Turtle system

[LeviF]

Just curious, does this system utilize the Turtle's drawdown reduction method?

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[Tim Arnold]

I don't know about this particular graph, but keep in mind that by default, the Trading Blox Global Parameter Max Volume Per Trade is set to 25%, so if this is left in place with a large test like this, you will generally see a plateau effect.

It's important when testing for theoretical results with the super huge equity amounts and a fixed fractional money manager, that the max volume per trade is disabled.

[sluggo]

The horizontal red line is at 1.0 x 10^15 dollars. The system's equity curve seems to plateau at about 10^16 dollars.

According to the IMF (ref) the World GDP in 2008 was 6.1 x 10^13 dollars. The entire world.

So this equity curve hits a plateau when its equity is "only" 1000 times greater than the World GDP. If Max Volume Per Trade were the cause, it would have kicked in far sooner (at far lower equity) ... in my opinion.

Suppose Max Volume Per Trade in a certain market were 1,000,000 contracts (which is a HUGE overestimate, front month volume in many Turtle Futures is far lower: Cocoa=10,000 ; Copper=25,000 ; SwissFranc=50,000 ; etc). If $Risk Per Car is $1000 and %Risk Per Trade is 1%, then Equity Plateau = (1,000,000 x 1,000) / 0.01 = 100 billion dollars (1.0 x 10^11). The plateau on this plot occurs five orders of magnitude higher.

[sluggo]

[ ... did this Blox simulation run] utilize the Turtle's drawdown reduction method?

Another question: what difference would it make (if any)?

Feel free to run the experiment shown in Figure 1 below. I predict you will get results very similar to Figure 2. But don't take my word for it; try it yourself and see what happens.