Turtle Trading Strategy

[gaussian]

- value investing is dead... no edges left;

This can't possibly be true. Have you read The Intelligent Investor? What you are actually saying, put another way, is "investing in companies with great financials at a great price can't possibly make you money". This is the highest level of absurdity.

If there was one guaranteed edge in the market it's through proper value investing.

 

[NQurious]

Hey guys looking into this strategy just curious if anyone has an indicator specifically that can show a 20 day breakout for example.

Many charting platforms will have an indicator that will show this for you or allow you to program it yourself. Here is an example using multicharts: White dot is 20 day high, red dot is 20 day low. Market is the S&P 500 Index:

And here is Crude Oil:

You are on the right track. Not sure that a 20 day breakout system is the way to go, but with the proper rule set and the discipline to adhere to the rules it does still make money. Part of those rules would, imo, use an average true range (ATR) function to properly size your bet, manage stops, profit targets, scale outs, scale ins, etc. Richard Dennis did employ an ATR function in the original "turtle" rules. Test, back test, etc.

 

[MKTrader]

This strategy worked when only a few people were using mechanical strategies (early computer adapters or they did the work by hand). Even then it had large 50% drawdowns, but was quite profitable until the early 90s as more people began using software, volatility dried up and markets became more efficient. As far as I know, it hasn't worked with any consistency since then. People still peddle this stuff (Russell Sands, etc.) and show cherry-picked results from brief trending periods. But trade it year-in, year-out as it was designed to do and you'll bleed to death with all those 1 or 2% losses.

 

[NQurious]

BTW, all those who tell you it won't work - that is why it does - with the proper rule set. Do your own testing.

 

[dozu888]

This can't possibly be true. Have you read The Intelligent Investor? What you are actually saying, put another way, is "investing in companies with great financials at a great price can't possibly make you money". This is the highest level of absurdity.

If there was one guaranteed edge in the market it's through proper value investing.

are you joking or saying it for real lol.... what does a book have to do with anything..

go check portfolio123.com.... great companies at great price... these things are easily quantifiable with these kinds of tools, yet when you put an actual model in play you still can't beat the S&P.... don't you think the 'value' mutual fund managers know this... why can't they outperform?

the bottom line is - trading is not about finding some value just 'sitting there' for you to pick up... I said Warren made it when there was no competition... decades ago... this stuff workED, long time ago... nowadays that kind of edge is long gone.

 

[TheBigShort]

are you joking or saying it for real lol.... what does a book have to do with anything..

go check portfolio123.com.... great companies at great price... these things are easily quantifiable with these kinds of tools, yet when you put an actual model in play you still can't beat the S&P.... don't you think the 'value' mutual fund managers know this... why can't they outperform?

the bottom line is - trading is not about finding some value just 'sitting there' for you to pick up... I said Warren made it when there was no competition... decades ago... this stuff workED, long time ago... nowadays that kind of edge is long gone.

It's not long gone. It's still there. The markets are not static. An average investors security selection has gone up 10 fold from 20 years ago. She can trade globally. If you are still looking for value from the SPX companies you might have a hard time. But a talented investor who is willing to go into the uncharted waters will surely find a few pieces of gold.

Recently there was an American Investor (I can't remember his name, Bloomberg did a report on him) who annualized 25% a year for the past 15 years value investing in small cap asian stocks!

Warren is way too big now to trade in the small cap arena (which he did back in his prime). That's why you see his return more correlated to the market. Check out his holdings and I bet you wont find a company under 25 Billion Market cap.

 

[MKTrader]

BTW, all those who tell you it won't work - that is why it does - with the proper rule set. Do your own testing.

Proof or shut up. I have a lot of respect for the original Turtles but neither the original methods or tweaked variants have performed well in recent decades and incur huge drawdowns. I've tested and followed many variations.

 

[TheBigShort]

Proof or shut up. I have a lot of respect for the original Turtles but neither the original methods or tweaked variants have performed well in recent decades and incur huge drawdowns. I've tested and followed many variations.

How about you show some proof that you tested those strategies!
Backtests usually look great so I find it hard to believe that you tested many forms and didn't find 1 that looked pretty good.

 

[MKTrader]

are you joking or saying it for real lol.... what does a book have to do with anything..

go check portfolio123.com.... great companies at great price... these things are easily quantifiable with these kinds of tools, yet when you put an actual model in play you still can't beat the S&P.... don't you think the 'value' mutual fund managers know this... why can't they outperform?

the bottom line is - trading is not about finding some value just 'sitting there' for you to pick up... I said Warren made it when there was no competition... decades ago... this stuff workED, long time ago... nowadays that kind of edge is long gone.

Also, value and growth stocks tend to cycle. It's quite possible that value stocks may work if they've significantly underperformed growth stocks for 10+ years...and if the market has low valuations (something that has barely ever happened since 1990). But just buying low P/E (or whatever valuation you use) at any given time and hoping to outperform the indexes hasn't had an edge in a long time...just like the Turtles.

 

[MKTrader]

How about you show some proof that you tested those strategies!
Backtests usually look great so I find it hard to believe that you tested many forms and didn't find 1 that looked pretty good.

1) The burden of proof is on those claiming they work (it's amazing how poor the general critical thinking skills are on here)

2) Yes, I can backtest a zillion iterations and find some that "work." Curve-fitting 101. What I want to see is ones that have worked in real-time for 15+ years throughout many market conditions. I'm waiting...