Turtle TS-code help needed from programmers

abcplot · May 11th, 2011, 02:29 PM

Hello,

I am relatively new to Tradestation and would need some help from expierenced TS programmers in understanding below attached Turtle strategy.

I am hoping that there are some members which can help me to fully understand below code.

Below is the first part of mentioned Turtle strategy attached, including my comments as I think the instrcutions will be executed, on some statements I simply have no clue what they are really doing, hopefully some members can explain them in detail.

Currently I don´t think it makes sense to post the entire strategy, so I will go ahead and post below the first part

In BLUE are my comments, as I said, would be great if somebody can tell me if my analysis of below code is correct and on sections where I simply don´t know whats going on if possible please provide some further assistance.

Thanks a lot to everbody!

Below are the first 30% of given TS code:

[LegacyColorValue = true];
{ Turtle mode #2 Ver.0.1.0 03.02.2005}

Input: DistH(4),DistL(4),Account(10000),MaxPercRisk(1),MaxOpenEntry(4);

Var:TradeAccount(-1),PosSize(0),TrailBars(10),CurrentPosition(0),cCurrentEntries(0),
cAvgEntryPrice(0),cEntryPrice(0),cCurrentContracts(0);

Var:BuyStop(-1),BuyLimit(-1),LExitStop(-1),SellStop(-1),SellLimit(-1),SExitStop(-1);

Var:NextHigh(-1),NextLow(-1),BarUntil(-1);

Var:BreakType(0),BreakStop(-1),BreakBars(0),BreakIsLoss(false),Break20Found(false),Break20SkipCnt(0);

if Barnumber=1 then begin {Start with 1 bar on chart}
VALUE29=-1; {Numeric value set to -1, for later usage, currently don´t know the meaning of -1}
VALUE38=-1; {Numeric value set to -1, for later usage, currently don´t know the meaning of -1}
end;

cCurrentEntries=CurrentEntries;
{"CurrentEntries" -->numbers of entries currentlyopen, assigned to"cCurrentEntires"}

cAvgEntryPrice=AvgEntryPrice;
{AvgEntryPrice --> Average price of all currently open entries --> assigned to "cAvgEntryPrice"}

cCurrentContracts=CurrentContracts;
{CurrentContracts --> Number of contracts currently open --> assigned to "cCurrentContracts"}

if (cCurrentEntries>cCurrentEntries[1]) then begin
{(cCurrentEntries>cCurrentEntries[1]) --> if "cCurrentEntries" is bigger that the one from yesterday, but so far there are no trades made, value for both is still 0, condition not met, jump to next "if" --> if (cCurrentEntries=0 and cCurrentEntries[1]<>0) then begin}

cEntryPrice=(CurrentContracts*AvgEntryPrice-cCurrentContracts[1]*cAvgEntryPrice[1]) / (CurrentContracts-cCurrentContracts[1]);
{Calculation for var "cEntryprice" --> (Number of currently held contracts * average price of all currently open entries) - ( values from yesterday) / (currently held contract - the ones from yesterday)}

--> same thing: currently no trades in progress, all vars still set to 0
--> What does "cEntryPrice" basically say? actually don´t understand the meaning of this calculation.

if MarketPosition=1 then begin
{ if long than continue --> condition not met, no trades in progress}

LExitStop=TicksRound(cEntryPrice-2*XAverage(TrueRange,20));
{ I guess that´s the "2N" initial stop calculation according to Turtle rules}

NextHigh=cEntryPrice+0.5*XAverage(TrueRange,20);
{no idea...., whats the meaning of this "NextHigh"?}

NextHigh=TicksRound(NextHigh+TicksMTS(NextHigh));
{no idea...., whats the meaning of this "NextHigh"?}

BuyStop=-1;
{predefined vars, as above. What´s the reason to have them all on -1?)

BuyLimit=-1;
{predefined vars, as above)

BarUntil=-1;
{predefined vars, as above)

VALUE29=-1;
{predefined vars, as above)
end

else begin
SExitStop=TicksRound(cEntryPrice+2*XAverage(TrueRange,20)); {same as above, just SExit)
NextLow=cEntryPrice-0.5*XAverage(TrueRange,20); {no idea...., whats the meaning of this?}
NextLow=TicksRound(NextLow-TicksMTS(NextLow)); {no idea...., whats the meaning of this?}
SellStop=-1;
{predefined vars, as above. What´s the reason to have them all on -1?)
SellLimit=-1; {predefined vars, as above)
BarUntil=-1; {predefined vars, as above)
VALUE38=-1; {predefined vars, as above)
end;

{ Date & Time line for multiple entries Buy / Sell }
value99=date; {predefined numeric values --> date}
value98=time; {predefined numeric value --> time}
end;

if (cCurrentEntries=0 and cCurrentEntries[1]<>0) then begin
{cCurrentEntries is 0, but cCurrentEnties from yesterday is equal to 0 --> condition not met to proceed, so far no trades made}
NextHigh=-1;
NextLow=-1;
LExitStop=-1;
SExitStop=-1;
BuyStop=-1;
BuyLimit=-1;
SellStop=-1;
SellLimit=-1;
BarUntil=-1;

if VALUE29>=0 then {so far value29 is still set to 0, cannot proceed}

TL_Delete(VALUE29); {delete trendline}

VALUE29=-1;
{in case value29 changed --> now re-setting "value29" to -1}
if VALUE38>=0 then {so far value38 is still set to 0, cannot proceed}
TL_Delete(VALUE38); {delete trendline}
VALUE38=-1; {in case value38 changed --> now re-setting "value38" to -1}
end;

May 11th, 2011, 02:29 PM

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

Turtle TS-code help needed from programmers

September Journal Challenge (sponsored by TopstepTrader)

Free Elite Membership: Twitter Tuesday and Facebook Friday!

Trading with Python: Using Machine Learning w/Ran Aroussi [12:30PM ET]

TopstepTrader (TBD)

RandBots (TBD)

Anthony Drager (TBD)

> Futures Trading, News, Charts and Platforms > Platforms and Indicators > TradeStation > EasyLanguage Programming

Turtle TS-code help needed from programmers

Turtle TS-code help needed from programmers

September Journal Challenge (sponsored by TopstepTrader)

Free Elite Membership: Twitter Tuesday and Facebook Friday!

Trading with Python: Using Machine Learning w/Ran Aroussi [12:30PM ET]

TopstepTrader (TBD)

RandBots (TBD)

Anthony Drager (TBD)