I agree that it can be a good system, but one of the problems with it is that the drawdown can be very large. In other words, it takes a lot of capital, something only larger, well capitalized traders have. That is why CTA's use it - it is more adaptable to the futures markets where they can spread investments across many areas and have a large investment pool to draw from. I would not recommend it to the average trader with shallow pockets and the use in equity markets.
"imho this is totally a useless system for us individual traders. This may make sense for large funds who have the resources and employees to monitor 30 mkts around the world and are able to live with 30 - 40% drawdowns. If an individual trader was using this system and somehow didn't fully exploit the explosive move in Crude Oil, Gold you are pretty much screwed for 2003...imagine that if you were on vacation when oil/gold started moving and didn't participate, it would be very hard to recover. I rather make a dozen mistakes a month and still have some chance to recover from my blunders. While you are raising some good points you are way off base. The turtle techniques (with some little update) can be used for individual traders. Trend following will always outperform short term traders.... Gary Smith is an example - while he used a system only resembling the "old" turtle system - his 2 percent stops were pretty much the same as Dennis taught money management. The diversification was built into trading an index to some extent i.e. one can go long small cap in Rydex and go short the technology/nazdaq... He made $700,000 from nothing as a home based trader. How many of you here can say that? (no offense) I can give you countless of very successful individual traders who use trend following and prosper. Myself included. You don't need a million to use trend following....just be creative a little..and trade markets that trend....
Yes, and no.... No....Short term traders have an edge of having the frequency of exploiting the edge. Yes... Trend-followers' Per trade performance always performs short terms. So in a set amount of time. Let's say 10 year to be fair for long term trend-followers like Turtles. The Sharpe Ratio or the smoothness of the equity curve or the consistancy for the short term will be more favorable. With or without money management. Yes, I agree... trend following is a very viable method, Turtle or not. One thing to consider is the market condition the person is trading. Rich D. and other market wizards made money during the 70s inflationary period when commodity futures was moving favorably for them. Currently, you wouldn't be able to do in equities... There's always a intermediate adjustment you have implement if you have to trade the way Gary Smith did consistantly.... Contradictively though, doing some no-brainer trading using the original Turtle method(I didn't write system...) for 20 years will return a handsome profit.
Nasdaq down from 5000 to 1000 in 3 years. How much farther down does it have to go to qualify as a trend?
Gold started a long term uptrend over a year ago and even after the slaughter of the past two months many people have triple digit gains. Those that used stops are sitting with a pile of cash, or else they flipped and went short.
It's only fear of mr. Bush not fear of inflation. We are in the biggest deflation since the great depression. so don't hoard gold just yet.... current trends - oil, natural gas, stocks, currencies, bonds, etc I can't get long for a life of me on anything except home-land security but we have no markets for that oil is a short(long term) a buy for the short term.... short the stocks, bonds is the one other long that could be ok... for short time (one more rate cut anyone) we will see near zero (0%) discount rate, like japan....
I think it over for gold.....for the next few years.....unless of course we shall have inflation back that I don't believe.... aftrer the war (if we ever have one...) gold will go down..... oil too....
Gann very right on the statement on trading frequency and sharpe ratio. profitseer hardly any trend follower trades us stocks directly. they do not work, although it seems they have the most steady trends of all. i think trend followers prefer sharper, quicker trends than the stock market proivdes. peace
The problem with the trading equities using the Turtle Method is how they chopped up with the original 10 day break and time stops that are in it. With a few tweaks, it works great.