- Have you tested trend-following EMA crossovers on a diversified portfolio?
- Have you tried testing trend-following EMA crossovers on a diversified portfolio of EMA frequencies for the diversified portfolio? (Fractal geometry.)
Just an idea.
backtesting the original turtles
- Thread starter mind
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- Have you tested trend-following EMA crossovers on a diversified portfolio?
- Have you tried testing trend-following EMA crossovers on a diversified portfolio of EMA frequencies for the diversified portfolio? (Fractal geometry.)
Just an idea.
mind,
I wrote the rules document on the www.originalturtles.org site, founded that site with a few others, traded the rules as a Turtle for the duration of the Turtle program, and have done fairly extensive recent testing on that system and related ideas.
I wasn't sure when I began testing it how well it would hold up since I had been out of the markets for about 15 years.
I don't find the same results you did at all. While I think you can do better, it generates pretty decent positive returns in my tests over the last 10 years.
Did you test all the rules? In particular, did you test the correlation limits, the pyramiding, and the "Last Trade is Loser" rule?
These have a surprising effect on the performance of the system.
What software did you use to do your testing?
Regards,
Curtis Faith
Any BO system and or method will produce large 30% + drawdowns . If you do not like drawdowns, you have to introduce additional rules to the BO system to eliminate bad entries .That is all. turtle is a good method but it was designed while ago when people were not that jumpy like we are now. Turtle method idea is still valid it just needs little tweaking to bring it up to date.
i wouldn't mind seeing some of the turtle code some of you are testing, because i've tested it myself and it looks fine to me. there is an enormous class of trend-following systems that work over the long run, the turtles are just one of them, the key to all of them is money management and strict discipline.
it is also important to note the turtles were applied simultaneously across a wide variety of markets: that is a vital component of any trend-catching system. and running monte carlo against turtles to characterize the market movements producing poor short-run results is also very illuminating.
it is also important to note the turtles were applied simultaneously across a wide variety of markets: that is a vital component of any trend-catching system. and running monte carlo against turtles to characterize the market movements producing poor short-run results is also very illuminating.
thank you for putting the rules on public display, imo they are a wealth of information for anybody wanting to be a trader. my testing results match yours and i've built the thing in everything from c to pascal to perl to mathematica to blah blah blah.
the "last trade is a loser" rule is a real eye-opener, but it does match an old cliche about buying - not fading - the first major retracement of a major move.
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Curtis Faith, nickname inflector;
Thanks for the turtle website;
just read your elitetrader .com bio quote ''was a turtle in former life''
My older bro partial nicknamed me ''turtle'' as a youngster or youth ;
he perhaps seemed to think that i was supposed to move as fast as him
even if there was no wind or current on a sailboat.
i'd be curious to see the results of the turtle system backtested for the same time frame against a portfolio of Nasdaq 100 stocks from then til now.
intelligent asset allocation is a big piece of the puzzle imho.
p.s. wouldn't it be possible to add some filters to take into account the 'macro trendiness' (for lack of a better term) of an asset class?
we are now doing ma cross overs and related stuff.
i am a little cautious about your second proposal, sicne we have no experience with fractals altogether and it would probably take us at least six weeks to set it in place. i want to start with simple things and advance step by step. this will mean simple structures, then patterns (since we have the tech basically at hand), then other things, maybe fractals.
thanks for posting.