I'm trying to implement the original turtle trader rules. So far so good but one thing has me foxed. I'm using a daily tick and end of day prices.
I want to pyramid in to a particular security every time the price rises by a certain amount. However, each trade should have its own separate stop level, independently triggered. So for example, imagine I bought 1000 shares at four different prices p1, p2, p3 and p4. Each block of shares has its own stop level s1, s2, s3 and s4 which are triggered intraday. So let's say one day the price closes above s1 and s2 but below s3 and s4. Therefore I want to sell 1000 shares at s3 and 1000 shares at s4. Similarly, if the price rises enough, I might want to buy two or three blocks of 1000 shares at different prices on the same day. The only way I can think of to do this is to create a composite buy/sell order for 2000 shares at the average buy/sell price and keep my own accounts of the actual prices, numbers of shares, and stop levels. Is there a better approach?
