Donchian Breakout Strategy

📈 Donchian Breakout Strategy (Inspired by Way of the Turtle)

This strategy is a modern adaptation of the legendary Turtle Trading system as taught in Way of the Turtle by Curtis Faith — re-engineered for the crypto market’s volatility, 24/7 nature, and frequent fakeouts.

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🐢 Original Inspiration

The original Turtle system, created by Richard Dennis and William Eckhardt, used:
• Breakouts of Donchian Channels (20-day for entry, 10-day for exit)
• Volatility-based position sizing using ATR (N)
• Simple rules, big trend exposure, and pyramiding to grow winners

It was built for futures and commodities, trading daily bars, assuming stable trading hours and regulated markets.

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🚀 What’s Different in This Strategy?

✅ Optimized for Crypto
• Adapts to constant volatility and price manipulation common in crypto
• Adds commission modeling for realistic results (0.045% default)

✅ Improved Entry Filtering
• Uses EMA filter to align with trend direction
• Adds RSI momentum check to avoid early or weak breakouts
• Optional volatility and volume filters to reduce false signals

✅ Smarter Exits
• ATR-based volatility stop loss, not just Donchian reversal
• Avoids pyramiding to reduce risk from sudden reversals

✅ Backtest-Friendly
• Default backtest window starts from 2025-01-01
• Fully configurable: long/short toggle, filter control, stop loss multiplier

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🧪 Use Case
• Best on trending coins with strong directional moves
• Avoids chop via filters, preserving capital
• Can be tuned for aggressive or conservative setups with just a few tweaks