Partial implementation of Turtle Trading using futures contracts. Comments and feedback welcomed!
Areas for improvement:
- Account for partial fills in risk management
- Cap direction risk limit at 12
Source: https://github.com/vyq/turtle-trading
Related links:
- https://www.quantopian.com/posts/turtle-trading-strategy
- https://www.quantopian.com/posts/how-to-code-the-turtle-trading-rules
- https://www.quantopian.com/posts/turtle-trading-algo
No, I fear not. Only in proprietary software I used to use called "Trading Blox". Since that article the revised Turtle Strategy has not prospered however. It is along the right lines and "better" than the original but it has not been sufficient to weather the choppy waters of the last 5 years.
Probably a better correlation / anti correlation regime would help. But as ever it is changing a system after the fact. I'm afraid it may have boiled down to curve fitting (albeit unwitting) which has only emerged with time and changing markets.
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