I've been following the turtle system. The way it's supposed to be traded. If you have sufficient capital and follow their rules PROPERLY they still make good money. It's more of a methodology than a computerized system which most people don't understand. It's a hard system to follow if you don't have the psychology that fits the Turtle methods. I recommend that you read Trading your way to Financial Freedom to get an idea about trading and self assess yourself to understand what fits you. Then decide whether you should purchase a system. These books are all at iitm.com. I think it's a fastest way for a novice towards becoming a good trader. You have to do a lot of work but if you're committed to becoming a trader it shouldn't be a problem.
I`ve done the same on TS2000i, building codes in EL, testing about 10 years backwards, using MM rules desribed in that book but results look poorly. Can You give some more details about Your tests ?
PM me and i'll answer some questions you might have about the system to make it work. PROPERLY! Wanted to add that I'm not affiliated with the people selling the product.
The turtle method does work, and it works well. Here are the problems with it... 1. most people don't have the discapline to follow it because only about 5-10% of the trades are really big winning trades, sometimes that is only 1 or 2 trades a year. If you miss these trades, system will lose you a lot of money. 2. most people prefer day trading because it offers more action. 3. most people ignore "position sizing" which is the most important aspect of trading. Since learning the turtle system I have used that knowledge to create my own system. I have to honestly say that their system pushed me over the edge and made me a very smart and consistent trader.
There are many better long term systems than the turtle method. One of the problems is that it keys off intraday data, so you need to call in stop orders for all the markets you trade every day. Most brokers won't like you ringing in with 20-30 orders each day, especially as only a few a week will give fills. A simple system that does much better than the turtle breakout is as follows: Compute the mean (m) of the last x day's closing prices, and the standard deviation (s) of the last x day's closing prices. If today's close > m + s go long on the open tomorrow If long and today's close < m exit long on the open tommorow If today's close < m - s go short on the open tomorrow If short and today's close > m exit short on the open tomorrow A good length for x is between 60 and 100. You can also use a multiplication of s such as 1.5. This system is good because it will catch all major trends, and is easy to implement (you just ring the broker the next morning with your market on open orders). For money management compute risk as (entry price - m). You can also dynamically adjust by considering volatility (ie risk more when volatility is low). As with all systems, you will get whipped to death when the market is not trending, but in the long run you can expect a run similar to the average CTA. For portfolio selection, pick one or a few products from each complex (eg currencies, interest rates, stock index, grains, meats, metals, softs, energy). The only way to long term trade is to be highly diversified, so you really need over $100k to do it properly. As a previous poster said, you make all your money on less than 10% of trades so you need to get on every trend.
one of the reasons why people think these long term system don't work is that they can ONLY be looked at on a portfolio basis. Looking at a long term breakout system on the individual markets and dismissing it because it performs really badly on some markets misses the point entirely. eg I think Aberration made its all time equity high on Soybeans around 1978! ALL that LTBS are about is being positioned the right way round when one of the markets you are in explodes or has a massive trend. Q1
I work at a Prop. trading firm and one year ago Russell Sands one of the original Turtle Traders sat next to me. He quit trading commodities and was trading 100 share lots in equities............