The turtles had the choice on which system to trade. Some traded both. It was only the 20 day break they where instructed to skip the next signal after a winner. All trades where taken on the 55 day break but as Forexmike rightly pointed out only if it meet exposure criteria. Good week ahead all
So I know the turtles used true range to measure volatility as n and to adjust position size.
Has anyone tried to used ATR to get a better entry ?
I read they used ATR only for the initial SL, as it’s normally not as far away as the DC 10…after the 10 DC moved passed the initial SL they used the 10 DC as trailing SL…
Mike
Im surprised Adrian hasnt been here, this is right in his wheel house.
You are right…i am also waiting for his comments…
Mike
When the turtles passed on an entry signal on the lower timeframe channel, they took the trade on the higher channel. Thus they never sat out as a major trend took place. Jerry Parker said in an interview that he was not going to let himself miss the biggest trend ever just because of some filter. He said also that someone in the Turtle training program said that “filter is a bad word”.
The philosophy of trend following is based on the acknowledgement that we don’t know the future. We don’t know which market will produce a major profit in a trend. We don’t know what Donchian Channel will capture that trend. So what do we do? We allocate a small amount of our risk budget to many markets and many channels to make sure we get into those that will give the big wins.
-Adrian
I don’t know when it started, but Jerry Parker also uses a minimum ATR figure to calculate his initial stop distance and position size. So when the ATR gets really low, he does not put on an uberposition with a megatight stop. He said it was his minimum ATR rule that kept his SNB Jan 15 losses to less than 1%.
-Adrian
I have not been on much in the last couple of weeks. Better weather and new projects have had me out in nature and on to a new schedule. I also had the opportunity to astralproject into the universe last weekend and things are looking good in the cosmos. After that trip, I am back.
The strong moves toward the MDMA (200 day moving average) in many pairs in the last couple of weeks have closed me out of some positions I had been in for a while. Almost every pair I trade has made counter-trend moves here in May. EUR/USD just ended a historic move that lasted 10+ months. We could be seeing some big trend reversals here. Only the channels will tell.
-Adrian
NZD/USD traded below the 200 day moving average (MDMA) back in August 2014. When it did, the four, the ten, and the twenty week channels all were broken to the downside and the highs of those channels fell without any new highs until January when the four week channel was broken to the upside.
If you had traded all three channels, you would have closed a profitable trade in January on the four week channel and remained short with the ten and twenty week channels.
Then, the very next week, you would have gone short on the four week channel again only to have that just barely make a profit with the break of the four week channel to the upside again in February. At that point you would still be short on the ten and twenty week channels.
Then, between February and March the four week channel whipsawed, giving a break to the short side followed by a break to the upside without the highs passing below the initial lows. But you still would be short on the ten and twenty week channels.
Then, in April, you would have taken profit on the ten week channel with the break to the upside of that channel. At that point you would still be short on the twenty week channel.
Last week, the four week channel was broken again to the downside but the ten week channel remains untouched since the recent break to the upside. So with that, you would still be short on the twenty week channel and you would have gone short on the four week channel last week.
So currently I have two short positions in the NZD/USD. One with a stop above the four week channel and another with a stop above the twenty week. I also have an order to go short with another position just below the current ten week low.
-Adrian
here my current open trades with the different settings…
DC 10 on Daily Chart…
DC 10 on 1h chart…
DC 10 on 4h chart…
still some settings coming…
Mike
buy stop adding .20 to my positon on break of 20 day channel on usd/jpy @121.616
Hey guys, I have a few other trading strategies in the pipeline, so going to take a break from donchian.
All the best!
What turned u off to donchain?
Oh well more power to us.
Here’s an interesting back test on the EURUSD using the EA I’ve provided. First chart the turtles control chart, 55 day breakout, 20 day trailing and 20 ATR
And now tweaked to a 50 day breakout, 10 day trailing and 21 ATR
Now for those trading down on the 1 hr chart here’s some food for thought. So I built this bot, very basic much like me hooray. It’s my birthday yadda yadda. Simple trade rules set pending stop orders at the donchian channel. OCO. Stops set as a multiplier of the ATR. Risk as % account balance. No TP and trailing stop at the second donchain channel. Optimizing was done over 5 years May 2005 to May 2010 then a full 10 year back test from May 2005 until April 2015.
Settings where breakout of past 24 hrs. Trailing at 9. ATR at 24 with a multiplier of 1 risking 0.5% per trade. And the results are in
Now I consider time the only valid filter and trade analysis offers two insights. First don’t bother trading Mondays. It’s simply not worth it.
And select you time of day.
And here’s the bot and source code cause you’re only allowed 5 attachments per post. Come on its my birthday
BTT B3.zip (12.1 KB)
As always use at your own risk.
hi bob
happy birthday!!!
thanks for your bot and the results…
mike
i start forward testing these setting right now…
as i don’t use MT4 i have to trade it manually, so my trailing SL will lag a bit, so let’s see how it works out…
mike
Wish you well my friend. This combo IMO is only valid for the EURUSD pair. As I mention in an early post to me the main function of a bot is to the historical testing to evaluate potential. Be prepared for regular losing streaks. The strategy endured a losing streak of 17 trades at one point. But with a win:loss ratio of 2:3 and a risk:return of 1:3 those with the discipline to trade by the rules should win in the long term.
Here’s some more stats, first win/loss count by hour
And profit/loss by the hour
How one refines the system is up to the individual