[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [amibroker] Turtle Trading System was QQQ Individual Analysis thread



PureBytes Links

Trading Reference Links


Greg, 
 
The buy/short delay is set to 0 because the delay is already hard coded in 
AFL (buy=ref(buycond,-1). If you set the delay to 1, you will buy one daylater 
than you should (i.e., you'll get a 2-day delay). You know, after 
having thought about it, you really don't need the rembuy.dll. You could code 
the exit as you have done it simply as a sell command. I've not done this 
before, but I'd think you'd get the same answer as using the sell as a 
trailing stop. I'll have to check that out. 
 
Do you actually own the turtle manual? If so, I'd like to talk to you 
privately about it.
 
AV
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
<A title=greg.bean@xxxx 
href="">greg 
To: <A title=amibroker@xxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Sunday, June 23, 2002 8:47 PM
Subject: Re: [amibroker] Turtle Trading 
System was QQQ Individual Analysis thread

Al,
 
I've got to get Stephan's most recent version of 
rembuy.dll , the older version is giving me some errors. I'll try a few things 
and then get back to you. I read from the turtles site that AMZN would bea 
good candidate stock, maybe we can compare our codes using AMZN from 
03/01/1998 to 21/06/2002.
 
Why set Buy/Short delay to 0 ??
 
Greg
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
Avcinci 

To: <A title=amibroker@xxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, June 23, 2002 9:13 
PM
Subject: Re: [amibroker] Turtle Trading 
System was QQQ Individual Analysis thread

Greg,
 
See attached afl file. It does not contain the code for the last 
theoretical trade. And I haven't debugged it, so there might be errors.You 
might want to try optimizing the buy and sell days. You need to use 
Stephane's rembuy.dll plugin at the Amibroker files section of Yahoo. Your 
buy/short delay should be set to 0, and your sell/cover delay should beset 
to 1. Your initial equity should be set to 100,000. If you test this ona 
watchlist of lots of stocks, it won't do well. I'm still trying to finda 
way to filter the universe of stocks down to a reasonable number. Let me 
know how it works out for you. Maybe you can suggest a way of filtering. 

 
AV
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
<A title=greg.bean@xxxx 
href="">greg 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 

Sent: Sunday, June 23, 2002 7:42 
PM
Subject: [amibroker] Turtle Trading 
System was QQQ Individual Analysis thread

Hi,
 
I've tried to construct The Turtle System you 
talk about here. Could you check my afl and tell me if  I've gotit 
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 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 thelast 
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 itinto 
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=<FONT face="Courier New" color=#ff00ff 
size=1>1<FONT face="Courier New" color=#000000 
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=#000000 
size=1>,<FONT face="Courier New" color=#ff00ff 
size=1>1.2<FONT face="Courier New" color=#000000 
size=1>);
AddColumn<FONT face="Courier New" color=#000000 
size=1>(<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=#000000 
size=1>),<FONT face="Courier New" color=#ff00ff 
size=1>"HHV(H,55)"<FONT face="Courier New" color=#000000 
size=1>,<FONT face="Courier New" color=#ff00ff 
size=1>1.2<FONT face="Courier New" color=#000000 
size=1>);
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
<A title=avcinci@xxxx 
href="">Avcinci 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
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 leastto 
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 whenthe 
highest high of the last 55 days is exceeded (breakout) or go shortwhen 
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 momentumthat 
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 puzzledas 
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 Hand 
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 wouldbe 
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 beginningof 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 supportof 
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

<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
<A title=TSOKAKIS@xxxx 
href="">dtsokakis 
To: <A 
title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxx 

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 bethe 
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 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>     >   > 
>     >   > 
>     >   > 
>     >   > 
>     >   >   
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. 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. 
Your use of Yahoo! Groups is subject to the <A 
href="">Yahoo! Terms of Service. 
Your use of Yahoo! Groups is subject to the <A 
href="">Yahoo! Terms of Service.