Dead Turtles

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.
AFJ Garner
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Dead Turtles

Post by AFJ Garner » Sat Feb 06, 2010 11:00 am

HotTip
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:
viewtopic.php?t=4389&highlight=thermal+bbbo

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
LMA: 300
SMA: 50
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!
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TunedTurtle.PNG
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sluggo
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Post by sluggo » Sat Feb 06, 2010 11:54 am

I believe Anthony is referring to (this post) which is about a year old.

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Post by AFJ Garner » Sat Feb 06, 2010 12:25 pm

sluggo wrote:I believe Anthony is referring to (this post) which is about a year old.
The very one!

One point I ought perhaps to have made clear in the article is that back testing can often carry one away on a flight of fantasy. The test results shown in the article were designed to make a point and I believe I did that. Most of the assumtions I made were, I believe, realistic. One assumtption was not: the assumption that I could buy or sell however many contracts I liked in whatever futures market I cared to trade. When I amend the Global Parameters so that a futures market must have a 5 day moving average of 1,000 contracts traded a day and so that I may trade no more than 5% of the market on any given day, the figures look slightly less exotic. Solid nonetheless but a little less enticing.

Hmm there is so much that all those exciting trading system promotions DON'T tell you!

That's why we all need something like Trading Blox and a set of transparent (rather than rose tinted) spectacles.
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Post by LeviF » Sat Feb 06, 2010 4:24 pm

Coincidentally, i was at the bookstore this afternoon and purchased a copy of this magazine too. Good stuff Anthony.

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Post by AFJ Garner » Sat Feb 06, 2010 4:42 pm

Thank you, that is very kind. I'm not sure why I do it really: perhaps its to be a curmudgeonly old bore. There again, its nice to be able to while away the time as I watch my account equity dribble away during one or another of the inevitable draw downs. Happily, it seems to pop back up again but I do find writing rather therapeutic. Mind you the editors did rather wreck my language - as an ex lawyer I like to try to be fairly precise. Those guys did seem rather over keen on the use of slang or journalese and at one point I said, look, you know what, just publish it under your own name as a staff article. After which they agreed to put back in some of my customary nonsense.

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Re: Dead Turtles

Post by LeviF » Sat Feb 06, 2010 10:07 pm

[quote="AFJ Garner"]Truly Awful “elitetraderâ€

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Re: Dead Turtles

Post by Jez Liberty » Sun Feb 07, 2010 6:40 pm

AFJ Garner wrote: 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.
Anthony,
I am expecting your book on Trend Following with ETF anyday now (Amazon has shipped it this weekend) and am also considering Trading Blox (Builder).

I was wondering if the code you developed for the book is available in the market place (not the main reason why I bought the book but that would be interesting to be able to "play" with the same systems)?

Looking forward to the book

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Post by AFJ Garner » Mon Feb 08, 2010 2:08 am

Yes, the code is available for download in the Blox Marketplace. Hope you enjoy the book!

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Post by hottip » Mon Feb 08, 2010 12:08 pm

Hello Anthony! Thanks so much for taking the time to answer my question. I would agree that elitetrader is 90% rubbish, but there are a handful of posters that are serious traders and wish to generate some real discussion. I've been thinking about purchasing TradingBlox for some time, and your ActiveTrader article has all but convinced me. I should talk to Tim to give you a commission for new business!

Thanks again.

Rick

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Post by ratio » Mon Feb 08, 2010 1:03 pm

I would be interested in seeing your FuturesInfo Dictionnary. How many instrument in there?

Are they all easily tradable? I had made some research on what is available to trade through Interactive Broker. But it was really difficult to find a very large of instrument.

We output from CSI, but even there there so many instrument, that are basically replication, (Day, night, combined)

Are you using CSI for your Data?

Just order your book, Amazon say only 2 left...

Denis

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Post by AFJ Garner » Tue Feb 09, 2010 9:42 am

Attached is a list (from November 2008) of everything you can trade through MTrade, the useless basic dealing platform of MF Global. It includes single stock futures but you can simply delete these. Additionally, I trade some items you will not find on M Trade such as LME metals. Its quite a big list. I use CSI data and regularly plough through the list of instruments looking at the volumes traded. Of course you have to relate volume to contract size/BPV and volatility to get a true picture as to whether a contract is liquid enough for your account size.
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MTrade Futures List.xls
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Dead Turtles

Post by michaelt » Fri Feb 12, 2010 5:01 pm

I saw the magazine article too, thanks for updating the test here.

Great work.

Is it possible to see some calendar granularity for the results, i.e. an annual breakdown?

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Post by AFJ Garner » Sat Feb 13, 2010 3:51 am

Herewith an annual breakdown of the tuned Turtle system results from the article - the no volume constraints version. I would repeat that there is nothing magic about it all - any user of TB can duplicate the results (or at least get close) with ease using the above mentioned Blox.

EDIT - Title and column headers added to Yearly table by Moderator
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Stats.PNG
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yearly_edited.png
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Post by Jez Liberty » Sat Feb 13, 2010 10:14 am

Anybody know if Active Trader is sold anywhere in London.
I'd fancy reading that article.. but I tried WH Smith, Foyles, and Waterstones (and Borders is gone). Nobody's got it and it's not avaliable online on the activetrader site (yet?)

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Post by AFJ Garner » Mon Feb 22, 2010 1:52 pm

Code: Select all

IF (order.IsEntry != TRUE) THEN
	IF (FindString(order.executionType, "Stop") != -1) THEN
'		order.Reject( "So called stops are not honored" )
	ENDIF
ENDIF
	
Sluggo reminded me today that the 3rd line of the Can Fill Order Script of the Thermal BBBO RM Blox needs to be "commented out" for a sytem such as the Donchain which uses stops. For anyone trying to duplicate my results using the Blox suggested above, this change is vital.

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Post by AFJ Garner » Sat Mar 06, 2010 6:30 am

ratio wrote:I would be interested in seeing your FuturesInfo Dictionnary. How many instrument in there?
Denis
The attached may be of help. Most exchanges produce something similar.
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Euronext Vol Report.xls
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CME volume Report.pdf
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Eurex Vol Report.pdf
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Post by salvadorveiga » Tue Mar 09, 2010 5:40 am

AFJ I can't seem to find the article.

Which magazine is it?

Is it this one? http://www.activetradermag.com/

I'm in europe so i have no access to that magazine unfortunately.[/list]

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Post by AFJ Garner » Tue Mar 09, 2010 5:46 am

Correct magazine. Sorry, don't know what to suggest.

added by moderator - sluggo (says) "it appears Active Trader makes .pdf reprints available on their website approximately 3 months (!) after publication in the magazine." Feb + 3mo = May.

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Post by salvadorveiga » Tue Mar 09, 2010 12:39 pm

thank you sluggo.

Also AFJ if it's not much to ask, I know you've posted a while ago an equity line of the origial turtle program and it showed as a flat pancake pretty much. My question is though since you started that test from the 70's once it reached the late 80's beginning of 90's the equity was already enormous so couldn't that interfere with final results?

maybe just posting from 1990 up til today starting from 1 Mill. ?

Also another questiton does trading blox offer a trial period? I wanted to check it out but i caN't seem to find the demo of it... i heard there was a demo?

also if it's not too much to ask what are the main differences between the 3 versions of TB?

is the turtle version just the software plus the turtle rules? can we create systems there in this basic version? what about the other 2?

thank you

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Post by AFJ Garner » Wed Mar 10, 2010 2:26 am

Herewith results for the Turtle system and the Turtle portfolio under the same conditions as that shown in the article except with a start date of 1990.

Call Tim with your questions on the software. My personal choice would be to buy the top of the range Builder edition - the fully programmable version. This assumes of course that you know how to programme or will learn. I can not really see how a mechanical systems trader can or should avoid programming but such people are of course out there.
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