Way of the turtle

Test Dates
The testing was performed using data from January 1996 through
June 2006 for all the systems.
The Systems
Let’s examine each system in greater detail before revealing the
testing results. 
ATR Channel Breakout
The ATR Channel Breakout system is a volatility channel system
that uses the average true range as the volatility measure. The chan-
nel is formed by adding 7 ATR to a 350-day moving average of the
closing prices for the channel top and subtracting 3 ATR from the
moving average for the channel bottom. A long trade is entered on
the open if the previous day’s close exceeded the top of the chan-
nel; a short trade is entered if the previous day’s close fell below the
bottom of the channel. Trades are exited when the close crosses
back through the moving average price.
A variation of the ATR Channel Breakout system was popular-
ized as the PGO (Pretty Good Oscillator) system by the trader Mark
136
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Way of the Turtle

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Johnson on Chuck LeBeau’s System Trader’s Club (www.
traderclub.com) forum. It is also a variant of the Bollinger Break-
out system discussed below. Figure 10-1 shows a graph of the
volatility channel for the ATR Channel Breakout system.
The middle line is the 350-day moving average, and the top line
is the top of the volatility channel formed by adding 7 ATR to the
moving average. 
Bollinger Breakout
This system was described by Chuck LeBeau and David Lucas in
their 1992 book Technical Traders Guide to Computer Analysis of
Turtle-Style Trading: Step by Step
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137
FC: Cattle-Feeder-CME
Jun 2
006
May 2006
Apr 200
6
Mar
2006
Feb
2006
97.5
100.0
102.5
105.0
107.5
110.0
112.5
115.0
117.5
95.0