Hello all, Whilst I have been a reader of this forum for quite some time, this is actually my first post and I thank you all in advance for the time taken to reply. My background is in trading, predominantly in equities and equity options, but to date have only applied the rules of various trading systems manually without the aid of system testing software. I am in the process of putting together an investment fund for close friends and family and will be using the turtle method of trend following with a few alterations of my own that have proven successful over the years. I am currently using Tradestation 9 and admittedly foresee a huge learning curve ahead of me in being able to code the strategy I have been using to date. To make things easier I thought I might ask if anyone has successfully coded the turtle rules into easy language and whether they would be kind enough to share it with me so that I can use it as a base to work from. The rules I am referring to are not only the entry and exit signals but also, and more importantly, the position sizing and pyramiding parameters. Please excuse me if it is considered inappropriate to be asking for this kind of information - but I thought it wouldn't hurt to throw it out there. In return I will be happy to share the alterations I currently work with that have proven to minimize the drawdown of the turtle sysstem in sideways markets. Thanking you all in advance, h.
One issue that may be difficult to work around are the other risk management parameters, which I'm not sure Tradestation can replicate. For example, limit total open risk to x within each group (grains, energy, indicies, etc.) Can Tradestation do portfolio-level calculations? I thought it was limited to a single instrument at a time. Also, the original turtle system is actually two systems (a 20/10 breakout and a 55/20 breakout). I'm not sure how to integrate the two together. One place that may be helpful is the tradingblox forums. Tradingblox was built from the ground up to program trendfollowing systems on a portfolio basis, but there are some users that also know tradestation and other platforms. They may be able to help you with these obstacles. (You may also find some systems that work better than the Original Turtle Rules, which have underperformed for the last decade.) http://www.tradingblox.com/forum/
Appreciate the reply, i'll check our tradingblox as advised. I agree re the portfolio level testing issue. I planned to select a basket of securities that fit the diversification criteria and proceed with the portfolio level testing manually. I'd be interested to hear to what extent people have managed to code the turtle system in easy language..
here are the rules for anyone who either doesn't know them and/or is too lazy to use goog bigpicture.typepad.com/comments/files/turtlerules.pdf
There is more to turtle technique than the rules of the breakouts. If anyone thinks that the turtles who are still managing funds, and there are maybe more than 10 of then around making consistent returns, relied solely on those rules, they are living in an illusion.
Aside from money management, it's just two lines of code (speaking on memory for their original system of buying a 40 day breakout and selling a 20 day). if close > highest (close,40) then buy next bar at open; if close < lowest (close,20) then sell next bar at open; Just reverse these to go short.
Not sure where Tradestation is at these days but Trading Blox or Amibroker may allow you more portfolio control for such a system. I haven't use Trading Blox but use Amibroker for EOD stuff.