#趋势交易策略 Turtle Trading Rules Analysis

The classic trend-following system Turtle Trading Rules include:

Trend Identification: Go long when the price breaks above the 20-day high, go short when it breaks below the 20-day low.

Position Management: Calculate position size based on ATR (Average True Range), typically 1 ATR = 1% account risk.

Exit Strategy: Close half of the position on a 10-day reversal breakout, close the entire position on a 20-day reversal breakout.

The advantage of this system lies in mechanical execution, but it requires enduring significant drawdowns (often reaching 20-30%). A modern improved version can incorporate volatility filtering conditions to reduce losses in choppy markets.