backtesting the original turtles

Quote from oil_trader:


Ed Seykota said that if you want exceptional results you must accept drawdowns and if you want low drawdowns than should not expect great huge returns. If you can not reconcile that than you shouldn't trade.
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This may be true for mechanical traders, but it's not an absolute.
 
since i started this thread i would like to give an update. we finished backtesting a portfolio of three different trend following strategies. they form a modified sharpe of 1.8 over twenty years of backtesting. one of them is very turtle-like. we had the portfolio on paper trading for two months and start to trade within the next days.

thanks everyone participating in this thread.


peace
 
as a turtle and could never make money even in the go go 70's and 80's?
Quote from guy2:

Just got this email from CBOT:

Turtle Trading Strategies: Still Working After 20+ Years
July 24, 2004 @ 8:00 AM Chicago / 9:00 AM Eastern.
Join Russell Sands, one of the original 14 "Turtle" traders, for a three-hour presentation as he discusses how you can apply the same strategies that the "Turtles" use, in your own trading.

Click here to register:
http://www.hotcomm.com/virmeetCID_ARR.asp?CID=YMDZYQ&MID=CRTAY3
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Quote from oil_trader:

as a turtle and could never make money even in the go go 70's and 80's?
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I didn't know that. Do they have Q&A at the end of those webinars? That would be a great question but I doubt you'd get an answer.
 
Quote from oil_trader:

Let's look at the scenario when the drawdown of 50% occurs after a while and you already posted some decent gains. The drawdown essentially is on the house money if the account has appreciated 180% since its inception. And an open position can always turn around. If the sell criteria has not met yet the turtles would keep it. The likelihood of this happening is not that great since there would be some signals to get them out before it gets there (number of days against etc)


Ed Seykota said that if you want exceptional results you must accept drawdowns and if you want low drawdowns than should not expect great huge returns. If you can not reconcile that than you shouldn't trade.
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Darkhorse made an accurate quote ''not an absolute''on that Ed Seykota paragraph ,
rightly noting the
difference between a high probability & infallibility.

John Henry made the managed money review again.
A different,[non John Henry fund apparently] ,
# 1 fund made " +79.25% YTD [60 % max drawdown Acct]''.
Futures magazine,July 2004,subtitled includes stocks , options.

Dont Know if Bruce Kovner or Michaell Masters did as well as Ed Seykota, in % gain;
but all three made the Jack Schwager read,
the former 2 had low,
exception to the rule , single % drawdowns.

:cool:

Interesting they would subtitle a fund
''60 % Max Drawdown' Acct'
 
Quote from Cutten:

You are basically just restating the position here, without really providing evidence to support it. For example:

"In pursuit of superior profits, a good trader may take outsized risks when he is ahead that he would never take when he is behind."

You don't give any supporting evidence to justify this assumption. Why can't a trader during a bad drawdown take an outsized risk, if the trade opportunity is exceptional? If I offered you 100-1 on heads on a coin flip, would you refuse to bet big because you had lost 30% YTD? If you had the reverse proposition, would you bet just because you were ahead?

"If you take a YTD perspective, your equity curve perception is very different, allowing you to employ more aggressive money management techniques when appropriate and ehancing absolute profits in the long run."

Again you are begging the quesiton. Why should having a different "equity curve perception" make any difference to your choice of position size and risk control? A loss of 30 units is a loss of 30 units, whether you had a great or terrible run up to that point. To repeat - a trader with a great opportunity is able to bet as little or as much (subject to margin) as he likes; his equity curve, regardless of period, does not restrict or enhance that ability in any way whatsoever.

The basic position is as follows - if a trading approach would ever result in two traders with identical capital, methods, and risk preference taking on different position sizes, then that trading approach is logically inconsistent. Any method which advocates X and not X at the same time is clearly irrational.
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Cutten ;
Could take an outsize risk[say over 3% equity] with private money;
like the first year of a bull market in stocks in 2003
and i would agree with you on with that reguardless of equity trend.

As a general principle would agree with darkhorse more
because its trading with equity trend-
not saying make a habit of outsize risk taking.

Simply the darkhorse scenereo has better working capital results even if he loses on that one trade.

Even a HIGHLY intuitive multi-million top trader/Schwager ,
who compared trading to ''art of archery''
paper trades after 3 losses l.:cool:

Unusual top trader like Joseph who used dreams to trade corn in 7 year trends.

Also championship archers use a lot more than intuition & lots of experience;
many use compound & complex pulleys,
mechanical sights,
some use mechnical releases.....
 
Quote from inflector:

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.

Regards,

Curtis Faith
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Hello Mr. Faith. I learned from this article on the Van Tharp website
http://www.mastermindforum.com/phorum/read.php?f=9&i=13133&t=13133
that you have stopped giving away the Turtle Rules for free, despite the fact that the document brags and brags about how proud you are that you're not charging money for them. As the Tharp article points out, your Rules document includes the direct quotations below.

On your software website it says that you've done this to buy yourself a nice bottle of wine?? Mr. Faith, you are the owner of several cocktail bars in the US Virgin Islands, don't you have plenty of wine already?

From Tharp's site:

"This project had its seed in various discussions among a few of the original Turtles, Richard Dennis, and others regarding the sale of the Turtle Trading System rules by a former turtle, and subsequently, on a website by a non-trader. It culminated in this document, which discloses the Original Turtle Trading Rules in their entirety, free of charge."

"Like many of the other Turtles, it always bothered me that some were making money off the work of Richard Dennis and Bill Eckhardt without Rich and Bill's consent;"

"I had often thought that a great way to deal with this problem would be to give the Turtle Trading Rules away for free. Since others had already let the cat out of the bag, and since anyone who really wanted the rules could already get them by paying, ..."

"For that reason, it seemed like poetic justice that giving the rules away and revealing the truth about those who had been selling them would probably end the practice of selling the Turtle Trading Rules"
 

Attachments

Quote from ananda:

"Why would anybody pay for the "rules" to this ridiculous, non-working junk?"

The stunning ignorance, arrogance and rudeness of the majority of participants of this site continues to amaze me.

it is very simple to backtest the backbone of the Turtle rules.

I don't wish to give offense but if only such people would enquire, think, test rather than farting and burping out such nonsense.
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Yes, I agree on these points.

And I have tested these rules. Extensively. And much like *most* of the other posters on this thread, I have found the basic rules don't work - or at the very least don't work as well as simple buy and hold. Oh, the "basic core" works, but then you tested something different? That's not the same "system" then is it?

Yes. Please THINK. Do some work. And don't regurgetate this crapola like some vendor.
 
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