The Turtle Trading approach* is a trend following system that uses volatility for position size. *(Richard Dennis & William Eckhardt )
Turtle traders use the N unit system for risk management, which has its own advantages. This indicator offers beginners a simple interface that uses the same logic. Using ATR (Average True Range) to measure volatility.
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.
Green lines represents the 20/55 day highs (configurable)
Red lines represent the 10/20 day lows (configurable)
Strategy based on Turtle Trading Strategy from William Eckhardt and Richard Dennis
- Considers entering trades on breakout of Donchian channels (upper for long, lower for short) (Default length = 20 for daily)
- Considers exiting trades on breakout of Donchian channels (lower for long, upper for short) with lower length (10 for daily)
- Uses 2N ATR (default) as stop loss
There are a few different attempts at the turtle strategy on here, but none that I have seen thus far correctly follow the strategy as I know it. This version uses a stop order to trail out of the position by moving the stop order to match the exit channel or stoploss as the N*2( ema of True Range * 2). This version of turtle strategy also uses stop orders for...
Doncian Channels is a trend tracking indicator developed by Richard Doncian. The upper line of the channel is determined by the highest value seen by the price in the defined period, the lower line of the channel is determined by the lowest value seen by the price in the defined period. The middle line takes the average value of the lower and upper channels.
This is a short-sell version of the strategy based on the famous turtle system.
In a nutshell, it a trend trading system where you are shorting on strength (in the downtrend), selling on
weakness (that it might be reversing).
positions should be entered when the price crosses under the 20-day low (S1 low) or 55-day low (S2 low).
This is the Donchian Channel expressed with a percentage cloud. Default 12.5% of the range will be filled at each edge, this helps to show reversal possibilities as price returns to the area between the clouds. This offers a usage to essentially fade the turtle trader system. That system is loosely based on the playing of the breakouts of the the channel... as...
Track consecutive new highs/lows outside the Donchian range. Fans of the oldschool Turtle Strategy should enjoy the visualization.
Same logic as my "Walking the Bands" script, just with Donchian breaks instead of Bollinger tags.
This oscillator displays the proportions (ratios) of the closing price from the 20-period Donchian high & low prices. Use for breakouts (not intended for mean reversion).
Dark green = new 20-period high
Dark red = new 20-period low
Donchian Channel Trading system visualised as a cloud.
Entry Length: 20
Stop Length: 10
Entry Length: 55
Stop Length: 20
For a more in-depth review, look up "Turtle Trading" rules
The simplest way to use the cloud;
-When the cloud flips from above to below (support), close any shorts and...
Simple script that calculates the normalized value of N. Rules taken from an online PDF containing the original Turtle system:
"The Turtles used a volatility-based constant percentage risk position sizing algorithm. The Turtles used a concept that Richard Dennis and Bill Eckhardt called N to represent the underlying volatility of a particular market.
N is simply...