Pro Members can expect an update next week including the Step MA.

Step Moving Average

PRO Members can download the latest zip file in the forum now.

! ! ! IMPORTANT ! ! !
It goes without saying, but I’m going to say it up front here with emphasis: – You should not trade this system unless you fully understand the basic concepts. You must do your own due diligence. A trading system does not relieve you of your responsibility for the trades. Just because a system shows a historical profit on your chart does not mean it will continue to do so in the future. Over-optimization of the RSI parameters to make the current chart as profitable as possible is a likely path to future destruction and is referred to as “Curve-Fitting.” Generalized parameters should be chosen within a broad range of the profitable possibilities.

RSI Trading System

! ! ! IMPORTANT ! ! !
It goes without saying, but I’m going to say it up front here with emphasis: – You should not trade this system unless you fully understand the basic concepts. You must do your own due diligence. A trading system does not relieve you of your responsibility for the trades. Just because a system shows a historical profit on your chart does not mean it will continue to do so in the future. Over-optimization of the MACD parameters to make the current chart as profitable as possible is a likely path to future destruction and is referred to as “Curve-Fitting.”

MACD Trading System

# TS_PERIOD_VWAP
# http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 19 OCT 2011

# Daily Charts and up only

input startDateYyyyMmDd = 20090309;
def beyondStartDate = if getYyyyMmDd()>= startDateYyyyMmDd then 1 else 0;

plot VWAP = TotalSum(if beyondStartDate then (((high+low+close)/3)*volume) else 0)/TotalSum(if beyondStartDate then volume else 0);

VWAP.SetDefaultColor(color.orange);
VWAP.SetStyle(curve.SHORT_DASH);
VWAP.SetLineWeight(2);

Turtle Trading System

! ! ! IMPORTANT ! ! !
It goes without saying, but I’m going to say it up front here with emphasis: – You should not trade this system unless you fully understand its rules. – You must do your own due diligence. Just because a system shows a historical profit on your chart does not mean it will continue to do so in the future. – The entries and exits here are ideal. No account for slippage or trade costs has been included.

Ever since reading Curtis Faith’s Way of the Turtle I have been focused on development of mechanical trading systems. Devoid of one of the primary reasons for trading failure – human emotion – the Turtle Trading System has become somewhat legendary as a result of the success achieved by a small group of non-traders taught the system and given $1M accounts to trade. I won’t spoil the whole story as Faith’s book is an enjoyable read and highly recommended.

The basic Turtle Rules, which can be found easily with a web search, are deceptively simple. Breakouts of 20 period highs and lows constitute trade initiation signals (System 1) and exits are defined as a breach of the opposing 10 period high/low. There are specific rules for position size and stops based on volatility and account size. I have encapsulated the rules into these two indicators. (Both System 1 and System 2 rules are selectable with the additional option of alternating trades in System 1)

When flat, the Turtle Trading System indicator will show the required levels for a breakout/breakdown. Once in a trade, the indicators show the stop, exit, and initiation price levels throughout the life of the trade. All the trade information is tracked to provide a somewhat comprehensive list of statistics – I say somewhat as this is the part of the indicators I will be enhancing with further statistical measures of performance.

Turtle Trader - Flat

The upper indicator shows the breakout channels as well as stops and targets. (Long trades – cyan, Short trades – orange, Volatility Prohibited Trades – magenta, Exits/Stopped – white) The lower indicator displays the equity curve for the system as traded against the current chart. Both indicators have a status bar which is configurable in one of three modes to display the current position and some vital statistics, the position sizing information, or the historical/detailed trade statistics. There are examples of each of the three modes in the various screen shots below.

Detail View

Full Statistics - Lower Panel

Volatility Halt - Magenta Zone

Bollinger Bands with Fibonacci Ratio Lines

# TS_BollingerBandFibs
# http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 25 May 2011

input price = hl2;
input displace = 0;
input length = 233;
input fib1 = 0.382;
input fib2 = 0.618;
input fib3 = 0.764;

def sDev = stdev(data = price[-displace], length = length);

plot MidLine = Average(data = price[-displace], length = length);
plot LowerBand = MidLine -3.0 * sDev;
plot UpperBand = MidLine + 3.0 * sDev;
plot UpperFibLine1 = (UpperBand-Midline)*fib1+Midline;
plot UpperFibLine2 = (UpperBand-Midline)*fib2+Midline;
plot UpperFibLine3 = (UpperBand-Midline)*fib3+Midline;
plot LowerFibLine1 = (LowerBand-Midline)*fib1+Midline;
plot LowerFibLine2 = (LowerBand-Midline)*fib2+Midline;
plot LowerFibLine3 = (LowerBand-Midline)*fib3+Midline;

LowerBand.setDefaultColor(color.blue);
MidLine.setDefaultColor(color.gray);
UpperBand.setDefaultColor(color.blue);

LowerBand.setLineWeight(2);
MidLine.setLineWeight(2);
UpperBand.setLineWeight(2);

UpperFibLine1.setDefaultColor(color.gray);
UpperFibLine2.setDefaultColor(color.gray);
UpperFibLine3.setDefaultColor(color.gray);
LowerFibLine1.setDefaultColor(color.gray);
LowerFibLine2.setDefaultColor(color.gray);
LowerFibLine3.setDefaultColor(color.gray);

UpperFibLine1.setStyle(curve.SHORT_DASH);
UpperFibLine2.setStyle(curve.SHORT_DASH);
UpperFibLine3.setStyle(curve.SHORT_DASH);
LowerFibLine1.setStyle(curve.SHORT_DASH);
LowerFibLine2.setStyle(curve.SHORT_DASH);
LowerFibLine3.setStyle(curve.SHORT_DASH);