I came across with this trading system : Turtle Trading System
What’s Turtle Trading System?
Turtle trading is a well known trend following strategy that was originally taught by Richard Dennis. The basic strategy is to buy futures on a 20-day high (breakout) and sell on a 20-day low, although the full set of rules is more intricate. I’ve modeled the meat of the strategy in Quantopian and used it to trade exchange-traded funds (ETFs), in this case just some silver and copper securities. In AmiBroker AFL platform, traders can use this advanced trading strategy.
A Turtle Trading System covers each and every of the choices required for a hit trading:
Markets – What to buy or sell
Place Sizing – How a lot to buy or sell
Entries – When to buy or sell
Stops – When to get out of a shedding place
Exits – When to get out of a successful place
Ways – The right way to buy or sell
Trend trading system.
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 onDAILY values only.
Algorithm: 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.
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