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RE: [EquisMetaStock Group] Turtle Trading Rules



PureBytes Links

Trading Reference Links

Be aware that the key elements of the turtle trading system are based in
portfolio management, and are therefore not programmable in Metastock (or in
any other system tester that I am aware of).  Positions are sized by
relative volatility, and you need to put together rules as to what to trade
when you have more signals than capital.

Andrew


-----Original Message-----
From: wemmer2001 [mailto:dieter@xxxxxxxxxxxxx] 
Sent: Wednesday, December 08, 2004 3:03 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Turtle Trading Rules





Hi
Could anyone please offer advice w.r.t. Metastock Code for the Turtle 
Trading System. (The complete system rules can be downloaded from 
www.originalturtles.org/docs/turtlerules.pdf)
Briefly, one system included in the rules is as follows:

Enter on 55 day breakout, exiting on a 20 day breakout in the 
opposite direction (if entered long then exit on 20 day short 
breakout).

Stops : Stop is set at 2N. 
N = ((ATR(19) + last days ATR)/ 20 
{Basically 2 X 20 period Exponential Average True Ranges}

Pyramiding: A maximum of 4 extra units are added when in the position 
moves in your favour in the following manner: For each 1/2 N move 
after initial entry, add 1 unit. All existing stops are then moved to 
the same position as the most recent unit's stop, whereafter they 
remain fixed and do not form trailinng stops.

Regards

Dieter











 
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