Turtle System

17 июл. 2019 г.

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.

17 июл. 2019 г.

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

18 июл. 2019 г.

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Removed some unnecessary code.

18 июл. 2019 г.

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Documented the system and added comments to the logic.

18 июл. 2019 г.

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Fixed one minor logic bug.

18 июл. 2019 г.

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Updated the chart.

18 июл. 2019 г.

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Fixed a couple more logic issues.

18 июл. 2019 г.

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

20 июл. 2019 г.

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

20 июл. 2019 г.

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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.

20 июл. 2019 г.

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Fixed issue of code not adhering to the dates used.

20 июл. 2019 г.

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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.

20 июл. 2019 г.

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little more cleanup.

23 июл. 2019 г.

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Fixed bug in calculating avg price.

12 авг. 2019 г.

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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.

15 авг. 2019 г.

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Fixed issue that L2 trades take precedence.

15 авг. 2019 г.

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Minor changes.

6 сент. 2019 г.

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Fixed issue where L2 trades where using L1 stop.

30 окт. 2022 г.

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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.

30 окт. 2022 г.

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Improvements to calculating position size.

30 окт. 2022 г.

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

30 окт. 2022 г.

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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.

1 нояб. 2022 г.

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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.

3 нояб. 2022 г.

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More improvements.

3 нояб. 2022 г.

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Updated version

3 нояб. 2022 г.

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Make ATR period configurable (defaults to 14)

5 нояб. 2022 г.

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

5 нояб. 2022 г.

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Bug fix.

10 нояб. 2022 г.

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