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.
AAPL
Love to hear feedback on improvements, particularly to make it more robust.
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.
AAPL
Love to hear feedback on improvements, particularly to make it more robust.
הערות שחרור:
Small change to update the way the labels present for each trade.
הערות שחרור:
Removed some unnecessary code.
הערות שחרור:
Documented the system and added comments to the logic.
הערות שחרור:
Fixed one minor logic bug.
הערות שחרור:
Updated the chart.
הערות שחרור:
Fixed a couple more logic issues.
הערות שחרור:
Fixed bug was adding 6 units max, should only add 5.
הערות שחרור:
Rewrite to consolidate rules and improved the aesthetics to make it easier to visually see breakouts.
הערות שחרור:
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.
הערות שחרור:
Fixed issue of code not adhering to the dates used.
הערות שחרור:
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.
הערות שחרור:
little more cleanup.
הערות שחרור:
Fixed bug in calculating avg price.
הערות שחרור:
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.
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.
הערות שחרור:
Fixed issue that L2 trades take precedence.
הערות שחרור:
Minor changes.
הערות שחרור:
Fixed issue where L2 trades where using L1 stop.
הערות שחרור:
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.
# of shares=(risk/n), where risk=capital*riskPercent and n=ATR14.
הערות שחרור:
Improvements to calculating position size.
הערות שחרור:
Figured out a way to have pine script tell me capital left for determining position sizing.
הערות שחרור:
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.
הערות שחרור:
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.
הערות שחרור:
More improvements.
הערות שחרור:
Updated version
הערות שחרור:
Make ATR period configurable (defaults to 14)
הערות שחרור:
Someone reported the last version had a bug and wouldn't load, so hopefully this fixes it.
הערות שחרור:
Bug fix.
הערות שחרור:
Fixed issue with position sizing. Fixed crash in 5 minute time frame. Fixed crash in some futures charts.