To implement the turtle system, you need a stomach of steel to endure the drawdowns... by implication, you also need to be well-capitalised... with both of these in place, you have a chance...
Hi Tripack, As I see, you put it very accurately: "the edge of this system is in market selection and diversification". I struggled for many years in formulating and verifying before I admitted something into my "edge category". I cannot find anything in the Turtle's lore that I would qualify as "edge-like", certainly not something vague like "selection and diversification". I think the Turtle lore is simply another belief system. Somebody may at sometime have made some money and wrote an after the fact story about it. Look at Gann's or Livermore's "legacies". From the way people keep on haggling about this, I'm not sure what the edge is in these, except for some general principles, even less sure how to setup backtesting in order to validate an edge supposedly burried in this. Leave it up to the true believers, after some time they will start whining about their lack of discipline in following the great masters. I can't make money with this. Be good, nononsense
Just by looking at the win rate and pfactor, I can say it has an edge. Only problem is, its not enough to beat buy and hold in a single market. The question then becomes, does it beat the average buy and hold across multiple markets, when played in parallel against multiple markets. peace axeman
Depends on the frequency. A marginal edge which trades at 1000 times the rate of a good edge will work wonders. peace axeman
Axeman, I know about many fast little trades. That's my bread and butter game. I can tell you that I would never want to trade your "marginal edge" at 1000 times the rate of a good edge. I only trade "good edges" fast. Good luck in doing it your way. nononsense
Then you are missing out on a lot of cash. Casinos have marginal edges by any traders standards. Yet they pull in BILLIONS a year Ill take a 2-4% edge if it allowed me zillions of transactions a week peace axeman
The turtles 'edge' was in exploiting fat tails. The same edge that billions of dollars are still behind.
As a general rule: - Stocks and stock indices are best traded short-term, countertrend. - Commodities are best traded long-term, trend-following. Therefore, I wouldn't expect the DJIA to test well with the Turtle system.