June 21, 2011 

After my error on the initial capital in my last post, I realized that the script was operating as if on the 100k starting point while 1M was available. I wanted to know what would have been the results had the equations been adapted to the excess equity available. There was only one way to find out and that is to redo the test with the added capital. Having my trading methodology scalable it should also provide a glimpse of that attribute.

While at it, I added a few more trading procedures to increase performance like putting a little bit more pressure on the system.

Here are the results:

Turtles v3.2 June 20

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Remarkable performance. Scalability OK. Added procedures OK. Full excess equity utilization OK. Now, the numbers look more like the ones before my snafu. With results like those above, this makes the script more than ever a tool for a hedge fund.

The overall return is impressive and I still have some work to do. It’s like the short term Turtles’ trading methods are at times overwhelming my accumulative functions. The above table ends mostly in cash as most of the trades have been closed except for the most recent ones. As said in the previous post, this script if coupled with another script with a stronger accumulative stance could provide the funds to technically reinforce both scripts.

This iteration of the script has a 61% loss rate, therefore, the win ratio comes in at 39%. The main reason for this is that the turtle method is too fast in accepting a stop loss; other methods should be used to control when they should be taken. Often, the turtle strategy enters long at tops and short at bottoms only to see the prices revert and produce losses. I’ll find ways to correct this deficiency too. 

The Turtles’ trading strategy requires nerves of steel as it swings wildly. However, with an over-diversification approach as in my trading methods, the losses could be considered just as part of doing business.

Meantime, my new version of the Turtles script will be excused for reason of performance.

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AAPL ADM AGQ AMZN
BHH BIDU CCK CF
CMG CRDN CSX DBS
DDS DIT ERX GLD
GTLS IBM IMAX IPGP
JNPR NFLX NTES PAAS
PANL PCLN SCCO SINA
SLV SLW SOHU SRZ
TBL TDSC TRMB TRN
TSCO TZOO ULTA URI
WLK WTW XOP  

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 Created on ... June 21, 2011, © Guy R. Fleury. All rights reserved.