The short version. The Turtle trading rules are a complete, mechanical trend-following system: Donchian channel breakouts for entries, position size set by volatility (N), a new unit every half N while the trade works, a stop 2N away, and an exit on the opposite channel. Four layers of risk limits sit on top. This post goes through each rule as the 2003 "Original Turtle Trading Rules" PDF states it, with its own worked examples, and then lists the six places where the PDF leaves you to decide.

This is part 2 of 5. Part 1 covered the 1983 experiment. In my backtest on 26 Exness markets (2020 to 2026) these exact rules lost 57.7%; parts 3 and 4 show how I built the test and what came out of it.

What is N in the Turtle system?

N is the average daily range, and almost every other rule is written in units of it.

True range = max(High − Low, High − previous Close, previous Close − Low) N = (19 × previous N + today's true range) / 20

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That's a 20-day Wilder average…