This strategy is applied on Future Dow30EMini on hourly basis. Signals are generated when the price break previous high or low. A trailing stop loss strategy is done by simply applying Average True Range
The objective of writing this strategy is to take some of the strategy from turtle strategy and test if it still works nowadays.
A buy signal is generated when the price breaks previous high within 20 days with a bullish candlestick. Similarly, a sell signal is generated if price breaks previous low within 20 days with a bearish candlestick.
The stop loss strategy is by applying Average True Range (ATR). The stop loss is calculated by subtracting close price by 1 ATR. When in a long position, the trailing stop loss will by pushed up if the current close price is higher than previous close. When in a short position, the trailing stop loss will by recalculated if the current close price is lower than previous close.
Backtest result is attached as below for the year of 2018:
