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Al,
Ok, I understand the Buy/Short = 0 part,I have
set my afl to use the settings from AB for Buy/Short delays and you have coded
it within your afl, I will have to remember change my settings depending onif
I'm testing your afl or mine.
No, I don't have the Turtles Manual, I've just
coded from your description.
Greg
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Avcinci
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, June 23, 2002 10:08
PM
Subject: Re: [amibroker] Turtle Trading
System was QQQ Individual Analysis thread
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 day
later 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 donethis
before, but I'd think you'd get the same answer as using the sell asa
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@xxxxxxxxxxxx
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 be a 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@xxxxxxxxxxxxxxx
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 be
set to 1. Your initial equity should be set to 100,000. If you test this
on a watchlist of lots of stocks, it won't do well. I'm still trying to
find a 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 got it
right. I'm not getting very good results and I am unable to get ridof
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 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 picturein
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>=<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@xxxxxx
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 impressionyou
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'seasy
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? Ifthe
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 wouldbe
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. Thanksfor
your contribution.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=TSOKAKIS@xxxx
href="">dtsokakis
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxx
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 widensand
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 heckdoes
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 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
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