The first parameter to addSize is. It is an important read. Then Michael Crawford shows up in front golgle his private jet and tells us he is the CEO of the Quantum Code. Profits Eternity Software has actually simply been introduced on the binary options market. Losses can and will occur. The past performance of any trading system or methodology is not necessarily indicative of future results. How to Build a Simple Bubble Finder?
Dennis did so to set up an old argument with fellow trader Bill Eckhardt on whether trading could be taught or not not unlike the story in classic movie Trading Places. Dennis taught his students a mechanical Trend Following system and let them trade with his own capital. After being kept secret for more than a decade, the rules were revealed and floated on the internet for a while. Two enjoyable books have now been published on the topic Complete Turtle Trader — featuring the actual turtle rules and The Way of the Turtle written by Curtis Faith, a former Turtle if you are interested in learning more about it.
Now that the rules have been made public, it is possible to backtest them and see how they would have performed on the recent markets. Such test result can be found on the Trading Blox forum. During the Turtle experiment, Dennis came to the realisation that their position sizing rules were such that: Here is a snapshot of the memo that Dennis sent to all traders asking them to cut their position size in half. As Dennis said: Well, some say that the Turtle performance was a fluke — that the Turtles were actually the proverbial monkeys writing Hamlet see the Infinite Monkey Theorem.
I guess these people would be in the EMH camp Efficient Market Hypothesis. Some might also say that market conditions are changing, and systems need to adapt to these changing conditions. Instead of concluding this post quickly here — on what it does or does not means — I thought it might be more interesting to expand and spend more time on the possible interpretations above in a post of its own.
Stay tuned, I will try to touch on whether or not Trend Following should, and can, adapt to changing market conditions — code trading system google post here. Having said that, they obviously used a set of rules that they thought would be successful or had proved to themselves was successful for the type of market they were trading at the time. Obviously if such an experiment were run today the system would have to be appropriate for the way markets behave today.
Agree with the debate between Eckhardt and Dennis as the main point for the Turtle experiment. The angle I wanted to approach this was to look at the system rather than the experiment itself — and see how a Trend Following system performance can break down. Discussing the Turtle system makes it quite interesting because of the mytical apsect of it ie real trading system that was traded code trading system google a Trend Following wizard — Rich Dennis — making him and his students milliions of dollars ….
Sounds to me they may be a little ignorant of how trading actually works. Given that trend following is long term draw down periods may also be longer than other short duration models. It sounds to be to not only be an arrogant statement but also an uniformed statement. One cannot say if something is dead or not until it actually is. This is especially true of trading models. It should also be noted that I am not much of a trend follower so I am not biased to it one way or the other, but I do have a pretty firm understanding of speculative trading models.
That crowd doesnt affects my thinking too much — maybe just for some healthy skepticism. Have you come across Vic Niederhoffer — he would be one of them. Now assume there are three hedge funds or CTAs, and each one adopts one of the three systems. One of them is likely to be lucky. Whether you are following a fundamental screen or a technical screen, there will always be a choice that you will have to make.
And usually the choice you make will be influenced by your biases and preconditioning. Hence, the luck is always there. Hopefully, this will be shown by the State of Code trading system google Following report, looking at different timeframes note that I am planning on including the AQR benchmark strategy to the State of TF report. Sorry — misssed your comment. I have find vital diversification in different time frames and opposed strategies.
I have recently started to re-think risk, and I have a question on that topic. Since the strategies are opposed two mean-reversion vs. And one thing you should always try to keep in mind is the eventual Black Swan that will show up and how you would survive it. You might also want to look at things such as correlation although this is a double-edge sword: ie it can change quickly. In any case I really recommend that you play around with your rules in a simulation to try and understand how they affect your systems.
PS: OANDA might be a good platform for you to look at FX trading: they do not have position size minimums. Trend followers only make money when market in bullish and bearish run. In super bull run and super bear run, TF make super profit! But TF endure losses when market flat. Trend following will surely make money in very long term, when market will surely move up and down greatly.
The only problem is how to cope with the emotional stress when traders lose money over the flat market which may last for years! Trend following is not dead. Even if we use counter trading strategy for example mean reversal system we are looking for a coming trend. Though i think that now trading is more accelerated and trends are shorter than they used to be.
Ps: log charts are the best way to look at a track record, especially from a long-term perspective, when compounding returns. The log scale chart removes this exponential effect, allowing for a better comparison of CAGR which is simply proportional to the slope of the equity curve. At the risk of over simplifying, I really feel as though deciding what kind of trends you want to trade is crucial with regards to system development as they come in a variety of shapes and sizes.
Odd as it may sound, It occupies a lot of my time. I have come to understand and appreciate the effects that different trend speeds and durations have on a trading model. A bit of thinking aloud really… Interested to hear your thoughts when you have the time. No doubt this is why Richard Dennis kept it secret. As did Warren Buffet for the first half of his career. But that she can develop a system that works, use it whilst its working, realise when it stops working and stop using it and develop a new one that works.
Or even better multiple systems that you can use at the same time. This is what Warren Buffet and Richard Dennis both did and a number of the Turtle graduates. There is not enough evidence to prove the original rules were used. They will often show a bastard version of it and present the bastard as the original. But many vendors have come along using the turtle name and fame, including Michael Covey, to promote their improvements and turtle methods. I wrote this article a while ago but looking back on it, it seems that the main points I put forward were:.
Turtle trading is not as profitable as it used to be. And I do not think anybody would argue that point. Avoiding a blow-up in this context: quite a lucky outcome as well. But I do use mechanical trading systems extensively. To imply that something mechanical may or may not be as good performance wise, without looking at the fundamental inputs the system itself in this case would mean that we are relying on consensus in order to declare something as being valid or not.
This is more like trading as a religion: yliya-86.ru In regards to the second point about being lucky, the risk may have been up to double what they originally planned for, but so would the drawdowns also as the memo stated. It is unlikely that it was pure chance that lead to their success, especially considering that according to the pdf I mentionedthey usually traded multiple liquid instruments at any given time. Do you recommend or propose a mechanical code trading system google alternative that is not based on what you consider luck?
Also that they were lucky to able to trade in such a profitable period for short-term trend following compared to trend followers trading now for example. Just a bit of attention-grabbing headline using a famous successful trading case to basically open up the discussion on the fact that trend following systems might have to change and adapt to conditions, as presented in the follow-up article: yliya-86.ru which discussed a good article by Anthony Garner on tuning the Turtle system.
No western company would use the name, but who wants to be unlucky? By the way they are quite lucky. Part of Lucky Goldstar. Skilled, hardworking, blah blah, but their lucks been ok so far too. Notify me of followup comments via e-mail. Disclaimer: Past performance is not necessarily indicative of future results. The content on this site is provided as general information only and should not be taken as investment advice.
All site content, shall not be construed as a recommendation to buy or sell any security or financial instrument, or to participate in any particular trading or investment strategy. The ideas expressed on this site are solely the opinions of the author. The author may or may not have a position in any financial instrument or strategy referenced above. Any action that you take as a result of information or analysis code trading system google this site is ultimately your sole responsibility.
Sy blog — Au tomated Tra ding Sy stem. Wisdom Tradinga Futures Broker who can Execute your Trading System and provide access to Global Markets and CTA's — all at great rates. Were the Turtles just lucky? This is very interesting discussion. I have not run into the trend following is dead crowd myself. At the end of the day, there is some randomness luck in every skill you have. My general feel of trend following systems is that the shorter-term ones have been losing their edge, but the longer-term ones are still holding their ground.
I completely agree that chance plays a role in everything mostly and the game is just trying to stack the odds in your favour as you explain…. Many thanks for the best posts in the blogosphere and all the best. Hi NordicTrader — thanks for the kind words! No one could predict top and bottom, TF just follow trend to top and bottom with a trailing stop. The chart you use is logarithmic, not linear, so backtesting results seem flatter, than they really are.
Hi Jez, thanks very much for your dedication to trend following. There are a couple of things that I see are in error in this article:. Curtis Faith complete turtle rules pdf: yliya-86.ru. This along with the rest of the memo simply suggested that the position sizes currently in use were too large for market conditions, and that they should be reduced. The article largely assumes that the rules were backtested exactly as it would have been traded mechanically.
I have no idea whether the turtle system is still profitable today mainly because I do not trade it myself. This is more like code trading system google as a religion: yliya-86.ru. In regards to the second point about being lucky, the risk may have been up to double what they originally planned for, but so would the drawdowns also as the memo stated. I agree with the view that unintentionally running at double heat and discovering the error when the market has been running your way is lucky.
Leave a Comment Cancel. Trend Following Wizards performance. A trick to reduce Drawdowns. Better Trend Following via improved Roll Yield. A practical Guide to ETF Trading Systems. Which CTAs REALLY provide alpha and HOW do you calculate it? Were the Turtles just lucky?. Moving Median: a better indicator than Moving Average? Check the list of global futures markets Wisdom Trading offer access to, from Maize in South Africa, Palm Oil in Malaysia to Korean Won, Brazilian Real or Japanese Kerosene to name a few, it is impressive and great to benefit from diversification.
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