Richard Dennis & William Eckhardt (the Turtles)

1. The Original Turtle Trading Rules (OriginalTurtles.org) — rule document, 2003
   A PDF copy hosted by Oxford Strategic Trading; the whole document was read.

• FilterSystem 1 skip rule: ignore a 20-day breakout if the previous breakout in that market would have been a winner. A loser is one that moved 2N against the position before a 10-day exit. If a signal is skipped, still enter at the 55-day breakout as a fail-safe.
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• EntrySystem 1: enter when price exceeds by one tick the high (long) or low (short) of the preceding 20 days.
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• EntrySystem 2: the same with the preceding 55 days. Every System 2 breakout is taken, winner or not.
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• EntryTrade at the breakout price during the day; do not wait for the close or the next open. If the market opens through the breakout price, enter on the open.
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• EntryAdd one unit every ½ N after the previous fill, up to four units in one market. The interval is counted from the actual fill price, so slippage moves the next level.
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• StopInitial stop 2N from the entry (long: below, short: above). One N is 1% of equity, so the maximum risk of a trade is 2%.
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• StopWhen a unit is added, raise the stops of earlier units by ½ N, so the whole position sits 2N from the latest unit.
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• ExitSystem 1 exit: a 10-day low (long) or 10-day high (short), all units at once. System 2 exit: 20 days.
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• Size and riskMeasure volatility as N: the 20-day exponential average of True Range (what is now called ATR).
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• Size and riskOne unit = 1% of the account divided by (N × dollars per point), so a move of one N on one unit equals 1% of equity. Volatile markets get fewer contracts.
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• Size and riskPosition limits: 4 units in one market, 6 in closely correlated markets, 10 in loosely correlated ones, 12 in one direction in total.
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• DisciplineTake every signal. The document says most of a year’s profit may come from two or three big trades, and the Turtles who were dropped were those who failed to enter when the rules said so.
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• DisciplineDecide the exit point before entering. A stop is a non-negotiable exit: when price trades there, the position is closed, every time.
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• DisciplineThe document calls the exits the hardest part: waiting for a 10- or 20-day extreme can mean watching 20–40% or more of the open profit disappear.
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Often attributed to this trader, but not found in the sources above. Not listed as his or her rules.

• The exact list of traded markets and the order-execution tactics were not copied here; see chapters 2 and 7 of the document.

These are the rules as taught in the 1980s on futures. The document itself says rules are worthless if you do not follow them. Whether they would work today on other markets is not shown by the document.