I am hopelessly out of my league on this forum but have great respect for those in the field. I am newly hired and in a probation period as a junior trader for a hedge fund, Stonehenge Capital Management, LLC, Delray Beach, FL, USA as a junior trader. I have been given an assignment: write Excel VBA code for the following trading rules so that historical data on a basket of uncorrelated markets can be backtested for performance.
Can anyone with time to spare help me code the following simple trading system? I have the data at the ready. Thank you so much. Lars.
The Turtle Soup Plus One setup is almost identical to the Turtle Soup setup, except it occurs one day later. It too, can be traded in all markets and in all time frames. We are looking for the market to make a new intermediate-term high/low and then reverse the following day
With so many trend-following /breakout players in the investment arena, the rewards are large when a breakout fails and reverses. This is especially true if the market has given players a chance to add on to existing positions. This pattern is also profitable because some players only enter on a close outside a new 20-day high/low. Thus, the market has trapped even more participants.
Here are the rules:
FOR BUYS (SELLS ARE REVERSED)
1. The market makes a new 20-day low. The previous 20-bar low must have been made at least three trading sessions earlier. The close of the new low (day one) must be at or below the previous 20-bar low
2. An entry buy stop is placed the next day (day two) at the earlier 20 day low. If you are not filled on day two, the trade is cancelled.
3. If filled, place a protective sell stop one tick under the lower of the day-one low or the day-two low.
4. Take partial profits within two to six bars and trail a stop on the balance of your position.
Can anyone with time to spare help me code the following simple trading system? I have the data at the ready. Thank you so much. Lars.
The Turtle Soup Plus One setup is almost identical to the Turtle Soup setup, except it occurs one day later. It too, can be traded in all markets and in all time frames. We are looking for the market to make a new intermediate-term high/low and then reverse the following day
With so many trend-following /breakout players in the investment arena, the rewards are large when a breakout fails and reverses. This is especially true if the market has given players a chance to add on to existing positions. This pattern is also profitable because some players only enter on a close outside a new 20-day high/low. Thus, the market has trapped even more participants.
Here are the rules:
FOR BUYS (SELLS ARE REVERSED)
1. The market makes a new 20-day low. The previous 20-bar low must have been made at least three trading sessions earlier. The close of the new low (day one) must be at or below the previous 20-bar low
2. An entry buy stop is placed the next day (day two) at the earlier 20 day low. If you are not filled on day two, the trade is cancelled.
3. If filled, place a protective sell stop one tick under the lower of the day-one low or the day-two low.
4. Take partial profits within two to six bars and trail a stop on the balance of your position.
