Turtle System — Strategy by eugene71
By eugene71
Performance Metrics
- Author: eugene71
- Symbol: NASDAQ:AAPL
- Timeframe: 1 day
- Net P&L: +2,009,726.62 USD (+2,009.73%)
- Win Rate: 52.2%
- Profit Factor: 5.39
- Max Drawdown: 112,213.86 USD (32.83%)
- Total Trades: 343
- Sharpe Ratio: 0.155
Description
Jul 17, 2019First 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.AAPLLove to hear feedback on improvements, particularly to make it more robust. Jul 17, 2019Release NotesSmall change to update the way the labels present for each trade.Jul 17, 2019Release NotesRemoved some unnecessary code.Jul 18, 2019Release NotesDocumented the system and added comments to the logic.Jul 18, 2019Release NotesFixed one minor logic bug.Jul 18, 2019Release NotesUpdated the chart.Jul 18, 2019Release NotesFixed a couple more logic issues.Jul 18, 2019Release NotesFixed bug was adding 6 units max, should only add 5.Jul 19, 2019Release NotesRewrite to consolidate rules and improved the aesthetics to make it easier to visually see breakouts.Jul 19, 2019Release NotesBreakouts 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.Jul 19, 2019Release NotesFixed issue of code not adhering to the dates used.Jul 20, 2019Release NotesMore 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.Jul 20, 2019Release Noteslittle more cleanup.Jul 22, 2019Release NotesFixed bug in calculating avg price.Aug 12, 2019Release Notes1) 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. Aug 14, 2019Release NotesFixed issue that L2 trades take precedence.Aug 14, 2019Release NotesMinor changes.Sep 5, 2019Release NotesFixed issue where L2 trades where using L1 stop.Oct 29, 2022Release NotesThe 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.Oct 29, 2022Release NotesImprovements to calculating position size.Oct 30, 2022Release NotesFigured out a way to have pine script tell me capital left for determining position sizing.Oct 30, 2022Release NotesEntry points are taken on close instead of next day's open. Strategy takes entry based on high/lows > L1 or L2 rather than close.Nov 1, 2022Release NotesMore 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. Nov 3, 2022Release NotesMore improvements.Nov 3, 2022Release NotesUpdated versionNov 3, 2022Release NotesMake ATR period configurable (defaults to 14)Nov 4, 2022Release NotesSomeone reported the last version had a bug and wouldn't load, so hopefully this fixes it.Nov 4, 2022Release NotesBug fix.Nov 10, 2022Release NotesFixed issue with position sizing. Fixed crash in 5 minute time frame. Fixed crash in some futures charts.