A simple moving average system that still works!

[uk_casius]

I would not attempt to use the original Turtle system today, you will get your ar*e handed to you.
Simple strats are the best but important to test them thoroughly. I have not looked at the one mentioned at the beginning of the thread but looking at the rules I think that it will still get badly whipped in sideways markets. That is where you should concentrate your efforts. Easy to get on a trend with a strat like this but hard to hold onto money when time series are not strongly directional.

Why wouldn't turtle trading work now? The past 2+ years have seen some strong trends (without much counter-trend) and I wouldn't be surprised if these trends continue for a few more years yet.

Everything goes in cycles, the 70's (when the turtles first traded) had big trends but dried out in the 80's & 90's now we are seeing stronger trending markets once again.
Am I missing something?

 

[RunTheNumbers]

Why wouldn't turtle trading work now?

It certainly does work these days, although there are probably modifications to it that woud enhance the method.

However, the key is that this is a trend-following system traded on a diversified portfolio of futures markets. In addition, the turtle system is not an easy system to use, as the drawdowns are significant, and the exits mean often giving back large profits. Because of the diversification requirement it is probably not tradeable on 3 or 4 sets of forex pairs through a spreadbet company. Also, as with most serious trendfollowing systems the initial capital requirement should probably be a minimum of $250,000, and more sensibly significantly greater.

And if you are OK with all these things, then to be honest you should be looking at all the other fully disclosed and free trendfollowing systems that may be significantly better than the turtle system, you should have a subscription to worldwide futures market data and backtesting software that allows you to test a multiplicity of systems. Typically this will set you back £3,000-4,000, but if this is too expensive for you then I suspect these sorts of systems are not for you. If you trade without the testing then the £3,000-4,000 not spent will be quickly lost on the markets.


RTN

 

[TWI]

the turtle system is not an easy system to use, as the drawdowns are significant, and the exits mean often giving back large profits.

I have looked at the Turtle system across every market and I did not see it as a viable trading system even on a large portfolio. Drawdown is just too damaging and nobody is going to be happy these days putting their money in something that volatile.

 

[RunTheNumbers]

I have looked at the Turtle system across every market and I did not see it as a viable trading system even on a large portfolio. Drawdown is just too damaging and nobody is going to be happy these days putting their money in something that volatile.

<shrug>

http://www.tradingblox.com/forum/viewtopic.php?t=2567

RTN

 

[TWI]

Not sure what that link is supposed to suggest. I read the thread and seems somebody is trying to sell some software for a few grand and as a result like to big up the turtle method. Nobody needs to pay that, the Turtle code is available and you can test it on Tradestation. I have tested the 22 and 55 systems across every future, going back many years. The draws are just unsustainable for me.

 

[minx]

The point I am trying to make here is this: if a simple system which is freely available everywhere and which can be coded and tested in Excel within 2 hours still generates a healthy (15% and 23% in the two test cases, before costs) return, think what one can achieve with a little more research and testing.

Or with leverage!!!

 

[dbphoenix]

These newbies have yet to realise that if it was so easy everybody would be using this "system"
He ignores any advice and posts sarcastic retorts. This is why regular traders here now post so little. Why offer advice just to receive saracstic retorts from knowitall newbie ****s. :cheesy:

It's something we all (with, perhaps, a few exceptions) went through at the beginning. Some grow out of it. Most don't (they drop out or go broke before they realize what a waste of time it is).

 

[charliechan]

Not sure what that link is supposed to suggest. I read the thread and seems somebody is trying to sell some software for a few grand and as a result like to big up the turtle method. Nobody needs to pay that, the Turtle code is available and you can test it on Tradestation. I have tested the 22 and 55 systems across every future, going back many years. The draws are just unsustainable for me.

even with the recent oil and gold markets?

how long ago did you do the testing?

as someone said - commodities are starting to kick off again - and as we know, markets move in cycles (nothing works all the time)

it has been a while since i read the method......

why do you think the method has stopped working? the world has changed a lot over the years and information travels a lot faster - i would say this could impact the trend as everyone jumps on the news of the trend a lot quicker, rather than a slower flow of money going into the market over a much longer period?

excuse me - i must dash out and catch the post. i have written a letter to my man in the states asking him to buy a few coffee contracts at the market. hope it reaches him by next week

 

[MGBRoadster]

If you're looking for an excellent "free" long term trend-following system for using across a diversified portfolio of futures markets then you might try Mark Johnson's PGO (pretty good oscillator). He has even conveniently coded it into excel. It's probably not suitable for stock trading as it goes short as well as long and long term trend-following systems do not work so well on the short side of stocks.

www.mjohnson.com

RTN

The Excel example for Crude Oil on M Johnson's site ends in 2002, so I've inserted some Disktrading continuous futures data from 2002 to the end of 2005.

Either the system's stopped working, I've f****d up ( ) or there's a problem with the data.

 

[RunTheNumbers]

Either the system's stopped working, I've f****d up ( ) or there's a problem with the data.

No you probably haven't, but the "system" has not stopped working.

Actually its not a system as all - just a method of catching the trend - there are no stops, no indication of what markets to trade (other than crude), and nothing on position sizing. Actually at its heart it is an ATR channel breakout entry system set up as an oscillator just as an amusing sideline

The last 3 years have not been easy for many LTTF systems, but this does not mean they have stopped working in the long term. The key with all such systems is that although the returns can be great you have to be prepared for the frightening drawdowns - and the best way to establish this is to ensure you are completely familiar with the system in all its aspects over all market conditions - and the only way to do this is to test it for yourself over as long a period as possible.

Regards

RTN

 

[alpha_monkey]

My 2 cents...

- A trend following system needs to be traded on numerous markets over numerous timeframes. Diversification and patience are key.

- You are betting on say 30% of your markets creating significantly greater profits than the losses that arise from 70% of the portfolio. Markets will be dormant then start trending. (Look at Sugar and to a greater extent Silver over the last 15 years.)

- Trend following / CTA returns are cyclical. Like volatility, breakout followed by consolidation. I think you could say, in approx terms, payoffs are similar to a long call on volatility.

- Vanilla Turtle trading methods still work but can be significantly improved. See the www.tradingblox.com discussions. Put differently, trend following has evolved. Winton, Aspect etc far outperform JWH, Dunn.

AM