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Best Systematic Trading Strategy | #1 Entry and Exit signal

Richard Dennis and William Eckhardt popularized Turtle trading in the 1980s. They drew inspiration from the concept that even those without prior experience could be taught to trade, much like training turtles to adhere to specific rules. This strategy embodies a systematic and disciplined approach to trend-following trading, with the following key elements:

Entry Signals:

  1. Long-Length Channel: Use a longer time frame for identifying entry signals. For example, you might look for breakouts that exceed the highest high or lowest low over a 50-day period. This extended channel helps capture significant trends.
  2. Short-Length Channel for Exit: Once a position is established, use a shorter time frame for exit signals. For instance, you can use a 10-day channel to monitor price movements for potential exits.

You can adjust the periods to suit your chosen time frame. In the example below, we employ a 60-minute time frame.

Turtle traders strive to seize trends, whether they favor bullish or bearish market conditions, by maintaining positions as long as the trend endures. Consequently, they can ride substantial trends for extended durations.

Best Systematic Trading Strategy: the success of the turtle strategy has fluctuated over the years, featuring both outstanding and lackluster performance periods. As with all trading strategies, it’s vital to adapt and revise the rules in response to shifting market conditions. Furthermore, effective implementation of the strategy hinges on practicing sound risk management and maintaining discipline.

TURTLE STRATEGY ON CRUDE OIL – 60 minutes time frame

This version of the system buys higher highs, shorts lower lows, using 40-bar entry trends, and 20-bar exits. It incorporates a $1600 stop loss and halts trading after 3 pm. In essence, it’s an effective, risk-managing system. This trading system has impressively generated approximately $226,000 per contract of front-month crude oil traded over the past 13 years. Let’s see the simplicity of the Power Language / EasyLanguage code:

Input: TurtleActive(1), LongLenght(50), ShortLenght(10),Mystop(0),MyProfit(0),MyBreakeven(0), MySize(1), MyStartTrade(1800), MyEndTrade(1700);
Input: AllowLong(1), AllowShort(1);
var: timewindow(false);



if MyStartTrade>MyEndTrade then timewindow = t>=MyStartTrade or t<MyEndTrade
else timewindow = t>=MyStartTrade and t<MyEndTrade;

if TurtleActive=1 and timewindow then begin
	if AllowLong=1 
	then Buy MySize contracts next bar highest(high,LongLenght) stop;
	if AllowShort=1 
	then sellshort MySize contracts next bar lowest(low,LongLenght) stop;
	sell next bar Lowest(low,ShortLenght) stop;
	buytocover next bar highest(high,ShortLenght) stop;


if MyStop > 0 then setstoploss(MyStop);
If MyProfit > 0 then setprofittarget(MyProfit);
if MyBreakeven>0 then setbreakeven(MyBreakeven);
Best Systematic Trading Strategy
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