The Turtle Trend strategy is an enhanced version of the famous Turtle Trading strategy. It utilizes the trading signals generated by double moving averages to implement low-risk trend following trading. Its standardized entry and exit rules can effectively control trading risks and achieve stable capital growth.
The Turtle Trend strategy calculates the 20-day high, 20-day low, 55-day high and 55-day low, combined with the ATR indicator to set stop loss and profit target. It generates long signals when price exceeds 20-day high and short signals when price breaks 20-day low. In addition, a skip mechanism is set to skip trading signals if prices break through 20-day high/low but fail to break through 55-day high/low.
After entering the market, the strategy utilizes the ATR values to set stop loss and pyramiding target. It stops out when losses reach stop loss level and increases position size when profits reach pyramiding target. This maximizes profit potential in trending markets while controlling risks of individual trades.
The biggest advantage of Turtle Trend strategy lies in its excellent risk control capabilities. Standardized entry and exit rules can effectively control losses of individual trades. The skip mechanism avoids being stuck in adverse market conditions. The stable stop loss strategy also limits consecutive losses.
In addition, Turtle Trend strategy uses ATR indicator to dynamically set stop loss, enabling stop loss line to automatically adapt to changes in market volatility. This ensures that stop loss is neither too loose to cause huge losses nor too tight to be triggered by normal market fluctuations.
Finally, the pyramiding mechanism enables the strategy to fully capture profits in trending markets, laying the foundation for steady capital growth.
The main risk of Turtle Trend strategy is that it fails to profit from range-bound markets. When the market fluctuates in a range for long periods, stop loss may be frequently triggered resulting losses. Also, the skip mechanism may lead to insufficient signals and thus miss potential trading opportunities.
In addition, over reliance on technical indicators ignores fundamentals analysis. It may fail to detect major policy changes and cause unnecessary losses.
Turtle Trend strategy can be optimized in the following aspects:
Adjust skip mechanism’s sensitivity by combining volatility indicators to increase trading frequency in ranging markets.
Add fundamental signals as filter to avoid being hit by stop loss due to sporadic events.
Optimize ATR parameter settings to make stop loss line adhere more closely to actual fluctuation.
Combine volume indicators to avoid entering ineffective pullback after a loss.
In summary, Turtle Trend Strategy improves the profitability and risk control capabilities of the original Turtle Trading Strategy. It is a low-risk algorithm strategy suitable for tracking trending markets. With further optimization, it can become an important part of building long-term steady profitable portfolio.
/*backtest start: 2024-01-29 00:00:00 end: 2024-02-28 00:00:00 period: 3h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy("TURTLE STRATEGY", precision=2, overlay=true, initial_capital=1000, commission_type=strategy.commission.percent, commission_value=0.18, slippage=3, pyramiding=5, close_entries_rule="ANY", margin_long=100, margin_short=100) //------------------------------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) => (time >= start) and (time <= end) //---------------------------------------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-------------------------------// //Checking if the date belong to the range inRange := true strategy.initial_capital = 50000 //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 and unit>0 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 and unit>0 //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 and unit>0 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 and unit>0 //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 and units_to_add>0 //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 and units_to_add>0 //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