First pinescript strategy I've ever written so still learning what is possible.
This strategy is based on the famous turtle system and tried to stay true to the rules within the confines of what pinescript will allow me to do.
Features: Green lines represents the 20/55 day highs (configurable) Red lines represent the 10/20 day lows (configurable) Purple line represents stop (defaults to 2N away configurable) Pyramids up to 5 long positions (each 1N away configurable). Arrows: Up Arrow Green - 20 day long position entered Up Arrow Purple - 55 day long position entered Down Arrow Green - Winning trade exited out. Down Arrow Red - Losing Trade either stopped out or exited out. Code tracks successful wins as it is only allowed to enter positions if the last trade was not a wining trade. One limitation, only supports Long trades although wouldn't be a lot of work to also make it support Short.NASDAQ:AAPL
Love to hear feedback on improvements, particularly to make it more robust.
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Small change to update the way the labels present for each trade.
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Removed some unnecessary code.
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Documented the system and added comments to the logic.
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Fixed one minor logic bug.
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Updated the chart.
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Fixed a couple more logic issues.
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Fixed bug was adding 6 units max, should only add 5.
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Rewrite to consolidate rules and improved the aesthetics to make it easier to visually see breakouts.
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Breakouts now occur when the bar moves into the green. One of the rules of turtle system is to not take trades where the last trade was a winning trade, rather skip the next trade. Logic is implemented and you can visually see the trades skipped because the labels are greyed out (L1 labels). If the trade keeps going, it will take the L2 trade as according to the rules.
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Fixed issue of code not adhering to the dates used.
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More cleanup and now uses next day market order to close position rather that an exit order. exit orders were somewhat unpredictable in terms of when they were filled.
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little more cleanup.
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Fixed bug in calculating avg price.
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1) Fixed bug not always taking L2 trades in strategy tester (visually could see them but strategy entry would not always take it) 2) Added lines to show next buy price as well as the stop price (these are the dashed lines).
Couple things to note about this script so far, which vary slightly from the original turtle rules. a) All entries to positions are triggered if the close > L1 or L2, NOT the high. This has an interesting side effect. If high crosses over the L1 or L2, but doesn't close above it, this extreme point (high of day) must be crossed in subsequent days to generate a trade. Backtesting, I like this as it forces the trade to really stretch and be bullish, also helps reduce some of the noise in this day to day trading. b) The actually buy in trading view occurs at the open the next day.
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Fixed issue that L2 trades take precedence.
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Minor changes.
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Fixed issue where L2 trades where using L1 stop.
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The latest version handles position sizing based on N. It computes position size as follows # of shares=(risk/n), where risk=capital*riskPercent and n=ATR14.
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Improvements to calculating position size.
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Figured out a way to have pine script tell me capital left for determining position sizing.
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Entry points are taken on close instead of next day's open. Strategy takes entry based on high/lows > L1 or L2 rather than close.
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More updates. Added max units configuration. Cleaned up code a bit. Added alerts. Uses new functionality in strategy to determine cost basis, position sizing based on turtle rules, etc.
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More improvements.
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Updated version
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Make ATR period configurable (defaults to 14)
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Someone reported the last version had a bug and wouldn't load, so hopefully this fixes it.
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Bug fix.
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Fixed issue with position sizing. Fixed crash in 5 minute time frame. Fixed crash in some futures charts.
@madskvik, yes, but I have some specific filters in my scans that help in the selection of which ones I'm willing to enter on breakouts.
madsskrab
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@eugene71, ahh okay.. Which scans is the best in your option?
madsskrab
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And did u ever make a short version of it?
carishideshmukh
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Can you make code for shorting also?
macstinger
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Nice one. Any plans for include shorts? - new lows for entry and new high for exit
eugene71
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@macstinger, thanks! and yeah will eventually get to adding a short strategy option.
stellarcollision
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@eugene71, I've been trying to add shorts, but it's not as easy as most folks think or maybe it is, I'm new to coding. Really good script. Appreciate the work.
guiramos80
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Hello, is there a version of this as a strategy or indicator? I really would like to use the alerts.