TURTLE TRADING MT4 indicator conversion to prorealtime

This topic has 6 replies, 4 voices, and was last updated 4 years ago by Vonasi.

Tagged: channel, donchian, turtle

Viewing 7 posts - 1 through 7 (of 7 total)

09/26/2019 at 5:50 PM #108622

Banie

Original Turtle Rules:

To trade exactly like the turtles did, you need to set up two indicators representing the main and the failsafe system.

Set up the main indicator with TradePeriod = 20 and StopPeriod = 10 (A.k.a S1)
Set up the failsafe indicator with TradePeriod = 55 and StopPeriod = 20 using a different color. (A.k.a S2)

The entry strategy using S1 is as follows

Buy 20-day breakouts using S1 only if last signaled trade was a loss.
Sell 20-day breakouts using S1 only if last signaled trade was a loss.
If last signaled trade by S1 was a win, you shouldn’t trade -Irregardless of the direction or if you traded last signal it or not-

The entry strategy using S2 is as follows:

Buy 55-day breakouts only if you ignored last S1 signal and the market is rallying without you
Sell 55-day breakouts only if you ignored last S1 signal and the market is pluging without you

The turtles had a progressive position sizing approach that boosted their winnings. Once a trading decision has been made you should…

Enter the market with 2% risk. Place stop-loss 2ATR from the opening price.
If the position moves in your favor 1/2ATR, enter the market again with 2% risk and trail all stop-losses 2ATR from current price.
If the position moves in your favor 1/2ATR, enter the market again with 2% risk and trail all stop-losses 2ATR from current price.
If the position moves in your favor 1/2ATR, enter the market again with 2% risk and trail all stop-losses 2ATR from current price.
Stop adding to positions when 4 positions have been taken. (*** And see money management rule below)

The exit strategy is performed using the dotted line of the indicator:

Exit longs taken using S1 when price action closes below a 10-day low
Exit shorts taken using S1 when price action closes above a 10-day high
Exit longs taken using S2 when price action closes below a 20-day low
Exit shorts taken using S2 when price action closes avove a 20-day high

The turtles had very strict money management too. Initial position risk was 2%, but it decreased according to the current drawdown.

If the account had a 10% drawdown, the risk for each trade should decrease a 20%
If the account had a 20% drawdown, the risk for each trade should decrease a 40%.
If the account had a 30% drawdown, the risk for each trade should decrease a 60%.
So, if the account had a N% drawdown, the risk for each trade should decrease N*2%.

Can this be converted to PROREALCODE.

Thank you in advance

//+------------------------------------------------------------------+
//| TheTurtleTradingChannel.mq4
//| Copyright © Pointzero-indicator.com
//+------------------------------------------------------------------+
#property copyright "Copyright © Pointzero-indicator.com"
#property link      "http://www.pointzero-indicator.com"

//---- indicator settings
#property indicator_chart_window
#property indicator_buffers 6
#property indicator_color1 DodgerBlue
#property indicator_color2 Red
#property indicator_color3 DarkSlateGray
#property indicator_color4 DarkSlateGray
#property indicator_color5 DodgerBlue
#property indicator_color6 Red
#property indicator_width1 3
#property indicator_width2 3
#property indicator_width3 1
#property indicator_width4 1
#property indicator_width5 1
#property indicator_width6 1
#property indicator_style3 STYLE_DOT
#property indicator_style4 STYLE_DOT
#property indicator_style5 STYLE_DOT
#property indicator_style6 STYLE_DOT

//---- indicator parameters
extern int  TradePeriod         = 20;     // Donchian channel period for trading signals
extern int  StopPeriod          = 10;     // Donchian channel period for exit signals
extern bool Strict              = false;  // Apply strict entry parameters like the Turtles did
extern bool DisplayAlerts       = false;  // You know...

//---- indicator buffers
double ExtMapBuffer1[];
double ExtMapBuffer2[];
double ExtMapBuffer3[];
double ExtMapBuffer4[];
double ExtMapBuffer5[];
double ExtMapBuffer6[];
double TrendDirection[];

//---- internal
static datetime TimeStamp;
static int AlertCount = 1;

//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int init()
{
// One more invisible buffer to store trend direction
IndicatorBuffers(7);

// Drawing settings
SetIndexStyle(0,DRAW_LINE);
SetIndexStyle(1,DRAW_LINE);
SetIndexStyle(2,DRAW_LINE);
SetIndexStyle(3,DRAW_LINE);
SetIndexStyle(4,DRAW_ARROW); SetIndexArrow(4,159);
SetIndexStyle(5,DRAW_ARROW); SetIndexArrow(5,159);
IndicatorDigits(MarketInfo(Symbol(),MODE_DIGITS));

// Name and labels
IndicatorShortName("Turtle Channel ("+ TradePeriod +"-"+ StopPeriod +")");
SetIndexLabel(0,"Upper line");
SetIndexLabel(1,"Lower line");
SetIndexLabel(2,"Longs Stop line");
SetIndexLabel(3,"Shorts Stop line");
//   SetIndexBuffer(4, "Bullish trend change");
//   SetIndexBuffer(5, "Bearish trend change");

// Buffers
SetIndexBuffer(0,ExtMapBuffer1);
SetIndexBuffer(1,ExtMapBuffer2);
SetIndexBuffer(2,ExtMapBuffer3);    // Stop level for longs
SetIndexBuffer(3,ExtMapBuffer4);    // Stop level for shorts
SetIndexBuffer(4,ExtMapBuffer5);
SetIndexBuffer(5,ExtMapBuffer6);
SetIndexBuffer(6,TrendDirection);

Comment("Copyright © http://www.pointzero-indicator.com");
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int start()
{
// More vars here too...
int start = 0;
int limit;
int counted_bars = IndicatorCounted();

// check for possible errors
if(counted_bars < 0)
return(-1);

// Only check these
limit = Bars - 1 - counted_bars;
if(counted_bars==0) limit-=1+1;

// Check the signal foreach bar
for(int i = limit; i >= start; i--)
{
// Highs and lows
double rhigh = iHigh(Symbol(),Period(),iHighest(Symbol(), Period(), MODE_HIGH, TradePeriod,i+1));
double rlow  = iLow(Symbol(),Period(),iLowest(Symbol(), Period(), MODE_LOW, TradePeriod, i+1));
double shigh = iHigh(Symbol(),Period(),iHighest(Symbol(), Period(), MODE_HIGH, StopPeriod,i+1));
double slow  = iLow(Symbol(),Period(),iLowest(Symbol(), Period(), MODE_LOW, StopPeriod, i+1));

// Candle value
double CLOSE = iClose(Symbol(),0, i);
double HIGH = iHigh(Symbol(),0, i);
double LOW = iLow(Symbol(),0, i);

// Default behavior is to preserve the trend
TrendDirection[i] = TrendDirection[i+1];

// It might be recalculating bar zero
ExtMapBuffer1[i] = EMPTY_VALUE;
ExtMapBuffer2[i] = EMPTY_VALUE;
ExtMapBuffer3[i] = EMPTY_VALUE;
ExtMapBuffer4[i] = EMPTY_VALUE;
ExtMapBuffer5[i] = EMPTY_VALUE;
ExtMapBuffer6[i] = EMPTY_VALUE;

// Change to uptrend
if(((CLOSE > rhigh && i > 0) || (HIGH > rhigh && Strict == true)) && TrendDirection[i+1] != OP_BUY)
{
TrendDirection[i] = OP_BUY;
ExtMapBuffer5[i] = rlow;

// Change to downtrend
} else if(((CLOSE < rlow && i > 0) || (LOW < rlow && Strict == true)) && TrendDirection[i+1] != OP_SELL) {

TrendDirection[i] = OP_SELL;
ExtMapBuffer6[i] = rhigh;
}

// Draw lines
if(TrendDirection[i] == OP_BUY)
{
ExtMapBuffer1[i] = rlow;
ExtMapBuffer3[i] = slow;

// Draw lines
} else if(TrendDirection[i] == OP_SELL) {

ExtMapBuffer2[i] = rhigh;
ExtMapBuffer4[i] = shigh;
}
}

// Alert
if(TimeStamp != Time[0] && DisplayAlerts == true)
{
if(TrendDirection[1] == OP_SELL && TrendDirection[2] == OP_BUY && AlertCount == 0)
{
Alert("[Turtle Trading "+ TradePeriod +"-"+ StopPeriod +"]["+ Symbol() +"] SELL");
} else if (TrendDirection[1] == OP_BUY && TrendDirection[2] == OP_SELL && AlertCount == 0) {
Alert("[Turtle Trading "+ TradePeriod +"-"+ StopPeriod +"]["+ Symbol() +"] BUY");
}
TimeStamp = Time[0];
AlertCount = 0;
}

// Bye Bye
return(0);
}

100

101

102

103

104

105

106

107

108

109

110

111

112

113

114

115

116

117

118

119

120

121

122

123

124

125

126

127

128

129

130

131

132

133

134

135

136

137

138

139

140

141

142

143

144

145

146

147

148

149

150

151

152

153

154

155

156

157

158

159

160

161

162

163

164

165

166

167

168

169

170

//+------------------------------------------------------------------+

//| TheTurtleTradingChannel.mq4

//+------------------------------------------------------------------+

#property link "http://www.pointzero-indicator.com"

//---- indicator settings

#property indicator_chart_window

#property indicator_buffers 6

#property indicator_color1 DodgerBlue

#property indicator_color2 Red

#property indicator_color3 DarkSlateGray

#property indicator_color4 DarkSlateGray

#property indicator_color5 DodgerBlue

#property indicator_color6 Red

#property indicator_width1 3

#property indicator_width2 3

#property indicator_width3 1

#property indicator_width4 1

#property indicator_width5 1

#property indicator_width6 1

#property indicator_style3 STYLE_DOT

#property indicator_style4 STYLE_DOT

#property indicator_style5 STYLE_DOT

#property indicator_style6 STYLE_DOT

//---- indicator parameters

extern int TradePeriod = 20; // Donchian channel period for trading signals

extern int StopPeriod = 10; // Donchian channel period for exit signals

extern bool Strict = false; // Apply strict entry parameters like the Turtles did

extern bool DisplayAlerts = false; // You know...

//---- indicator buffers

double ExtMapBuffer1[];

double ExtMapBuffer2[];

double ExtMapBuffer3[];

double ExtMapBuffer4[];

double ExtMapBuffer5[];

double ExtMapBuffer6[];

double TrendDirection[];

//---- internal

static datetime TimeStamp;

static int AlertCount = 1;

//+------------------------------------------------------------------+

//| Custom indicator initialization function |

//+------------------------------------------------------------------+

int init()

{

// One more invisible buffer to store trend direction

IndicatorBuffers(7);

// Drawing settings

SetIndexStyle(0,DRAW_LINE);

SetIndexStyle(1,DRAW_LINE);

SetIndexStyle(2,DRAW_LINE);

SetIndexStyle(3,DRAW_LINE);

SetIndexStyle(4,DRAW_ARROW); SetIndexArrow(4,159);

SetIndexStyle(5,DRAW_ARROW); SetIndexArrow(5,159);

IndicatorDigits(MarketInfo(Symbol(),MODE_DIGITS));

// Name and labels

IndicatorShortName("Turtle Channel ("+ TradePeriod +"-"+ StopPeriod +")");

SetIndexLabel(0,"Upper line");

SetIndexLabel(1,"Lower line");

SetIndexLabel(2,"Longs Stop line");

SetIndexLabel(3,"Shorts Stop line");

// SetIndexBuffer(4, "Bullish trend change");

// SetIndexBuffer(5, "Bearish trend change");

// Buffers

SetIndexBuffer(0,ExtMapBuffer1);

SetIndexBuffer(1,ExtMapBuffer2);

SetIndexBuffer(2,ExtMapBuffer3); // Stop level for longs

SetIndexBuffer(3,ExtMapBuffer4); // Stop level for shorts

SetIndexBuffer(4,ExtMapBuffer5);

SetIndexBuffer(5,ExtMapBuffer6);

SetIndexBuffer(6,TrendDirection);

return(0);

}

//+------------------------------------------------------------------+

//| Custom indicator iteration function |

//+------------------------------------------------------------------+

int start()

{

// More vars here too...

int start = 0;

int limit;

int counted_bars = IndicatorCounted();

// check for possible errors

if(counted_bars < 0)

return(-1);

// Only check these

limit = Bars - 1 - counted_bars;

if(counted_bars==0) limit-=1+1;

// Check the signal foreach bar

for(int i = limit; i >= start; i--)

{

// Highs and lows

double rhigh = iHigh(Symbol(),Period(),iHighest(Symbol(), Period(), MODE_HIGH, TradePeriod,i+1));

double rlow = iLow(Symbol(),Period(),iLowest(Symbol(), Period(), MODE_LOW, TradePeriod, i+1));

double shigh = iHigh(Symbol(),Period(),iHighest(Symbol(), Period(), MODE_HIGH, StopPeriod,i+1));

double slow = iLow(Symbol(),Period(),iLowest(Symbol(), Period(), MODE_LOW, StopPeriod, i+1));

// Candle value

double CLOSE = iClose(Symbol(),0, i);

double HIGH = iHigh(Symbol(),0, i);

double LOW = iLow(Symbol(),0, i);

// Default behavior is to preserve the trend

TrendDirection[i] = TrendDirection[i+1];

// It might be recalculating bar zero

ExtMapBuffer1[i] = EMPTY_VALUE;

ExtMapBuffer2[i] = EMPTY_VALUE;

ExtMapBuffer3[i] = EMPTY_VALUE;

ExtMapBuffer4[i] = EMPTY_VALUE;

ExtMapBuffer5[i] = EMPTY_VALUE;

ExtMapBuffer6[i] = EMPTY_VALUE;

// Change to uptrend

if(((CLOSE > rhigh && i > 0) || (HIGH > rhigh && Strict == true)) && TrendDirection[i+1] != OP_BUY)

{

TrendDirection[i] = OP_BUY;

ExtMapBuffer5[i] = rlow;

// Change to downtrend

} else if(((CLOSE < rlow && i > 0) || (LOW < rlow && Strict == true)) && TrendDirection[i+1] != OP_SELL) {

TrendDirection[i] = OP_SELL;

ExtMapBuffer6[i] = rhigh;

}

// Draw lines

if(TrendDirection[i] == OP_BUY)

{

ExtMapBuffer1[i] = rlow;

ExtMapBuffer3[i] = slow;

// Draw lines

} else if(TrendDirection[i] == OP_SELL) {

ExtMapBuffer2[i] = rhigh;

ExtMapBuffer4[i] = shigh;

}

// Alert

if(TimeStamp != Time[0] && DisplayAlerts == true)

{

if(TrendDirection[1] == OP_SELL && TrendDirection[2] == OP_BUY && AlertCount == 0)

{

Alert("[Turtle Trading "+ TradePeriod +"-"+ StopPeriod +"]["+ Symbol() +"] SELL");

} else if (TrendDirection[1] == OP_BUY && TrendDirection[2] == OP_SELL && AlertCount == 0) {

Alert("[Turtle Trading "+ TradePeriod +"-"+ StopPeriod +"]["+ Symbol() +"] BUY");

}

TimeStamp = Time[0];

AlertCount = 0;

}

// Bye Bye

return(0);

}

Banie

Participant

Topics: 3

Replies: 3

Been thanked: 0 times

09/27/2019 at 8:54 AM #108648

Nicolas

So you want the indicator code you provided to be translated for ProRealTime?

Nicolas

Keymaster

Topics: 81

Replies: 20863

Been thanked: 4773 times

09/27/2019 at 9:47 AM #108654

Banie

Hi Nicolas,

Yes, i am using it on my Metatrader platform, and I tried my hand at coding it but with no success, so I am turning to you guys to translate it correctly to ProRealTime.

Thank you.

Banie

Participant

Topics: 3

Replies: 3

Been thanked: 0 times

09/27/2019 at 11:58 AM #108669

Nicolas

Here it is:

TradePeriod         = 20 // Donchian channel period for trading signals
StopPeriod          = 10 // Donchian channel period for exit signals
Strict              = 0  // Apply strict entry parameters like the Turtles did

rhigh = Highest[TradePeriod](high)[1]
rlow  = Lowest[TradePeriod](low)[1]
shigh = Highest[StopPeriod](high)[1]
slow  = Lowest[StopPeriod](low)[1]

// Change to uptrend
if(((CLOSE > rhigh ) or (HIGH > rhigh and Strict =1)) and TrendDirection[1] <> 1) then
TrendDirection = 1
//ExtMapBuffer5 = rlow
 
// Change to downtrend
elsif(((CLOSE < rlow ) or (LOW < rlow and Strict = 1)) and TrendDirection[1] <> -1) then
TrendDirection = -1
//ExtMapBuffer6 = rhigh
endif
 
// Draw lines
if(TrendDirection = 1) then
tradingline = rlow
exitline = slow
r=30
g=144
b=255
// Draw lines
elsif(TrendDirection = -1) then
tradingline = rhigh
exitline = shigh
r=255
g=0
b=0
endif

return tradingline coloured(r,g,b) style(line,4), exitline coloured(168,168,168) style(dottedline,1)

TradePeriod = 20 // Donchian channel period for trading signals

StopPeriod = 10 // Donchian channel period for exit signals

Strict = 0 // Apply strict entry parameters like the Turtles did

rhigh = Highest[TradePeriod](high)[1]

rlow = Lowest[TradePeriod](low)[1]

shigh = Highest[StopPeriod](high)[1]

slow = Lowest[StopPeriod](low)[1]

// Change to uptrend

if(((CLOSE > rhigh ) or (HIGH > rhigh and Strict =1)) and TrendDirection[1] <> 1) then

TrendDirection = 1

//ExtMapBuffer5 = rlow

// Change to downtrend

elsif(((CLOSE < rlow ) or (LOW < rlow and Strict = 1)) and TrendDirection[1] <> -1) then

TrendDirection = -1

//ExtMapBuffer6 = rhigh

endif

// Draw lines

if(TrendDirection = 1) then

tradingline = rlow

exitline = slow

r=30

g=144

b=255

// Draw lines

elsif(TrendDirection = -1) then

tradingline = rhigh

exitline = shigh

r=255

g=0

b=0

endif

return tradingline coloured(r,g,b) style(line,4), exitline coloured(168,168,168) style(dottedline,1)

Nicolas

Keymaster

Topics: 81

Replies: 20863

Been thanked: 4773 times

09/27/2019 at 7:23 PM #108692

Banie

Hi Nicolas

Thank you so much. Have a wonderful week-end.

Regards

Banie

Participant

Topics: 3

Replies: 3

Been thanked: 0 times

12/07/2019 at 8:49 AM #114378

snow_onar

Hello Nicolas

I have a question about your code. I do not understand the following code. Why do you write the following or clause: or (HIGH > rhigh and Strict =1). What I not understand, in this code strict is always 0, it will never go to 1. Why do we need this clause: or (HIGH > rhigh and Strict =1).

If it is possible, could you explain me the following parameter, please?

I assume variable TrendDirection is undefined, when I start the Indicator. How is this code working:

If TrendDirection[1] <> 1 then

TrendDirection = 1

endif

Thanks for your effort and help.

TradePeriod         = 20 // Donchian channel period for trading signals
StopPeriod          = 10 // Donchian channel period for exit signals
Strict              = 0  // Apply strict entry parameters like the Turtles did

rhigh = Highest[TradePeriod](high)[1]
rlow  = Lowest[TradePeriod](low)[1]
shigh = Highest[StopPeriod](high)[1]
slow  = Lowest[StopPeriod](low)[1]

// Change to uptrend
if(((CLOSE > rhigh ) or (HIGH > rhigh and Strict =1)) and TrendDirection[1] <> 1) then
TrendDirection = 1
//ExtMapBuffer5 = rlow

TradePeriod = 20 // Donchian channel period for trading signals

StopPeriod = 10 // Donchian channel period for exit signals

Strict = 0 // Apply strict entry parameters like the Turtles did

rhigh = Highest[TradePeriod](high)[1]

rlow = Lowest[TradePeriod](low)[1]

shigh = Highest[StopPeriod](high)[1]

slow = Lowest[StopPeriod](low)[1]

// Change to uptrend

if(((CLOSE > rhigh ) or (HIGH > rhigh and Strict =1)) and TrendDirection[1] <> 1) then

TrendDirection = 1

//ExtMapBuffer5 = rlow

snow_onar

Participant

Topics: 9

Replies: 8

Been thanked: 0 times

12/07/2019 at 9:48 AM #114379

Vonasi

Strict is just a setting that you can set to zero or 1 to turn off or on whether the strategy applies the strict version of the turtle rules or a looser version. The strict version includes consideration of the high and low compared to the Tradeperiod donchian channel when deciding trend direction.

Variables in ProRealCode do not need to be declared and all variables are assumed to be zero until given a different value. So at the close of the first bar of a chart TrendDirection will be zero and so an initial trend direction of 1 or -1 will be set but after that it will just flip between 1 or -1 depending what conditions are met.

2 users thanked author for this post.

GenesisEX,

snow_onar

Vonasi

Moderator

Topics: 192

Replies: 5088

Been thanked: 1811 times

Author

Posts

Viewing 7 posts - 1 through 7 (of 7 total)

Find exclusive trading pro-tools on