Mark Johnson¢s PGO free trend following system was less complicated and was working better than the Turtle Rules in some of the markets I back tested but don¢t take my word for it . Regards
http://www.traderclub.com/discus/messages/18/444.html?ThursdayJanuary3120020735pm By Paul on Monday, January 29, 2001 - 10:25 pm: There seems to be some confusion about PGO. Why the "-3" and the "3"? Sure, PGO might be profitable, but what do these numbers really signify? The idea is a simple channel breakout, and is a testimonial to the notion that one doesn't need complex systems in order to beat the market. Simply put: 1) PGO goes long when the current price breaks out above a channel that's 3 * AvgTrueRange above the average price. It sells when the current price crosses below the average price. 2) PGO goes short when the current price breaks out below a channel that's 3 * AvgTrueRange below the average price. It covers when the current price crosses above the average price. And for a little flavoring, Mark's used the ExpAvg of the True Range, instead of the simple average. That's all there is to it. (Other than the add'l betsizing stuff.) But what about the oscillator? Well, Mark has algebraically rearranged the terms, so as to form an oscillator. But he hasn't added any further concepts by doing this. All the oscillator is telling us is how many (exponential) average True Ranges we currently are from the average price, so that we can easily know when we've crossed the channel lines at -3, 0, and 3. (See #1 and #2 above). Hope this helps a bit. -------------------------------------------------------------------------------- Note: it seems he's using 89 bar averages
I wrote this about a year ago: The Theory behind the Turtle Trading System - my interpretation of why the Turtle Trading system should work and continue to work for ever.