Thinking about this (and in terms of the general Turtle approach) it seems to me that the "minimum hit" you are going to take on exit is always likely to be at least 1 ATR if you exit on some signal that says a price is outside "the nosie", 2 ATR if you get stopped out by a risk control stop (as opposed to a "chosen" exit) or, even if you use some form of breakout exit (in the classic Turtle mould, say a 10 day or 20 day breakout) you will also take a hit of roughly this size - whether it be an "instant" breakout which is big, or more likely in my experience (in forex markets), the Chinese death by 1,000 cuts breakout.
Just on the logic rather than heavy back testing (which I am wary of because of curve fitting - see Kaufman, P. and numerous others), this is likely to be about 10% - 15% of the gross (i.e. before risk) profit.
If, as I have read in various places, even most strong trends do not last more than around (this is rule of thumb, not precision) 10 ATR then it is possible as a trade advances to figure roughly what might be left on the table versus what you lose by exiting. That is of course not classic turtle but seems to make sense - i.e. once the trade gets to the point where the certainty equivalent of what might be made by staying in is slightly less than the hit you take getting out, then get out.
I wonder if others have had a go at this type of logic.....
B
![Rolling Eyes :roll:](./images/smilies/icon_rolleyes.gif)