Turtle 1 and Turtle 2

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.
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Bruce
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Turtle 1 and Turtle 2

Post by Bruce » Tue Jan 27, 2004 2:55 pm

Does it make any sense to run these two systems at the same time? It seems that Turtle One has the "fail safe" breakout option. With that in place and running Turtle 2, would they not be basically duplicating themselves at the 55 period breakout? :?: Or am I missing something obvious?

Forum Mgmnt
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Post by Forum Mgmnt » Tue Jan 27, 2004 3:24 pm

Bruce,

They are different systems. But I wouldn't necessarily constrain yourself to whatever we did 20 years ago. Build the best systems you can independently and then mix a few of them together and see what happens.

The more dissimilar the systems are the better they will mix.

I personally wouldn't trade more than one Turtle-type breakout system unless they were using very different timeframes.

- Forum Mgmnt

Bruce
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Post by Bruce » Tue Jan 27, 2004 3:54 pm

Thanks Forum Mgmnt, it appears the higher MAR's can be achieved by going with the smaller demo portfolio rather than the origina larger turtle portfolio. I assume this demo portfolio was selected because these futures are more trending than the Turtle portfolio? (more of a curved fit?)

I wanted to get your thoughts on the practicality of that in real life. My personal CTA uses large portfolios to reduce risk and obviously for more oportunites to catch a trend.

Is it likly that the original turtle program was a low MAR system (even though very successful)?

Thanks for your help, and by the way I do love this software. :D --Bruce

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Post by Bruce » Tue Jan 27, 2004 11:02 pm

Hi Curitis, any thoughts on this portfolio discussion?

d-g
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Post by d-g » Tue Jan 27, 2004 11:12 pm

Bruce,

The Demo portfolio was chosen beacuse it gave good results with the sample parameters, and because those results could be optimized by modifying the parameters. We used this set for our demo version, with a step by step guide to parameter optimization.

For investing you would want to pick a basket of markets that you are comfortable trading. You would want liquid instruments, and the more diverse the better. Remember that the portfolio that tests the best beause it has the best trends over the past two decades does not neccessarily mean they will have the best trends over the next two.

Ideally you want to find a combination of system parameters that works well, and allows you to vary the portfolio and achieve consistently good results, while minimizing drawdowns.

Bruce
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Post by Bruce » Tue Jan 27, 2004 11:20 pm

Hi Dan,

I completely understand what you are saying. I guess a better question might be, what is an acceptable MAR for a system based on the basket of futures being used? That is why I was asking if c.f. had any idea of what the Original Turtle system MAR might have been so I could use that as a benchmark.

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Post by Forum Mgmnt » Wed Jan 28, 2004 4:12 am

Bruce,

There are no easy answers to your questions about portfolios and MAR. MAR is funny thing, most traders would be happy with real-life trading MARs above 1.3 to 1.5. Most CTAs have MARs much lower than 1.0. As a Turtle, my MAR was probably 1.3 to 1.4 but we didn't care about open equity drawdowns at all, so we didn't even look at MAR.

In testing, it depends how realistic your assumptions are and how much optimization has been done. Everyone's expectation of reasonable MARs has dropped over the last year as some of the popular strategies that historical had a MAR of 2.4 to 3.0 had a drawdown that exceeded their historical maximum dropping the MAR down to much less than 2.0.

High MARs also appear to be easier to get if you are willing to accept a higher drawdown, but that carries additional risks. It's harder to get a MAR of 2.0 with a drawdown of 20% than with a drawdown of 35% with most long-term systems.

Also MAR is not the definitive measure. There are other things you should look at.

We've had quite a few discussions about these issues here. If you haven't already had a chance to read them, search for Portfolio or Measure using the Search link at the top of the page. If you still have some questions after reading them you can post specific questions in one of those topics.

The Demo portfolio was not selected using methods I would recommend for trading. It was selected to make some specific points for the tutorial that was built for the Demo project.

I think it makes sense to select your portfolio independently of your trading system based on the type of system it is. I select based on liquidity first, then on diversification. I don't recommend doing a lot of optimization of your portfolio through testing.

- Forum Mgmnt

P.S. I'm glad you like the software. Wait till you see 2.0 :wink:

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