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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Post by AFJ Garner » Wed Mar 10, 2010 3:06 am

For the sake of completeness here is Turtle 1970 to end 1990. Again using the same settings as in the article except for the end date of the test.
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Turtle 1970 to 1990.PNG
Turtle 1970 to 1990.PNG (31.58 KiB) Viewed 12321 times

DeanoT
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Post by DeanoT » Wed Mar 10, 2010 5:35 am

Thought I would run a quick correlation analysis of the annual returns posted by AFJ to inflation data.

Correlation Results below:

1970-1989: 0.45
1990-2008: 0.09

We often hear that the markets are harder these days, with more money in trend following programs, and greater volatility, but maybe it is more to do with an environment of low inflation than anything else.

J D Canning
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Post by J D Canning » Wed Mar 10, 2010 10:37 am

Just out of interest, does anybody know what on earth happened in Q4 1978??? That's a precipitous decline in account equity... ouch!

AFJ Garner
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Post by AFJ Garner » Wed Mar 10, 2010 11:37 am

It's not ideal to back test a system adding units at 1/2 ATR intervals using end of day data. Perhaps that contributed to an unusual and unrealistic build up of units in November 1978 in the back test. In any event I harbor a shrewd suspicion that testing on intra day data would not "save" this system.

Tell you one thing though - there's a guy out there who has spent the past 15+ years lauding the Turtles and selling a version of their rules. I guess he must be the expert - ask him.

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Post by sluggo » Wed Mar 10, 2010 12:03 pm

31 October 1978 -- the bursting of the gold bubble. Turtle System One actually lost a lot more money in the currencies than in gold itself. Have a look at the Deutsche Mark futures chart and the Japanese Yen futures chart. Notice the LIMIT MOVES that blasted through the stops on fully pyramided (4 units) positions.

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Post by Rush » Mon May 24, 2010 5:06 am

Garner's article now available at the below link:

http://store.activetradermag.com/anthonygarner.aspx

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Post by doubleR » Tue Jun 15, 2010 7:02 am

Just put the order for Anthony's book on Amazon.co.uk. Looking forward for a good read on the subject. Thanks!

RR

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Post by doubleR » Thu Jun 24, 2010 11:38 am

just a quick thank you to AFJ for the excellent book - a refreshing read

well done

AFJ Garner
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Post by AFJ Garner » Thu Mar 10, 2011 12:14 pm

I received the following PM today:
Anthony,
I want to make sure that I'm understanding the position sizing correctly on your article "Tuning up the turtle". On page 31 you give an example on sizing the position with the 20-day average true range on heating oil futures. I understand the formula clearly, so my question is; if using the wider 5-ATR stop and equity being at 1 million, the trade would have been passed up, am I correct on the heating oil futures where originally we would have bought 3 contracts on a 2-ATR stop.
I would have posted on the forum but I am currently waiting to join, so I sent you a PM instead.
Thanks
To which I replied:
Correct: the risk would be $13,923 if the trade was taken – a 1.39% risk, way over a 1% risk. But a major advantage of trading a large portfolio of widely differing instruments is there may well be other candidates, in the same or another sector, whose BPV and ATR would allow for a trade to be taken. As Sluggo has pointed out, the use of sector and overall risk control means that your theoretical portfolio can be as big as you like and this greatly eases the problems encountered with small portfolios, wide stops and coarse granularity.

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Post by Gerry Gunter » Thu Mar 10, 2011 11:37 pm

Thanks Anthony for the reply! I really enjoyed your article and really enjoy all of your contributions to the forum.

Gerry

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Your Book

Post by trender41 » Sat Apr 09, 2011 2:19 pm

This is a solid thread, what book is your book? I would love to learn more. I am relatively new to systems trading and need a lot of help. Though I am an experienced investor having worked at a mutual fund and hedge fund. This approach is, simply put, better. But I am having a difficult time replicating your results. . .

where do I begin? and which book is yours? Answer by Moderator: this book

AFJ Garner
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Re: Your Book

Post by AFJ Garner » Sat Apr 09, 2011 5:36 pm

trender41 wrote: But I am having a difficult time replicating your results.
where do I begin?
Short of sending you a package of the exact system, system settings, data files and so on and you using the exact version of TB I used, there is little I can do to help on the first point. With time, patience and lots of attempts, I 'am sure you will get close enough.

As to where you begin, you are in the right place and if you have bought TB you have the right tools. Buy a few books, code up a few ideas. Read the TB manual, study in detail the built in TB systems, take a look at Blox designed by others in the Blox Market Place. Study the futures markets in terms of roll overs, how to avoid delivery, how to put together a data stream - the CSI help files are quite helpful and of course you will need to look at the exchange websites.

Actually that's really about it! But it takes a lot of time and effort. And start small.

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Post by trender41 » Sun Apr 10, 2011 9:21 am

thank you so much! Is it possible to get a list of books that you and the "pros" here recommend? I think that would be a useful start. Thanks again.

AFJ Garner
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Post by AFJ Garner » Sun Apr 10, 2011 9:46 am

I'm a bit out of date but you want something really simple. There are lots of threads recommending books but I'm more and more inclined to suggest the ultra simple for the beginner. Or indeed anyone else. At one end of the scale there is a lot of useless crap written by people who have never traded (successfully at least) and fill their books with useless platitudes and no hard trading information; at the other end there is stuff which is way over complex for the needs of a normal mortal such as myself.

My colleague in this business is an ex nuclear physicist who has published extensively on his topic. As he likes to remind me, all that we really need in this business is high school maths and common sense. As well as a great deal of hard work.

Quite honestly, the TB manual is my top recommendation. Followed by the more intelligent posts on this forum. I did get a lot of satisfaction in the early days out of "Computer Analysis of the Futures Market" by Le Beau and Lucas - I have not revisited it in recent years. I like the look of the contents page of Weissman "Mechanical Trading Systems: Pairing Trader Psychology with Technical Analysis (Wiley Trading)" but have never read the book. Perhaps someone who has read it can comment?

Don't get spooked by bullshit about how incredibly difficult it all is. Don't listen to endless drivel about psychology - it's certainly no more difficult to live with an investment in a well designed futures pro gramme than it is to live with some useless mutual fund which achieves a maximum draw down as high as the cash equity markets and delivers less than index returns.

In short a lot of useless hot air is expelled by a lot of people with very little real trading or market experience who make their living on the fringes of the industry. Don't look for Gurus - be your own.

RedRock
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Post by RedRock » Sun Apr 10, 2011 7:01 pm

@AFJ Garners' advice.... Like!

Moto moto
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Post by Moto moto » Sun Apr 10, 2011 11:16 pm

AFJ Garner wrote: Don't get spooked by bullshit about how incredibly difficult it all is. Don't listen to endless drivel about psychology - it's certainly no more difficult to live with an investment in a well designed futures pro gramme than it is to live with some useless mutual fund which achieves a maximum draw down as high as the cash equity markets and delivers less than index returns.

In short a lot of useless hot air is expelled by a lot of people with very little real trading or market experience who make their living on the fringes of the industry. Don't look for Gurus - be your own.
Beautifully said.....a lot of the psychology drivel is designed for high frequency day trading, and while much of it is relevant - too often its hijacked by gurus wanting you to say - "trading made me a better person", "I found myself while conquering the market", "all you need to do is overcome fear and greed", when (and this is a broad generalization) the simplest thing of cutting losses and running profits, and understanding and accepting drawdowns....or investing in someone who can do this - is all you need to mentally overcome.......
sorry about the rant :)

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Post by AceofAce » Mon Apr 11, 2011 1:05 am

AFJ Gardner's modified turtle system at the beginning of this trhead is a great start. I slightly simplified the system to make it easy for the small startup investor to use it - see below thread, towards the end (since trading 100 diversified futures at the same time definitely requires an automated electronic system in place).

viewtopic.php?t=8441

I published the results and you can see that its not a bad start, one that requires lots and lots of constant improvment and monitoring though.

Chris67
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Post by Chris67 » Mon Apr 11, 2011 1:56 am

I trade 150 markets with no automated trading system in place - to be frank - if i were trading 1000 markets I still wouldnt necessarily use an automated trading system
depends how much time you have / that you dedicate to trading - you definately dont need an automated trading system in place to trade a lot of markets though
C

Demon

Post by Demon » Mon Apr 11, 2011 3:26 am

Hi Chris, what is the typical spilt in your margin/equity between Financials and Commodities trading 150 markets?

Chris67
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Post by Chris67 » Mon Apr 11, 2011 10:36 am

dont really measure it
we trade more finacials only because threre are more financials but have limiters in place to ensure we dont get out of balance too dramatically
its a bugger that some groups like meats have a 3 instrument tradable universe and others like stocks = 50+ - wish there was more of a natural balance
c

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