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Jay,
I don't know of the merits or otherwise of the posted trading system, but I
*do* appreciate your bringing the site to my (and other forum users')
attention. I have downloaded the system and hope to study it over the next
few weeks/months.
JD
=================================================
From: JayTownsend@xxxxxxx
Reply-To: equismetastock@xxxxxxxxxxxxxxx
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] Re: Turtles Trading System
Date: Fri, 10 Oct 2003 00:34:32 EDT
For what it's worth since I don't have documentation:
1. Richard Dennis has had at least one of his commodity funds go
bankrupt when the system had too many consecutive losses. I've been
told that he (and other former Turtles) have modified the Donchian
breakout system to incorporate a measure of volatility.
Yes, that link I sent out had a volitility factor.
2. Russell Sands, the Turtle that divulged the trading system, has
bankrupted his accounts twice. To his credit(?), he still trades the
same system with new equity. He sells the system rules to recover
from the busted accounts.
The site clearly states that Sands was fired by Dennis because not only did
he divulge the contents of the system (Dennis had each Turtle sign an
agreement
to not disclose them for 10 years, after which time they could) he didn't
follow the system anyway and lost money. One of the stated reasons of that
site
publishing the system for free, was to 'get even' with Sands and break his
'monopoly' on a Turtle system that isn't really a Turtle system.
3. The Donchian breakout system is only part of the Turtle system.
There are a bunch of position sizing rules and stop losses that are
not part of the simple breakout system. To my mind, these rules are
the real cause of success for the Turtle system (or any other
system). Cut your losses short, increase your investment when you
have a winner (a simplification of the Turtle money management
rules). These rules can be used with any system and give positive
results (even a system that uses random entries). It just takes the
discipline to follow them (luck obviously changes the amount of time
to become a billionaire).
Yes, all of the rules that one can think of were at the site.
4. If you do a search on Donchian, I think you will find all of the
information you need on this relatively simple entry and exit system:
Enter long when close > ref(hhv(h,20),-1)
Exit long when close < ref(llv(c,10),-1)
Short is just the reverse.
Yes, that is what some sites say, but that is not the original Donchian. I
had a book of the original Donchian when it first came out and the original
was
a 20/20 long/short - in the market at all times. Early in its history, it
made money.
However, the Turtle system is best applied in commodities.
Each commodity has a very individual character, but two facts of
commodity markets never change:
1. Cyclicality (as mentioned below)
2. Basic economics that force a commodity's price to be low for long
periods of time (when supply exceeds demand) followed by shorter
periods of exponential price increases (when demand exceeds supply)
until enough new production or substitutes come into the marketplace.
I believe it's this second characteristic of commodity markets that
make a breakout system useful.
The Turtles only traded the commodity markets. Seasonal cycles apply to all
commodity markets, including all financial. However, they totally violate
the
seasonals at times so they are not dependable, in spite of what Jake
Bernstein trys to tell you. He is in the business of selling systems and
one of his
former brokerage associates stated that Jake lost money in his own personal
account for every year that he was with him. Also, there is a Moore
Research
Institute out of Oregon who began back testing the seasonal cycles, and
through
their mathematical models attempt to predict precise entry days and exit
days,
with stop losses and/or price objectives. They go no farther back than 20
years and to qualify for one of their selections it has to have a 70% or
higher
probability of occuring. I took their subscription for a year and found
that
you need at least 50K to trade, and that you should really have 100K. They
traded futures only, and all of them, and their 'paper' profits were
somewhere
around 50%, though if I remember right they did not account for slippage and
a
few other things. Moore is now available on-line and is very expensive, and
in
my opinion very risky.
Jay
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