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Hi Andrew and Jose
thanks for your considered advice.
Jose the website was a great help - I am strongly considering buying
tradesim - it seems essentail for proper system testing.
Rgds
Dieter
--- In equismetastock@xxxxxxxxxxxxxxx, "Jose" <josesilva22@xxxx>
wrote:
>
> 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
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > Yahoo! Groups Links
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