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.

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.