic

• Exit all long positions when price closes below the Donchian Channel low (N = 10).

• Exit all short positions when price closes above the Donchian Channel high (N = 10).

• Optional trailing stop exits (ATR-based).

2.3 Stop Loss

• Each trade has a fixed stop loss equal to:

  Stop Distance = ATR(20) × ATR_Multiplier

• Default ATR_Multiplier = 2.0.

2.4 Position Sizing

• Risk-based sizing:

  
          
  
              
  
                  
  
              
          
  
  
          
  
              Position Size = (Account Balance × Risk%) / (Stop Distance)
  
          
      

• Default Risk% = 1% per trade.

• Minimum lot size enforced by broker specifications.

2.5 Pyramiding

• Allow multiple entries (up to 4) in the direction of profit.

• New positions are opened every +0.5 ATR move in favor of trade.

• Each added position has its own stop-loss based on most recent ATR.

2.6 Take Profit

• Optional Take Profit at user-defined R:R ratio (default = 2.0).

• If disabled, rely solely on Donchian or trailing exits.

2.7 Trailing Stop (optional)

• Dynamic trailing stop based on ATR(20) × Trailing Multiplier.

• Updates on every new candle or tick.

2.8 Filters (optional)

• Volatility Filter: Trade only when ATR > ATR_SMA(20).

• Session Filter: Trade only during selected hours (e.g., London/NY).

• Trend Filter: Only take trades aligned with a higher timeframe trend (EMA direction).

🧮 3. Parameters and Inputs

🧠 4. Non-Functional Requirements

4.1 Performance

• EA must execute in under 100 ms per tick.

• Backtest-compatible across all timeframes (1M–1D).

4.2 Compatibility

• Platform: MetaTrader 5.

• Accounts: Supports both Hedging and Netting modes.

• Broker Types: ECN, Market Maker, Deriv, Forex.com, etc.

4.3 Error Handling

• Check all indicator handles before use.

• Prevent duplicate entries.

• Handle “Off Quotes” and “Invalid Volume” gracefully with retry logic.

4.4 Logging

• Print trade entries, exits, and risk calculations to the Experts tab.

• Store key variables (ATR, Donchian levels, stops) for debugging.

📈 5. Example Trade Flow

1. Setup Detection

   • ATR(20) = 120 pips.

   • Donchian high = 1.1200; Donchian low = 1.1000.

   • Price closes at 1.1205 → Long breakout triggered.

2. Order Calculation

   • Stop Distance = ATR × 2.0 = 240 pips.

   • Risk = 1% of $10,000 = $100.

   • Lot size = 100 / 240 = 0.0416 ≈ 0.04 lots.

3. Execution

   • Buy 0.04 lots at 1.1205.

   • Stop Loss at 1.0965.

   • Take Profit at 1.1685 (2R).

4. Management

   • If price rises by 0.5 ATR, add 0.04 lots (pyramid #1).

   • If price closes below Donchian(10) low → Exit all longs.

🔒 6. Safety & Protections

• Equity stop: close all trades if drawdown exceeds MaxDrawdown% .

• Spread filter: disable new entries if spread > average × 2.

• News filter (optional): disable entries during major news events (via external calendar or user input).

• Slippage protection on order placement.

🧰 7. Deliverables

1. Source Code ( TurtleTrader.mq5 )

2. Compiled EA ( TurtleTrader.ex5 )

3. User Guide (parameters, setup, and backtest instructions)

4. Backtest Report (e.g., EURUSD and Boom1000 examples)

5. Optimization Template ( .set files)