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I understand the disgust that some people may have over sworn agreements not
being upheld. However, the particular case of the Turtle system does not
seem to be a good candidate for disgust. The "Turtle system" in signaling
buys and sells is merely an application of Richard Donchian's methods. The
original addition that Richard Dennis, et al made to the method is not in
buy and sell signals. They added money management methods. The original
buy and sell system has been readily available for years, and a system that
reverses the rules from Linda Bradford Raschke (and others) called Turtle
Soup has also been publicly available for years.
My understanding is that few (if any) of the original Turtles still use the
plain vanilla version of the system. I've been told that many have added
various ways of assessing volatility to help filter out the number of losing
trades.
As for taking the heat of drawdowns, this is particularly true for Richard
Dennis and Russell Sands. Both have had investment companies that they were
running under some version of the Turtle system go bust while they were in
charge. Just another example of the truism that there is NO holy grail.
As a minor Christmas present to list members who are not aware of the
original version of Donchian's system (he had other systems and rules for
the stock market which can be found in back issues of TASC magazine), I
offer the following:
Enter long when a stock exceeds its highest high in the past 20 days
Exit long when a stock closes below its lowest close of the past 10 days
Shorts are merely the reverse of the above rules.
Obviously, the 20 days and 10 days can be optimized (if you believe in
optimization).
Use at your own risk and the knowledge that at least two people who were
probably using this system on futures went bust.
Merry Christmas to all, and profitable trading in 2001,
Ross Kovacs
rossrk@xxxxxxxxxxxxxx
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