Hi swingtraderkk.
Thank you for the reply.
I also would like to trade my own version of the turtle system at some point(when I have tested some theories and backtested them).
I do believe however that it is important to stick to the fundamentals of the original system.
I think it is very important to stick with a system once you have decided on it, to give it a fair chance of working.
Here is a link to the system :
http://www.metastocktools.com/downloads/turtlerules.pdfThis is my interpretation of it:
Money management:
Risk between 2-4% of your notional account value.
Notional account value is the same as your equity if you are on 0% drawdown for the calendar year.
A 10% drawdown of your account will result in a 20% drop in your notional account value(the value from which you work
out what the 2% risk is in dollar terms).
So the idea with this system is that during big drawdowns you trade less and less risky, waiting for those trends to start coming,
and then you go back to risking a bit more.
1. Firstly you use daily candlestick charts.
2. With Donchian channels on 20 and 55 day high and lows.
3. N is the variable used to represent volatility. ( It is the ATR of the past 20 days)
4. A stop loss is place at 2 times the ATR (2N) from entry.(This is a trailing stop-loss)
5. And the lot size is obviously then worked out from the 2% risk amount divided by the value in dolars of your 2N stop-loss.
6. Once your first order is entered, three additional orders in that same direction are placed 1/2N from the first.
7. So if the market does trend, you will have 4 entries that are 1/2N apart.
8. If you made profit from a 20-day breakout trade, you will skip the next 20-day breakout.
9. BUT, you will always trade a 55-day breakout.
10. If a loss is made from a 20-day breakout trade, you trade the next 20-day breakout again.
11. There are some additional rules regarding total trades in play, and correlated markets, but they might be really hard to program.
I am still learning the programming of scripts, but if you could write up something in the meantime it will definetely help me,
and I could even check if the logic follows the rules.
One thing I wanted to test after reading what I think is a clue dropped in one of Covels books is to play around with the "20" and "55",
the way I understand it there is a range in there that is more profittable. (Maybe 44 or whatever)
Let me know if you have any questions.
Thanks.
