MartinShkreIi

Turtle N Normalized

Simple script that calculates the normalized value of N. Rules taken from an online PDF containing the original Turtle system:

"The Turtles used a volatility-based constant percentage risk position sizing algorithm. The Turtles used a concept that Richard Dennis and Bill Eckhardt called N to represent the underlying volatility of a particular market.

N is simply the 20-day exponential moving average of the True Range, which is now more commonly known as the ATR. Conceptually, N represents the average range in price movement that a particular market makes in a single day, accounting for opening gaps. N was measured in the same points as the underlying contract.

The Turtles built positions in pieces which we called Units. Units were sized so that 1 N represented 1% of the account equity. Thus, a unit for a given market or commodity can be calculated using the following formula:

Unit = 1% of Account/(N x Dollars per Point)"

To normalize the Unit formula, this script instead takes the value of (close/N). Dollars per point = 1 for stocks and crypto, but will change depending on the contract specifications for individual futures .

"Since the Turtles used the Unit as the base measure for position size, and since those units were volatility risk adjusted, the Unit was a measure of both the risk of a position, and of the entire portfolio of positions."

When the value of N is high, volatility is low and you should be more risk-on.
When the value of N is low, volatility is high and you should be more risk-off.
הסר מסקריפטים מועדפים הוסף לסקריפטים מועדפים

תגובות

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