Way of the turtle

Figure 10-1
ATR Channel Breakout System
Copyright 2006 Trading Blox, LLC. All rights reserved worldwide.

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the Futures Markets (using different numbers for the days in the
moving average and the standard deviations for the channel width).
A Bollinger band is a volatility channel that was invented by John
Bollinger. The Bollinger band for this system is formed by adding
and subtracting 2.5 standard deviations of the close to a 350-day
moving average. A long trade is entered on the open if the previ-
ous day’s close exceeded the top of the channel; a short trade is
entered if the previous day’s close fell below the bottom of the chan-
nel. Trades are exited when the close crosses back through the mov-
ing average price. Figure 10-2 shows a graph of the volatility
channel for the Bollinger Breakout system.
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Way of the Turtle
SI: Silver-COMEX
Apr 20
06
Mar 2006
Feb 200
6
Jan 2006
Dec 2005
200
5
800
900
1000
1100
1200
1300
1400
1500 
700
Figure 10-2
Bollinger Breakout System
Copyright 2006 Trading Blox, LLC. All rights reserved worldwide.

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Donchian Trend
This Donchian Trend system, which was described in Chapter 5, is
a simplified version of the system we used as Turtles. It uses a 20-day
breakout for entry and a 10-day breakout for exits and includes a 350-
day/25-day exponential moving average trend filter. Trades are taken
only in the direction indicated by the faster moving average. If the
25-day moving average is above the 350-day average, only longs may
be taken; if the 25-day moving average is below the 350-day average,
only shorts may be taken. The system also uses a 2-ATR stop just as
the original Turtle system did. Figure 10-3 shows the breakout levels
and moving averages for the Donchian Trend system.
Turtle-Style Trading: Step by Step
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