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How to code the turtle trading rules

Dear all

Appreciate kind help on the coding for Turtle trading rules. Having great difficulties on coding for the complicate algo :(

Appreciate some help on the price breakout: shorter term system based on a 20 day breakout as price exceed the high or low of the preceding 20 days

Having challenges also on System Entry , adding units and stop loss :(

Here is the turtle trading rule that explain in details the buy/sell strategy, positioning, cut loss and portfolio management. It will be a very helpful algo guide for all the turtle traders.

http://www.metastocktools.com/downloads/turtlerules.pdf

Hope some kind soul can enlighten me .

Thank you so much

5 responses

Take a look at this thread showing an example turtle trading strategy: https://www.quantopian.com/posts/turtle-trading-strategy

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Thk u so much Alisa.

Dear all

Gus Gordon shared this Turtle trading code to buy on a 20-day high (breakout) and sell on a 20-day low. I have did some testing on long only for SPY. Attached is the result.

Appreciate some kind help how to vary the code if i want to buy on 10 day high breakout and sell on 5 - day low?
Btw anyone knows what atr and warmup is for? And can i just amend the atr time period and wait for warmup parameters from 20 to 10 and 5 respectively to make it work??

atr = ta.ATR(timeperiod=**20**) # used to calculate 20-day ATR

# wait for warmup
if len(context.past_highs[security]) < 20:
context.past_highs[security].append(data[security].high)
context.past_lows[security].append(data[security].low)
N = atr(data)[security]
continue
except:
# define deques
context.past_highs[security] = deque([], maxlen=**20**)
context.past_lows[security] = deque([], maxlen=**20**)
continue

Dear All

Why the results varies so much when testing in terms of mins and days? The loss can go up to -632% in mins chart? Is there something wrong?

Thank you

For the differences between daily mode and minute mode backtests, take a look at this thread: https://www.quantopian.com/posts/differences-between-minute-and-daily-backtests

And ATR a technical indicator, to see a sample algo take a look at the help doc: https://www.quantopian.com/help#api-talib