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Greg,
EnterShorts=L<=LLV(L,20);// shouldn't this be 55 ?
Anthony
greg wrote:
> 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 //
>
> /*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 when the 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
> (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.*/
>
> EnterLongs=H>=HHV(H,55);
>
> exitLongs=L>=LLV(L,20);
>
> EnterShorts=L<=LLV(L,20);
>
> ExitShorts=H<=HHV(H,20);
>
> Buy=EnterLongs;
>
> Sell=exitLongs;
>
> Short=EnterShorts;
>
> Cover=ExitShorts;
>
> Buy=ExRem(Buy,Sell);
>
> Sell=ExRem(Sell,Buy);
>
> Short=ExRem(Short,Cover);
>
> Cover=ExRem(Cover,Short);
>
> Filter=1;
>
> AddColumn(H,"High",1.2);
>
> AddColumn(HHV(H,55),"HHV(H,55)",1.2);
>
> ----- Original Message -----
> From: Avcinci
> To: 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 when the 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 (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. When I read your code with no explanatory
> notes, I was puzzled as to the 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 range is 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 use
> of indicators as much as possible, and most especially if I
> don't understand the indicator. I like ADX as a trigger for
> the beginning of a trend. I can go into 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 is
> much 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
>
> ----- Original Message -----
> From: dtsokakis
> To: 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 not only 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 read what you do not understand,
> but, before posting
> your [interesting] question just think : Do you
> understand the same
> question for the indicators you 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 people have asked you to explain the
> rationale behind your
> latest "system", but you 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 it does 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@x...]
> > 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@x...]
> > > 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 #
> > >
> 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@x...]
> > > > 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
> > > >
> > > >
> > > >
> > > >
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