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Turtle Trading Algo

Has anyone put together a replication of the algorithm that the Turtle Traders used? Pretty basic, though I don't think Quantopian supports futures yet.

For anyone who's interested, below is the basic algo.

Enter on new 55 day high (only if trading above rising 200 day moving average).
Exit on new 20 day low or 2ATR.
Reverse for shorts.
Position sizing based on ATR. Scale up one "lot" each 1/2 ATR until you have a full 4 lot position.

If I remember correctly there were rules about the total number of lots you were allowed to carry long or short at any 1 time and there was a correlation algo that told the traders how many lots of like assets they could carry. So you can't carry 4 lots of crude, gasoline, and nat gas, you can only carry 8 total because they are highly correlated.

That was the basic algo though.

2 responses

Hey Leigh, I just made something like this if you're still curious. The post is here: https://www.quantopian.com/posts/turtle-trading-strategy.

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