"The Turtles used a volatility-based constant percentage risk position sizing algorithm. The Turtles used a concept that Richard Dennis and Bill Eckhardt called N to represent the underlying of a particular market.
N is simply the 20-day of the True Range, which is now more commonly known as the ATR. Conceptually, N represents the average range in price movement that a particular market makes in a single day, accounting for opening gaps. N was measured in the same points as the underlying contract.
The Turtles built positions in pieces which we called Units. Units were sized so that 1 N represented 1% of the account equity. Thus, a unit for a given market or commodity can be calculated using the following formula:
Unit = 1% of Account/(N x Dollars per Point)"
To normalize the Unit formula, this script instead takes the value of (close/N). Dollars per point = 1 for stocks and crypto, but will change depending on the contract specifications for individual .
"Since the Turtles used the Unit as the base measure for position size, and since those units were risk adjusted, the Unit was a measure of both the risk of a position, and of the entire portfolio of positions."
When the value of N is high, is low and you should be more risk-on.
When the value of N is low, is high and you should be more risk-off.
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.