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Turtle Trading System Revision A for Amibroker (AFL)

3 / 5 (Votes 5)


I came across with this post No. 1191 by Karthik

Since we don’t have this afl in our library I thought it to share it with all.
(For convenience of display, I have changed the color codes, without disturbing the original code. One can download the original code from the above site.)

Trend trading system.

Strengths: volatility-based.
Weaknesses: lag and since volatility increases at the end of a trend, traders exits early.
Description: Indicator is used to keep track of a trade. Once a stop is hit, it waits for the next entry signal (short or long). Use on DAILY values only.
Algorithm: Lebeau recommends that an exits hangs from the HHV (long) or LLV (short) since the trade was triggered. Some traders use the highest close as the base for hanging the exit.


Here is a screenshot of how the indicator looks:

Similar Formulas




This one tested on SPY with +ve result.

It seems that the formula references FUTURE quotes.
If you backtest this system you may receive outstanding results
that CAN NOT be reproduced in real trading.

100000 data bars used during this check. Total execution time: 0.186486 sec.
Approximately 151 past and 50 future quotes are needed to calculate the formula properly

(This statement is automated rough estimate and does not take into account functions exported by plugins or scripting parts of your formula)

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