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).
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.
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.
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.
The strategy can be optimized in the following aspects:
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.
Test different entry and exit rules. For example, use candlestick patterns as additional filters.
Try other types of stop losses, such as moving stop loss, dynamic stop loss. This may reduce the probability of stop loss being hit.
Test different number of pyramid orders. The more orders, the greater the leverage and risk. Find the best balance point.
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.
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.
/*backtest start: 2023-12-01 00:00:00 end: 2023-12-31 23:59:59 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © gsanson66 //This strategy is based on the famous "Turtle Strategy" //A well-known strategy which proved its performance during past years //@version=5 strategy("TURTLE STRATEGY", overlay=true) //------------------------------TOOL TIPS--------------------------------// t1 = "Percentage of the account the trader is willing to lose. This percentage is used to define the position size based on previous gains or losses. Turtle traders default to 1%." t2 = "ATR Length" t3 = "ATR Multiplier to fix the Stop Loss" t4 = "Pyramiding : ATR Multiplier to set a profit target to increase position size" t5 = "System 1 enter long if there is a new high after this selected period of time" t6 = "System 2 enter long if there is a new high after this selected period of time" t7 = "Exit Long from system 1 if there is a new low after this selected period of time" t8 = "Exit Long from system 2 if there is a new low after this selected period of time" t9 = "System 1 enter short if there is a new low after this selected period of time" t10 = "System 2 enter short if there is a new low after this selected period of time" t11 = "Exit short from system 1 if there is a new high after this selected period of time" t12 = "Exit short from system 2 if there is a new high after this selected period of time" //----------------------------------------FUNCTIONS---------------------------------------// //@function Displays text passed to `txt` when called. debugLabel(txt, color) => label.new(bar_index, high, text=txt, color=color, style=label.style_label_lower_right, textcolor=color.black, size=size.small) //@function which looks if the close date of the current bar falls inside the date range inBacktestPeriod(start, end) => true //---------------------------------------USER INPUTS--------------------------------------// //Risk Management and turtle system input percentage_to_risk = input.float(1, "Risk % of capital", maxval=100, minval=0, group="Turtle Parameters", tooltip=t1) atr_period = input.int(20, "ATR period", minval=1, group="Turtle Parameters", tooltip=t2) stop_N_multiplier = input.float(1.5, "Stop ATR", minval=0.1, group="Turtle Parameters", tooltip=t3) pyramid_profit = input.float(0.5, "Pyramid Profit", minval=0.01, group="Turtle Parameters", tooltip=t4) S1_long = input.int(20, "S1 Long", minval=1, group="Turtle Parameters", tooltip=t5) S2_long = input.int(55, "S2 Long", minval=1, group="Turtle Parameters", tooltip=t6) S1_long_exit = input.int(10, "S1 Long Exit", minval=1, group="Turtle Parameters", tooltip=t7) S2_long_exit = input.int(20, "S2 Long Exit", minval=1, group="Turtle Parameters", tooltip=t8) S1_short = input.int(15, "S1 Short", minval=1, group="Turtle Parameters", tooltip=t9) S2_short = input.int(55, "S2 Short", minval=1, group="Turtle Parameters", tooltip=t10) S1_short_exit = input.int(7, "S1 Short Exit", minval=1, group="Turtle Parameters", tooltip=t11) S2_short_exit = input.int(20, "S2 Short Exit", minval=1, group="Turtle Parameters", tooltip=t12) //Backtesting period startDate = input(title="Start Date", defval=timestamp("1 Jan 2020 00:00:00"), group="Backtesting Period") endDate = input(title="End Date", defval=timestamp("1 July 2034 00:00:00"), group="Backtesting Period") //----------------------------------VARIABLES INITIALISATION-----------------------------// //Turtle variables atr = ta.atr(atr_period) var float buy_price_long = na var float buy_price_short = na var float stop_loss_long = na var float stop_loss_short = na float account = na //Entry variables day_high_syst1 = ta.highest(high, S1_long) day_low_syst1 = ta.lowest(low, S1_short) day_high_syst2 = ta.highest(high, S2_long) day_low_syst2 = ta.lowest(low, S2_short) var bool skip = false var bool unskip_buffer_long = false var bool unskip_buffer_short = false //Exit variables exit_long_syst1 = ta.lowest(low, S1_long_exit) exit_short_syst1 = ta.highest(high, S1_short_exit) exit_long_syst2 = ta.lowest(low, S2_long_exit) exit_short_syst2 = ta.highest(high, S2_short_exit) float exit_signal = na //Backtesting period bool inRange = na //------------------------------CHECKING SOME CONDITIONS ON EACH SCRIPT EXECUTION-------------------------------// strategy.initial_capital = 50000 //Checking if the date belong to the range inRange := inBacktestPeriod(startDate, endDate) //Checking if the current equity is higher or lower than the initial capital to adjusted position size if strategy.equity - strategy.openprofit < strategy.initial_capital account := (strategy.equity-strategy.openprofit)*(strategy.equity-strategy.openprofit)/strategy.initial_capital else account := strategy.equity - strategy.openprofit //Checking if we close all trades in case where we exit the backtesting period if strategy.position_size!=0 and not inRange strategy.close_all() debugLabel("END OF BACKTESTING PERIOD : we close the trade", color=color.rgb(116, 116, 116)) //--------------------------------------SKIP MANAGEMENT------------------------------------// //Checking if a long signal has been skiped and system2 is not triggered if skip and high>day_high_syst1[1] and high<day_high_syst2[1] unskip_buffer_long := true //Checking if a short signal has been skiped and system2 is not triggered if skip and low<day_low_syst1[1] and low>day_low_syst2[1] unskip_buffer_short := true //Checking if current high is lower than previous 20_day_high after a skiped long signal to set skip to false if unskip_buffer_long if high<day_high_syst1[1] skip := false unskip_buffer_long := false //Checking if current low is higher than previous 20_day_low after a skiped short signal to set skip to false if unskip_buffer_short if low>day_low_syst1[1] skip := false unskip_buffer_short := false //Checking if we have an open position to reset skip and unskip buffers if strategy.position_size!=0 and skip skip := false unskip_buffer_long := false unskip_buffer_short := false //--------------------------------------------ENTRY CONDITIONS--------------------------------------------------// //We calculate the position size based on turtle calculation unit = (percentage_to_risk/100)*account/atr*syminfo.pointvalue //Long order for system 1 if not skip and not (strategy.position_size>0) and inRange strategy.cancel("Long Syst 2") //We check that position size doesn't exceed available equity if unit*day_high_syst1>account unit := account/day_high_syst1 stop_loss_long := day_high_syst1 - stop_N_multiplier*atr //We adjust SL if it's greater than 10% of trade value and fix it to 10% if stop_loss_long < day_high_syst1*0.9 stop_loss_long := day_high_syst1*0.9 strategy.order("Long Syst 1", strategy.long, unit, stop=day_high_syst1) buy_price_long := day_high_syst1 //Long order for system 2 if skip and not (strategy.position_size>0) and inRange //We check that position size doesn't exceed available equity if unit*day_high_syst2>account unit := account/day_high_syst2 stop_loss_long := day_high_syst2 - stop_N_multiplier*atr //We adjust SL if it's greater than 10% of trade value and fix it to 10% if stop_loss_long < day_high_syst2*0.9 stop_loss_long := day_high_syst2*0.9 strategy.order("Long Syst 2", strategy.long, unit, stop=day_high_syst2) buy_price_long := day_high_syst2 //Short order for system 1 if not skip and not (strategy.position_size<0) and inRange strategy.cancel("Short Syst 2") //We check that position size doesn't exceed available equity if unit*day_low_syst1>account unit := account/day_low_syst1 stop_loss_short := day_low_syst1 + stop_N_multiplier*atr //We adjust SL if it's greater than 10% of trade value and fix it to 10% if stop_loss_short > day_low_syst1*1.1 stop_loss_short := day_low_syst1*1.1 strategy.order("Short Syst 1", strategy.short, unit, stop=day_low_syst1) buy_price_short := day_low_syst1 //Short order for system 2 if skip and not (strategy.position_size<0) and inRange //We check that position size doesn't exceed available equity if unit*day_low_syst2>account unit := account/day_low_syst2 stop_loss_short := day_low_syst2 + stop_N_multiplier*atr //We adjust SL if it's greater than 10% of trade value and fix it to 10% if stop_loss_short > day_low_syst2*1.1 stop_loss_short := day_low_syst2*1.1 strategy.order("Short Syst 2", strategy.short, unit, stop=day_low_syst2) buy_price_short := day_low_syst2 //-------------------------------PYRAMIDAL------------------------------------// //Pyramid for long orders if close > buy_price_long + (pyramid_profit*atr) and strategy.position_size>0 //We calculate the remaining capital remaining_capital = account - strategy.position_size*strategy.position_avg_price*(1-0.0018) //We calculate units to add to the long position units_to_add = (percentage_to_risk/100)*remaining_capital/atr*syminfo.pointvalue if remaining_capital > units_to_add //We set the new Stop loss stop_loss_long := stop_loss_long + pyramid_profit*atr strategy.entry("Pyramid Long", strategy.long, units_to_add) buy_price_long := close //Pyramid for short orders if close < buy_price_short - (pyramid_profit*atr) and strategy.position_size<0 //We calculate the remaining capital remaining_capital = account + strategy.position_size*strategy.position_avg_price*(1-0.0018) //We calculate units to add to the short position units_to_add = (percentage_to_risk/100)*remaining_capital/atr*syminfo.pointvalue if remaining_capital > units_to_add //We set the new Stop loss stop_loss_short := stop_loss_short - pyramid_profit*atr strategy.entry("Pyramid Short", strategy.short, units_to_add) buy_price_short := close //----------------------------EXIT ORDERS-------------------------------// //Checking if exit_long_syst1 is higher than stop_loss_long if strategy.opentrades.entry_id(0)=="Long Syst 1" if exit_long_syst1[1] > stop_loss_long exit_signal := exit_long_syst1[1] else exit_signal := stop_loss_long //Checking if exit_long_syst2 is higher than stop_loss_long if strategy.opentrades.entry_id(0)=="Long Syst 2" if exit_long_syst2[1] > stop_loss_long exit_signal := exit_long_syst2[1] else exit_signal := stop_loss_long //Checking if exit_short_syst1 is lower than stop_loss_short if strategy.opentrades.entry_id(0)=="Short Syst 1" if exit_short_syst1[1] < stop_loss_short exit_signal := exit_short_syst1[1] else exit_signal := stop_loss_short //Checking if exit_short_syst2 is lower than stop_loss_short if strategy.opentrades.entry_id(0)=="Short Syst 2" if exit_short_syst2[1] < stop_loss_short exit_signal := exit_short_syst2[1] else exit_signal := stop_loss_short //If the exit order is configured to close the position at a profit, we set 'skip' to true (we substract commission) if strategy.position_size*exit_signal>strategy.position_size*strategy.position_avg_price*(1-0.0018) strategy.cancel("Long Syst 1") strategy.cancel("Short Syst 1") skip := true if strategy.position_size*exit_signal<=strategy.position_size*strategy.position_avg_price*(1-0.0018) skip := false //We place stop exit orders if strategy.position_size > 0 strategy.exit("Exit Long", stop=exit_signal) if strategy.position_size < 0 strategy.exit("Exit Short", stop=exit_signal) //------------------------------PLOTTING ELEMENTS-------------------------------// plotchar(atr, "ATR", "", location.top, color.rgb(131, 5, 83)) //Plotting enter threshold plot(day_high_syst1[1], "20 day high", color.rgb(118, 217, 159)) plot(day_high_syst2[1], "55 day high", color.rgb(4, 92, 53)) plot(day_low_syst1[1], "20 day low", color.rgb(234, 108, 108)) plot(day_low_syst2[1], "55 day low", color.rgb(149, 17, 17)) //Plotting Exit Signal plot(exit_signal, "Exit Signal", color.blue, style=plot.style_circles) //Plotting our position exit_long_syst2_plot = plot(exit_long_syst2[1], color=na) day_high_syst2_plot = plot(day_high_syst2[1], color=na) exit_short_syst2_plot = plot(exit_short_syst2[1], color=na) day_low_syst2_plot = plot(day_low_syst2[1], color=na) fill(exit_long_syst2_plot, day_high_syst2_plot, color=strategy.position_size>0 ? color.new(color.lime, 90) : na) fill(exit_short_syst2_plot, day_low_syst2_plot, color=strategy.position_size<0 ? color.new(color.red, 90) : na)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6