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Turtle Breakout Donchian Channel Graded & Measured
Turtle Breakout — Donchian Channel, Graded & Edge-Measured
The classic Donchian channel read as the Turtle breakout system, with an honesty layer bolted on. Instead of just plotting a channel and asserting the breakout works, this engine forward-tests its own breaks and shows you — on the chart — where they actually pay and where they don't.
WHAT IT IS
A confirmed close beyond the prior N-bar high is a bullish break; beyond the prior N-bar low, a bearish one (classic turtle entry, default 20 bars). The trend line that is drawn and ridden is the turtle EXIT channel (default 10 bars) — the trailing stop. Every break is graded 0-5 on how decisive the breaking bar was, can be gated to trending conditions, and carries a dynamic entry / stop / target plan.
THE MEASUREMENT (why this is not just another Donchian script)
Every armed break is resolved past-only under a chosen exit model and scored in R, per grade, as a Wilson-floored win-rate and net R after costs — shown beside two baselines:
- A RANDOM-DIRECTION NULL: the same bars and the same exit, but a coin-flip direction. If a grade does not beat the null, its "edge" is just drift and payoff geometry.
- A FADE: the opposite trade. If fading earns more than taking the break, the signal is better inverted.
A break only earns trust when it beats the null AND clears zero after costs.
WHAT THE MEASUREMENT REVEALS — AND THE SCRIPT SHOWS IT
Across timeframes, LOW-timeframe breakouts (roughly 1-5m) tend to LOSE, and lose to the null — they get whipsawed, and fading pays more. The breakout edge appears on HIGHER timeframes (about 1h / 4h / 1D), where it turns net-positive and beats the null — consistent with the original Turtle being a higher-timeframe method. The GRADE rates how decisive the breaking bar looked but does NOT reliably predict the outcome, so treat it as context, not a quality score. Load the measured-edge table and read it on YOUR market and timeframe before trusting a setup, and prefer higher timeframes for the with-trend breakout.
ALSO INCLUDED
- A 9-timeframe alignment table: trend, fresh break, grade, and the channel level on each of 1m / 3m / 5m / 15m / 30m / 1h / 2h / 4h / 1D.
- A regime gate: Kaufman efficiency ratio and/or higher-TF alignment, so breaks arm only in a trend.
- A dynamic trade plan: entry, a trailing stop (the turtle exit channel or a chandelier-ATR), and R- or ATR-based targets.
- A trend ribbon, and EXP_* data-window outputs for multi-indicator setups.
HOW TO USE
Add it to a chart — ideally a higher timeframe. Keep the breaks that pass the strength filter and the regime gate. Open the measured-edge table (research toggle) and read the ALL row against the NULL row; switch the exit model and watch which one turns the entry edge into a positive net R. Let the table accumulate enough resolved breaks before leaning on any number.
LIMITATIONS
All measured statistics are IN-SAMPLE on the current chart's own history — they are context and a transparency tool, NOT a backtest, a forecast, or a promise of future performance. Breaks confirm on bar close; higher-timeframe values use closed bars only (no look-ahead). Research and education only; not investment advice.
CONCEPTS USED (operationalised here, not third-party code): Donchian channel (Richard Donchian), the Turtle breakout system (Dennis & Eckhardt), ATR and the Chandelier exit (Welles Wilder / Chuck LeBeau), the efficiency ratio (Perry Kaufman), triple-barrier labelling (in the spirit of Marcos Lopez de Prado), and the Wilson score interval. The grading, regime gate, 9-timeframe tally, ribbon and the per-grade edge measurement are this script's own synthesis.
The classic Donchian channel read as the Turtle breakout system, with an honesty layer bolted on. Instead of just plotting a channel and asserting the breakout works, this engine forward-tests its own breaks and shows you — on the chart — where they actually pay and where they don't.
WHAT IT IS
A confirmed close beyond the prior N-bar high is a bullish break; beyond the prior N-bar low, a bearish one (classic turtle entry, default 20 bars). The trend line that is drawn and ridden is the turtle EXIT channel (default 10 bars) — the trailing stop. Every break is graded 0-5 on how decisive the breaking bar was, can be gated to trending conditions, and carries a dynamic entry / stop / target plan.
THE MEASUREMENT (why this is not just another Donchian script)
Every armed break is resolved past-only under a chosen exit model and scored in R, per grade, as a Wilson-floored win-rate and net R after costs — shown beside two baselines:
- A RANDOM-DIRECTION NULL: the same bars and the same exit, but a coin-flip direction. If a grade does not beat the null, its "edge" is just drift and payoff geometry.
- A FADE: the opposite trade. If fading earns more than taking the break, the signal is better inverted.
A break only earns trust when it beats the null AND clears zero after costs.
WHAT THE MEASUREMENT REVEALS — AND THE SCRIPT SHOWS IT
Across timeframes, LOW-timeframe breakouts (roughly 1-5m) tend to LOSE, and lose to the null — they get whipsawed, and fading pays more. The breakout edge appears on HIGHER timeframes (about 1h / 4h / 1D), where it turns net-positive and beats the null — consistent with the original Turtle being a higher-timeframe method. The GRADE rates how decisive the breaking bar looked but does NOT reliably predict the outcome, so treat it as context, not a quality score. Load the measured-edge table and read it on YOUR market and timeframe before trusting a setup, and prefer higher timeframes for the with-trend breakout.
ALSO INCLUDED
- A 9-timeframe alignment table: trend, fresh break, grade, and the channel level on each of 1m / 3m / 5m / 15m / 30m / 1h / 2h / 4h / 1D.
- A regime gate: Kaufman efficiency ratio and/or higher-TF alignment, so breaks arm only in a trend.
- A dynamic trade plan: entry, a trailing stop (the turtle exit channel or a chandelier-ATR), and R- or ATR-based targets.
- A trend ribbon, and EXP_* data-window outputs for multi-indicator setups.
HOW TO USE
Add it to a chart — ideally a higher timeframe. Keep the breaks that pass the strength filter and the regime gate. Open the measured-edge table (research toggle) and read the ALL row against the NULL row; switch the exit model and watch which one turns the entry edge into a positive net R. Let the table accumulate enough resolved breaks before leaning on any number.
LIMITATIONS
All measured statistics are IN-SAMPLE on the current chart's own history — they are context and a transparency tool, NOT a backtest, a forecast, or a promise of future performance. Breaks confirm on bar close; higher-timeframe values use closed bars only (no look-ahead). Research and education only; not investment advice.
CONCEPTS USED (operationalised here, not third-party code): Donchian channel (Richard Donchian), the Turtle breakout system (Dennis & Eckhardt), ATR and the Chandelier exit (Welles Wilder / Chuck LeBeau), the efficiency ratio (Perry Kaufman), triple-barrier labelling (in the spirit of Marcos Lopez de Prado), and the Wilson score interval. The grading, regime gate, 9-timeframe tally, ribbon and the per-grade edge measurement are this script's own synthesis.
Sürüm Notları
MTF feature added for ease of visual refer
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, alım satım veya diğer türden tavsiye veya öneriler anlamına gelmez ve teşkil etmez. Kullanım Koşulları bölümünde daha fazlasını okuyun.
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, alım satım veya diğer türden tavsiye veya öneriler anlamına gelmez ve teşkil etmez. Kullanım Koşulları bölümünde daha fazlasını okuyun.