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I use the same approach as this, though I am working on about 2 minute
bars. But I have multiple systems generating signals and stops for
different numbers of positions that have been scaled into. I combine
positions and figure average price overall. So I would think you are
on the right track. The code can get a little mind numbing to keep
straight though.
BR,
Dennis
On Aug 29, 2008, at 3:32 PM, pinkheadedbug wrote:
> I'm trying to implement the original turtle trader rules. So far so
> good but one thing has
> me foxed. I'm using a daily tick and end of day prices.
>
> I want to pyramid in to a particular security every time the price
> rises by a certain amount.
>
> However, each trade should have its own separate stop level,
> independently triggered.
>
> So for example, imagine I bought 1000 shares at four different
> prices p1, p2, p3 and p4.
>
> Each block of shares has its own stop level s1, s2, s3 and s4 which
> are triggered intraday.
>
> So let's say one day the price closes above s1 and s2 but below s3
> and s4.
>
> Therefore I want to sell 1000 shares at s3 and 1000 shares at s4.
>
> Similarly, if the price rises enough, I might want to buy two or
> three blocks of 1000 shares
> at different prices on the same day.
>
> The only way I can think of to do this is to create a composite buy/
> sell order for 2000
> shares at the average buy/sell price and keep my own accounts of the
> actual prices,
> numbers of shares, and stop levels.
>
> Is there a better approach?
>
>
>
>
>
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