Торговая система Черепах.

Стратегия есть в Wealth lab 4 в разделе TrendFollowers, там несколько версий, самая простая Turtles_original_V1.
Код там есть.
но если нужен код то вот он:

var N, L1, S1, L2, S2, L3, S3, L4, S4, SE, LE, SL: float;
var BAR, P: integer;

for Bar := 20 to BarCount — 1 do
begin
//ApplyAutoStops(bar);
if PriceClose(bar) > 5000 then
setpositionsize(priceclose(bar)*1.1);
N := ATR( Bar, 20 );
L1 := Highest( Bar, #High, 20);
S1 := Lowest( Bar, #Low, 20);
L2 := L1 +0.5*N;
S2 := S1 -0.5*N;
L3 := L2 +0.5*N;
S3 := S2 -0.5*N;
L4 := L3 +0.5*N;
S4 := S3 -0.5*N;
SE := Highest( Bar, #High, 10);
LE := Lowest( Bar, #Low, 10);

if ActivePositionCount=3 then begin
BuyAtStop( Bar + 1, L4, 'L4');
ShortAtStop (Bar + 1, S4, 'S4');
end;
if ActivePositionCount=2 then begin
BuyAtStop( Bar + 1, L3, 'L3');
ShortAtStop (Bar + 1, S3, 'S3');
end;
if ActivePositionCount=1 then begin
BuyAtStop( Bar + 1, L2, 'L2');
ShortAtStop (Bar + 1, S2, 'S2');
end;
if ActivePositionCount = 0 then begin
BuyAtStop( Bar + 1, L1, 'L1');
ShortAtStop (Bar + 1, S1, 'S1');
end;
for p := 0 to PositionCount -1 do begin
if PositionActive(p) then
if Positionlong(p) then SL := PositionEntryPrice(p)-2*N
else SL := PositionEntryPrice(p)+2*N;
end;
for p := 0 to PositionCount -1 do begin
if PositionActive(p) then
if Positionlong(p) then SellAtStop( Bar + 1, SL, p, 'LongStop')
else CoverAtStop( Bar + 1, SL, p, 'ShortStop');
if PositionActive(p) then
if Positionlong(p) then SellAtStop( Bar + 1, LE, p, 'LongExit')
else CoverAtStop( Bar + 1, SE, p, 'ShortExit');
end;
end;

PlotSeries( HighestSeries( #High, 20 ), 0, #green, #Thin );
PlotSeries( LowestSeries( #Low, 20 ), 0, #green, #Thin );
PlotSeries( HighestSeries( #High, 10 ), 0, #red, #Thin );
PlotSeries( LowestSeries( #Low, 10 ), 0, #red, #Thin );