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Hi, I'm studying breakout system, I would like to know wich breakout system our community think It's better.
I'm particular interested on position sizing used in this system.
I have started to replicate the original (I hope)turtle system: I have find it really difficult for the position sizing formula.
I want to share the code, can be useful for someone
Buy on breakout 20 day ( size 33%) add 33% on breakout of (price of buy)+1N and the last 33% second buy point 1N
sell on breakout low 10 day, trailing stop 2N
(N=19 * PREVIOUS+ATR(20))/20)
Do you think It' correct???
BUY:
buy:=H>Ref(HHV(H,20),-1);
sell:=L<Ref(LLV(L,10),-1) OR (C<(ValueWhen(1,H>Ref(HHV(H,20),-1),L)-(2*Fml("CTA_N turtle indicator"))) ) ;
a:=Cum(buy);
b:=ValueWhen(1,sell,a);
trades:=a-b;
BUY1:=If(TRADES>0,1,0);
N1:=(ValueWhen(1,TRADES=1,C)+(1*Fml("CTA_N turtle indicator")));
Sbuy2:= (BUY1=1) AND H>N1;
CC:=Cum(SBUY2);
D:=ValueWhen(1,sell,CC);
TRADES2:=CC-D;
BUY2:=If(TRADES2>0,2,0);
N2:=(ValueWhen(1,TRADES2=1,C)+(1*Fml("CTA_N turtle indicator")));
Sbuy3:= (BUY2=2) AND H>N2;
EE:=Cum(SBUY3);
F:=ValueWhen(1,sell,EE);
TRADES3:=EE-F;
BUY3:=If(TRADES3>0,3,0);
long:=(TRADES=1 and ref(trades,-1)=0) OR (TRADES2=1 and ref(trades2,-1)=0) OR (TRADES3=1 and ref(trades3,-1)=0);
long
_______________
SELL:
L<Ref(LLV(L,10),-1) OR (C<(ValueWhen(1,H>Ref(HHV(H,20),-1),L)-(2*Fml("CTA_N turtle indicator"))) )
ENTRI SIZE: % of avaible Equity
buy:=H>Ref(HHV(H,20),-1);
sell:=L<Ref(LLV(L,10),-1) OR (C<(ValueWhen(1,H>Ref(HHV(H,20),-1),L)-(2*Fml("CTA_N turtle indicator"))) ) ;
a:=Cum(buy);
b:=ValueWhen(1,sell,a);
trades:=a-b;
BUY1:=If(TRADES>0,1,0);
N1:=(ValueWhen(1,TRADES=1,C)+(1*Fml("CTA_N turtle indicator")));
Sbuy2:= (BUY1=1) AND H>N1;
CC:=Cum(SBUY2);
D:=ValueWhen(1,sell,CC);
TRADES2:=CC-D;
BUY2:=If(TRADES2>0,2,0);
N2:=(ValueWhen(1,TRADES2=1,C)+(1*Fml("CTA_N turtle indicator")));
Sbuy3:= (BUY2=2) AND H>N2;
EE:=Cum(SBUY3);
F:=ValueWhen(1,sell,EE);
TRADES3:=EE-F;
BUY3:=If(TRADES3>0,3,0);
trade:=if(BUY1=1 and buy2=0,0.33,if( buy2=2 and buy3=0,0.5,if(buy1=1 and buy2=2 and buy3=0,0.66,if(buy3=3,1,0))));
trade
(19 * PREVIOUS+ATR(20))/20
BUY2:=If(TRADES2>0,2,0);
N2:=(ValueWhen(1,TRADES2=1,C)+(1*Fml("CTA_N turtle indicator")));
Sbuy3:= (BUY2=2) AND H>N2;
EE:=Cum(SBUY3);
F:=ValueWhen(1,sell,EE);
TRADES3:=EE-F;
BUY3:=If(TRADES3>0,3,0);
long:=(TRADES=1 and ref(trades,-1)=0) OR (TRADES2=1 and ref(trades2,-1)=0) OR (TRADES3=1 and ref(trades3,-1)=0);
long
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formula "CTA_N turtle indicator"
(19 * PREVIOUS+ATR(20))/20
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