Sluggo's back test results from the 70s

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
Post Reply
AceofAce
Senior Member
Senior Member
Posts: 49
Joined: Thu Sep 30, 2010 5:06 am

Sluggo's back test results from the 70s

Post by AceofAce »

In Sluggos backtest graph found in viewtopic.php?p=35018&highlight=crosshairs#35018

Does anybody know if it models trading the strongest futures month for long positions and the weakest month for short positions. Does it also model rolls in an intellgent manner (when there s good liquidity, switching to strongest months for longs where possible and weakest months for shorts).

I a asking because that would make a huge difference to the results.
AFJ Garner
Roundtable Knight
Roundtable Knight
Posts: 2071
Joined: Fri Apr 25, 2003 3:33 pm
Location: London
Contact:

Post by AFJ Garner »

Perhaps you are a Trading Blox client, perhaps not? If you are, you should look carefully at the code for the built in Turtle System which will reveal the answers to your questions. If you are not, I believe that maybe the TB manual is available to non-owners which contains the code for the TB Turtle system which reflects the original Turtle Rules.
  • (inserted by Moderator) - yes the manual is freely available to anyone and everyone. You can download it in 3 different formats, see (THIS) web page for more details
If the manual is not available then the original Turtle Rules are available in written form for free on the internet and you can rest assured that the TB version of the Turtle Rules follows the original very closely - they were coded by an original Turtle.

As to contract rolling if you are not already aware of it, most of us on this forum use CSI Data which has its own varied and highly satisfactory roll parameters which you can experiment with for yourself.

Buy TB, subscribe to CSI Data, duplicate Sluggo's research for yourself. Voila!

I did. I duplicated Sluggo's results and I am entirely satisfied that the Turtle System as originally conceived is not a system I would wish to trade in today's markets.

Somewhere or other on this Forum you will find details of a system and an article I wrote for a Chicago trading magazine which outlines my thoughts on how the Turtle rules can be updated and improved.

You will find that most software rolls contracts on fixed dates or on volume or open interest. If you want to concatenate a time series consisting of strongest or weakest months, you are probably going to have to "roll your own". Useful and interesting though this may be in some cases, there is a whole raft of contracts for which the effort will prove worthless - stock market indices being a prime example.
AceofAce
Senior Member
Senior Member
Posts: 49
Joined: Thu Sep 30, 2010 5:06 am

Post by AceofAce »

Thank you AFJ Gardner, i appreciate your response.

I still believe in the Turtles system, especially the 55/20, as long as we follow ALL the exact rules religiously and that is ectremely hard, if not impossible to back model. For example the rules state that we should always ride (or switch to) the strongest months for long markets and the weakest for short markets. Also in a day of multiple signals we only open trades for the strongest longs and weakest shorts, subject to the trading limits. Although this might be impossible to model, it is extremely important as the system for example may ride well a long trend on the strongest month/market but may be stopped out earlyif it just trades the nearest contracts or the singled out universe of strong markets at that point in time.
Chris67
Roundtable Knight
Roundtable Knight
Posts: 1052
Joined: Tue Dec 16, 2003 2:12 pm
Location: London

Post by Chris67 »

Ace of Ace
I think Sluggo has done a pretty good job of showing what happens if you model the original 55/20 day system almost exactly on the same portfolio with the exact same trading rules - the results aren't pretty
The advantage of trading blox is that YOU CAN model the exact rules
Unfortunately the results have gotten preety bad
Perhaps at this stage the best thing for you to do maybe to ask yourself the question " Why is this so" - there are plenty of discussions on the forum as to why this maybe the case and plenty of examples - including AF Garners excellent turtle rules update - as to how perhaps you could modify the system to take advantage of "certain" market changes over the last 20 years

What you believe and what is factual can sometimes be horribly different - a bitter pill to swallow but a void that needs investigating and understanding
Post Reply