Search found 42 matches

by AceofAce
Fri Feb 10, 2012 2:06 am
Forum: Testing and Simulation
Topic: Complimentary system to Trend following
Replies: 20
Views: 6834

Complimentary system to Trend following

Does anybody know of a system that makes money during periods that trend doesn't (don't count mean reversion/countertrend). Think anything "outside the box" (e.g. Options etc)
by AceofAce
Sat Nov 12, 2011 6:19 pm
Forum: Testing and Simulation
Topic: Newbie asks: How to trade futures with only $100K?
Replies: 48
Views: 16664

To trade LTTF for a small account using mini/micro futures maybe, but using ETF/ETNs, i don't think so. You'll need to trade these on margin or as CFDs / spreadbets. Either way, the broker will change financing on their notional value adding their own financing spread of 100 possibly 200 basis point...
by AceofAce
Tue Jun 21, 2011 1:27 pm
Forum: Futures Markets
Topic: How do you roll your SL point
Replies: 2
Views: 1449

Many thanks for your feedback sluggo.

Point 2 and 3 are mutually exclusive so i guess is a choice of 1 and 2 or 1 and 3 or combinations as you suggest.
by AceofAce
Tue Jun 21, 2011 10:27 am
Forum: Futures Markets
Topic: How do you roll your SL point
Replies: 2
Views: 1449

How do you roll your SL point

When trading a version of the turtles system (at 80/40), anyone has any ideas how to adjust the SL point when rolling to a new contract month. Supposedly we roll the E-Mini from June to Sep by closing at say 1150 and reopening at 1170, do we just move the SL point up by 20 points. If the old SL poin...
by AceofAce
Tue Jun 21, 2011 10:17 am
Forum: Futures Markets
Topic: Q on when others roll new old crop to new crop
Replies: 10
Views: 4532

How about rolling the turtles way - Roll to the strongest contract month for the longs and the weakest month for the shorts. Dont roll but close the position if roll would result in a position that would not have opened anyway. There are a number of systematic ways to measure strength (compare numbe...
by AceofAce
Mon Jun 13, 2011 12:41 pm
Forum: Market Psychology
Topic: Why isnt "Turtle System One" (1984) profitable?
Replies: 10
Views: 23317

I guess that could happen if for many years most trends become very short lived (i.e. Mostly Frequent reversals) to the point that STTF can capture some Profits but not LTTF!?
by AceofAce
Sat Jun 11, 2011 5:06 pm
Forum: Market Psychology
Topic: Why isnt "Turtle System One" (1984) profitable?
Replies: 10
Views: 23317

[quote="AFJ Garner"]I agree with all Deano T has to say..................except.......... Let us assume the date is 1970 and we are running back tests with dinosaur computers and we have enough data and enough markets. Maybe we would NOT make the same conclusions we are making today? I don't know. I...
by AceofAce
Wed May 04, 2011 2:53 pm
Forum: Testing and Simulation
Topic: How to realise the system is obsolete
Replies: 7
Views: 3314

How to realise the system is obsolete

The turtles system, highly succesful as it was in the 70s and 80s became obsolete with its standard parameters in the 90s. Drawdowns and bad performance persisted since then. The system whilst profitable still had temporary periods of bad performance, sometimes going for years before a turnaround. W...
by AceofAce
Mon Apr 11, 2011 1:05 am
Forum: Testing and Simulation
Topic: Dead Turtles
Replies: 92
Views: 70089

AFJ Gardner's modified turtle system at the beginning of this trhead is a great start. I slightly simplified the system to make it easy for the small startup investor to use it - see below thread, towards the end (since trading 100 diversified futures at the same time definitely requires an automate...
by AceofAce
Wed Apr 06, 2011 2:02 pm
Forum: Testing and Simulation
Topic: Please critique my Turtle backtest
Replies: 12
Views: 10992

I recently did a back test on AFJ Gardner's modified turtles parametes in http://www.tradingblox.com/forum/viewtopic.php?t=7301&highlight=turtles I slightly changed the parameters as follows: Portfolio – The 14 futures noted in the beginning of this thread plus S&P500 LMA: 300 SMA: 50 Go long on e...
by AceofAce
Tue Apr 05, 2011 2:24 pm
Forum: Testing and Simulation
Topic: Please critique my Turtle backtest
Replies: 12
Views: 10992

It is hard! The xls file is now approx 180mb. I make a change and it takes 30 seconds to fully update. The beauty of working backtests with spreadsheets is that it doesn't get more transparent than this. You know exactly your backtest drawbacks and merits because you have a verifiable and visible wa...
by AceofAce
Fri Mar 25, 2011 7:13 pm
Forum: Testing and Simulation
Topic: Please critique my Turtle backtest
Replies: 12
Views: 10992

I tried my above turtles system without pyramiding. Instead i fill all 4 units at the first breakout signal (instead of every 0.5N). Still, 12 maximum units each side. The results improve massively. Closed equity value in my backtest tripples. CAGR 27%, MAR also improves to 52%. The main reason for ...
by AceofAce
Sun Mar 13, 2011 11:36 am
Forum: Testing and Simulation
Topic: Please critique my Turtle backtest
Replies: 12
Views: 10992

Very interesting, thanks Sluggo. With a 6ATR stop and 10MA profit taking, I would expect the profitable to loss making trades must be quite high (much higher than turtles) otherwise risking 5.5% per trade would wipe out the account in no time. I am not sure I understand your entries. Is it when the ...
by AceofAce
Thu Mar 10, 2011 6:39 pm
Forum: Testing and Simulation
Topic: Please critique my Turtle backtest
Replies: 12
Views: 10992

Dear sluggo, I am not saying this is the perfect system. I am sure there are much better ones out there with more favorable risk/return tradeoffs. However we need to also think of the practical implications of anyone of those systems. If for example a system that gives equal or better CAGR return pr...
by AceofAce
Thu Mar 10, 2011 2:22 pm
Forum: Testing and Simulation
Topic: Please critique my Turtle backtest
Replies: 12
Views: 10992

I backtested the turtles system 2 from 1995 - Nov 2010 and I got the below result, "Turtles backtesting 14 Markets.pdf". The simulation only trades 14 markets, mostly chosen from the original list of the turtles (EURO, JPY, CORN, CAD, DAX, CRUDE, COPPER, NATURAL GAS, SUGAR11, GOLD, LIVE CATTLE, SMI,...
by AceofAce
Wed Mar 09, 2011 2:30 pm
Forum: Money Management
Topic: How to incorporate subscriptions in trading
Replies: 14
Views: 6200

Having seen all your responses, I would be inclined to opt for a mid-way solution. I trade 100% systematic (non-automated) which means I completely avoid discretion at all times. I guess I'll have to make an exception though when taking new money in. When all my positions are pretty close to the sto...
by AceofAce
Wed Mar 09, 2011 1:06 am
Forum: Money Management
Topic: How to incorporate subscriptions in trading
Replies: 14
Views: 6200

I agree with Chris's examples, although i disagree slightly with the numbers of the second example. If the fund value collapses to 9 and a new investor then joins with 1, the fund value increases by 11.11% (1/9) so positions should be scaled up by the exact same % so current investors don't get any ...
by AceofAce
Mon Mar 07, 2011 3:16 pm
Forum: Money Management
Topic: How to incorporate subscriptions in trading
Replies: 14
Views: 6200

Thanks to all of you. Chris, this is the classic way how funds take money from new investors. I don't agree that its not important to value the account (open equity) prior to sizing up. How would you know what proportion of the account the new investor should own and how much to size up by.That is a...
by AceofAce
Mon Mar 07, 2011 1:38 pm
Forum: Money Management
Topic: How to incorporate subscriptions in trading
Replies: 14
Views: 6200

Thank you Sluggo, much appreciated. Yes, i wouldn't go with this idea either. Closing all positions and reopening on Wednesday means that existing investors would be affected by someone elses trades (subscriptions). That would not be fair to them. Technically I know how this can be done without affe...
by AceofAce
Mon Mar 07, 2011 12:08 pm
Forum: Money Management
Topic: How to incorporate subscriptions in trading
Replies: 14
Views: 6200

How to incorporate subscriptions in trading

Hi everyone, I am trading the turtles system 2 with good success and i will soon be adding some friends and family money into the program. The issue is how to add their subscription into the program. I can't just size up the existing open positions as their open equity will be different to the new p...