|
PureBytes Links
Trading Reference Links
|
Hi,
I've tried to construct The Turtle System you talk
about here. Could you check my afl and tell me if I've got it right. I'm
not getting very good results and I am unable to get rid of multiple arrows.
Here's what I have coded so far;
// Turtle Trading //<FONT face="Courier New" color=#000000
size=1>
/*Yes, the time-proven Turtle breakout system. They go long when the Highest
High of the last 55 days is exceeded (breakout) OR go Short when the LowestLow
of the last 55 days is exceeded. They exit the long position when the Lowest Low
of the last 20 days is exceeded OR the Short position when the Highest Highfor
the last 20 days is exceeded. That's it. No indicators, no moving averages,no
stochastics, no oscillators, only the High AND Low. I don't know of any simpler
system than that (although, there are other nuances, like NOT taking the Signal
if the last theoretical trade was A winner). The thing about that system isthat
it makes logical sense. It's easy to understand AND picture in the mind. The
idea is that if A security (stock OR commodity) breaks out of A trading range,
there is likely to be A continuing momentum that will carry it into A long term
trend. There are lots of False signals, but when it is NOT False, the profits
are really big. Lots of people who follow the Turtle system have made lots of
money with it over the years.*/<FONT face="Courier New" color=#000000
size=1>
EnterLongs=H>=<FONT face="Courier New" color=#0000ff
size=1>HHV<FONT face="Courier New" color=#000000
size=1>(H,<FONT face="Courier New" color=#ff00ff
size=1>55);
exitLongs=L>=<FONT face="Courier New" color=#0000ff
size=1>LLV<FONT face="Courier New" color=#000000
size=1>(L,<FONT face="Courier New" color=#ff00ff
size=1>20);
EnterShorts=L<=<FONT face="Courier New" color=#0000ff
size=1>LLV<FONT face="Courier New" color=#000000
size=1>(L,<FONT face="Courier New" color=#ff00ff
size=1>20);
ExitShorts=H<=<FONT face="Courier New" color=#0000ff
size=1>HHV<FONT face="Courier New" color=#000000
size=1>(H,<FONT face="Courier New" color=#ff00ff
size=1>20);
Buy=EnterLongs;
Sell=exitLongs;
Short=EnterShorts;
Cover=ExitShorts;
Buy=<FONT face="Courier New" color=#0000ff
size=1>ExRem<FONT face="Courier New" color=#000000
size=1>(Buy,Sell);
Sell=<FONT face="Courier New" color=#0000ff
size=1>ExRem<FONT face="Courier New" color=#000000
size=1>(Sell,Buy);
Short=<FONT face="Courier New" color=#0000ff
size=1>ExRem<FONT face="Courier New" color=#000000
size=1>(Short,Cover);
Cover=<FONT face="Courier New" color=#0000ff
size=1>ExRem<FONT face="Courier New" color=#000000
size=1>(Cover,Short);
Filter=1<FONT
face="Courier New" color=#000000 size=1>;<FONT face="Courier New"
color=#0000ff size=1>
AddColumn<FONT face="Courier New" color=#000000
size=1>(H,<FONT face="Courier New" color=#ff00ff
size=1>"High",<FONT
face="Courier New" color=#ff00ff size=1>1.2<FONT face="Courier New"
color=#000000 size=1>);
AddColumn(<FONT
face="Courier New" color=#0000ff size=1>HHV<FONT face="Courier New"
color=#000000 size=1>(H,<FONT face="Courier New" color=#ff00ff
size=1>55),<FONT
face="Courier New" color=#ff00ff size=1>"HHV(H,55)"<FONT
face="Courier New" color=#000000 size=1>,<FONT face="CourierNew"
color=#ff00ff size=1>1.2<FONT face="Courier New" color=#000000
size=1>);
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Avcinci
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, June 23, 2002 7:06 PM
Subject: Re: [amibroker] Re: QQQ
Individual Analysis
Dimitris,
>>When i give EXACTLY individual analysis,
you ask "why use it ONLY on the QQQ? ". It is strange, isnt
it?>>
In your very first post on this subject, it appeared, at least to me, you
were suggesting it for the QQQ. You made no mention of it being used for
anything else. So, naturally, I had the impression you had developed this
system for QQQ only.
>>[have you seen anything more simple than
this ?]>>
Yes, the time-proven Turtle breakout system. They go long when the
highest high of the last 55 days is exceeded (breakout) or go short when the
lowest low of the last 55 days is exceeded. They exit the long position when
the lowest low of the last 20 days is exceeded or the short position whenthe
highest high for the last 20 days is exceeded. That's it. No indicators, no
moving averages, no stochastics, no oscillators, only the high and low. I
don't know of any simpler system than that (although, there are other nuances,
like not taking the signal if the last theoretical trade was a winner). The
thing about that system is that it makes logical sense. It's easy to
understand and picture in the mind. The idea is that if a security (stockor
commodity) breaks out of a trading range, there is likely to be a continuing
momentum that will carry it into a long term trend. There are lots of false
signals, but when it is not false, the profits are really big. Lots of people
who follow the Turtle system have made lots of money with it over the years.
When I read your code with no explanatory notes, I was puzzled as tothe
meaning of the lines, and frankly I still am. The coefficiet 0.001 is likely
good only for the QQQ. True? I suppose it has to be different if a $200 stock
is being used, right? What's the fundamental basis of the 0.001? The H+L?The
other parameter coefficients? If the H/L spread shrinks at the peak in price,
then adding the high to the low value and multiplying it by a bigger number
compensates for when the H/L spread increases at the trough, where you
multiply the sum of the H and L by a lower number. You buy when the rangeis
greater than the product of H+L*0.001*43. It's all completely and totally
empirical. Again, as I said for the 0.001 coefficient, I suspect each stock
would have to have its own d1 and d2 parameter values, right? If that's true,
it would be too complicated, at least for my feeble mind, to keep track of all
those different parameter values.
>>Do you understand the same question for
the indicators you use ? Do you "see" the meaning of StochD()<30 for
example?>>
This may come as a surprise to you, Dimitris, but I try to avoid useof
indicators as much as possible, and most especially if I don't understandthe
indicator. I like ADX as a trigger for the beginning of a trend. I can gointo
a long explanation as to why, but that would be counterproductive on this
board. I use simple trailing stops. I don't use Stochastics, RSI, DEMA, TEMA,
etc., etc. All I was saying was when you suggest and post a trading
system on the board, it would be nice to have a short explanatory dialogue for
its use or in support of its basis. That's all. You said Stoch()<30 ismuch
more complicated than a simple H/L relation. You are right. But, I didn't
understand the particular H/L relation you were proposing. Thanks for your
contribution.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dtsokakis
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, June 23, 2002 4:06
PM
Subject: [amibroker] Re: QQQ Individual
Analysis
Well,I try to respond as fast as possible, as you
see.Different questions from different points of view.It is notonly
QQQ, we have had the same discussion with Don today for MSFT.QQQ was
an example. Just an example.This excellent forum is strange.When I
give Trade the Market systems, many people ask for individual analysis.
When i give EXACTLY individual analysis, you ask "why use it ONLY on the
QQQ? ".It is strange, isnt it?Many people ask for a "copy/paste"
formula without explanations.When I give a SIMPLE, PRE-INDICATOR formula
with H and L only,[have you seen anything more simple than this ?],
nobody is satisfied, because they want to learn something "behind" the
formula.Please, do not make simple things to look as
complicated.When the stock is near the peak the H/L spred shrinks, when
it is near the trough the spread widens and thats all.It is just an
observation and it may be translated to some trading rules. Is it more
complicated than RSI mechanism ?I think no.I would like to readwhat
you do not understand, but, before posting your [interesting] question
just think : Do you understand the same question for the indicatorsyou
use ?Do you "see" the meaning of StochD()<30 for example ?I think
it is much more complicated than a simple H/L relation ?I would like to
have your opinion.DT--- In amibroker@xxxx, "Avcinci"
<avcinci@xxxx> wrote:> DT,> > Several peoplehave
asked you to explain the rationale behind your latest "system", butyou
have not responded. I think it would be very helpful that, whenever
someone submits a trading idea to the group, he/she at least includes a
short paragraph with some brief explanation or support for the rationale
behind the system or idea. I look at the code and it baffles me what it
is trying to say. You buy when the today's range exceeds 0.1% of a fudge
factor multiplying the sum of the high and low, and you sell when
today's range is less than this product. What the heck does that mean?
And, why use it ONLY on the QQQ? Very baffling. > > Al
V.> ----- Original Message ----- >
From: Nurudin Kaba > To: amibroker@xxxx
> Sent: Sunday, June 23, 2002 6:18 PM>
Subject: RE: [amibroker] Re: QQQ Individual Analysis> >
> 14,43 happen to be the optimum numbers...though itdoes
form an island using Herman's 3D graphing via excel...>
> Interesting...but still don't understand the rational
behind the system. > >
Thanks> -----Original
Message-----> From: dtsokakis
[mailto:TSOKAKIS@xxxx]> Sent: Sunday, June
23, 2002 12:10 PM> To:
amibroker@xxxx> Subject: [amibroker] Re:QQQ
Individual Analysis> > > As you
see in settings, the final result is for Long & short
trades.> If you select Long only, or
Short only, you get the respective
results> ///QQQ [14,43]=+177% [LONG]
> ///QQQ [14,43]=+359% [SHORT] AND
> ///QQQ [14,43]=+1175% [LONG & SHORT]
> for parameters values 14,
43> DT> --- In
amibroker@xxxx, "Nurudin Kaba" <n.kaba@xxxx>
wrote:> > DT, what is the premise behind
HL.afl.> >
> > Thanks>
> -----Original Message----->
> From: dtsokakis
[mailto:TSOKAKIS@xxxx]> >
Sent: Sunday, June 23, 2002 11:16 AM>
> To: amibroker@xxxx>
> Subject: [amibroker] Re: QQQ Individual
Analysis> >
> > >
> Peter,> > My
data begin on 3/1/2000.> > See
analytic #> > <A
href="">http://groups.yahoo.com/group/amibroker/message/20095>
> DT> > --- In
amibroker@xxxx, "bluesinvestor" <investor@xxxx>
wrote:> > >
Dimitris,> > >
> > > Again great
performance and yet not the same trades or >
results ... > > does
your> > > history go back
further than Jan 2000?> > >
> > >
Peter> > >
-----Original Message-----> >
> From: Dimitris Tsokakis
[mailto:TSOKAKIS@xxxx]> >
> Sent: Sunday, June 23, 2002 11:59
AM> > > To:
amibroker@xxxx> >
> Subject: [amibroker] QQQ Individual
Analysis> > >
> > >
> > > If you
are fed up from my Composite Analysis, let us make a
> break >
> with an> >
> individual one.> >
> Simple logic, simple profits, pre-indicator era.[High,
Low > and
> > thats
all> > >
!!]> > >
Dimitris Tsokakis> > >
> > >
> >
> Yahoo! Groups
Sponsor> >
>
ADVERTISEMENT> > >
> > >
> > >
> > >
> > > Youruse
of Yahoo! Groups is subject to the Yahoo! Terms of
> >
Service.> >
> > >
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.> >
> Your use of Yahoo! Groups is subject to the
Yahoo! Terms of Service. > > > Your use
of Yahoo! Groups is subject to the Yahoo! Terms of
Service.Your use of Yahoo! Groups is subject to
the Yahoo! Terms of
Service. Your
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
|