Ultimate Algorithmic Trading System

Box 3.1 Turtle System #1
Buy one tick above the highest high of the past 20 days stop.
Sell short one tick below the lowest low of the past 20 days stop.
If position is long, then
Sell next bar at the maximum of:
one tick below the lowest low of the past 10 days stop, or
entryPrice – (0.02 * initialCapital) / bigPointValue stop
If position is short, then
Buy next bar at the minimum of:
one tick above the highest high of the past 10 days stop, or
entryPrice + (0.02 * initialCapital) / bigPointValue stop
This description does not utilize the ‘‘last trade was a loser filter’’ (LTLF).
Even with the application of the LTLF, this system is very easy to trade. A simple
spreadsheet is all it takes to help keep track of actual and simulated trades. Remember
a simulated trade occurs after a winning trade is realized. Real trading is turned back
on once a simulated losing trade occurs.
System 2 (Box 3.2) entries are congruent with System 1, but require a much
longer lookback period—55 days. Even though the Donchian Channel exit is wider,
the same 2 percent maximum loss is still used.
Box 3.2 Turtle System #2
Buy one tick above the highest high of the past 55 days stop.
Sell short one tick below the lowest low of the past 55 days stop.
If position is long, then
Sell next bar at the maximum of:
one tick below the lowest low of the past 20 days stop or
entryPrice – (0.02 * initialCapital) / bigPointValue stop
If position is short, then
Buy next bar at the minimum of:
one tick above the highest high of the past 10 days stop or
entryPrice + (0.02 * initialCapital) / bigPointValue stop
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COMPLETE TRADING ALGORITHMS
The LTLF does not apply to these longer-term entries. If the market is making a
new 55-day high/low, then the Turtle system thinks a new trend has definitely begun
and the trader must be on board. This entry was considered the failsafe breakout.
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