http://www.metastocktools.com/downloads/turtlerules.pdf These rules no longer work as well as they did in the 80s. Although i wonder how they did on Cryptos in 2017.
The Turtles were mainly trading 55 day breakouts. I think the initial stop they used was 2 ATR. That was from millionaire's post. I erronenously thought it was the 20 day breakout which was created by someone else.
Just crack if your daytrader / scalper mentality, trading chop with the immediate direction, take small profits ish, average in if required, all out on trend changing or range breaking. Sounds easy, but I wish but getting there
There are some rules in that system that I cannot currently support. I am getting my product ready for a beta release so I will have to revisit testing the turtle system at another time.
Cool, well it is impressive that your software runs so quickly. You wrote it in C# right? I think regardless of the outcome of your findings you might be able to make some serious money selling your software to a hedge fund. If you price it correctly they might even buy it just as an "in-house" research tool if they need it for their own backtesting.
Daily...minute bars would obviously be slower. Of course the end goal is not to run on my slow laptop. Will be deploying to AWS. On demand hardware is very cheap. https://aws.amazon.com/ec2/pricing/on-demand/
traider, Because he/she stated they used out-of-sample testing metrics to confirm the the in-sample testing metrics is not fooling the tester