It is hard to pin down the man's methodology, For it has in the past included astrology.* ____________________________________ *See page 35 of William R. Gallacher's Winner Take All: "...And what about Larry Williams, who himself confesses to being moonstruck on occasions? Williams forms so many ephemeral alliances with other promoters that you never know where he will surface next. Recently, he has been promoting the secrets of the Turtles, an exclusivity of self-proclaimed supertraders. Whatever one may think about Williams' analytical ability, there's no denying his resilience. He is back with a service called Commodity Timing (plus his turtle secrets, of course), seemingly unfazed by the humiliating losses he endured trying to trade pooled money under public scrutiny." Please bear in mind that this book was published in the early 90s. Nothing changes. http://www.amazon.com/gp/product/15...f=pd_bbs_1/104-0331552-6616726?_encoding=UTF8
Just to give you some perspective on what can be achieved if one is not a fund and worried about investor tolerance for drawdowns; when I was a turtle, my returns for the four plus years we traded were just over 1,650%. Which is slightly more than 100% per year. They would probably have been a bit higher had we been allowed to increase our trading sizes more than once per year. Commodz is correct. The strategy works and will likely continue to work as long as humans are doing the trading, or even deciding what the computers do; the problem is that most people don't have the discipline to follow a long-term trendfollowing strategy through the inevitable troughs. - Curtis
I certainly won't dispute your claims since I, like most of us here, have read about you guys and how well some of you did. However, allowing for major drawdown opens a trader to a world of risk. With a more sedate trading method, you are more likely to know earlier if and when things are going wrong. However, with a method that incorporates the possibility of major drawdown, you are likely to be apprised of this information by the time it is too late. If you will indulge me a metaphor, consider a test pilot who cautiously avoids aerial acrobatics too close to the ground. If something goes awry, he has sufficient buffer to get back on course. However, the daring pilot who characteristically almost grazes the ground during his maneuvers has little wiggle room if things go wrong at the wrong time. And so it is with a trader who characteristically allows for major drawdown. You generally only hear about the ones who either do spectacularly well, like yourself, or the ones who blow up spectacularly and take many people with them. But what about the many unseen traders who quietly and systematically take major drawdowns and deplete their accounts beyond the point of no return? I think that allowing for major drawdowns is allowing for more luck, either good or bad. If you have a tradeable edge, then you need the law of large numbers to consistently realize that edge over time. However, by allowing for major drawdown then, all else being equal, you are more at the mercy of market behavior that may or may not be characteristic of what your method was designed to encounter. You are leaving much more to chance. If it works out, then you're a hero. If not, well, then you're just another smudge on the trading landscape. There tend to be far more smudges than heroes. I'm curious. Could you please tell me what was the largest percentage drawdown that you encountered while actively trading? Specifically, what was the largest percentage drawdown from an equity peak and, if that drawdown dipped into the original capital at the start of the year, by what percentage was the original trading capital depleted by this drawdown?
My largest drawdown was about 65%. We looked at open trade profits differently than closed trade profits, so you could give up a lot if the market went straight up and then straight down. The largest drawdown from the start of the year was around 12%. - Curtis
Did you use leverage for 1650% a year? How did this compound into such a high number in % wise? Must equities would be lucky if it went up 100% a year Were you swing trading back and forth in frequency to achieve 1650% or was this by leverage?
The document at www.originalturtles.org referenced at the beginning of this thread is my attempt to describe exactly how I did what I did. Futures are inherently leveraged. - Curtis
There seems to be some misunderstanding. 100% returns for four years looks like: 2 goes to 4 4 goes to 8 8 goes to 16 16 goes to 32 Total return is 32 / 2 which is 16 times or 1,600%. - Curtis
I must admit that the starch would have gone out of me with a 65% drawdown. I would think that you must have been concerned at around that time. If I may ask you another question or two, what had been the "expected" drawdown based on either prior performance or backtesting? The reason I ask is that any "expected" drawdown amount would probably have needed an additional buffer to account for the "unexpected," since dealing with the future is a lot less stable than dealing with test or historical results. The reason I ask is that 65% is not all that far from 100%. This brings me to my second question: could you have traded in that manner entirely with your own money? On the plus side, the largest drawdown into the original starting capital is very impressive given your overall performance.
If you start with $100... trade trade trade and then get to $400, then trade trade trade down to $140, that is a 65% drawdown... it doesn't necessarily mean you lost 65% from starting capital. With hardcore trendfollowing, open profits tend to be very volatile, especially when pyramiding. I've emailed Curtis a few times in the past, he is very honest and very down to earth... also gives honest answers.