Modified Turtle System
I've read your posts and your article in ActiveTrader magazine this month. Excellent article. Are you able to share your parameters from the modified Turtle system? I'm considering purchasing Trading Blox and would like to recreate your equity chart.
Thanks for any insight you might provide.
I received the above PM on the Truly Awful “elitetrader” website and suggested to HotTip that I would post a reply here on the TB Forum. Below is a screenshot of the equity curve published in the ActiveTrader article.
I do not wish to post the actual code I used to generate the back test but HotTip will be able to get close if he uses the following Blox all of which come with TB or are available on the Blox Marketplace.
Here are the Blox you can use:
Start with the built in Donchian System.
Add Profit Target Exit – provided ready made with TB
Add Thermal_BBBO_RM kindly provided by benefactor Sluggo here:
Note that the location specified in the URL will only be available to users/purchasers of Blox.
I claim no originality or Brownie Points for the system I used or the thoughts set out in the article. The article was prompted by a website comment that I wished to take issue with:
“Occasionally, someone trying to promote something or start a debate will argue that trend following rules must always change due to changing market conditions. This is nonsense. It is a specious argument.”
I merely wished to show that (as Sluggo originally pointed out on this Forum) the 20/10 Original Turtle Rules died a death a long time ago; ergo, users of those rules today might find themselves a little disappointed. A few deft strokes of the mouse and a little imagination, combined with the Donchian System and the additional Blox mentioned above may show a way to breathe some life back into a “Turtle like” breakout system without all the Turtle frills.
As I stated in the article, main parameters used were as follows:
Portfolio – well over 100 diversified futures
Trade Direction: Trade All
Risk Per Trade:1%
Entry Breakout Days: 90
Exit Breakout Days: 45
ATR Days: 20
ATR Stop: 5
ATR Profit Target: 10
Target Reduction Amount: 50%
Max Sector Risk: 10%
Max Total Risk: 40%
Buy the fully programmable version of TB – anything else and you are severely restricting your future growth. Enjoy!