Turtles Strategy - Wealth Lab Forum

surinder

#1

6/22/2009 12:20 PM

has anyone coded for this strategy

Eugene

#2

6/22/2009 12:39 PM

Look for Turtle Original 3.1 in this article of our Wealth-Lab 5 Wiki:
System Building | Trend following strategies

Eugene,

during a trend, when you add a unit when price moves by 1/2N does the previous entry's during the trend exits(loss) also move to the new stop loss of the added unit. Is this incorporated into the programing?

Surinder

Eugene

#4

6/22/2009 3:05 PM

Surinder,

QUOTE:
...when price moves by 1/2N does the previous entry's during the trend exits(loss) also move to the new stop loss of the added unit...

...meaning that, according to Faith, "all the stops for the entire position would be placed at 2N from the most recently added unit." In this code, the stop for each position is set to 2N from its entry price.

grehn2

#5

4/22/2010 2:07 PM

ive tried to amend this 'original 3.1' to only the long 55 day break out, but it only trades 10-15 times no matter the symbol then stops. any ideas why?

CODE:
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ive tried to amend this 'original 3.1' to only the long 55 day break out, but it only trades 10-15 times no matter the symbol then stops. any ideas why?

[CODE]using System;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{

public class MyStrategy : WealthScript
	{ 
		double N,L1, S1, L2, S2, L3, S3, L4, S4, SE, LE, LS, SS, Tick ;

protected override void Execute()
		{ 
			int ChannelUp, ChannelDn, LongExit, ShrtExit;
			double BrktProf;
			int LeadBars, ATRParam, LstPsExBar; 
			bool cond20;
			ChannelUp = 55 ;
			ChannelDn = 55 ;
			LongExit = 20 ;
			ShrtExit = 20 ;
			ATRParam = 20 ;
			PlotStops();
			Tick = Bars.SymbolInfo.Tick;
			PlotSeries(PricePane, Highest.Series(High, ChannelUp) >> 1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, Lowest.Series(Low, ChannelDn ) >> 1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, Lowest.Series(Low, LongExit) >> 1, Color.Red, LineStyle.Dashed, 1);
			PlotSeries(PricePane, Highest.Series(High, ShrtExit) >> 1, Color.Red, LineStyle.Dashed, 1);
			
			LeadBars =Math.Max(ChannelUp, ChannelDn);
			for(int bar = LeadBars; bar < Bars.Count; bar++)
			{

SE = Highest.Series(High, ShrtExit)[bar]+ Tick ;
				LE = Lowest.Series(Low, LongExit)[bar]-Tick ;
				N = ATR.Series(Bars,ATRParam)[bar];
				if (Positions.Count == 0 ) 
				{
					L1 = Highest.Series(High, ChannelUp)[bar];
					S1 = Lowest.Series(Low, ChannelDn)[bar];
					L2 = L1 + 0.5 * N ;
					S2 = S1 - 0.5 * N ;
					L3 = L1 + 1.0 * N ;
					S3 = S1 - 1.0 * N ;
					L4 = L1 + 1.5 * N ;
					S4 = S1 - 1.5 * N ;
					BuyAtStop( bar+1,L1, "L1" );
					ShortAtStop( bar+1,S1, "S1"); 
				}
				else 
				{
					if (ActivePositions.Count==3 )
					{ 
						BuyAtStop( bar+1,L4, "L4" );
						ShortAtStop( bar+1,S4, "S4");

}
					if(ActivePositions.Count==2 )
					{ 
						BuyAtStop( bar+1,L3, "L3" );
						ShortAtStop( bar+1,S3, "S3");

}
					if (ActivePositions.Count==1 )
					{ 
						BuyAtStop( bar+1,L2, "L2" );
						ShortAtStop( bar+1,S2, "S2");

}
					if (ActivePositions.Count==0 )
					{ 
						BrktProf = 0 ;
						LstPsExBar = LastPosition.ExitBar;
						foreach( Position p in Positions )
							if (p.ExitBar == LstPsExBar )
								BrktProf += p.NetProfit;
					
						cond20 = (BrktProf < 0 );

if (cond20 == true)
						{

L1 = Highest.Series(High, ChannelUp)[bar];
							S1 = Lowest.Series(Low, ChannelDn)[bar];
							L2 = L1 + 0.5 * N ;
							S2 = S1 - 0.5 * N ;
							L3 = L1 + 1.0 * N ;
							S3 = S1 - 1.0 * N ;
							L4 = L1 + 1.5 * N ;
							S4 = S1 - 1.5 * N ;
							BuyAtStop( bar+1,L1, "L1" );
							ShortAtStop( bar+1,S1, "S1");

} 
					}

} 
					
				for(int p = ActivePositions.Count - 1; p >= 0; p--)
				{
					Position pos = ActivePositions[p];
					if(pos.PositionType==PositionType.Long)
					{
						LS=pos.EntryPrice-2*N;
						if( !SellAtStop( bar+1,pos, LS, "LongStop") )
							SellAtStop( bar+1, pos, LE, "LongExit");
					}
					else
					{
						SS=pos.EntryPrice+2*N;
						if( !CoverAtStop(bar+1, pos, SS, "ShortStop") )
							CoverAtStop( bar+1, pos, SE, "ShortExit");
					}			
				}
			} 
		} 
	}
}[/CODE]

Eugene

#6

4/22/2010 2:16 PM

When posting code, please wrap it in between a pair of CODE tags. You'll notice them right above the "Add a new Post" box. I've corrected this for you.

grehn2

#7

4/22/2010 2:17 PM

thanks a lot

Eugene

#8

4/22/2010 2:23 PM

The cond20 condition is the reason for not taking trades.

grehn2

#9

4/22/2010 2:45 PM

thanks. working now (and obvious in hindsight!). thanks again....if anyone wants the '55d only' version:

CODE:
Please log in to see this code.

Size:

Color:

thanks. working now (and obvious in hindsight!). thanks again....if anyone wants the '55d only' version:

[CODE]{using System;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{

public class MyStrategy : WealthScript
	{ 
		double N,L1, S1, L2, S2, L3, S3, L4, S4, SE, LE, LS, SS, Tick ;

protected override void Execute()
		{ 
			int ChannelUp, ChannelDn, LongExit, ShrtExit;
			double BrktProf;
			int LeadBars, ATRParam, LstPsExBar; 
			ChannelUp = 55 ;
			ChannelDn = 55 ;
			LongExit = 20 ;
			ShrtExit = 20 ;
			ATRParam = 20 ;
			PlotStops();
			Tick = Bars.SymbolInfo.Tick;
			PlotSeries(PricePane, Highest.Series(High, ChannelUp) >> 1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, Lowest.Series(Low, ChannelDn ) >> 1, Color.Green, LineStyle.Solid, 1);
			PlotSeries(PricePane, Lowest.Series(Low, LongExit) >> 1, Color.Red, LineStyle.Dashed, 1);
			PlotSeries(PricePane, Highest.Series(High, ShrtExit) >> 1, Color.Red, LineStyle.Dashed, 1);
			
			LeadBars =Math.Max(ChannelUp, ChannelDn);
			for(int bar = LeadBars; bar < Bars.Count; bar++)
			{

SE = Highest.Series(High, ShrtExit)[bar]+ Tick ;
				LE = Lowest.Series(Low, LongExit)[bar]-Tick ;
				N = ATR.Series(Bars,ATRParam)[bar];
				if (Positions.Count == 0 ) 
				{
					L1 = Highest.Series(High, ChannelUp)[bar];
					S1 = Lowest.Series(Low, ChannelDn)[bar];
					L2 = L1 + 0.5 * N ;
					S2 = S1 - 0.5 * N ;
					L3 = L1 + 1.0 * N ;
					S3 = S1 - 1.0 * N ;
					L4 = L1 + 1.5 * N ;
					S4 = S1 - 1.5 * N ;
					BuyAtStop( bar+1,L1, "L1" );
					ShortAtStop( bar+1,S1, "S1"); 
				}
				else 
				{
					if (ActivePositions.Count==3 )
					{ 
						BuyAtStop( bar+1,L4, "L4" );
						ShortAtStop( bar+1,S4, "S4");

}
					if(ActivePositions.Count==2 )
					{ 
						BuyAtStop( bar+1,L3, "L3" );
						ShortAtStop( bar+1,S3, "S3");

}
					if (ActivePositions.Count==1 )
					{ 
						BuyAtStop( bar+1,L2, "L2" );
						ShortAtStop( bar+1,S2, "S2");

}
					if (ActivePositions.Count==0 )
					{ 
						BrktProf = 0 ;
						LstPsExBar = LastPosition.ExitBar;
						foreach( Position p in Positions )
							if (p.ExitBar == LstPsExBar )
								BrktProf += p.NetProfit;
					
						{

L1 = Highest.Series(High, ChannelUp)[bar];
							S1 = Lowest.Series(Low, ChannelDn)[bar];
							L2 = L1 + 0.5 * N ;
							S2 = S1 - 0.5 * N ;
							L3 = L1 + 1.0 * N ;
							S3 = S1 - 1.0 * N ;
							L4 = L1 + 1.5 * N ;
							S4 = S1 - 1.5 * N ;
							BuyAtStop( bar+1,L1, "L1" );
							ShortAtStop( bar+1,S1, "S1");

}
					}

}

for(int p = ActivePositions.Count - 1; p >= 0; p--)
				{
					Position pos = ActivePositions[p];
					if(pos.PositionType==PositionType.Long)
					{
						LS=pos.EntryPrice-2*N;
						if( !SellAtStop( bar+1,pos, LS, "LongStop") )
							SellAtStop( bar+1, pos, LE, "LongExit");
					}
					else
					{
						SS=pos.EntryPrice+2*N;
						if( !CoverAtStop(bar+1, pos, SS, "ShortStop") )
							CoverAtStop( bar+1, pos, SE, "ShortExit");
					}			
				}
			} 
		} 
	}
}[/CODE]

manofsteel

#10

7/13/2019 1:14 PM

hi, am new on wealth lab.

please can someone help out, i'd like to modify this code with the following modification:

1. continue to modify SL on all open positions for every 1-ATR move by 2N
2. exit in that case would then be either by stoploss or 20 day period in opposite direction of trade.

thanks,
manofsteel

manofsteel

#11

7/13/2019 1:22 PM

would it also be possible to code it in such a way as to allow for optimization?/

Eugene

#12

7/13/2019 1:38 PM

Absolutely. The WealthScript Programming Guide (WLD > Help menu) even ships with a tutorial teaching you how to do it on your own. Check it out: Programming Trading Strategies > Strategy Parameters > How to: Add Strategy Parameters.