Overview

This strategy is based on the famous "Turtle Trading Strategy", which has been validated over the years. It sends long and short signals with pyramid orders of up to 5, meaning that the strategy can trigger up to 5 orders in the same direction. With good risk and money management.

It should be noted that the strategy combines 2 systems working together (S1 and S2).

Strategy Logic

Position sizing is very important for turtle traders to properly manage risk. This position sizing strategy adapts to market volatility and account (gains and losses). It is based on ATR (Average True Range), which can also be called "N". Its default length is 20.

The number of units to buy is:

            
            
            
unit = (percentage_to_risk/100)*account/atr*syminfo.pointvalue 

Depending on your risk appetite, you can increase the percentage of your account, but turtle traders default to 1%. If you trade contracts, units must be rounded down by default.

There is also an additional rule to reduce risk if the value of the account falls below initial capital: in this case and only in this case, in the unit formula must be replaced by:

            
            
            
account := (strategy.equity-strategy.openprofit)*(strategy.equity-strategy.openprofit)/strategy.initial_capital

2 systems work together:
A breakout is a new high or new low. If it is a new high, we open a long position and vice versa if it is a new low we enter a short position.

We add an additional rule:
This additional rule allows the trader to be in major trends if the system 1 signal has been skipped. If a signal for system 1 has been skipped, and the next candle is also a new 20-day breakout, S1 does not give a signal. We have to wait for the S2 signal or wait for a candle that does not make a new breakout to reactivate S1.

Advantage Analysis

The Turtle Strategy allows us to add extra units to the position if the price moves in our favor. I have configured the strategy to allow up to 5 orders to be added in the same direction. So if the price varies from, we add units with the position size formula.

We have set a maximum SL of 10% for the first order, meaning you won't lose more than 10% of the value of your first order. However, it is possible to lose more on your pyramid orders, as the SL is increased/decreased by 0.5*ATR(20), which does not secure a loss of more than 10% on your pyramid orders.

Risk Analysis

The biggest risk of this strategy is oversized positions. Since market orders are used for order placement, placing multiple huge market orders at the same time will have a huge impact on the quote, causing large slippage. This will lead to huge capital losses.

Another risk is improper capital management configuration. For example, incorrect stop loss configuration or oversized proportions can lead to huge losses. This needs to be configured with caution according to one's own risk appetite.

Optimization

The strategy can be optimized in the following aspects:

1. Test the impact of different parameters such as ATR period, ATR multiplier for stop loss, etc. on return and sharpe ratio. Find the optimal parameter combination.

2. Test different entry and exit rules. For example, use candlestick patterns as additional filters.

3. Try other types of stop losses, such as moving stop loss, dynamic stop loss. This may reduce the probability of stop loss being hit.

4. Test different number of pyramid orders. The more orders, the greater the leverage and risk. Find the best balance point.

5. Try to stop trading during specific time periods (such as before the release of US Non-Farm Payrolls data) to avoid the impact of major events.

Summary

Overall, this strategy strikes a good balance between risk and reward, suitable for medium and long term trend trading. It has the advantages of trading systematization, controllable risks. The strategy can be further improved by optimization to increase stability and return.