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I'm glad to see Jose has again found a way to stretch the capabilities of
Metastock!
Jose, is there a way to formulate rules in Metastock when you have more
entries than capital? E.g. three securities qualify under your entry rules,
but capital allows you to take two. You want to take the two with the
greatest directional movement (e.g. the largest deviation from a MA)?
TradeSim just provides a random selection of securities up to the capital
limits.
Best
Andrew
-----Original Message-----
From: Jose [mailto:josesilva22@xxxxxxxxx]
Sent: Thursday, December 09, 2004 12:30 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Re: Turtle Trading Rules
Position sizing normalized to risk (volatility) can be done in
MetaStock. See link here for some rough details:
http://www.reefcap.com/ubb/Forum15/HTML/000189.html
Variable position sizing can then be referenced by Roy's equity
indicators and explorations.
jose '-)
--- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
> Be aware that the key elements of the turtle trading system are
based in
> portfolio management, and are therefore not programmable in
Metastock (or in
> any other system tester that I am aware of). Positions are sized by
> relative volatility, and you need to put together rules as to what
to trade
> when you have more signals than capital.
>
> Andrew
>
>
> -----Original Message-----
> From: wemmer2001 [mailto:dieter@x...]
> Sent: Wednesday, December 08, 2004 3:03 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Turtle Trading Rules
>
>
>
>
>
> Hi
> Could anyone please offer advice w.r.t. Metastock Code for the
Turtle
> Trading System. (The complete system rules can be downloaded from
> www.originalturtles.org/docs/turtlerules.pdf)
> Briefly, one system included in the rules is as follows:
>
> Enter on 55 day breakout, exiting on a 20 day breakout in the
> opposite direction (if entered long then exit on 20 day short
> breakout).
>
> Stops : Stop is set at 2N.
> N = ((ATR(19) + last days ATR)/ 20
> {Basically 2 X 20 period Exponential Average True Ranges}
>
> Pyramiding: A maximum of 4 extra units are added when in the
position
> moves in your favour in the following manner: For each 1/2 N move
> after initial entry, add 1 unit. All existing stops are then moved
to
> the same position as the most recent unit's stop, whereafter they
> remain fixed and do not form trailinng stops.
>
> Regards
>
> Dieter
>
>
>
>
>
>
>
>
>
>
>
>
> Yahoo! Groups Links
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