Turtle Traders suck?

Agree Tripack.

Especially this part:
But the turtle method will outperform buy and hold in other commodity markets that don't have a long term upward bias.

And yes.... read the PDF.

peace

axeman



Quote from TriPack:

Axeman,

It sounds like you've read the pdf on this website regarding the original turtles system?

http://www.originalturtles.org/system.htm

I just read it and it is very informative regarding the turtles method. I think you are right - the edge of this system is in market selection and diversification. It is choosing the 1 or 2 markets that will have big winning trend moves that will offset all the other losses the system incurs in all the other markets it trades.

And because the stock market is a market that generally trends upward, buy and hold is a profitable long term approach. But the turtle method will outperform buy and hold in other commodity markets that don't have a long term upward bias.
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Quote from Trend Fader:

The myth of the turtle trading being systematic?

The whole point of turtle trading is that it can never be backtested. The turtle system was not an exact system or some type of black box where any idiot can do it and make $. Each trader applied a level of discretion.. however the rules were pretty much the same.

Thats why the majority of turtle traders failed. It all came down to the ones that got lucky and capitilized on the big moves. The traders that caught a big move like going long nasdaq past year or short the dollar, long copper... pyramided their winnings and have huge size. Those are the guys that cleaned up.

Such a system can never be backtested because its not the actual buy or sell rules that made them money. What it came down to is how much money they had on the line when they nailed a huge move... and how they handled their positions. When you position trade its all about money management and scaling massive size into your winner. The losers are easily taken care off by using a stop loss or fixed loss.. but the money is made by handling the winners.

Just imagine if u traded 10 markets.. and happened to pyramid heavily into the S&P, Copper, Metals, and shorted the Dollar. The money that could have been made is astronomical.
Whereas another turtle trader could have not pyramided and their profits could of only been a fraction of yours.

Point is.. it all comes down to money mgt and position size not whether a 50 day breakout works better than a 100 day breakout.


--MIKE
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Well, you're half right. :) I write long-term and ultra-long-term trend-following systems that are similar to turtle systems. Currently, I have developed 12 independent systems. Proper money management is, indeed, the key to success. Entry/exit technique is largely irrelevant. The goal is to write a simple, robust, "bulletproof" entry/exit technique that will provide a CONSISTENT framework within which your money management system can operate.

However, success (at least, my success) has nothing to do with pyramiding or discretion. My systems have been long the indices, copper, metals, currencies and short the dollar for quite some time. Any properly constructed trend-following system would have to be. I do not ever countermand my systems, and I do not ever pyramid positions. These systems can be easily backtested.

Average position size is ~3 contracts per market per million, and is independent of past or present system performance.

jj
 
I did read and understand the PDF.
Thats why I asked if anyone had tried this on the DOW just for fun

It was just interesting to see what kind of system stats
a known trend following system like this would produce
on the DOW, knowing full well this was not how the system
was really used.

I just find it interesting that buy and hold beat it by such a huge margin
when run ONLY on the dow.


peace

axeman


Quote from hanseng1:

I have tested the system as outlined in the .pdf file at originalturtles.org and it worked well.

Just because a system doesn't work on DJIA doesn't make it a bad system. I works well in bonds and currencies specifically, and as previously mentioned, their money management is what made the system work.

A lot of traders on here seem to think that the stock indices are the only markets traded.

I think that either the original poster either didn't read the .pdf file outlining the specifics of the system and therefore didn't program the WHOLE system in or didn't take into account that they didn't trade ONLY the S&P.

Many of the turtles did well for themselves after the turtle program died.
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The Dow has an upward bias, since the Turtle system uses up some of that upward bias to generate a signal, it's unlevered performance is not going to be superior to the Dow.

In addition, since the Turtle system functions like an option straddle, it pays the straddle premium when the market chops rather than trends.

So, those two forces, I think, conspire to hold back performance of the Turtle system.

Ideally, the Turtle system should be able to compensate by making money on shorts (which buy & hold is excluded from), but since short opportunities occur twice as infrequently as long opportunities and occur at greater speed, the Turtle system will probably not be particularly effective at generating profits on the short side.

Most commodity markets are really downward declining due to cost reductions from technology, and spike upwards in natural disasters or squeezes, so the Turtle system, which is essentially a straddle, should be able to harvest volatility profits.

The genius of the Turtle system really, as other posters have mentioned, is in the iron discipline that keeps you from betting too big in the beginning (since this "ante" is going to be frequently chopped up).
 
Did you trade the 20 day breakout, or the 55 day? And if the 20 day, did you stick to the "pass-on-trade-if-last-trade-would've-been-a-winner" rule?
 
axeman,

I think the system is designed to be traded on multiple markets b/c that keeps it closer to fully invested. Also, there are diversification benefits that improve avg return.
 
Yes, I know.

peace

axeman


Quote from G_Morgan:

axeman,

I think the system is designed to be traded on multiple markets b/c that keeps it closer to fully invested. Also, there are diversification benefits that improve avg return.
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Futurestruth lists performance of the turtle system for a couple of markets. I have a one year old magazine somewhere and can give you some numbers if you want.
 
dont have it for the dow, but here are some other markets futurestruth follows. the annualized results for the turtle system system from 1/90 - 2 /2002 were

Jap Yen : 67.6 %
Bonds: 26.4%
Coffee: 12.5 %
Crude: 12.2 %
B Pound: 12.1 %
Copper: -12.5 %

all calculations on 3 x margin. this should be without specific money management rules like pyramiding. btw, other multi market trend following systems like aberration performed much better.
 
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