turtle trading strategy 1 long

Turtle Trading Strategy

Thought

Turtle trading is a swell known trend shadowing strategy that was originally taught by Richard Dennis. The basic strategy is to buy futures on a 20-sidereal day high (breakout) and sell on a 20-twenty-four hour period low-down. I've modeled the of import part of the scheme and used it to trade screw steel (螺纹钢) commotity future(RB), therein case just main contract.

I used rules from here. From what I have seen, the rules of capsize trading slightly deviate from source to source. If you want to set the rules you lavatory check my inscribe and I've as wel added an optimizaiton of parameters in the code This is a bad fundamental strategy and information technology seems to turn well. There are a few different parameters to play with, so clone this and ascertain if you can get some serious results or even add to the code.

If you want to test other futures, you can get ideas from this encode and just replace the information filing cabinet which store the subjacent's price.

Fashion mode

Market

The Turtles trade liquid futures.If a monger chose not to trade in a picky market, then atomic number 2 will non deal out that market at all.

Put on Size of it

Unit =(1% of Account) / (N * Dollars per point)
N = ATR * Dollars per point
ATR=mean(TR,20), average of truth Range
TR = max(H−L,H−PDC，PDC−L), Straight Wander
- H - Current High，L-Current Humiliated，PDC-Previous Day's Stuffy

Entries

Breakout
- Turtles entered positions when the price exceeded by a single tick the high or low of the preceding 20 days. If the price exceeded the 20-day high, and then the Turtles would buy one Unit to initiate a long position in the corresponding trade good. If the price dropped one beat under the low-altitude of the last 20-days, the Turtles would sell one Unit to initiate a clipped position.
Adding Units
- Turtles entered single Building block long positions at the breakouts and added to those positions at ½ N intervals following their initial first appearance.

Stops

The Turtles placed their Chicago supported position risk. No trade could incur much than 2% risk of exposure. In order to support total position risk at a borderline, if additive units were added, the Newmarket for earlier units were embossed aside ½ N. This broadly speaking meant that totally the Newmarket for the entire situatio would be placed at 2N from the most fresh added social unit.

Exits

10 day low-spirited for long-dated positions and a 10 24-hour interval high for abbreviated positions. Every the Units in the position would live exited if the price went against the position for a 10 Day breakout.

Parameter Psychoanalysis

There are two very important parameters in Turtle strtegy, namely,Channel Prison-breaking Years (denoted as T ) and size of following their previous entry (denote American Samoa inRate). I use Sharp Ratio to optimize the two parameters. Also, At that place are two situations, considering fees or not.