TurtleTrading2.0

Hi, I am looking to develop my trading strategy. The strategy itself is very straight forward. The rules are: Go long if: -20 VWMA above 50 VWMA. -Close of the candle is higher than the high of the last 50 days (essentially a 50-day breakout). -Trigger: ADX (on setting 14) should be above 20. (I use this as a filter for choppy markets) Go short if: -20 VWMA below 50 VWMA -Close of the candle is lower than the low of the last 50 days (essentially a 50-day break out) -Trigger: ADX (on setting 14) should be above 20. Whilst the strategy itself is simple, I implement a few risk management strategies that I believe may make automation more complex. In terms of position sizing, each trade is initially worth 1% of my account and the stop loss is set using (2 x ATR). If the trade moves in my favour and candle closes (2x ATR) in my direction, I enter another trade of 1% of my account value and set the stop loss using 2xATR again. I then move my previous (first) stop loss to the new (second) stop loss. If the trade moves (2xATR) in my direction again, I enter another trade of 1% my account value, meaning that each trade is worth a maximum of 3% of my account value. The final (third) stop loss is set at (2 x ATR) for the first day, and all other stop losses are moved up to this level. After the first day of my third entry, if the trade moves in my direction, I use a 5 x ATR trailing stop loss to exit the trade. This allows me to ride the big trends which is where I make money. I am very happy with the results of my backtesting so far (Soybeans and Corn), however, as this is a turtle-like trend following system, it must be applied to a truly diversified portfolio in order to achieve the results I am hoping for. The markets that I would like to invest in are the following (initially 20 markets to be expanded): Agricultural commodities: Soybeans, Corn, Wheat, Sugar Metals: Gold, Silver, Copper, Platinum, Palladium Energy: Crude Oil, Natural Gas, Heating Oil, Gasoline Rates: US30 Yr Bond, US 10 YR note Fx: USD/CHF, EUR/CHF, EUR/USD Indices: USA500, UK100 As you can imagine, backtesting on 20 markets is very time consuming. Managing trades in terms of pyramiding etc would also be difficult as the the number of markets increase, therefore I think automating this system would be a great idea in terms of not only backtesting, but also to manage live trades. Apologies for the lengthy text, I hope this provides clarification! Kind regards, Izzet