June 20, 2011

I converted yet another legendary script, this time based on the Turtles of the 70's. Turtles version 3.1 is a trend-following system that plays long and short, which at my current level of implementation, should have a few lessons to teach; at least I hope so.

My first iteration without modifying its trend definition but adding some of my own trading procedures produced the following table on the first dataset as presented in prior posts. I’m showing it simply because it is within the same performance range as the first few simulations. So here it is followed by a typical WL (Wealth-Lab version 4) generated chart:

Turtlev31 M01L0 revised

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ADM Turtle v3.1 improved

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The numbers are not as impressive as in the Livermore challenge. Nonetheless, I do not like the numbers. There are too many big stop losses (59% of trades), only a 41% hit rate. It is a nerve-racking trading method. When applied at the portfolio level, as in this simulation; the portfolio must swing wildly on a daily basis. It certainly is not my style of trading.

So what I will need to do is first modify the trend definition to better suit my purpose and then try to reduce the stop losses as their cumulative sum is even higher than what the script produced. Here is the original version of the script on the same data set for comparison:

Turtle v3.1 original version

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Performance wise the original Turtles V3.1 script performed just slightly better than my previous selections. However, its wild swings should have been evident from the start. I just started first with my modifications to the script before viewing the original’s version performance.

Don’t get me wrong, I won’t discard the script because I don’t like how it behaves, not at this level of compounded return. I’ll just add more of my trading procedures to get to where I want to go. The trading method has a high cash equity value and plays long and short which I think when combined with some other of my scripts should increase their performance.

Hoping only that what is presented can help some that have tried to design and implement their trading strategies along the lines of the Alpha Power methodology. 

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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 20, 2011,   © Guy R. Fleury. All rights reserved.