imported>Stefano Fanton il 11:42, 20 apr 2012

2012-04-20T11:42:17Z

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La definizione delle tartarughe implica nel trading system anche il money managemant (quanto rischiare in ogni operazione), quindi ho la necessita di conoscere quanto capitale ho disponibile e quante posizioni contemporanee posso aprire (piramidare in gergo).

Siccome da Easy Language non ho variabili di sistema per leggere i valori impostati nella sezione "Costi" e nella sezione "Proprietà" del pannello di formattazione, sono stato costretto a prevedere gli stessi dati come Input della strategy.

Descrizione variabili di Input:

*'''DistH '''''numero min di barre per rilevare un high break default (4)''
*'''DistL '''''numero min di barre per rilevare un low break default (4)''
*'''Account '''''capitale iniziale utilizzabile default (10000)''

*'''MaxPercRisk '''''definisce in percentuale il rischio relativo alla volatilità "N in gergo tartarughe" lo stop-loss è 2 volte questo parametro, di default (1)''

*'''MaxOpenEntry '''''numero massimo di posizioni aperte consecutive default (4)''

 

Per capire meglio come inserire le variabili di Input guardare l'esempio nel workspace allegato.

*'''Associazione colori break out:'''

''• la linea blu sottile indica break high 20 barre. • la linea blu spessa indica break high 55 barre. • la linea ciano spessa indica break high entrate in piramide. • la linea rossa sottile indica break low 20 barre. • la linea rossa spessa indica break low 55 barre. • la linea magenta spessa indica break low entrate in piramide.''

*'''Update Ver 0.1.0'''

La versione aggiornata gestisce i nuovi ticks MTS in vigore da Feb. 2005 ed è stata divisa in due sotto release. La #1 tiene un ordine attivo solo il giorno successivo il BreakOut, mentre la #2 tiene L'ordine attivo per DistH -1 per i Buy Orders e DistL -1 per i Sell Orders.

Mediamente va meglio la #2, ma su alcuni titoli è meglio la #1.

== '''PositionMoneyMng''' ==

''PositionMoneyMng(Account,PercRisk,Price,Loss)'' Ritorna il numero share per la posione da prendere a Price con massima perdita Loss garantendo una massima perdita PercRisk sul Account.

INIZIO FORMULA Inputs:Account(NumericSimple),PercRisk(NumericSimple),Price(NumericSimple),Loss(NumericSimple);

PositionMoneyMng = Floor(Minlist(Account / Price,((Account * PercRisk) / 100) / Loss));

FINE FORMULA

== '''TicksMTS''' ==

Provided By: Carlo Bastelli nov. 2004

INIZIO FORMULA

Inputs: Price(NumericSimple);

if Price <= 0.2500 then TicksMTS = 0.0001 else if Price <= 1.0 then {0.2501 to 1.0 } TicksMTS = 0.0005 else if Price <= 2.0 then {1.0001 to 2.0 } TicksMTS = 0.0010 else if Price <= 5.0 then {2.0001 to 5.0 } TicksMTS = 0.0025 else if Price <= 10.0 then {5.0001 to 10 } TicksMTS = 0.0050 else TicksMTS = 0.0100;

FINE FORMULA

== '''TicksRound''' ==

Provided By: Carlo Bastelli feb. 2005

INIZIO FORMULA Inputs: Price(NumericSimple); Vars:Tick(0),Remaind(0);

Tick=TicksMTS(Price); Remaind=Mod(Price,Tick); if (Remaind=0) then TicksRound=Price else if (Remaind>=Tick/2) then TicksRound=Price-Remaind+Tick else TicksRound=Price-Remaind; FINE FORMULA

== '''Tourtle Soup #1''' ==

Provided By: Carlo Bastelli 2005 carlo_bastelli@yahoo.it 

INIZIO FORMULA

{ Turtle mode #1 Ver.0.1.0 03.02.2005 Ordine Buy/Sell solo la barra dopo break out } { Turtle mode #1 Ver.0.1.1 12.10.2005 Aggiunto Expert Commentary }

Input:DistH(4),DistL(4),Account(10000),MaxPercRisk(2),MaxOpenEntry(4); Var:TradeAccount(-1),PosSize(0),TrailBars(10),Eq(0),T1(0); Var:cCurrentEntries(0),cAvgEntryPrice(0),cEntryPrice(0),cCurrentContracts(0); Var:BuyStop(-1),BuyLimit(-1),LExitStop(-1),SellStop(-1),SellLimit(-1),SExitStop(-1); Var:NextHigh(-1),NextLow(-1); Var:BreakType(0),BreakStop(-1),BreakBars(0),BreakIsLoss(false),Break20Found(false),Break20SkipCnt(0);

if Barnumber=1 then begin VALUE29=-1; VALUE38=-1; end;

cCurrentEntries=CurrentEntries; cAvgEntryPrice=AvgEntryPrice; cCurrentContracts=CurrentContracts; if (cCurrentEntries>cCurrentEntries[1]) then begin cEntryPrice=(CurrentContracts*AvgEntryPrice-cCurrentContracts[1]*cAvgEntryPrice[1])/ (CurrentContracts-cCurrentContracts[1]); if MarketPosition=1 then begin LExitStop=TicksRound(cEntryPrice-2*XAverage(TrueRange,20)); NextHigh=cEntryPrice+0.5*XAverage(TrueRange,20); NextHigh=TicksRound(NextHigh+TicksMTS(NextHigh)); VALUE29=-1; end else begin SExitStop=TicksRound(cEntryPrice+2*XAverage(TrueRange,20)); NextLow=cEntryPrice-0.5*XAverage(TrueRange,20); NextLow=TicksRound(NextLow-TicksMTS(NextLow)); VALUE38=-1; end; {print(cEntryPrice," ",cCurrentEntries," ",CurrentContracts-cCurrentContracts[1]," ",date);} value99=date; { Date & Time per linea entry multiple Buy/Sell } value98=time; end; if (cCurrentEntries=0 and cCurrentEntries[1]<>0) then begin NextHigh=-1; NextLow=-1; LExitStop=-1; SExitStop=-1; if VALUE29>=0 then TL_Delete(VALUE29); VALUE29=-1; if VALUE38>=0 then TL_Delete(VALUE38); VALUE38=-1; end;

{ Gestione Exit Stop & Trailing } if MarketPosition=1 then begin ExitLong ("LES") next bar at LExitStop stop; if BarsSinceEntry>TrailBars then ExitLong ("LET") next bar at TicksRound(Lowest(Low,TrailBars)) stop; end else if MarketPosition=-1 then begin ExitShort ("SES") next bar at SExitStop stop; if BarsSinceEntry>TrailBars then ExitShort ("SET") next bar at TicksRound(Highest(High,TrailBars)) stop; end;

Break20Found=false; { Genera segnali Buy Break High 20 bars } if H>=Highest(H,20)[1] then begin value1=H; value2=BarNumber; value3=value2[0]-value2[1];

if value3>DistH and value1[0]>=value1[1] and value1[1]<>0 and NextHigh=-1 then begin {BuyStop=value1[1]-TicksMTS(value1[1])-XAverage(TrueRange,20); BuyLimit=value1[1]+XAverage(TrueRange,20);} if BreakIsLoss or Break20SkipCnt>0 then begin BuyStop=TicksRound(value1[1]+TicksMTS(value1[1])); BuyLimit=TicksRound(value1[0]-XAverage(TrueRange,20)); Break20SkipCnt=0; Break20Found=true; end else Break20SkipCnt=Break20SkipCnt+1; VALUE9=TL_New(date[value3+1],time[value3+1],high[value3],date,time,high[value3]); TL_SetSize(VALUE9, 1); TL_SetColor(VALUE9, Blue); if BreakType=0 then begin BreakBars=0; BreakType=1; {BreakIsLoss=false;} end; end; end; { Genera segnali Buy Break High 55 bars } if H>=Highest(H,55)[1] then begin value4=H; value5=BarNumber; value6=value5[0]-value5[1];

if value6>DistH and value4[0]>=value4[1] and value4[1]<>0 and Break20Found<>true and NextHigh=-1 then begin BuyStop=TicksRound(value4[1]+TicksMTS(value4[1])); BuyLimit=TicksRound(value4[0]-XAverage(TrueRange,20)); Break20SkipCnt=0; VALUE9=TL_New(date[value6+1],time[value6+1],high[value6],date,time,high[value6]); TL_SetSize(VALUE9, 3); TL_SetColor(VALUE9, blue); if BreakType=0 then begin BreakBars=0; BreakType=1; {BreakIsLoss=false;} end; end; end;

Break20Found=false; { Genera segnali Sell Break Low 20 bars } if L<=Lowest(L,20)[1] then begin value10=L; value11=BarNumber; value12=value11[0]-value11[1];

if value12>DistL and value10[0]<=value10[1] and value10[1]<>0 and NextLow=-1 then begin if BreakIsLoss or Break20SkipCnt>0 then begin SellStop=TicksRound(value10[1]-TicksMTS(value10[1])); SellLimit=TicksRound(value10[0]+XAverage(TrueRange,20)); Break20SkipCnt=0; Break20Found=true; end else Break20SkipCnt=Break20SkipCnt+1; VALUE19=TL_New(date[value12+1],time[value12+1],Low[value12],date,time,Low[value12]); TL_SetSize(VALUE19, 1); TL_SetColor(VALUE19, Red); if BreakType=0 then begin BreakBars=0; BreakType=-1; {BreakIsLoss=false;} end; end;

end; { Genera segnali Sell Break Low 55 bars } if L<=Lowest(L,55)[1] then begin value13=L; value14=BarNumber; value15=value14[0]-value14[1];

if value15>DistL and value13[0]<=value13[1] and value13[1]<>0 and Break20Found<>true and NextLow=-1 then begin SellStop=TicksRound(value13[1]-TicksMTS(value13[1])); SellLimit=TicksRound(value13[0]+XAverage(TrueRange,20)); Break20SkipCnt=0; VALUE19=TL_New(date[value15+1],time[value15+1],Low[value15],date,time,Low[value15]); TL_SetSize(VALUE19, 3); TL_SetColor(VALUE19, Red); if BreakType=0 then begin BreakBars=0; BreakType=-1; {BreakIsLoss=false;} end; end; end;

{ Gestione entry multiple high } if NextHigh<>-1 and cCurrentEntries<MaxOpenEntry and TradeAccount>0 then begin if H>=Nexthigh then begin {print("BuyStop :",BuyStop," ",NextHigh," ",date);} BuyStop=NextHigh; BuyLimit=NextHigh; end; if VALUE29>=0 then TL_Delete(VALUE29); VALUE29=TL_New(value99,value98,NextHigh,date+1,time,NextHigh); TL_SetSize(VALUE29, 3); TL_SetColor(VALUE29, Cyan); end;

{ Gestione entry multiple low } if NextLow<>-1 and cCurrentEntries<MaxOpenEntry and TradeAccount>0 then begin if L<=NextLow then begin SellStop=NextLow; SellLimit=NextLow; end; if VALUE38>=0 then TL_Delete(VALUE38); value38=TL_New(value99,value98,NextLow,date+1,time,NextLow); TL_SetSize(value38, 3); TL_SetColor(value38, Magenta); end;

{ Verifica ultimo break in loss } if BreakType<>0 then begin if BreakBars<=11 then begin if BreakType=1 then BreakIsLoss=BreakIsLoss or (BreakStop<=Lowest(Low,BreakBars-1)) else BreakIsLoss=BreakIsLoss or (BreakStop>=Highest(High,BreakBars-1)); BreakBars=BreakBars+1; end else begin BreakType=0; BreakIsLoss=false; end; end;

if MarketPosition<>-1 and BuyStop<>-1 then begin { Genera ordini Buy } TradeAccount=Account-(CurrentContracts*AvgEntryPrice)+NetProfit; {print("BuyStop :",BuyStop," ",TradeAccount," ",date);} if TradeAccount>2*maxlist(BuyStop,BuyLimit) then begin PosSize=PositionMoneyMng(TradeAccount,MaxPercRisk,BuyLimit,2*XAverage(TrueRange,20)); Buy ("TLE") PosSize shares next bar at BuyStop stop; end else TradeAccount=-1; BuyStop=-1; BuyLimit=-1; end else if MarketPosition<>1 and SellStop<>-1 then begin { Genera ordini Sell } TradeAccount=Account-(CurrentContracts*AvgEntryPrice)+NetProfit; if TradeAccount>2*minlist(SellStop,SellLimit)then begin PosSize=PositionMoneyMng(TradeAccount,MaxPercRisk,SellLimit,2*XAverage(TrueRange,20)); Sell ("TSE") PosSize shares next bar at SellStop stop; end else TradeAccount=-1; SellStop=-1; SellLimit=-1; end;

{ Expert Commentary Report } If AtCommentaryBar then begin Eq=Account-(CurrentContracts*AvgEntryPrice)+NetProfit; Vars:Str(""); Str=Str+"*************** System inputs **************************"+NewLine; Str=Str+"Starting Capital : "+NumToStr(Account,2)+NewLine; Str=Str+"Percentage of Equity to risk : "+NumToStr(MaxPercRisk,2)+" % "+NewLine; Str=Str+"*************** Current statistics ************************"+NewLine; Str=Str+"Market position : "+NumToStr(MarketPosition,0)+NewLine; Str=Str+"Current Shares held : "+NumToStr(cCurrentContracts,0)+NewLine; Str=Str+"Current Equity : "+NumToStr(Eq,2)+NewLine; if BuyStop<>-1 or SellStop<>-1 then Str=Str+"Percentage of current Equity to risk : "+NumToStr(MaxPercRisk,2)+" % equals "+NumToStr(-Eq*MaxPercRisk/100,2)+" dollars "+NewLine; If BuyStop<>-1 then begin Str=Str+"Entry Long : "+NumToStr(BuyStop,4)+NewLine; Str=Str+"Exit Long : " +NumToStr(TicksRound(BuyStop-2*XAverage(TrueRange,20)),4)+NewLine; Str=Str+"Difference between Entry Long and Exit Long in Dollars : "+NumToStr(TicksRound(2*XAverage(TrueRange,20)),4)+NewLine; Str=Str+"Number of shares to buy to risk "+NumToStr(MaxPercRisk,2)+" % of capital : "+NumToStr(PosSize,0)+NewLine; end else If MarketPosition=1 then begin Eq=Account+NetProfit; T1=-cCurrentContracts*(cAvgEntryPrice-LExitStop); Str=Str+"Percentage of current Equity to risk : "+NumToStr(AbsValue(100*T1/Eq),2)+" % equals "+NumToStr(T1,2)+" dollars "+NewLine; Str=Str+"Entry Long : "+NumToStr(cEntryPrice,4)+NewLine; Str=Str+"Exit Long : " +NumToStr(LExitStop,4)+NewLine; Str=Str+"Difference between Entry Long and Exit Long in Dollars : "+NumToStr(cEntryPrice-LExitStop,4)+NewLine; Str=Str+"Open Position Profit in Dollars : "+NumToStr(OpenPositionProfit,2)+NewLine; end; If SellStop<>-1 then begin Str=Str+"Entry Short : "+NumToStr(SellStop,4)+NewLine; Str=Str+"Exit Short : " +NumToStr(TicksRound(SellStop+2*XAverage(TrueRange,20)),4)+NewLine; Str=Str+"Difference between Entry Short and Exit Short in Dollars : "+NumToStr(TicksRound(2*XAverage(TrueRange,20)),4)+NewLine; Str=Str+"Number of shares to Sell to risk "+NumToStr(MaxPercRisk,2)+" % of capital : "+NumToStr(PosSize,0)+NewLine; end else If MarketPosition=-1 then begin Eq=Account+NetProfit; T1=-cCurrentContracts*(SExitStop-cAvgEntryPrice); Str=Str+"Percentage of current Equity to risk : "+NumToStr(AbsValue(100*T1/Eq),2)+" % equals "+NumToStr(T1,2)+" dollars "+NewLine; Str=Str+"Entry Short : "+NumToStr(cEntryPrice,4)+NewLine; Str=Str+"Exit Short : " +NumToStr(SExitStop,4)+NewLine; Str=Str+"Difference between Entry Short and Exit Short in Dollars : "+NumToStr(SExitStop-cEntryPrice,4)+NewLine; Str=Str+"Open Position Profit in Dollars : "+NumToStr(OpenPositionProfit,2)+NewLine; end; Commentary(Str); end;

FINE FORMULA

== '''Tourtle Soup #2''' ==

Provided By: Carlo Bastelli 2005 carlo_bastelli@yahoo.it 
Turtle mode #2 Ver.0.1.0 03.02.2005 Ordini ripetuti piu' barre } { Turtle mode #2 Ver.0.1.1 12.10.2005 Aggiunto Expert Commentary

INIZIO FORMULA

Input:DistH(4),DistL(4),Account(10000),MaxPercRisk(2),MaxOpenEntry(4); Var:TradeAccount(-1),PosSize(0),TrailBars(10),Eq(0),T1(0); Var:cCurrentEntries(0),cAvgEntryPrice(0),cEntryPrice(0),cCurrentContracts(0); Var:BuyStop(-1),BuyLimit(-1),LExitStop(-1),SellStop(-1),SellLimit(-1),SExitStop(-1); Var:NextHigh(-1),NextLow(-1),BarUntil(-1); Var:BreakType(0),BreakStop(-1),BreakBars(0),BreakIsLoss(false),Break20Found(false),Break20SkipCnt(0);

if Barnumber=1 then begin VALUE29=-1; VALUE38=-1; end;

cCurrentEntries=CurrentEntries; cAvgEntryPrice=AvgEntryPrice; cCurrentContracts=CurrentContracts; if (cCurrentEntries>cCurrentEntries[1]) then begin cEntryPrice=(CurrentContracts*AvgEntryPrice-cCurrentContracts[1]*cAvgEntryPrice[1])/ (CurrentContracts-cCurrentContracts[1]); if MarketPosition=1 then begin LExitStop=TicksRound(cEntryPrice-2*XAverage(TrueRange,20)); NextHigh=cEntryPrice+0.5*XAverage(TrueRange,20); NextHigh=TicksRound(NextHigh+TicksMTS(NextHigh)); BuyStop=-1; BuyLimit=-1; BarUntil=-1; VALUE29=-1; end else begin SExitStop=TicksRound(cEntryPrice+2*XAverage(TrueRange,20)); NextLow=cEntryPrice-0.5*XAverage(TrueRange,20); NextLow=TicksRound(NextLow-TicksMTS(NextLow)); SellStop=-1; SellLimit=-1; BarUntil=-1; VALUE38=-1; end; value99=date; { Date & Time per linea entry multiple Buy/Sell } value98=time; end; if (cCurrentEntries=0 and cCurrentEntries[1]<>0) then begin NextHigh=-1; NextLow=-1; LExitStop=-1; SExitStop=-1; BuyStop=-1; BuyLimit=-1; SellStop=-1; SellLimit=-1; BarUntil=-1; if VALUE29>=0 then TL_Delete(VALUE29); VALUE29=-1; if VALUE38>=0 then TL_Delete(VALUE38); VALUE38=-1; end;

{ Gestione Exit Stop & Trailing } if MarketPosition=1 then begin ExitLong ("LES") next bar at LExitStop stop; if BarsSinceEntry>TrailBars then ExitLong ("LET") next bar at TicksRound(Lowest(Low,TrailBars)) stop; end else if MarketPosition=-1 then begin ExitShort ("SES") next bar at SExitStop stop; if BarsSinceEntry>TrailBars then ExitShort ("SET") next bar at TicksRound(Highest(High,TrailBars)) stop; end;

Break20Found=false; { Genera segnali Buy Break High 20 bars } if H>=Highest(H,20)[1] then begin value1=H; value2=BarNumber; value3=value2[0]-value2[1];

if value3>DistH and value1[0]>=value1[1] and value1[1]<>0 and NextHigh=-1 then begin {BuyStop=value1[1]-TicksMTS(value1[1])-XAverage(TrueRange,20); BuyLimit=value1[1]+XAverage(TrueRange,20);} if BreakIsLoss or Break20SkipCnt>0 then begin BuyStop=TicksRound(value1[1]+TicksMTS(value1[1])); BuyLimit=TicksRound(value1[0]-XAverage(TrueRange,20)); Break20SkipCnt=0; Break20Found=true; end else Break20SkipCnt=Break20SkipCnt+1; VALUE9=TL_New(date[value3+1],time[value3+1],high[value3],date,time,high[value3]); TL_SetSize(VALUE9, 1); TL_SetColor(VALUE9, Blue); if BreakType=0 then begin BreakBars=0; BreakType=1; {BreakIsLoss=false;} end; end; end; { Genera segnali Buy Break High 55 bars } if H>=Highest(H,55)[1] then begin value4=H; value5=BarNumber; value6=value5[0]-value5[1];

if value6>DistH and value4[0]>=value4[1] and value4[1]<>0 and Break20Found<>true and NextHigh=-1 then begin BuyStop=TicksRound(value4[1]+TicksMTS(value4[1])); BuyLimit=TicksRound(value4[0]-XAverage(TrueRange,20)); Break20SkipCnt=0; VALUE9=TL_New(date[value6+1],time[value6+1],high[value6],date,time,high[value6]); TL_SetSize(VALUE9, 3); TL_SetColor(VALUE9, blue); if BreakType=0 then begin BreakBars=0; BreakType=1; {BreakIsLoss=false;} end; end; end;

Break20Found=false; { Genera segnali Sell Break Low 20 bars } if L<=Lowest(L,20)[1] then begin value10=L; value11=BarNumber; value12=value11[0]-value11[1];

if value12>DistL and value10[0]<=value10[1] and value10[1]<>0 and NextLow=-1 then begin if BreakIsLoss or Break20SkipCnt>0 then begin SellStop=TicksRound(value10[1]-TicksMTS(value10[1])); SellLimit=TicksRound(value10[0]+XAverage(TrueRange,20)); Break20SkipCnt=0; Break20Found=true; end else Break20SkipCnt=Break20SkipCnt+1; VALUE19=TL_New(date[value12+1],time[value12+1],Low[value12],date,time,Low[value12]); TL_SetSize(VALUE19, 1); TL_SetColor(VALUE19, Red); if BreakType=0 then begin BreakBars=0; BreakType=-1; {BreakIsLoss=false;} end; end;

end; { Genera segnali Sell Break Low 55 bars } if L<=Lowest(L,55)[1] then begin value13=L; value14=BarNumber; value15=value14[0]-value14[1];

if value15>DistL and value13[0]<=value13[1] and value13[1]<>0 and Break20Found<>true and NextLow=-1 then begin SellStop=TicksRound(value13[1]-TicksMTS(value13[1])); SellLimit=TicksRound(value13[0]+XAverage(TrueRange,20)); Break20SkipCnt=0; VALUE19=TL_New(date[value15+1],time[value15+1],Low[value15],date,time,Low[value15]); TL_SetSize(VALUE19, 3); TL_SetColor(VALUE19, Red); if BreakType=0 then begin BreakBars=0; BreakType=-1; {BreakIsLoss=false;} end; end; end;

{ Gestione entry multiple high } if NextHigh<>-1 and cCurrentEntries<MaxOpenEntry and TradeAccount>0 then begin if H>=Nexthigh then begin BuyStop=NextHigh; BuyLimit=NextHigh; end; if VALUE29>=0 then TL_Delete(VALUE29); VALUE29=TL_New(value99,value98,NextHigh,date+1,time,NextHigh); TL_SetSize(VALUE29, 3); TL_SetColor(VALUE29, Cyan); end;

{ Gestione entry multiple low } if NextLow<>-1 and cCurrentEntries<MaxOpenEntry and TradeAccount>0 then begin if L<=NextLow then begin SellStop=NextLow; SellLimit=NextLow; end; if VALUE38>=0 then TL_Delete(VALUE38); value38=TL_New(value99,value98,NextLow,date+1,time,NextLow); TL_SetSize(value38, 3); TL_SetColor(value38, Magenta); end;

{ Verifica ultimo break in loss } if BreakType<>0 then begin if BreakBars<=11 then begin if BreakType=1 then BreakIsLoss=BreakIsLoss or (BreakStop<=Lowest(Low,BreakBars-1)) else BreakIsLoss=BreakIsLoss or (BreakStop>=Highest(High,BreakBars-1)); BreakBars=BreakBars+1; end else begin BreakType=0; BreakIsLoss=false; end; end;

if MarketPosition<>-1 and BuyStop<>-1 then begin { Genera ordini Buy } TradeAccount=Account-(CurrentContracts*AvgEntryPrice)+NetProfit; if TradeAccount>2*maxlist(BuyStop,BuyLimit) then begin if BarUntil=-1 then begin PosSize=PositionMoneyMng(TradeAccount,MaxPercRisk,BuyLimit,2*XAverage(TrueRange,20)); BarUntil=BarNumber+DistH; end; end else begin BuyStop=-1; BuyLimit=-1; TradeAccount=-1; end; if BarNumber<BarUntil then Buy ("TLE") PosSize shares next bar at BuyStop stop else begin BuyStop=-1; BuyLimit=-1; BarUntil=-1; end; end else if MarketPosition<>1 and SellStop<>-1 then begin { Genera ordini Sell } TradeAccount=Account-(CurrentContracts*AvgEntryPrice)+NetProfit; if TradeAccount>2*minlist(SellStop,SellLimit)then begin if BarUntil=-1 then begin PosSize=PositionMoneyMng(TradeAccount,MaxPercRisk,SellLimit,2*XAverage(TrueRange,20)); BarUntil=BarNumber+DistL; end; end else begin SellStop=-1; SellLimit=-1; TradeAccount=-1; end; if BarNumber<BarUntil then Sell ("TSE") PosSize shares next bar at SellStop stop else begin SellStop=-1; SellLimit=-1; BarUntil=-1; end; end;

{ Expert Commentary Report } If AtCommentaryBar then begin Eq=Account-(CurrentContracts*AvgEntryPrice)+NetProfit; Vars:Str(""); Str=Str+"*************** System inputs **************************"+NewLine; Str=Str+"Starting Capital : "+NumToStr(Account,2)+NewLine; Str=Str+"Percentage of Equity to risk : "+NumToStr(MaxPercRisk,2)+" % "+NewLine; Str=Str+"*************** Current statistics ************************"+NewLine; Str=Str+"Market position : "+NumToStr(MarketPosition,0)+NewLine; Str=Str+"Current Shares held : "+NumToStr(cCurrentContracts,0)+NewLine; Str=Str+"Current Equity : "+NumToStr(Eq,2)+NewLine; if BuyStop<>-1 or SellStop<>-1 then Str=Str+"Percentage of current Equity to risk : "+NumToStr(MaxPercRisk,2)+" % equals "+NumToStr(-Eq*MaxPercRisk/100,2)+" dollars "+NewLine; If BuyStop<>-1 then begin Str=Str+"Entry Long : "+NumToStr(BuyStop,4)+NewLine; Str=Str+"Exit Long : " +NumToStr(TicksRound(BuyStop-2*XAverage(TrueRange,20)),4)+NewLine; Str=Str+"Difference between Entry Long and Exit Long in Dollars : "+NumToStr(TicksRound(2*XAverage(TrueRange,20)),4)+NewLine; Str=Str+"Number of shares to buy to risk "+NumToStr(MaxPercRisk,2)+" % of capital : "+NumToStr(PosSize,0)+NewLine; end else If MarketPosition=1 then begin Eq=Account+NetProfit; T1=-cCurrentContracts*(cAvgEntryPrice-LExitStop); Str=Str+"Percentage of current Equity to risk : "+NumToStr(AbsValue(100*T1/Eq),2)+" % equals "+NumToStr(T1,2)+" dollars "+NewLine; Str=Str+"Entry Long : "+NumToStr(cEntryPrice,4)+NewLine; Str=Str+"Exit Long : " +NumToStr(LExitStop,4)+NewLine; Str=Str+"Difference between Entry Long and Exit Long in Dollars : "+NumToStr(cEntryPrice-LExitStop,4)+NewLine; Str=Str+"Open Position Profit in Dollars : "+NumToStr(OpenPositionProfit,2)+NewLine; end; If SellStop<>-1 then begin Str=Str+"Entry Short : "+NumToStr(SellStop,4)+NewLine; Str=Str+"Exit Short : " +NumToStr(TicksRound(SellStop+2*XAverage(TrueRange,20)),4)+NewLine; Str=Str+"Difference between Entry Short and Exit Short in Dollars : "+NumToStr(TicksRound(2*XAverage(TrueRange,20)),4)+NewLine; Str=Str+"Number of shares to Sell to risk "+NumToStr(MaxPercRisk,2)+" % of capital : "+NumToStr(PosSize,0)+NewLine; end else If MarketPosition=-1 then begin Eq=Account+NetProfit; T1=-cCurrentContracts*(SExitStop-cAvgEntryPrice); Str=Str+"Percentage of current Equity to risk : "+NumToStr(AbsValue(100*T1/Eq),2)+" % equals "+NumToStr(T1,2)+" dollars "+NewLine; Str=Str+"Entry Short : "+NumToStr(cEntryPrice,4)+NewLine; Str=Str+"Exit Short : " +NumToStr(SExitStop,4)+NewLine; Str=Str+"Difference between Entry Short and Exit Short in Dollars : "+NumToStr(SExitStop-cEntryPrice,4)+NewLine; Str=Str+"Open Position Profit in Dollars : "+NumToStr(OpenPositionProfit,2)+NewLine; end; Commentary(Str); end; FINE FORMULA

== Vedi anche: ==

*[[Indice sequenziale Formule|Indice sequenziale Formule]]

[[Category:Formule]]

Formula Turtle Strategy - Cronologia

imported>Stefano Fanton il 11:42, 20 apr 2012