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Lionel,
I don't have the original reference, but read The Ultimate Trading Guide,
by Hill Pruitt et al of Futures Truth Fame, Here it is in Easy Language, if
you want to have a go at the translation.
inputs: last(30), setlook(30), atrdays(10),
highelt(30),lowelt(30),highelt2(30),lowelt2(30);
vars: daysInTrade(0), lookBack(30), midLevel(0), longLiqPt(0), shortLiqPt(0)
;
if(marketPosition = 1) then
begin
midLevel = entryPrice(0) - (highest(high,highelt) -
lowest(low,lowelt))/2.0;
end;
if(marketPosition = -1) then
begin
midLevel = entryPrice(0) + (highest(high,highelt2) -
lowest(low,lowelt2))/2.0;
end;
if(marketPosition <> 0 and barsSinceEntry > 0 and
(Mod(barsSinceEntry,5) = 0)) Then
begin
lookBack = lookBack -2;
lookBack = maxlist(lookBack,6);
end;
longLiqPt = maxlist(lowest(low,lookBack),midLevel);
shortLiqPt = minlist(highest(high,lookBack),midLevel);
if barsSinceEntry(0) = 0 and marketPosition <> 0 then
begin
longLiqPt = midLevel;
shortLiqPt = midLevel;
end;
if(marketPosition = 1) then exitLong ("lxit") at longLiqPt stop;
if(marketPosition = -1) then exitshort ("shtxit") at ShortLiqPt stop;
buy ("D buy") Next Bar at Highest(high,last) stop;
sell ("D sell") Next Bar at Lowest(low,Last) stop;
ExitLong ("CDL") MaxTradeHigh - 3. * AvgTrueRange(atrdays) Stop;
if(marketPosition = 0) then lookBack = setlook;
I like to think it's fairly self explantory, but if you need help / an
explanation shout. BTW I'm no Metastock wiz.
----- Original Message -----
From: "Lionel Issen" <lissen@xxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Friday, August 24, 2001 4:06 AM
Subject: Re: Turtle Trader System
> Where can I get some detailed information on the Donchian system? The only
> thing that I have seen about Donchian is that he did a study of moving
> averages.
> Lionel Issen
> lissen@xxxxxxxxxxxxxx
> ----- Original Message -----
> From: "Glen Wallace" <gcwallace@xxxxxxxx>
> To: "MetaStock listserver" <metastock@xxxxxxxxxxxxx>
> Sent: Thursday, August 23, 2001 8:28 PM
> Subject: Re: Turtle Trader System
>
>
> > My recollection is that the Turtles use a Donchian breakout
> > system, where the upper channel line is drawn at the highest
> > high of 20-60 bars ago, and the lower channel line is the
> > lowest low of 20-60 bars ago. I don't recall how they exit
> > their trades. They apply the system to a large basket of
> > non-correlated futures to even out the equity curve.
> >
> > For a system like this you would get large drawdowns, so
> > money management would be critical. The entry system is
> > a valid one, but you'd need a good exit, a large account to
> > properly diversify and, in my opinion, nerves of steel.
> >
> >
> >
> > ----- Original Message -----
> > From: "Sean Taylor" <cloudnine@xxxxxxxxxxxx>
> > To: "Metastock List" <metastock@xxxxxxxxxxxxx>
> > Sent: Thursday, August 23, 2001 7:39 PM
> > Subject: Turtle Trader System
> >
> > > Has anybody out there tried the Turtle Trader system?
> > > From what I've heard/read, it has it's foundations in money
management.
> > >
> > > I'd be grateful for any information (especially from someone who uses
> it),
> > >
> > > Thanks,
> > > Sean
> >
>
>
>
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