Turtle Trading... Thoughts?

Trend following, which includes the Turtle strategy, is for all markets. Currencies, bonds, equities, commodities, metals, grains, softs, etc.
 
I wonder if there is a study that shows how profitable it was then compared to nowadays.

What I have a hard time understanding is why a trading strategy goes out of style and becomes unprofitable?

Love the book thus far.
 
Quote from Traveler:

It still works because it has long flat periods and a low Sharpe ratio. Hard for people to trade without giving up.

I wish someone would build a massively diversified, trend-following ETF with low fees so I can have pint-sized exposure to this strategy without having to pay some CTA 2/20 for it. Yes, there's LSC but they're not doing all the markets, notably energy.
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Is LSC a trend following ETF?
 
Quote from cfree5119:


What I have a hard time understanding is why a trading strategy goes out of style and becomes unprofitable?
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I think it is probably the other way around. It goes in style and then profitability becomes greatly diminished or unprofitable altogether. Eventually it goes out of style and becomes profitable again. The trick is knowing which cycle you are in and not giving back your profits when it changes. This is highly simplified but I think closer to the truth of the market.
 
Quote from cfree5119:

I wonder if there is a study that shows how profitable it was then compared to nowadays.

What I have a hard time understanding is why a trading strategy goes out of style and becomes unprofitable?

Love the book thus far.
More...

Not sure it is the 'system', but the 'people'.

Tom Shanks, a Turtle for example, has generated month by month performance here:

http://hawksbillcapital.com

He is not unprofitable.
 
Quote from cfree5119:

I wonder if there is a study that shows how profitable it was then compared to nowadays.

What I have a hard time understanding is why a trading strategy goes out of style and becomes unprofitable?

Love the book thus far.
More...

This post shows the equity curve of the exact original system rules - it stopped "working" about 1995.

http://www.tradingblox.com/forum/viewtopic.php?p=35018&highlight=crosshairs#35018

The moral of the story isn't that the Turtle System "doesn't work", or that "Trendfollowing doesn't work/is dead", it's that you have to constantly re-evaluate your systems. There are many ex-turtles who continue to do very well, but they have since improved upon the original system.
 
That is not the moral of the story. Shoot, with most trend following systems the order of importance goes:

1. Portfolio selection
2. Money management
3. Exit
4. Entry (last in importance)

That's the moral.
 
Quote from underwater:

On his website it says: "Hawksbill views the development of a trading strategy as an ongoing, evolutionary process, and works continually to enhance its research programs and trading systems."

Obviously, the system Tom Shanks uses today and has used in the past several years is significantly different from the Turtle system. It is exactly this difference that generates his outperformance.
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So that's your analysis?
 
Quote from Trend Following:

Not sure it is the 'system', but the 'people'.

Tom Shanks, a Turtle for example, has generated month by month performance here:

http://hawksbillcapital.com

He is not unprofitable.
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Forgive me, I didn't understand who I was talking to until I saw it on a website somewhere. Pleasure being in your company. Glad to see you follow up with people in a public forum and contributing further to the ideas and speculation around the Turtle System.

By people changing, the system changes, I get that. But why? The turtle system was obviously wildly successful so why did it eventually quit showing returns in the mid 90s that it previously had? If I was a person with that type of system and that kind of profits, why change? Was it because more than just the Turtles were now using the system?

To my point, why does any successful trading strategy change? Market conditions are obviously a huge factor but there are systems that are successful over various conditions as well.
 
whether specific setups work every single year is not the issue b/c they obviously won't. what is important is that there are always trends every year in some market. even if every equity market is rangebound, what about fx, or commodities or rates? the point is to limit risk on every trade, be patient for the large trends and not decide one day that there will never be another trend in any market ever again b/c a strategy is temporarily experiencing losses.
 
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