Loss Filter (from the original Turtle Traders Strategy)

Hi there, the original turtle trading strategy employed a clever entry filter called a “loss filter” that would only allow a trade if the last trade was a losing one in either direction. Is there any way to build that out in the AlgoWizard or Build Strategies? I haven’t yet been able to find a condition or block that would accomplish this. Thanks in advance for any help here.

Hi,

you can use the “Closed PL” function available in AlgoWizard. Check the screenshot attached

Perfect thanks so much. So in this case you’d select “Closed PL < 0” as the condition, correct?

Yes, that is correct

Huh? But then when it wins it would just stop trading forever…. Actually, it would never even start trading because Closed PL would be zero….

You might have better luck making the lot size super tiny until it loses once then it goes full lots etc. Because it won’t know if the last trade WOULD have been a loser or winner if it didn’t take the trade.

Yes Bentra, it’s not quite the solution because I can’t figure out a way for it to take the first trade since there’s no previous PNL history. Then like you also mentioned, I can’t find a way for the strategy to tell if a hypothetical trade would’ve been a winner/loser to then open or not open a position. Any additional guidance is appreciated here Tomas. It’s possible that it’s beyond the capability of the software without a feature update and if so that would be useful to know. Thanks so much.