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Turtle System results
Posted: Mon Jun 09, 2008 8:56 am
I am having trouble getting the Turtle system to show decent results for the last 10 years.
I am using the default Turtle rules and the Turtle futures markets, but it actually lost money from 1998 to now.
Am I doing something wrong or is the system just not working over this time frame with those markets? That would be disappointing...
Posted: Mon Jun 09, 2008 8:59 am
you are correct. the turtle system does not work very well during that period.
Posted: Mon Jun 09, 2008 10:43 am
If you use 1 unit max rather than 4, it will be ok -- but try the Donchian system as that is a simliar system but with much better results due to the macd filter.
Posted: Wed Jul 30, 2008 9:56 am
I recently got started with Trading Blox and CSI data and also had negative returns when i ran the Turtle system with futures from 1999 until July 25, 2008. I posted the usual questions on the forum and got the expected answers (this is going to be a long learning curve).
I guess those simulations are correct or someone would have been quick to point out what I might have done wrong. I do get a much better profit and risk profile if I only trade long using Turtles over the same time period. (I say "I" as opposed the the royal "you" because I really don't know if I'm doing this right).
Don't know if this helps and what else you might have discovered since your posting in June.
Thoughts? and thanks,
Posted: Fri Aug 01, 2008 10:54 am
Many have found (myself included) that the original Turtle system on the original parameters is not something one would wish to trade today.
There has been much comment on this forum about (1) the deterioration in short/ medium term trend following systems and (2) the rotten performance of the short side this decade.
Few of us have any definitive answers as to why this might be the case but arguments put forward include increasing noise in the markets as to (1) above and the strength of the commodity markets (rising energy, grain and metal prices for instance) for much of this decade as to possible reasons for (2).
I believe that (2) might change but am not at all sure about (1). I donâ€™t suppose that commodity prices will rise forever but I doubt that participation in the markets (and hence noise) will decrease.
Posted: Fri Aug 01, 2008 8:47 pm
Is there an accepted definition of a short-medium term trend following system vs. a long term system? TMA strikes me as a long term trend following system. What other systems would fall within the definition of "long term".
Posted: Fri Aug 01, 2008 11:33 pm
I would define it by length of lookback. Would a 1 day, 2 day, and 3 day TMA be long-term?