The Complete TurtleTrader - "Memo" to Cut Back

Discussion in 'Events' started by Trend Following, Oct 27, 2007.

Thread Status:
Not open for further replies.
  1. Its not a gay film is it? If not I wold consider. And before you ask, the answer is no, I won't take a free copy of your book as payment.
     
    #21     Nov 17, 2007
  2. One interesting thing I did find out was that Dennis named the group after visiting a turtle farm in Singapore.
     
    #22     Nov 17, 2007
  3. Trend Following

    Trend Following Sponsor

    <a href="http://www.michaelcovel.com/archives/001421.html">Film note</a>.
     
    #23     Nov 17, 2007
  4. nkhoi

    nkhoi

    real turtle farm.
    [​IMG]
    [​IMG]
     
    #24     Nov 17, 2007
  5. I don't think I would be good material for your flim. I wish you luck with your book although I believe it's value is more anecdotal than anything and I have Erma Bombeck and Readers Digest for that.

    Secondly, I have done extensive backtesting and have written several algorithms using some of the methods Dennis instilled in his pupils and have had limited success as compared to the algos I use now. But if you would like to use it as an addendum to your current book or as part of the sequel here it is:
    {
    var ChannelUp, ChannelDn, LongExit, ShrtExit, FailsafeUp, FailsafeDn : integer;
    var N, L1, S1, L2, S2, L3, S3, L4, S4, SE, LE, LS, SS, FU, FD, Account, tick: float;
    var BrktProf : float;
    var Bar, p, LeadBars, ATRParam, LstPsExBar : integer;
    var cond20 : boolean;

    { Parameters input }
    ChannelUp := 20 ;
    ChannelDn := 20 ;
    LongExit := 10 ;
    ShrtExit := 10 ;
    FailsafeUp := 55 ;
    FailsafeDn := 55 ;
    ATRParam := 20 ;
    Account := 1000000 ; //This is the notional account

    { Cosmetics and general info }
    HideVolume ;
    PlotStops;
    EnableNotes(True);
    tick := GetTick ; //Tick Size in future table or 0

    { Indicators plotting }
    PlotSeries( HighestSeries( #High, ChannelUp ), 0, #blue, #Thin );
    PlotSeries( LowestSeries( #Low, ChannelDn ), 0, #fuchsia, #Thin );
    PlotSeries( HighestSeries( #High, FailsafeUp ), 0, #green, #Dotted );
    PlotSeries( LowestSeries( #Low, FailsafeDn ), 0, #green, #Dotted );

    { MAIN CYCLE }
    LeadBars := Trunc(Max(FailsafeUp, FailsafeDn)); // Failsafe > Channel and Failsafe > Exit
    for Bar := LeadBars to BarCount - 1 do
    begin
    SE := Highest( Bar, #High, ShrtExit) + tick ;
    LE := Lowest( Bar, #Low, LongExit) - tick ;
    N := ATR( Bar, ATRParam ); // N calculation
    SetShareSize(Int( (Account * 0.01) / (N * GetPointValue))); // Unit

    { Entering the first position }
    if PositionCount = 0 then begin
    L1 := Highest( Bar, #High, ChannelUp) + tick ;
    S1 := Lowest( Bar, #Low, ChannelDn) - tick ;
    L2 := L1 + 0.5 * N ;
    S2 := S1 - 0.5 * N ;
    L3 := L1 + 1.0 * N ;
    S3 := S1 - 1.0 * N ;
    L4 := L1 + 1.5 * N ;
    S4 := S1 - 1.5 * N ;
    BuyAtStop( Bar + 1, L1, 'L1 ' + FormatFloat( '#0.00', L1));
    ShortAtStop( Bar + 1, S1, 'S1 ' + FormatFloat( '#0.00', S1));
    end; // of 'if PositionCount = 0 then'

    { Entering positions if not the first one }
    if PositionCount > 0 then begin

    if ActivePositionCount = 0 then begin
    { if cond20 is true, System 1 rules are triggered, otherwise
    System 2 rules apply. Ref. Faith page 19; cond20 turns true
    if last traded breakout was unprofitable. Faith rules state that
    not traded breakouts should also be considered,
    but this Script is currently limited to those actually traded. }
    cond20 := false ;
    BrktProf := 0 ;
    LstPsExBar := PositionExitBar( PositionCount - 1 );
    for p := 0 to PositionCount - 1 do begin
    if PositionExitBar( p ) = LstPsExBar then
    BrktProf := BrktProf + PositionProfit( p );
    end ; // Sum up all position profits belonging to the last breakout

    if BrktProf < 0 then
    cond20 := true ;

    if cond20 = true then begin
    L1 := Highest( Bar, #High, ChannelUp) + tick ;
    S1 := Lowest( Bar, #Low, ChannelDn) - tick ;
    L2 := L1 + 0.5 * N ;
    S2 := S1 - 0.5 * N ;
    L3 := L1 + 1.0 * N ;
    S3 := S1 - 1.0 * N ;
    L4 := L1 + 1.5 * N ;
    S4 := S1 - 1.5 * N ;
    BuyAtStop( Bar + 1, L1, 'L1 '+ FormatFloat( '#0.00', L1));
    ShortAtStop( Bar + 1, S1, 'S1 '+ FormatFloat( '#0.00', S1));
    end // of cases where cond20 = true
    else
    begin
    L1 := Highest( Bar, #High, FailsafeUp) + tick ;
    S1 := Lowest( Bar, #Low, FailsafeDn) - tick ;
    L2 := L1 + 0.5 * N ;
    S2 := S1 - 0.5 * N ;
    L3 := L1 + 1.0 * N ;
    S3 := S1 - 1.0 * N ;
    L4 := L1 + 1.5 * N ;
    S4 := S1 - 1.5 * N ;
    BuyAtStop( Bar + 1, L1, 'FU');
    ShortAtStop( Bar + 1, S1, 'FD');
    end; // of cases where cond20 = false
    end; // of entering positions ActivePositionCount = 0

    if ActivePositionCount = 1 then begin
    LS := L1 - 2 * N ;
    SS := S1 + 2 * N ;
    BuyAtStop( Bar + 1, L2, 'L2 '+ FormatFloat( '#0.00', L2));
    ShortAtStop (Bar + 1, S2, 'S2 '+ FormatFloat( '#0.00', S2));
    end;

    if ActivePositionCount = 2 then begin
    LS := L2 - 2 * N ;
    SS := S2 + 2 * N ;
    BuyAtStop( Bar + 1, L3, 'L3 '+ FormatFloat( '#0.00', L3));
    ShortAtStop (Bar + 1, S3, 'S3 '+ FormatFloat( '#0.00', S3));
    end;

    if ActivePositionCount = 3 then begin
    LS := L3 - 2 * N ;
    SS := S3 + 2 * N ;
    BuyAtStop( Bar + 1, L4, 'L4 '+ FormatFloat( '#0.00', L4));
    ShortAtStop (Bar + 1, S4, 'S4 '+ FormatFloat( '#0.00', S4));
    end;

    if ActivePositionCount = 4 then begin
    LS := L4 - 2 * N ;
    SS := S4 + 2 * N ;
    end;

    end; // of buying rules when PositionCount > 0

    { Check for position exit conditions }
    for p := 0 to PositionCount -1 do begin
    if PositionActive(p) then
    if Positionlong(p) then SellAtStop( Bar + 1, LS, p, 'LongStop')
    else CoverAtStop( Bar + 1, SS, p, 'ShortStop');
    if PositionActive(p) then
    if Positionlong(p) then SellAtStop( Bar + 1, LE, p, 'LongExit')
    else CoverAtStop( Bar + 1, SE, p, 'ShortExit');
    end; // of position exits
    end; // OF THE MAIN CYCLE
    }
     
    #25     Nov 17, 2007
  6. Trend Following

    Trend Following Sponsor

    Thanks for the feedback.
     
    #26     Nov 17, 2007
  7. The memo does not back up this claim.

    The memo talks about 'real world trading' not research.
     
    #27     Nov 17, 2007
  8. Trend Following

    Trend Following Sponsor

    Where is that? Your picture?
     
    #28     Nov 17, 2007
  9. Trend Following

    Trend Following Sponsor

    It depends on your exit criteria. Longer term TF can leave a trend in tact much longer than shorter term TF. And there are no shortage of trend traders taking different angles and time horizons on "trends".
     
    #29     Nov 17, 2007
  10. As mentioned in the post you quoted...that is just my opinion. I personally find that less than interesting.
     
    #30     Nov 17, 2007
Thread Status:
Not open for further replies.