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Ariel Simple Turtle Robot

The document describes Ariel, a simplified version of the trend-following Turtle trading strategy developed by Richard Dennis and William Eckhardt in the 1980s. The strategy uses Donchian channels and average true range (ATR) to determine entry and exit rules for long and short trades. Positions are risked at 1% of capital per trade. The strategy works best in trending markets with low volatility on mid-to-high timeframes like 30 minutes or larger. High volatility can be detrimental, so parameters may need adjusting for those conditions.

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Rodrigo Asth
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61 views2 pages

Ariel Simple Turtle Robot

The document describes Ariel, a simplified version of the trend-following Turtle trading strategy developed by Richard Dennis and William Eckhardt in the 1980s. The strategy uses Donchian channels and average true range (ATR) to determine entry and exit rules for long and short trades. Positions are risked at 1% of capital per trade. The strategy works best in trending markets with low volatility on mid-to-high timeframes like 30 minutes or larger. High volatility can be detrimental, so parameters may need adjusting for those conditions.

Uploaded by

Rodrigo Asth
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Ariel – Simple Turtle Robot

The turtle trading strategy is a famous trend-following strategy by legendary traders Richard Dennis
and William Eckhardt in the 1980s.

Richard felt anyone could learn how to trade if taught properly. His partner, William Eckhardt,
disagreed, and their debate resulted in an experiment with a group of would-be apprentice traders
recruited during 1983 and 1984 for two trading “classes.” That “Turtle” name? It was simply the
nickname Dennis used for his students.

Starting with less than 10million, the group made over 150million in 5 years. (There is no official
figure but this is based on estimates by Michael Covel in his book “The Complete Turtle Trader”.)

Check out the amazing trading experiment: http://turtletrader.com/it/

Check out the trading strategy that was taught:


http://bigpicture.typepad.com/comments/files/turtlerules.pdf

Ariel is a simplified version of the Turtle Strategy. The full Turtle Robot will in included in the later
sections.

Trend Following

The turtle trading strategy is a trend following strategy. This means that the edge comes from
capturing and riding long term trends.

Trading Rules

ARIEL ENTRY RULES:

• Long: When closing price is equal to or crosses Donchian(20) upper bound from the
bottom.
• Short: When closing price is equal to or crosses Donchian(20) lower bound from the top.

ARIEL EXIT RULES:

• Profit-Taking Exit 1: Exit the long trade when closing price is equal to or crosses
Donchian(20) lower bound from the top.
• Profit-Taking Exit 1: Exit the short trade when closing price is equal to or crosses
Donchian(20) upper bound from the bottom.
• Stop Loss Exit: Exit trade when closing price travelled 1 ATR in the adverse direction.

ARIEL POSITION SIZING RULE:

• 1% of Capital risked per trade


NOTE:

• Parameter values are arbitrary.


• Avoid using fixed price values in Entry and Exit rules. We use Donchian and ATR so that
our robot adapts to the volatility of the market.
• You need to download and compile the custom indicator: Donchian Channels.mq4. Place
the indicator in the indicator folder and compile it. Learn more about it here:
http://en.wikipedia.org/wiki/Donchian_channel
• Equity curve has long periods of drawdowns and occasional large upward spikes

Download codes for entire Bonus Chapter: https://github.com/Lucas170/Bonus-Chapter

Works best on:

• Trending and low volatility conditions. High Volatility is extremely detrimental to the
robot. If there exist high volatility, increase the Donchian periods and ATR StopLoss
multiple to allow the robot to absorb the noise.
• Mid-High timeframe - 30m and larger.

Source: Asirikuy.com

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