Turtle trading strategy (Donchian/ATR) by jeanobrega
By jeanobrega
Performance Metrics
- Author: jeanobrega
- Symbol: BMFBOVESPA:PRIO3F
- Timeframe: 1 day
- Net P&L: +36.68 NONE (+0.04%)
- Win Rate: 50.0%
- Profit Factor: 9.578
- Max Drawdown: 0.75 NONE (0.00%)
- Total Trades: 12
- Sharpe Ratio: −48.542
Description
Oct 16, 2019Strategy based on Turtle Trading Strategy from William Eckhardt and Richard Dennis- Considers entering trades on breakout of Donchian channels (upper for long, lower for short) (Default length = 20 for daily)- Considers exiting trades on breakout of Donchian channels (lower for long, upper for short) with lower length (10 for daily)- Uses 2N ATR (default) as stop lossOct 17, 2019Release NotesCorrected ATR Stop Loss (was not been multiplied for the factor atrmult)Nov 4, 2019Release Notes- Updated to v4 pine script language- Added indication for increase position based on 1N ATR value (marked on green dashed line) if the trade is in profit. Jan 15, 2020Release NotesChanged ATR Multiplier to permit non-integer values