[amibroker] Basic Turtle system not so good for stocks

[eric paradis <thechemistrybetweenus@xxxxxxxxx>]

Im looking into trend following systems and I found
one in a book on the subject. I got the code below out
of Mike Covels Trend Following book and modified the
position sizing slightly. Id try it using long only,
otherwise it will blow up. Not impressive at all, for
stocks. 

COL1    = ATR(15);
COL2    = Close > HHV(Ref(H,-1),89) + .01;
COL3    = Close < LLV(Ref(L,-1),13) -.01;
COL4    = Close < LLV(Ref(L,-1),89) -.01;
COL5    = Close > HHV(Ref(H,-1),-13) +.01;

Buy  = COL2;
Short = COL4;
Sell = COL3;
Cover = COL5;
MaxTrade = 5;

B = (Equity() * .015)/COL1;

PositionSize = - Min(MaxTrade, B);    

SetTradeDelays (1,1,1,1);    
RoundLotSize = 1;    
SetOption( "CommissionMode", 3 ); //3 - $ per
share/contract    
SetOption( "CommissionAmount",.002); // - amount of
commission in modes 1..3    
SetOption( "initialequity", 100000 );




		
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