New edge proposed: turtle_traders_20day_donchian_breakout_pullback_continuation — E8 Intelligence Research

{ "name": "turtle_traders_20day_donchian_breakout_pullback_continuation", "source": "Richard Dennis & William Eckhardt Turtle Traders (Dennis-Eckhardt breakout system, published in 'The Complete TurtleTrader' by Michael Covel and Curtis Faith's 'Way of the Turtle')", "type": "entry_engine", "rule": "When price closes above the prior 20-bar Donchian high by any amount, and within the next 3 bars price pulls back to retest the broken 20-bar high (low touches within 0.10 ATR of that level) and then closes back above it, enter long on that reclaim close; mirror for shorts below prior 20-bar low.", "pseudocode": "hh = rolling_max(high, 20)[-1]\nll = rolling_min(low, 20)[-1]\nbrk_up = close > hh_prev and bars_since(close>hh_prev) <= 3\nretest_up = low <= hh_prev + 0.10*ATR14\nreclaim_up = close > hh_prev and retest_up[recent]\nif brk_up and retest_up and reclaim_up: enter_long\nmirror: brk_dn/retest_dn/reclaim_dn -> enter_short", "why_it_works": "Donchian breakouts mark genuine range e

Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com