Applying Turtle rules in a mechanical trading system
Posted: Thu Mar 31, 2005 2:23 pm
I applied the turtle rules to a program that I wrote in VB.
Below is the simple programming code. But I ran into problems because in the Turtle book it says that the total amount invested as according to the N calculations would be 1 % of the acount, but mathematically roughly 25% of the account was being invested.
We used data from a random day, for the exchange rate and calculated the initial N through the true range for the past 19 days.
txtN.Text = ((Val(txtSMA.Text) * 19) + Abs(Val(txtHIGH.Text) - Val(txtLOW.Text))) / 20
txtDlrPipForAcct.Text = (Val(txtAcctSize.Text) / (Val(txtRATE.Text)) / 10000)
txtVOLATILITY.Text = Val(txtN.Text) * Val(txtDlrPipForAcct.Text)
txtUNIT.Text = (0.01 * Val(txtAcctSize.Text)) / (Val(txtVOLATILITY.Text))
txtCostOfUnit.Text = Val(txtUNIT.Text) * Val(txtRATE.Text)
Initial values were:
txtSMA : 0.009965
txtPIP : 0.0001
txtRATE : 1.1643
txtHIGH : 1.1688
xtLOW : 1.1572
txtAcctSize : 50000
using this program and data, I got dollars per pip = 4.29****
ONE unit : 11588.822**** contracts
Cost of Unit: 13492.86 dollars. ----> this is not 1% of the account. While the turtle book says that using this formula we should get 1% of the account.
Below is the simple programming code. But I ran into problems because in the Turtle book it says that the total amount invested as according to the N calculations would be 1 % of the acount, but mathematically roughly 25% of the account was being invested.
We used data from a random day, for the exchange rate and calculated the initial N through the true range for the past 19 days.
txtN.Text = ((Val(txtSMA.Text) * 19) + Abs(Val(txtHIGH.Text) - Val(txtLOW.Text))) / 20
txtDlrPipForAcct.Text = (Val(txtAcctSize.Text) / (Val(txtRATE.Text)) / 10000)
txtVOLATILITY.Text = Val(txtN.Text) * Val(txtDlrPipForAcct.Text)
txtUNIT.Text = (0.01 * Val(txtAcctSize.Text)) / (Val(txtVOLATILITY.Text))
txtCostOfUnit.Text = Val(txtUNIT.Text) * Val(txtRATE.Text)
Initial values were:
txtSMA : 0.009965
txtPIP : 0.0001
txtRATE : 1.1643
txtHIGH : 1.1688
xtLOW : 1.1572
txtAcctSize : 50000
using this program and data, I got dollars per pip = 4.29****
ONE unit : 11588.822**** contracts
Cost of Unit: 13492.86 dollars. ----> this is not 1% of the account. While the turtle book says that using this formula we should get 1% of the account.