2020issue C0218-21
Constructing Turtle-style dual Donchian trend-bands
Two nested Donchian windows are built as trend-bands and then compared as a channel-gap-signal that may buy, sell, or stay blank. Editorial reading: a Turtle-style long, short, or stand-aside decision is finished only after those gaps are comparable, and the same workbook must still fail in the open when a news-event-hazard ends the trend.
- A turtle-trading method can be assembled as a reusable spreadsheet template for trend-following signals, while money-management rules stay outside that template.
- Slow and fast trend-bands use separate variable-range-lookback settings, then feed a channel-gap-signal that can also return a blank abstention.
- The same trend-band construction is illustrated on daily series labeled SPY, QQQ, BA, CSC, HAL, and PG.
- A news-event-hazard can end a measured trend abruptly, after which diversification and money-management remain the user's design rather than part of the signal workbook.
A reusable turtle-trading template
A turtle-trading method is framed as a rule-based trend-following system that can be assembled as a reusable spreadsheet template. Its money-management rules are left outside that template.
Editorial: TradersWeek treats the two nested Donchian windows as a construction bench. A Turtle-style long, short, or stand-aside decision is finished only when it falls out of comparable channel gaps. The same workbook must still fail honestly when a news-event-hazard ends the trend.
Price block and variable-range-lookback
Construction starts from 100 days of historical price fields placed in a contiguous five-column block so later range formulas have a complete sample to scan.
A slower pair of trend-bands follows a donchian-breakout construction: a rolling maximum of highs and a rolling minimum of lows. The variable-range-lookback is set to 5 in the worked example and then copied through the rest of the sample.
A faster pair uses the same high-max and low-min construction with a separate variable-range-lookback set to 2 in the worked example. The two speeds remain distinct parameters rather than a single shared window.
From trend-bands to a channel-gap-signal
Signal inputs are the slow high band minus the fast high band and the fast low band minus the slow low band. Those distances are the comparable channel gaps in this workbook.
A buy label is written when the low-band difference exceeds the high-band difference. A sell label is written when that inequality reverses. Both formulas can return a blank cell so the procedure can abstain. That buy, sell, or blank label is the channel-gap-signal.
Illustrated daily series
The same trend-band construction is illustrated on daily series labeled SPY, QQQ, BA, CSC, HAL, and PG. The archive uses those labels to show the workbook repeating, not to rank the series.
When a news-event-hazard ends the trend
Unanticipated news is named as a primary hazard for trend-following models because it can end a trend abruptly. Monthly SPY and IBM band charts are used as examples of that break.
After a news-driven trend disruption, diversification and money-management design are assigned to the system user rather than encoded in the signal workbook. Editorial: the template is still doing its job when the channel-gap-signal cannot keep a broken trend intact.
All readings on this track · 6 readings
- 1992Turtle trading as one testable Donchian breakout procedure
- 2001Hourly Donchian and Turtle rules locked after one walk-forward window
- 2001Critiquing Turtle trend following as a drawdown budget
- 2010Evaluate Turtle-style bands as one mechanical procedure
- 2012Quiet-tape cycle clocks for index futures
- 2020Constructing Turtle-style dual Donchian trend-bands