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For what it's worth since I don't have documentation:
1. Richard Dennis has had at least one of his commodity funds go
bankrupt when the system had too many consecutive losses. I've been
told that he (and other former Turtles) have modified the Donchian
breakout system to incorporate a measure of volatility.
2. Russell Sands, the Turtle that divulged the trading system, has
bankrupted his accounts twice. To his credit(?), he still trades the
same system with new equity. He sells the system rules to recover
from the busted accounts.
3. The Donchian breakout system is only part of the Turtle system.
There are a bunch of position sizing rules and stop losses that are
not part of the simple breakout system. To my mind, these rules are
the real cause of success for the Turtle system (or any other
system). Cut your losses short, increase your investment when you
have a winner (a simplification of the Turtle money management
rules). These rules can be used with any system and give positive
results (even a system that uses random entries). It just takes the
discipline to follow them (luck obviously changes the amount of time
to become a billionaire).
4. If you do a search on Donchian, I think you will find all of the
information you need on this relatively simple entry and exit system:
Enter long when close > ref(hhv(h,20),-1)
Exit long when close < ref(llv(c,10),-1)
Short is just the reverse.
However, the Turtle system is best applied in commodities.
Each commodity has a very individual character, but two facts of
commodity markets never change:
1. Cyclicality (as mentioned below)
2. Basic economics that force a commodity's price to be low for long
periods of time (when supply exceeds demand) followed by shorter
periods of exponential price increases (when demand exceeds supply)
until enough new production or substitutes come into the marketplace.
I believe it's this second characteristic of commodity markets that
make a breakout system useful.
--- In equismetastock@xxxxxxxxxxxxxxx, JayTownsend@xxxx wrote:
> In a message dated 10/8/2003 7:41:24 PM Pacific Daylight Time,
> kelols@xxxx writes:
>
> > They didn't tell you everything. You can't make as much trading
> > stocks using the same system and due to the lack of leverage
found in
> > contracts you need way more breakouts to reduce risk and insure
> > success.
> >
>
> I trade commodities, which is what that system was used for. Most
> commodities, including financials, have annual cyclical patterns
and breakouts is a way
> to capture some of them. (Moore Research charges an arm and a leg
for a
> system that predicts the exact date of a move in commodities, long
or short, based
> on historical information. You can pay their price, use a $50-100K
account
> and take every trade and hopefully, gain an annual 20%. Breakouts
can offer
> much better.) And no, that site doesn't have the final answer.
But if you
> follow or read a lot about breakout systems, you will be able to
glean good
> information on entry, and on stops from that site. They also tell
you to get ahold
> of everything that you can, and read and learn from it.
>
> Every trader is going to go through a lot of material, and probably
a few
> assets, to end up with winning style or system.
>
> In my opinion, that site offered a lot of great breakout
information that
> just isn't available in other places.
>
> Jay
>
> Before you get too excited about the information on that site, you
> need to do some more reading.
>
> They didn't tell you everything. You can't make as much trading
> stocks using the same system and due to the lack of leverage found
in
> contracts you need way more breakouts to reduce risk and insure
> success.
>
> Some of the original turtles did okay trading. Many of the ones
that
> came after the first group using the same system went broke. Why!
> Because they were trading with their own money and not the house
> money. History is a good teacher.
>
> I've used Donchian formulas to write systems. Many of the most
> successful commercial systems use Donchian as a basis.
>
> I'm sorry to say that particular webstie is not the last work on
the
> turtle system.
>
> Good Trading
> JO
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