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Owen,
My system is a turtle-like breakout system but what makes it work is the MM.
I don't know what *the* turtles do.
Here's a clue for you. Treat a system as a transformation of the raw price
series. In futures, other than equity contracts, the raw price series goes
up and down. If your system has an edge, then the transformed price series
should be gradually upward sloping, like a the long term chart of the stock
market. Now treat the transformed price series as an asset class and mix
them altogether via MPT and presto, your can get some great stuff like I
have.
Good luck,
Scott Hoffman
Issaquah, WA
-----Original Message-----
From: Owen Davies <owen@xxxxxxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Tuesday, December 08, 1998 4:33 PM
Subject: Re: Money Management
>Speaking of money management, as opposed to trade management,
>in reply to my question of whether I was over-complicating the issue,
>Jim Osborne wisely replied...
>
>>Maybe. What I usually have to do "after that" is consult my wife. :)
>
>(Well, actually, he said some more useful things as well.)
>
>On thinking about it a little more, I think what has me looking for some
>sophisticated, possibly even mystical, approach to money management--
>as opposed to entry and exit strategies--is the reputation of the Turtles.
>I have often heard it said that it's their money management techniques
>that distinguish them from other trend followers. I have heard this said
>of other top traders as well, but it's reports of the Turtles which first
>led
>me to wonder about this.
>
>Which brings up an obvious question: Does anyone here have any
>sense of what these folks do that others don't?
>
>I wouldn't ask anyone to reveal proprietary information, but without
>going that far, maybe someone can at least tell me whether there is
>a valid issue here at all. I know about asset allocation as it applies
>to stock/bond/fund/etc. portfolios (and find it darned tough to apply
>to futures trading.) I know about minimizing risk and mazimizing the
>reward/risk ratio. I have what I think are some pretty decent ideas
>about how to scale in and out of trades, and whether or not to do so
>at all. Does that cover what the Turtles were/are doing, or is there
>some other form of money management that I should think about?
>
>Of course, if there is, I'd appreciate any hints.
>
>Many thanks.
>
>Owen Davies
>
>
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