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At 07:39 PM 8/23/01 -0700, you wrote:
>
>Has anybody out there tried the Turtle Trader system?
>From what I've heard/read, it has it's foundations in money management.
>
>I'd be grateful for any information (especially from someone who uses it),
Larry Williams wrote about the short-term Turtle system and how it's no
longer performing well in this month's Trading Post. On a side note,
trend following systems in general aren't doing too well overall these days.
Here are some highlights from The Trading Post.
The short-term system as originally taught by Richard Dennis was this. Larry learned
it from Russell Sands, one of the original Turtles:
BUY LONG
Enter - Highest high of the past 20 days
Exit - Lowest low of the past 10 days
SELL SHORT
Enter - Lowest low of the past 20 days
Exit - Highest high of the past 10 days
I don't know what the money management system is.
Larry did a system test based on those entry/exit rules and came up with these
results,
The 20/10 entry/exit system has not performed well for the past
five years. The only markets it did favorably in are Gold (+$9,815),
Swiss Franc (+$16,628), Japanese Yen (+$10,498), and Lumber (+$16,206).
Accuracy for the above markets was around 40%.
The system was especially poor in Live Cattle (-$17,685),
Pork Bellies(-$12,188), Cotton (-$9,100), and British Pound (-$7,095).
Accuracy was somewhere around 35% for those.
All in all, the system did make money. Only $7,902, though.
About $9.75 per trade. I don't know if commission and slippage were
factored in. Probably not. S&P 500 was not included in those results.
In the SP500, the system was god-awful. Since 1982 it has
lost $142,670, on 33% wins.
Russell Sands told Larry that possible reasons for the system's
poor performance are, "Either: 1. The system has stopped working,
i.e., the markets have changed or 2: It is in a typical system
drawdown phase."
Larry thinks the 20 day highest high/lowest low system still has
value, though. He thinks it is best used as an entry technique in
a market that is fundamentally set up, and using stops.
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