Original Turtle Rules Interpretation


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Hello, for the past few weeks I have been reading and coding the original turtle trading rules found
here bigpicture[.]typepad[.]com/comments/files/turtlerules.pdf

For the most part I understand and have been able to implement the strategy in NT7. However, I do
not understand Chapter 3 "positionSize", page 16 "Units as a measure of risk" for example: "Single
Markets 4 units" vs "Single direction 12 units", "Single Markets" also have Single direction" ? how to
interpret this text.
From the book:
Turtles were given risk management rules that limited the number of Units 
that we could maintain at any given time, on four different levels. In 
essence, these rules controlled the total risk that a trader could carry, 
and these limits minimized losses during prolonged losing periods, as 
well as during extraordinary  price movements.

Level    Type                                   Maximum Units
1          Single Market                          4 Units
2          Closely Correlated Markets             6 Units
3          Loosely Correlated Markets             10 Units
4          Single Direction – Long or Short       12 Units

Would appreciate if any of the gurus in the forum would explain how to interpret this rule or point me to a doc that does.

For anyone interested here is my interpretation of the Original Turtle rules.
Any help, suggestion or comments are more than welcome!!


One unit = ( 0.01 * [Account Size] ) / ( [20 days ATR] *  Stock Price)

--[Notional Account Size]

Decrease [Account Size] by [Account Size] - (0.1 * [Account Size]) on losses.


Enter one long/short unit when Stock hits a [20 days high/low]
Increment by one unit when: Stop Price  == Stock Price + (0.5 * [20 days ATR]) 


Increment up to and no-more than:
 4 Units for single markets
 6 Units Closely Correlated Markets
10 Units Loosely Correlated Markets
12 Units Single direction - Long or Short


Stop price for long:   [Stock Price] - (2 * [20 days ATR])
Stop price for short:  [Stock Price] + (2 * [20 days ATR])
All units close when triggered.


Type 1: [10 days high/low]
Type 2: [20 days high/low]
All units close on exit.
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