Question about turtle rules on maximum units?

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oem7110
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Question about turtle rules on maximum units?

Post by oem7110 » Mon Jan 07, 2013 10:51 am

Referring to following statement for maximum position limits on turtle rules, I would like to know what percentage of my equity is for holding 12 Units for Single Direction.
Does anyone have any suggestions?
Thanks in advance for any suggestions


Single Market >>> 4 Units for Maximum Units
Closely Correlated Market >>> 6 Units for Maximum Units
Loosely Correlated Market >>> 10 Units for Maximum Units
Single Direction - Long or Short >>> 12 Units for Maximum Units

oem7110
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Post by oem7110 » Tue Jan 22, 2013 10:20 pm

Does anyone have any suggestions?
Thanks in advance for any suggestions

stopsareforwimps
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Post by stopsareforwimps » Tue Jan 22, 2013 11:18 pm

oem7110 wrote:Does anyone have any suggestions?
Thanks in advance for any suggestions
I don't have the answer to your question but you might also be interested in these threads

Why isn'tTurtle profitable any more
viewtopic.php?t=7379&highlight=turtle

"Dead Turtles"
viewtopic.php?t=7301&highlight=turtle

Tim

oem7110
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Post by oem7110 » Wed Jan 23, 2013 6:06 am

Someone must know how to define the numbers of units related to the percentage of total equity, even through Turtle rules is working at this moment or not.

Referring to following statement for maximum position limits on turtle rules, I would like to know what percentage of my equity is for holding 12 Units for Single Direction.
Does anyone have any suggestions?
Thanks in advance for any suggestions


Single Market >>> 4 Units for Maximum Units
Closely Correlated Market >>> 6 Units for Maximum Units
Loosely Correlated Market >>> 10 Units for Maximum Units
Single Direction - Long or Short >>> 12 Units for Maximum Units

sluggo
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Post by sluggo » Wed Jan 23, 2013 8:42 am

I am sorry you are not able to figure out the number of units related to the percentage of total equity, by reading the Original Turtle Rules document.

Perhaps another resource that might help you, is to study the source code of the Turtle system, which is included in the Trading Blox User's Guide on pages 106 thru 112. You can download the User's Guide from the main Tradingblox.com website, on the tab labeled Documentation.

This source code was written by an Original Turtle (initials C.F.), the same person who wrote the Original Turtle Rules document, so I would consider it to be a reliable and authoritative implementation of the Original Turtle System.

Here is the user interface of the Turtle system, running in Trading Blox. There is even a special low priced version of Blox software that lets you experiment with the Turtle system (and trade it in real life with real money if you wish): (Software Editions)
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s22y.png
How you manipulate the parameters of the Turtle System in Trading Blox software
s22y.png (41.71 KiB) Viewed 5000 times

oem7110
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Post by oem7110 » Wed Jan 23, 2013 9:13 am

Referring to your image, it seems to me that if 1% is set for max risk per trade (%), then 12 units for Max Directional Units equal to take 12% risk of total equity for those trades.

Will it be corrected?
Thanks everyone very much for any suggestions

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Post by sluggo » Wed Jan 23, 2013 1:51 pm

I don't know the answer to your question, but I think this underlined phrase in the Rules document may be important, at least in situations where some of the units were add-ons. You might want to run the Trading Blox Turtle system and look at the Total Risk Profile graph in the output, to see (A) the average level of risk, and also (B) the peak level of risk.

The Turtles traded their Turtle System from about 1983 to about 1987.
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trp.png
an example Total Risk Profile graph produced by Trading Blox
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kjjkkjkjjhh.png
Rules document
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stopsareforwimps
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Post by stopsareforwimps » Wed Jan 23, 2013 7:24 pm

oem7110 wrote:Single Market >>> 4 Units for Maximum Units
Closely Correlated Market >>> 6 Units for Maximum Units
Loosely Correlated Market >>> 10 Units for Maximum Units
Single Direction - Long or Short >>> 12 Units for Maximum Units
OK. N is the 20 day exponential moving average of the true range.

Dollar volatility of N is N X dollars per point.

One unit = 1% of account / Dollar volatility of N.

Ie One unit = account-size / 100 / (dollars-per-point X EMA(TR))

Thus it would seem to mean that holding X units would equate to a daily True Range of X%. The maximum position in a single market is given as 4 units which would equate to a daily True Range of 4% of equity for that one position. This is roughly saying that this position is expected to move 4% of equity on a daily basis. I would suggest that a Turtle trader would need a good supply of nerve tablets at hand.

The rules allow 12 units in a single direction long or short. However this does not mean that the expected fluctuation in your equity on a daily basis would be 12% - because positions are not 100% correlated you would typically see less than this on a daily basis.

There may be other measurements of position size that you feel are relevant. For example, the total nominal size of the assets "controlled". This would vary from time to time if you were following the Turtle rules, because the volatility varies.

I hope this helps but if not the information is all there in the rules http://bigpicture.typepad.com/comments/ ... erules.pdf

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