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Position sizing normalized to risk (volatility) can be done in
MetaStock. See link here for some rough details:
http://www.reefcap.com/ubb/Forum15/HTML/000189.html
Variable position sizing can then be referenced by Roy's equity
indicators and explorations.
jose '-)
--- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
> 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@x...]
> 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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