Murray's trend following system update

[ModulusFE]

Murray,

Do you have an updated log for Trend Harmony and Super Turtle?

Richard

 

[Gyles]

Quote from ModulusFE:

Murray,

Do you have an updated log for Trend Harmony and Super Turtle?

Richard

A good and interesting idea, Richard. It will help showcase the progress and the capabilities of TradersStudio as per the markets changes.

 

[Murray Ruggiero]

Quote from Gyles:

A good and interesting idea, Richard. It will help showcase the progress and the capabilities of TradersStudio as per the markets changes.

Here are SuperTurtle orginal parameters small portfiolo and a larger portfiolo with new parameters for simple harmony. I optimized these parameters about a year and a half ago.

 

[Gyles]

Sincere thanks for the update in the results, it has been helpful

 

[Rodney King]

Yes, thanks for the info. I'm coming into this discussion late, but I assume transaction costs are accounted for? Looks like the strategies earn ~½ Sharpe over time, which is plausible for trendfollowing. Adjusted down to an institutional level of vol, that would be 4% to 8% /year.