Implementing Turtle Algorithm into the Python Backtester

I include the Python Backtester in my latest book “The Ultimate Algorithmic Trading System Toolbox” book.  A good tutorial on how to use it would be to program the Turtle Algorithm in three different parts.   Here is part 1:

Entry Description: Buy on stop at highest high of last twenty days.  Short on lowest low of last twenty days.

Exit Description: Exit long on stop at lowest low of last ten days.  Exit short on highest high of past ten days.

Position Sizing:  Risk 2% of simulated 100K account on each trade.  Calculate market risk by utilizing the ten day ATR.  Size(shares or contracts) = $2,000/ATR in dollars.

Python code to  input into the backtester:


initCapital = 100000

riskPerTrade = .02
dollarRiskPerTrade = initCapital * riskPerTrade

hh20 = highest(myHigh,20,i,1)
ll20 = lowest(myLow,20,i,1)
hh10 = highest(myHigh,10,i,1)
ll10 = lowest(myLow,10,i,1)
hh55 = highest(myHigh,55,i,1)
ll55 = lowest(myLow,55,i,1)

atrVal = sAverage(trueRanges,10,i,1)

#Long Entry Logic
if (mp==0 or mp==-1) and barsSinceEntry>1 and myHigh[i]>=hh20:
profit = 0
price = max(myOpen[i],hh20)
numShares = max(1,int(dollarRiskPerTrade/(atrVal*myBPV)))
tradeName = "Turt20Buy"

#Short Logic
if (mp==0 or mp==1) and barsSinceEntry>1 and myLow[i] <= ll20:
profit = 0
price = min(myOpen[i],ll20)
numShares = max(1,int(dollarRiskPerTrade/(atrVal*myBPV)))
tradeName = "Turt20Shrt"

#Long Exit Loss
if mp >= 1 and myLow[i] <= ll10 and barsSinceEntry > 1:
price = min(myOpen[i],ll10)
tradeName = "Long10-Liq"

#Short Exit Loss
if mp <= -1 and myHigh[i] >= hh10 and barsSinceEntry > 1:
price = max(myOpen[i],hh10)
tradeName = "Shrt10-Liq"
Turtle Part 1


This snippet only contains the necessary code to use in the Python Backtester – it is not in its entirety.

This algorithm utilizes a fixed fractional approach to position sizing.  Two percent or $2000 is allocated on each trade and perceived market risk is calculated by the ten-day average true range (ATR.)   So if we risk $2000 and market risk is $1000 then 2 contracts are traded.  In Part 2, I will introduce the N risk stop and the LAST TRADE LOSER Filter.

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