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Hi, I think It works on every version.
I have written all the indications in the message:
1) INSERT NEW INDICATOR NAME: "CTA_N turtle indicator" (NOT CHANGE)
FORMULA: (19 * PREVIOUS+ATR( 20))/20
2)CREATE NEW SYSTEM AND INSERT CODE (SEE IN THE PREVIOUS MESSAGE)
3) IN THE BUY PAGE, IF YOU FIND BELOW THE SPACE WHEN YOU INSERT BUY CODE, THERE IS "ENTRY SIZE" -> PUT OPTION "% OF AVAIBLE EQUITY" AND THEN ON THE RIGHT YOU HAVE TO INSERT
_______________
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
_____________
THIS PART GIVE THE WEIGHT, if you study it, the "TRADE" counter is 0.33 for the first buy signail, 0.66 for the 2° signal.....so when the buy is ON, the system take the weight from this "trade".
This idea come from P_PANTHER_73.... thank you P!!!
--- In equismetastock@xxxxxxxxxxxxxxx, Utku Eke <ueke@xxx> wrote:
>
> Hi Daniele,
>
> Thanks for your effort about the formula.
> I am very interested in breakout sytems, turtle trading and also using them in metastock wihout money management(position sizing). Just because of this reason i purchased a software about a year ago it is OK with daily weekly datasets but it does not backtest intraday properly because of my data vendor, whatever :D
>
> Here are my questions about your formula,
>
> -for which version of metastock is it applicable?
> -is this a system test formula or indicator etc?
> -if it is a systest formula how can you buy several times ? (i realy didn't know if it was possible)
>
> thx a lot in advance
>
> Utku
>
>
>
>
>
> â??That which hath been is what will be,
> that which is done is what will be done,
> and there is nothing new, under the sun.â??
>
>
>
>
> ________________________________
> From: dasein_10 <daniele_delmonte@xxx>
> To: equismetastock@xxxxxxxxxxxxxxx
> Sent: Tuesday, June 23, 2009 7:33:40 PM
> Subject: [EquisMetaStock Group] Turtle and Breakout System
>
>
>
>
>
> 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
>
> ____________ ___
>
> formula "CTA_N turtle indicator"
> (19 * PREVIOUS+ATR( 20))/20
>
------------------------------------
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