Turtle Trading System
I have been working on a thinkScript implementation of the Turtle Trading System for some time now. Unfortunately, my current remodeling project has resulted in a temporary halt to all thinkScript development. Nevertheless, the system is sufficiently complete in its present state for me to release it to the Pro Members of the site to whom I am eternally grateful for support. The following is a very brief synopsis of the two indicators I have developed. Update published to the forum – 17 July.
! ! ! 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
Wow this looks great! I looked for it in Door Three and the latest download zip file is June 19, where can I find this study. I would really like to check it out!
Great work Eric, you are much appreciated.
I will publish it to the forum next Sunday.
Eric — you never fail to amaze me with something new, interesting, creative ad useful.
You, indeed, The Man.
Thank you….I aim to make that $75 the best money ever spent.
WOW!!!
“Veni, Vidi, Vici…”
He came, he saw, he conquered.
Dude, this is sick! Finally, I can retire
This looks abso-freaking-lutely amazing….the anticipation is killing me!!! Seriously.
Excellent! Great job again Eric. Thanks so much.
Wow, what a co-incidence! I just finished reading on Turtle Trading System. I was searching for Donchian channel breakout indicator, an entry signal recommended by turtles and found this script. Eric, you never fail to amaze us. Thank you very much.
Eric – Again absolutely wonderful. You are outstanding. You are “The Most Interesting man In The World”. http://www.youtube.com/watch?v=L-4zfsy6rsM
You are amazing. Thank you
Eric,
I have been utilizing Donchian Channels with success for years. This is a tremendous innovation and one I am looking forward to putting into practice. What with the tutorials on scripting and current TOS codes this website has proved to be invaluable. As a Pro member I am eternally grateful for your willingness to share and thank you for your time.
“I will publish it to the forum next Sunday.”…………ok Eric today is next Sunday….lol
Sorry, I slept in to 6:30 today. It’s published now.
Eric — very cool studies.
Most everything is pretty self-explanatory but there is one big thing going over my head. Referring to the detail view above, it shows a long entry at 2328, a stop at 2254.254, and a long exit of 2241.50. Why is the long exit below the stop, or is that from a previous long? I don’t think it is, but it’s not computing as to why it’s there for the cur
Also, from Faith’s book (read the first 80 pagers or so) he seems pretty adamant about the need for not second-guessing the system and for following it the letter. That made me wonder why the option exists for turning off the “skip consecuive trades” rule. That very well may be addressed as I get deeper into the book (which IS very interesting) but in case it’s not I thought I’d ask.
Thanks for putting this out. I’ve always wondered about the Turtle System and it’s great to be able to examine it with the aid of the studies.
Alan,
Those are the correct exits per the rules. Your exit will always be at a loss when the trade is initiated. Take a careful look at the dashed exit lines for a completed trade and watch how they evolve. It is the ten period low for longs and the ten period high for shorts. It will take some time until the trade becomes profitable by the rules.
I chose to code in the option for ignoring the alternating trade rule. This is not an uncommon modification to the original system. It is up to you ultimately to decide how to use it.
Eric
Got it, Eric. While the former seems counter-intuitive Faith’s example of 17 consecutive losing trades in Cocoa before ripping off a huge winner seems to speak directly to that point.
Thank you for explaining.
Love it! Fantastic job!!
Eric,
This is wonderful work! Thanks to your scripts, I have made back the $75 over and over again. Definitely best $75 I’ve ever spent.
Now I have a quick question in regards to the Turtle Trading System. I see you’re using it mainly on the futures daily chart. Is there anything preventing me from using it on intraday charts?
Gene,
The system was designed for daily charts so that is what I have shown to be true to the Turtle Rules. Having run it on intraday charts myself, it looks promising there as well.
Eric
Eric,
Awesome job on this system! Can this be auto traded on TOS?
The only autotrading in TOS is through Prodigio not thinkScript studies.
I see it posted often that TOS can not be set up to ‘autotrade’ I posed this question to a TOS rep. below is their reply. Please tell me what I’m not getting.
Original Message to Ameritrade Follows:
————————
Can TOS be set up to trade automatically. that is based on signals generated by either an indicator or strategy set?
TIA
Tom
their response
Tom,
Yes. You can base trades off of studies by selecting the order rules section from the order entry screen. Here you can set orders to go to the market based off of studies. There are limitations to this but it is possible. You can find the Order rules screen by clicking on the far right of the order ticket on the silver wheel.
Kind regards,
Jesse Carlberg
Trade Support
thinkorswim from TD Ameritrade
You can execute trades based on very simple studies. If you can create a complex alert condition then you can execute a trade based on that condition. The Turtle System is much too complicated for this functionality. You could however create an automated order based on the following study code:
high>highest(high,20)[1]
set to TRUE on a Daily aggregation period. Provided you set up the rest of the oder entry correctly with a market order, it will execute when the underlying punches through the 20 day trailing high which is the basic Turtle entry for long. You could do the same for shorts and exits at the 10 period trailing high/low. This would be semi-automated but tedious to go in and set up each time something changes.
-Eric
Hello Eric,
in the first chart “detail view” the labels (long entry, short entry, stop, etc.) that are shown on the chart did you add these labels manually or was this done thru the program?
new to pro, thank you for sharing your work, and also thank you for everyone else in sharing there work for the team to benefit.
Thank You
Ron
The bubbles are automatic. Ensure you have a little right extension space to see them. Also, check out the thread in the Studies Support part of the forum.
-Eric
Very impressive work Eric!
Quick question… when working with individual stocks how does the system add and remove shares. It looks like it might be adding 1 share at a time which would be tricky in real life. Do I need to switch to manual when dealing with stocks. Let’s use QQQ as an example for this question.
Thank you!
Position sizing is designed for futures only. If you trade anything else you will need to use manual sizes.
Cannot find script for turtle trading system.
Searched forum
Thanks
Dianne
It was added to the last zip file which is always available in the top of the Pro area of the forum.
Does the auto unit size and tick work for currencies and metals or should I consider modifying by using manual entry with either of those selections?
Example /6E or /YG
Thanks again!!
In other words… is there a table that the code is reading to find out what the unit and tick should be or is this a TOS constant? I didn’t see anything in the code so I was wondering if there is a way to automate it for stocks as well, etc. ?
The system usually works correctly for all futures. That said, thinkScript incorrectly returns tick sizes for several of the futures products – /CL comes to mind. If the automatic system is not working correctly you should switch to manual. The readouts in the legend will tell you what the system thinks is the tick size and value so you can see if they are right.
Ah, thanks! That makes sense.
The Turtle has been freed! Long live the Turtle!
Outstanding work Eric!
Awesome Eric. I created my own, but your script is more versatile.
I was wondering if you could add a line so that the Candle changes color when there is a Turtle breakout with System 1/2 and change to regular Candle during the in betweens. Kind of like your TS Multi Stop script or the Trend script. Thank you.
Hello Eric
I read Mr. Faith’s book hoping to see if I can do my own research before I ask my question. I could not find the answers so I was wondering what the below variables represent
TS Turtle Trading System:
Current position =
Profit open =
Total profit =
Profit factor =
Profit/max draw down =
TS_Turtle Trading System Equity Curve
Risk =
N = I found this varible
One Unit = I found this variable
Tick Size =
Tick Value =
Ticks Per Dollar =
Thank You
Ron
Current position = # contracts long or short
Profit open = current position profit/loss
Total profit = total profit/loss for entire chart
Profit factor = ratio of total profits to total losses
Profit/max draw down = Total profit/max drawdown – widely accepted measure of performance
TS_Turtle Trading System Equity Curve
Risk = Dollar amount risked based on settings
N = I found this varible
One Unit = I found this variable
Tick Size = tick size of current symbol
Tick Value = dollar value of one tick on current symbol
Ticks Per Dollar = how many ticks in one dollar for current symbol.
really helpful, Eric. Thanks for pushing forward. Using this with Volume Profile for confirmation
Hello
any books or blogs that I can read about to learn more about Turtle Trading. I have read Curtis Faith’s book and also been on his website. Was wondering if there is any other reputable sources that I can read
Thank You
Ron
Hi Eric,
I was wondering if you could give us more details on how the equity curve works. Does it start off with the amount of cash invested in the first set of contracts and go from there or does it take into account a previous trade?
Thank you,
Renn
It is simply the cumulative total of all profits and losses.
Eric,
I just wanted to make sure if there are any newer versions of the Turtle study. My version says July 17. Have you revised it since then.
Thanks
Eric
There is a working copy of the next version in the forum.
where is it. I looked on the studies download and it says as of July 17 also which is what i have
There is a long thread on the Turtle system in the Pro area “Studies Support”. The developmental version is there.
Eric
Is there a way to reset total profit to start looking from a particular date, even if it is only today’s date? I want to set up a separate saved chart/grid for each futures instrument I trade, and it would be very helpful to look at the estimated cumulative profits from that point in time only.
No, there is not.
Eric,
I really have to compliment you on this wonderful work. The Turtles have always intrigued me. Since most of us aren’t trading with million dollar future accounts, I think an intraday option on the 5 min or 15 min chart may be more of a realistic scenario when it comes to lot sizes, stops and targets. Was wondering if the system can be programed to trade particular time frames like 9:30 to 11:30 as an example and then plot the P&L for those trades?
Any suggestions on adjustments or maybe another study to use in conjunction with the Turtle system that might reduce the “go nowhere” trades that fire off in opposite directions when the market is going sideways?
SO eric…can this be automated? or back tested in someway
The backtesting system is already part of the indicator. You can see the lower study with all the relevant data. I do not have an automated system for TOS.
Eric, i really like your turtle script, and it really works well with with your “sinewavewstudy”. is there a way to create an alert for a “long entry” just above the upper sinewavecycle if you are going long or “short entry” just below the lower sinewavecycle if you are short the stock. playing the breakouts are real cash cows.