Turtle System

١٧ يوليو ٢٠١٩

First pinescript strategy I've ever written so still learning what is possible.

This strategy is based on the famous turtle system and tried to stay true
to the rules within the confines of what pinescript will allow me to do.

Features:
Green lines represents the 20/55 day highs (configurable)
Red lines represent the 10/20 day lows (configurable)
Purple line represents stop (defaults to 2N away configurable)
Pyramids up to 5 long positions (each 1N away configurable).
Arrows:
Up Arrow Green - 20 day long position entered
Up Arrow Purple - 55 day long position entered
Down Arrow Green - Winning trade exited out.
Down Arrow Red - Losing Trade either stopped out or exited out.
Code tracks successful wins as it is only allowed to enter positions if the last trade was not a wining trade.
One limitation, only supports Long trades although wouldn't be a lot of work to also make it support Short.AAPL

Love to hear feedback on improvements, particularly to make it more robust.

١٧ يوليو ٢٠١٩

ملاحظات الأخبار

Small change to update the way the labels present for each trade.

١٨ يوليو ٢٠١٩

ملاحظات الأخبار

Removed some unnecessary code.

١٨ يوليو ٢٠١٩

ملاحظات الأخبار

Documented the system and added comments to the logic.

١٨ يوليو ٢٠١٩

ملاحظات الأخبار

Fixed one minor logic bug.

١٨ يوليو ٢٠١٩

ملاحظات الأخبار

Updated the chart.

١٨ يوليو ٢٠١٩

ملاحظات الأخبار

Fixed a couple more logic issues.

١٨ يوليو ٢٠١٩

ملاحظات الأخبار

Fixed bug was adding 6 units max, should only add 5.

٢٠ يوليو ٢٠١٩

ملاحظات الأخبار

Rewrite to consolidate rules and improved the aesthetics to make it easier to visually see breakouts.

٢٠ يوليو ٢٠١٩

ملاحظات الأخبار

Breakouts now occur when the bar moves into the green. One of the rules of turtle system is to not take trades where the last trade was a winning trade, rather skip the next trade. Logic is implemented and you can visually see the trades skipped because the labels are greyed out (L1 labels). If the trade keeps going, it will take the L2 trade as according to the rules.

٢٠ يوليو ٢٠١٩

ملاحظات الأخبار

Fixed issue of code not adhering to the dates used.

٢٠ يوليو ٢٠١٩

ملاحظات الأخبار

More cleanup and now uses next day market order to close position rather that an exit order. exit orders were somewhat unpredictable in terms of when they were filled.

٢٠ يوليو ٢٠١٩

ملاحظات الأخبار

little more cleanup.

٢٣ يوليو ٢٠١٩

ملاحظات الأخبار

Fixed bug in calculating avg price.

١٢ أغسطس ٢٠١٩

ملاحظات الأخبار

1) Fixed bug not always taking L2 trades in strategy tester (visually could see them but strategy entry would not always take it)
2) Added lines to show next buy price as well as the stop price (these are the dashed lines).

Couple things to note about this script so far, which vary slightly from the original turtle rules.
a) All entries to positions are triggered if the close > L1 or L2, NOT the high. This has an interesting side effect. If high crosses over the L1 or L2, but doesn't close above it, this extreme point (high of day) must be crossed in subsequent days to generate a trade. Backtesting, I like this as it forces the trade to really stretch and be bullish, also helps reduce some of the noise in this day to day trading.
b) The actually buy in trading view occurs at the open the next day.

١٥ أغسطس ٢٠١٩

ملاحظات الأخبار

Fixed issue that L2 trades take precedence.

١٥ أغسطس ٢٠١٩

ملاحظات الأخبار

Minor changes.

٦ سبتمبر ٢٠١٩

ملاحظات الأخبار

Fixed issue where L2 trades where using L1 stop.

٣٠ أكتوبر ٢٠٢٢

ملاحظات الأخبار

The latest version handles position sizing based on N. It computes position size as follows
# of shares=(risk/n), where risk=capital*riskPercent and n=ATR14.

٣٠ أكتوبر ٢٠٢٢

ملاحظات الأخبار

Improvements to calculating position size.

٣٠ أكتوبر ٢٠٢٢

ملاحظات الأخبار

Figured out a way to have pine script tell me capital left for determining position sizing.

٣٠ أكتوبر ٢٠٢٢

ملاحظات الأخبار

Entry points are taken on close instead of next day's open. Strategy takes entry based on high/lows > L1 or L2 rather than close.

١ نوفمبر ٢٠٢٢

ملاحظات الأخبار

More updates. Added max units configuration. Cleaned up code a bit. Added alerts. Uses new functionality in strategy to determine cost basis, position sizing based on turtle rules, etc.

٣ نوفمبر ٢٠٢٢

ملاحظات الأخبار

More improvements.

٣ نوفمبر ٢٠٢٢

ملاحظات الأخبار

Updated version

٣ نوفمبر ٢٠٢٢

ملاحظات الأخبار

Make ATR period configurable (defaults to 14)

٥ نوفمبر ٢٠٢٢

ملاحظات الأخبار

Someone reported the last version had a bug and wouldn't load, so hopefully this fixes it.

٥ نوفمبر ٢٠٢٢

ملاحظات الأخبار

Bug fix.

١٠ نوفمبر ٢٠٢٢

ملاحظات الأخبار

Fixed issue with position sizing. Fixed crash in 5 minute time frame. Fixed crash in some futures charts.