Turtle System

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.

Note di rilascio:

Small change to update the way the labels present for each trade.

Note di rilascio:

Removed some unnecessary code.

Note di rilascio:

Documented the system and added comments to the logic.

Note di rilascio:

Fixed one minor logic bug.

Note di rilascio:

Updated the chart.

Note di rilascio:

Fixed a couple more logic issues.

Note di rilascio:

Fixed bug was adding 6 units max, should only add 5.

Note di rilascio:

Rewrite to consolidate rules and improved the aesthetics to make it easier to visually see breakouts.

Note di rilascio:

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.

Note di rilascio:

Fixed issue of code not adhering to the dates used.

Note di rilascio:

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.

Note di rilascio:

little more cleanup.

Note di rilascio:

Fixed bug in calculating avg price.

Note di rilascio:

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.

Note di rilascio:

Fixed issue that L2 trades take precedence.

Note di rilascio:

Minor changes.

Note di rilascio:

Fixed issue where L2 trades where using L1 stop.

Note di rilascio:

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.

Note di rilascio:

Improvements to calculating position size.

Note di rilascio:

Figured out a way to have pine script tell me capital left for determining position sizing.

Note di rilascio:

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.

Note di rilascio:

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.

Note di rilascio:

More improvements.

Note di rilascio:

Updated version

Note di rilascio:

Make ATR period configurable (defaults to 14)

Note di rilascio:

Someone reported the last version had a bug and wouldn't load, so hopefully this fixes it.

Note di rilascio:

Bug fix.

Note di rilascio:

Fixed issue with position sizing. Fixed crash in 5 minute time frame. Fixed crash in some futures charts.