King Keltner Source Code

Looking for a trend follower – give this one a try!

``` [LegacyColorValue = true];

{King Keltner Program
King Keltner by George Pruitt -- based on trading system presented by Chester Keltner
-- an example of a simple, robust and effective strategy}

Inputs: avgLength(40),atrLength(40);
Vars: upBand(0),dnBand(0),liquidPoint(0),movAvgVal(0);

movAvgVal = Average((High + Low + Close)/3.0,avgLength);
upBand = movAvgVal + AvgTrueRange(atrLength);
dnBand = movAvgVal - AvgTrueRange(atrLength);

{Remember buy stops are above the market and sell stops are below the market
-- if the market gaps above the buy stop, then the order turns into a market order
vice versa for the sell stop}

if(movAvgVal < movAvgVal) then Sell("KKSell")tomorrow at dnBand stop;

liquidPoint = movAvgVal;

if(MarketPosition = 1) then Sell tomorrow at liquidPoint stop;
if(MarketPosition =-1) then BuyTocover tomorrow at liquidPoint stop;```

Pyramaniac

Code to pyramid up to N contracts on a day trade basis.

```input: maxSize(5),startTime(1000),endTime(1555);
var: stb(0),sts(0),tpAmt(0),lprft(0),sprft(0);

stb = High + minMove/priceScale;
sts = Low - minMove/priceScale;

print(date," ",time," ",stb," ",sts," ",currentShares);

if (time > startTime and time < endTime ) then
begin
tpAmt = average(range,10);
if(high>high) then lprft = highD(0)+1*tpAmt;
if(low < low) then sprft = lowD(0) -1*tpAmt;
if(currentShares < maxSize and c < average(c,9) and low < low and close < close) then buy("pyrabuy")next bar at sts limit;
if(currentShares < maxSize and c < average(c,9) and high >high and close > close) then sellShort("pyrasell") next bar at stb limit;

end;

//if(currentShares >= maxSize and marketPosition = 1) then sell("longmaxliq") next bar sts stop;
//if(currentShares >= maxSize and marketPosition =-1) then buyToCover("shortmaxliq") next bar stb stop;
if(marketPosition = 1) then sell("longProf") next bar lprft limit;
if(marketPosition =-1) then buytoCover("shortProf") next bar at sprft limit;
setexitonclose;```

Final Version of Geo’s Turtle with Virtual Trading

Final version posted below. A little advanced but if you can follow and make sense of it then you are well along on becoming an EasyLanguage programmer.

```inputs: absEntryChanLen(55),entryChanlen(20),exitChanLen(10),

virtLongLiqPrice(0),virtShortLiqPrice(0),
virtLongLoss(0),virtShortLoss(0),
myFillPrice(0),N(0),N\$(0),dollarRisk(0),lotSize(0),
hh20(0),hh55(0),ll20(0),ll55(0),iCnt(0),initPrice(0),stopLossPts(0),debug(false);

mp = marketPosition;

if mp = 0 then
begin
N = AvgTrueRange(20);
N\$ = N*BigPointValue;
lotSize = IntPortion(DollarRisk/N\$);
if lotSize < 1 then lotSize = 1;
StopLoss = 2 * N\$ * lotSize;
StopLossPts = 2 * N * lotSize;
hh20 = highest(high,entryChanLen);
hh55 = highest(high,absEntryChanLen);
ll20 = lowest(low,entryChanLen);
ll55 = lowest(low,absEntryChanLen);
end;

If mp <> 1 and mp = 1 then
Begin
if debug then
" ExitPrice ",ExitPrice(1):6:6," entryPrice ",entryPrice(1):6:6);
end;
If mp <> -1 and mp = -1 then
Begin
if debug then
" mp ",mp," ",mp);
end;

Begin
if debug then
print(date," In Virtual Section And VirtTmp = ",virTmp);
If(virtmp = 1) then
Begin
virtLongLiqPrice = maxList(lowest(low,exitChanLen),virtLongLoss);
if(virtualLongExit(virtLongLiqPrice,1,myFillPrice) =1) then
Begin
virtmp = 0;
if debug then print(" Long Exit @ ",myFillPrice);
end;
end;
If(virtmp = -1) then
Begin
virtShortLiqPrice = minList(highest(high,exitChanLen),virtShortLoss);
if(virtualShortExit(highest(high,exitChanLen),1,myFillPrice) =1) then
Begin
virtmp = 0;
if debug then print(" ShortExit @ ",myFillPrice);
end;
end;
Begin
if virtmp <> 1 then
begin
virtLongLoss = myFillPrice - 2*N;
virtmp = 1;
if debug then print(" Long @ ",myFillPrice);
end;
end;
if(virtualSell(lowest(low,entryChanLen),1,myFillPrice) = 1) then
Begin
if virtmp <> -1 then
begin
virtsellPrice = myFillPrice;
virtShortLoss = myFillPrice + 2*N;
virtmp = -1;
if debug then print(" Short @ ",myFillPrice);
end;
end;
if debug then print("End of Virtual Module : virTmp = ",virTmp);
end;

for iCnt = 0 to 3
begin
begin
if mp <> -1 and currentContracts = iCnt * lotSize then
begin
buyPrice = hh20 + iCnt * N/2;
end;
if mp <> 1 and currentContracts = iCnt * lotSize then
begin
sellPrice = ll20 - iCnt * N/2;
end;
virTmp = 0;
end;

begin
if mp <> -1 and currentContracts = iCnt * lotSize then
begin
buyPrice = hh55 + iCnt * N/2;
end;
if mp <> 1 and currentContracts = iCnt * lotSize then
begin
sellPrice = ll55 - iCnt * N/2;
end;
//		virTmp = 0;
end;
end;

begin
if currentContracts < 4 * lotsize then Sellshort ("Turtle20Sell") lotsize contracts next bar at sellPrice stop;
if currentContracts < 4 * lotsize and debug then print(date," 20sellPrice ",sellPrice:6:6," ",currentContracts);
end;

begin
if currentContracts < 4 * lotsize then Sellshort ("Turtle55Sell") lotsize contracts next bar at sellPrice stop;
if debug then print(date," ",iCnt," 55sellPrice ",sellPrice:6:6);
end;

If mp = 1 then Sell ("TurtleLExit") next bar at lowest(low,exitChanLen) stop;
If mp = -1 then BuyToCover("TurtleSExit") next bar at highest(high,exitChanLen) stop;

If mp = 1 then Sell ("TurtleLExit2N") next bar at entryPrice - stopLossPts stop;
If mp = -1 then BuyToCover("TurtleSExit2N") next bar at entryPrice + stopLossPts stop;```

Developing Winning Trading Systems…. being translated into Chinese in 2014

Just got word the 2nd edition is being published in Chinese.

One System From The Book

Just wanted to bring one of the systems that I developed for the book to everybody’s attention. This is a simple system that puts on two contracts and peels one off after a certain profit and then lets the other one ride. Its a mini-Russell system. Full code is disclosed in the book – source code can be imported into other applications.  The object of this code is to demonstrate multiple contracts and money management techniques.  Remember –

THERE IS A SUBSTANTIAL RISK OF LOSS IN TRADING. IT IS IN THE NATURE OF COMMODITY TRADING THAT WHERE THERE IS THE OPPORTUNITY FOR PROFIT, THERE IS ALSO THE RISK OF LOSS. COMMODITY TRADING INVOLVES A CERTAIN DEGREE OF RISK, AND MAY NOT BE SUITABLE FOR ALL INVESTORS. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE HIGH DEGREE OF LEVERAGE THAT IS FOUND IN FUTURES (BECAUSE OF SMALL MARGIN REQUIREMENTS) CAN WORK AGAINST YOU AS WELL AS FOR YOU. I.E. YOU CAN HAVE LARGE LOSSES AS WELL AS LARGE GAINS. This Code Uses A Loop To Calculate Buy/Sell Levels Based on Current Position

```if currentshares = LTT then begin
buy("B-20A.5") LTT shares next bar highest(h,20)[BB] + (0.5*N) or higher;
buy("B-20A 1") LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher;
buy("B-20A1.5") LTT shares next bar highest(h,20)[BB]+ (1.5*N) or higher;
end;
if currentshares = LTT * 2 then begin
buy("B-20B 1") LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher;
buy("B-20B1.5") LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher;
end;
if currentshares = LTT * 3 then
buy("B-20C1.5") LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher;
end;```

Just do this:

```for iCnt = 0 to 3
begin
begin
if mp <> -1 and currentContracts = iCnt * lotSize then
begin
buyPrice = hh20 + iCnt * N/2;
end;
end;
end;
begin
end;```

Instead of having multiple buy orders at different levels -simply change your buy levels using the for-next loop and issue just one order. Only problem is you can only issue one buy order per bar. Whereas the former approach will place multiple orders for the next bar. Usually this will not cause a problem unless your buy/sell levels are very close. The use of the for-next loop is up to one's own programming style. I like the for-next loop.

A For-Loop to Calculate Different Buy/Sell Levels – Turtle Style

Can you figure out what this is doing?

```for iCnt = 0 to 3
begin
begin
if mp <> -1 and currentContracts = iCnt * lotSize then
begin
buyPrice = hh20 + iCnt * N/2;
end;
if mp <> 1 and currentContracts = iCnt * lotSize then
begin
sellPrice = ll20 - iCnt * N/2;
end;
virTmp = 0;
end;

begin
if mp <> -1 and currentContracts = iCnt * lotSize then
begin
buyPrice = hh55 + iCnt * N/2;
end;
if mp <> 1 and currentContracts = iCnt * lotSize then
begin
sellPrice = ll55 - iCnt * N/2;
end;
virTmp = 0;
end;
end;```

Most EasyLanguage code is compatible with MultiCharts

MultiCharts is a very powerful program that can be purchased outright and seems to be very compatible with EasyLanguage.  Their software requires a third-party data feed or ASCII data.

Recent Last Trade Was Loser Filter Example

This just happened recently in the bond market. The LastTradeLoser filter prevented the Turtle 20 bar low entry from occurring. As you can see from the prior trade – it was a winner.

The following code uses our new functions to synthetically keep track of our trading to determine when to enter a new trade. The Turtle System only took trades after a losing trade took place. Even with the Virtual Trade functions you still need to keep track of whether the entries/exits generated a profitable trade. It simple enough to track the real trades – compare the entries/exits when a the market position changes.

``` ```
``````inputs: absEntryChanLen(55),entryChanlen(20),exitChanLen(10),lastTradeLoserFilter(false);

myFillPrice(0);
mp = marketPosition;

If mp <> 1 and mp = 1 then
Begin
end;
If mp <> -1 and mp = -1 then
Begin
end;

Begin
print(date," In Virtual Section And VirtTmp = ",virTmp);
If(virtmp = 1) then
Begin
if(virtualLongExit(lowest(low,exitChanLen),1,myFillPrice) =1) then
Begin
virtmp = 0;
end;
end;
If(virtmp = -1) then
Begin
if(virtualShortExit(highest(high,exitChanLen),1,myFillPrice) =1) then
Begin
virtmp = 0;
end;
end;
Begin
if virtmp <> 1 then
begin
virtmp = 1;
end;
end;
if(virtualSell(lowest(low,entryChanLen),1,myFillPrice) = 1) then
Begin
if virtmp <> -1 then
begin
virtsellPrice = myFillPrice;
virtmp = -1;
end;
end;
print("End of Virtual Module : virTmp = ",virTmp);
end; ``````

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