Turtle Trading Strategy With Source
THE TURTLES
In 1983 & 1984 Richard Dennis recruited 21 men and 2 women who both became known as the “turtles.” The program with the turtles ended in 1988, with many of the ‘turtles’ have going on to successful careers as commodity trading advisors.
If you have not hard about the Turtles there is a good book about the legendary ‘Turtles’, named “Way Of The Turtle“.
I was reading Curtis Faith’s book “Way Of The Turtle” over the weekend.  I think it is the best book on the Turtles on the market today. There may be other books that are better written or edited than this one, but I consider this one the best, as it was written by one of the original turtles.
Now with thatout of the way, onto one of the systems they used.
DONCHIAN CHANNEL
The donchian channel is a volatility based indicator. Like other volatility indicators, and especially channel indicators, the donchian channel is usually used to identify a break out of a price range.
The donchian channel is displayed as high and low bands , and therefore it looks similar to other volatility indicators such as Bollinger Bands.
DONCHIAN CHANNEL TURTLE SYSTEM
This system is the channel breakout system from the book. It consists of two parts. A n-period channel breakout, and a trend filter to only trade breakouts with the trend.
The Donchian channel is a 20 period breakout, so that you enter a position if the high or low passes the 20 period high or low.
The trend filter is a 50/300 period moving average crossover. If the 30 period moving average is higher than the 300 period moving average then only take long trades.
So this system uses this breakout to initiate trades, while still being a trend following system via the the trend filter to only initiate trades ‘with the trend’.
MY VERSION
Lately there have been a lot of trading days, so think a trend following system would have performed very well in the last few weeks ( during this bull run ). I coded this for Ninja Trader 6.5 and the source is a zip file below. Just import the zip file from the NinjaTrader utility menu, selecting ‘Import Ninjascript” and selecting the zip file.
I did not make many changes to the system for this version yet. Later I will post a more modified version of the system.
The difference for this system is that the system works as a day trading system. The original system was based on daily prices, this one is based on 5 minute bars, although you can run it on any time frame.
I used a 2 * ATR trailing stop. The systems also exits all trades at the end of the day.
RESULTS
Well, as you would expect, it performed as most trend following systems do. Trend following systems tend to have a lot of small losses and fewer, but larger wins to make up for it.
I back tested the system on the March ES contract from 12/21/2008 to 3/21/2009. It did not fare well, losing $4475 before comms. But let’s look past that at how well it did as a trend following system.
Trend following systems are profitable less than 50% of the trades.The Donchian channel In this case, it was profitable 31% of the time.
The largest win was about 2.5 times the largest loss. The average win was almost 50% larger than the average loss. Also in line with trend following systems.
NEXT UP : MODIFICATIONS
Now that I have the base line using bog standard settings for the Donchian channel system. I want to make some modifications and post them along with modified source.
If you have any ideas you would like to see, write me at blog @ traderwerks.com
hi. what timeframe should the chart be put in?
Thanks.
You can place the chart in any timeframe you want. However I believe the turtles used daily charts.
TW