Turtle Trading Adaptation

Trading Discussion Trade Journals
1

During the Past year and a half I have constantly looked, as I believe many people do, for a profitable trading system that fits my life style. Given a 12 plus hour a day job and a family to spend time I have zero ability to sit in front of my computer for hours at a time. Over recent months I came across a document online called Original Turtles: Fighting the scams, frauds and charlatans, which provided me the baseline for my current trading strategy. This system is a purely a mathematical system so it takes all of the emotion out of trading for me which, I had a terrible time dealing with when I first started. The premise of the system consists of identifying the 20-day high and low for a specific currency pair along with the calculated volatility. I calculate the volatility as follows:

N = volatility (as references in the document)

Daily Range = Daily High - Daily Low
Previous Days N (PDN) = 20 day average of the Daily Range of the pair.

N = (19 x PDN + DR) / 20

These calculation actually require 21 days of information concerning a pair

Example for USD / JPY Pair

Date Last High Low DR
10-May-13 101.62 101.98 100.73 1.25
9-May-13 100.83 100.86 98.65 2.21
8-May-13 98.89 99.16 98.58 0.58
7-May-13 98.8 99.39 98.66 0.73
6-May-13 99.37 99.45 99.06 0.39
5-May-13 99.11 99.20 99.03 0.17
3-May-13 99.03 99.27 97.94 1.33
2-May-13 97.94 98.39 97.09 1.30
1-May-13 97.14 97.67 97.03 0.64
30-Apr-13 97.28 98.12 97.02 1.10
29-Apr-13 97.89 98.20 97.36 0.84
28-Apr-13 97.86 98.08 97.69 0.39
26-Apr-13 98.08 99.38 97.56 1.82
25-Apr-13 99.34 99.56 98.99 0.57
24-Apr-13 99.43 99.77 99.19 0.58
23-Apr-13 99.66 99.71 98.48 1.23
22-Apr-13 99.19 99.89 98.98 0.91
21-Apr-13 99.82 99.89 99.53 0.36
19-Apr-13 99.53 99.69 98.11 1.58
18-Apr-13 98.22 98.53 97.64 0.89
17-Apr-13 98.07 98.44 97.22 1.22

20 Day	        High	        Low			18.84 (This is the total of 9-17MAY's DR)
	               101.98       97.02			
					
	PDN 	0.94	Calculated (18.84/20)		
	N =	0.96	Calculated (19 x.94 + 10MAY's DR 1.25) / 20

I have all of this information in an Excel Spread sheet so all I have to do is put in the daily high and lows for the pair and the information is auto-calculated.

My entry points are exactly one pip above the 20 day high for a Buy position and one pip below the 20 day low for a Short position. I double the calculated N and use that to identify my TP and SL points.

Example:

N 0.96
2N 1.91 (I understand this is off by .01 but that’s how my spreadsheet calculated it)

					        Sell		Buy
		Entry Price			97.02		101.98
													
		Stop Loss (2N)		Sell		Buy
		Entry Stop	1.91		98.93		100.07
									
		Take Profit (2N)		Sell		Buy
		Entry TP	1.91		95.11		103.89

I simply take this information and place my orders and wait for the market to move. As you can imagine it took me much longer to make my spreadsheet to all of these calculations for me but once it was completed I spend less than 5 minutes every night after 8 pm EST when the market rolls over into a new day to get my information and adjust my orders.

If you have managed to read this far I applaud you because admittedly the above information is incredibly dry no matter how I write it. The thing that matters is results so at the end of this month I’ll post my information for you the reader to decide how well my systems works. Happy Trading.

2

Do you use the same money management rules that the original system calls for as well?

3

No I do not use the same money management rules as the original system. The original system called for calculating price per unit as well as up to four entry points base on 1/2 the volatility. I simplified the system by having only one entry point and increasing the amount of risk I am willing to take. Since my trade account is very small I only trade in micro lots until I can prove that this system works on a consistent basis. My money management is contrary to the typical “2% rule”.

What I do is take my trade account value multiply it by 10 and that gives me the amount of units I will use to open a position.

Example: Account balance of $100 x 10 = 1000 Unit position.

This is very basic and also accepts a lot more risk. For example with the above USD/JPY trade a 1000 Unit position would result in a $19.10 profit or loss or 19.1% of my account. This approach also allows for positive or negative adjustment depending on trade outcomes so if I lose a trade I don’t attempt to jump in the next with the same amount of units to make my money back. I’m not trying to be greedy I just am willing to accept more risk than is normally suggested.

I trade EUR/USD, GBP/USD and USD/JYP so based off of this system I can have up to 60% of my account committed at one time with the rest used to prevent a margin call. This approach views each pair as a short-term investment (I have had trades last as long as 20+ days to as short as a couple of hours) rather than looking for a quick handful of pips. Like I mentioned before I’ll post my results at the end of the month. Happy Trading.

4

Currently in two trades:

Currency Long/Short Entry TP SL

EUR/USD SHORT 1.2954 1.2758 1.3152

USD/JPY LONG 101.98 103.89 100.07

5

Best of luck! Will be following. :slight_smile:

6

I will admit to some short falls that this system has. The first is it always loses on a trend reversal or significant retracement. This only causes a major problem when the currency pairs all reach the end of their trends closely together. That being said, I have only had couple of back to back losing trades and have so far been in the positive at the end of the month when I was testing this system on a practice account. Secondly, in a horizontal trend this system loses out on all of the market volatility. This can, at times, be a serious test to ones patiences.

On a change of subject, both the EUR/USD and GBP/USD are nearing their 20 week lows of 1.2745 and 1.4831 respectively. I know most most of you trade a much shorter time frames but I figured if it helps someone make a profit then it’s worth while information. Happy trading.

7

Thank you very much. I wish you the best.

8

Had my GBP/USD Short trigger last night so my final of three trades is on its way.

GBP/USD SHORT Open:1.5195 TP:1.5014 SL:1.5378

Probably wont see any of my three trades close out until early to middle of next week. I guess we will wait an see. Happy Trading.

9

Weekly Wrap Up: (So Far So Good)

EUR/USD: up 113 pips
GBP/USD: up 23 pips
USD/JPY: up 120 pips

I’m pleased with these results so far especially since I lost on two trades last week when the EUR/USD and GBP/USD reversed and started their downward trend. Hopefully, these trends continue into next week and I can close out on three positive trades.

10

Have you had much drawdown periods with this system? I know the original Turtle’s system did, so was wondering if variation had encountered something similar.

11

hope to learn this system too.

12

I have experienced drawdown periods with this system. Typically I only have about 4-8 trades a month for the three currencies I trade depending on the trends and market volatility. Since I only use the daily chart a horizontally trending pair could keep me out of a trade for a week or more. If you only traded one currency using this system you could definitely go much longer without a trade.

13

Shane,
I have a working example of the excel document that I use for this system. Unfortunately, I do not believe that I can upload an excel file to this site. Please let me know if you are interested and I’ll see what I can do to get it to you.

14

Sure. Thanks for that first. I hope to learn this system too. I added u in my contact list.

15

I use a 55/20 system, and occasionally the 20/10 system. I have not been using the 20/10 this year due to the lack of market direction (other than sideways).

The 55/20 is the most profitable system I use (with the Smith enhancements), though others say the ‘enhanced’ 20/10 is better again. I have averaged a bit over 4% a month using this over the last 18 months.

I don’t bother with the spreadsheet to calculate N. I just use ATR on a subgraph and then work out my possition size based on that.

16

dhanson888: The great thing about longer time trames, and breakout/trend following stratagies is that you can trade huge numbers of currency pairs and other things (commodities, shares, indexs, etc) in a small amout of time.

There is no, or very little, need for analysis - just place the stop buy and sell on the appropriate channel and go on to the next.

17

I read turtles trading pdf but it talked about commodities. The entry there is basically when there is a breakout for 20 days High/Low.

So from the system u mentioned, is it everyday after rollover, we must look at the previous 20 days High/Low to make adjust on the order(if never open yet) ? If there is no breakout means we just follow the previous high/low?

So once we set the pending for Long/Short , we just wait for the market to move in the direction we want right?

18

It seems like a very mechanical strategy. If you’d like, I can whip up code for you and then you can use it however you wish.

19

I am very glad if you can code it. Thanks in advanced.

20

Hi Cyco!

Did you still use 1 atr to define your risk?