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Anthony,
I was trying to make the code from Al's text below, but
after optimizing it turns out that something in the 55 range for all periods
used in HHV and LLV formulas worked better than others I tried . I've done
only a few tests, so no reliable conclusions can be made at this
time.
Greg
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Anthony Faragasso
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, June 23, 2002 9:12 PM
Subject: Re: [amibroker] Turtle Trading
System was QQQ Individual Analysis thread
Greg,EnterShorts=L<=LLV(L,20);// shouldn't this
be 55 ?Anthonygreg 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 thelast
55 days is exceeded (breakout) OR go Short> when the Lowest Low ofthe
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 ifthe
last theoretical trade was A winner). The> thing about that systemis
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 firstpost
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 hadthe
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 yourcode
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. Ilike
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 havea
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 understandthe
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?
".> Itis
strange, isnt
it?> Many
people ask for a "copy/paste" formula
without>
explanations.>
When I give a SIMPLE, PRE-INDICATOR formula with
H> andL
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@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 arefed
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>
> >
>>
> >
>>
> >
>>
> >
>>
> > > 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
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
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