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The entry and exit on the turtle system is only about 30% of the system most
of the money is made with money management. L. Williams needs to more
throughly investagate before writing about something he does not understand.
It is working and always will work if used with Turtles money management.
Thats like taking an engine out of a car and saying the car does not run of
course not you need the whole car including the engine.
Robert
----- Original Message -----
From: "Brian Gaddis" <bngaddis@xxxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Friday, August 24, 2001 9:02 AM
Subject: Re: Turtle Trader System
> At 07:39 PM 8/23/01 -0700, you wrote:
> >
> >Has anybody out there tried the Turtle Trader system?
> >From what I've heard/read, it has it's foundations in money management.
> >
> >I'd be grateful for any information (especially from someone who uses
it),
>
> Larry Williams wrote about the short-term Turtle system and how it's no
> longer performing well in this month's Trading Post. On a side note,
> trend following systems in general aren't doing too well overall these
days.
> Here are some highlights from The Trading Post.
>
> The short-term system as originally taught by Richard Dennis was this.
Larry learned
> it from Russell Sands, one of the original Turtles:
>
>
> BUY LONG
> Enter - Highest high of the past 20 days
> Exit - Lowest low of the past 10 days
>
> SELL SHORT
> Enter - Lowest low of the past 20 days
> Exit - Highest high of the past 10 days
>
> I don't know what the money management system is.
>
> Larry did a system test based on those entry/exit rules and came up with
these
> results,
>
> The 20/10 entry/exit system has not performed well for the past
> five years. The only markets it did favorably in are Gold (+$9,815),
> Swiss Franc (+$16,628), Japanese Yen (+$10,498), and Lumber (+$16,206).
>
> Accuracy for the above markets was around 40%.
>
> The system was especially poor in Live Cattle (-$17,685),
> Pork Bellies(-$12,188), Cotton (-$9,100), and British Pound (-$7,095).
> Accuracy was somewhere around 35% for those.
>
> All in all, the system did make money. Only $7,902, though.
> About $9.75 per trade. I don't know if commission and slippage were
> factored in. Probably not. S&P 500 was not included in those results.
>
> In the SP500, the system was god-awful. Since 1982 it has
> lost $142,670, on 33% wins.
>
> Russell Sands told Larry that possible reasons for the system's
> poor performance are, "Either: 1. The system has stopped working,
> i.e., the markets have changed or 2: It is in a typical system
> drawdown phase."
>
> Larry thinks the 20 day highest high/lowest low system still has
> value, though. He thinks it is best used as an entry technique in
> a market that is fundamentally set up, and using stops.
>
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