Generally, future traders are acquainted with the name of Richard Dennis. He was the founder of the Turtle Trading System. The turtle experiment was based on the principle “anyone could be taught to trade”. After introduction of the turtle experiment, he was considered as the most successful traders of that time. He stepped into the stock market as a commodity(future) trader. His trader-life is quite inspiring, started with $5000 and became more than $100 millions gainer. The Turtle strategy generally applies to future trading. This article will cover What the turtle trading system is along with free Amibroker AFL codes.
Richard arranged a Turtle Program by placing an ad in The Wall Street Journal. Among thousands of candidates, only 14 traders would make it through the first program of Turtle Techniques. Though Dennis had not released the exact criteria of the particular strategy, still it has widely been used in the trading the live markets.
The specific technique is based on buying future contract on a 20-day high(breakout) and selling on a 20-day low. The fundamental techniques guide the implementation of trend-following strategy. It implies the reason of buying future breaking out to the upside of trading ranges and sell short downside breakout. It indicates an entry signal buying new four-week highs.
Position sizing includes a formula. Here the concept “N” represents the underlying volatility of a particular market. Simply N=20 days EMA (Exponential Moving Average) of the ATR (Average True Range). Therefore, N indicates the average price range that a particular market experiences in a single day. The daily true range is computed by maximum (H-L, H-PDC, PDC-L). Here PDC is previous day close. Here the initial stop was always placed at 2N. (2xN) or 2% of the entire account equity.
Enter position is the most significant point in trading. Turtle uses simple entry strategy. Short term based on 20-day breakout and Long-term based 55-day breakout.
In this strategy, the total winning amount is higher than losing because this system always adds to the position on the winning trades. Suppose you lose in 1 lots, gain on 5 lots, the average gaining opportunity become much higher.
In AmiBroker platform, traders can use this advanced trading strategy. Check the image above to know how the system looks like on the AmiBroker. Here a FREE download link of Turtle trading system is given below:
Indrajit is a professional blogger and trading system developer. Amibroker expert, WordPress expert, SEO expert and stock market analyst.Trading since 2002, he has started the journey of StockManiacs.net on 2008. He follows Indian and world stock markets closely.