Turtle Trading System

Some background

In US, there were a few traders that make tons of money from market, and many of them come from one single training program by 2 famous traders. These students who undergo training are called "turtle", and have to work for these 2 famous traders for certain nos of years and they also undertake not to take about the famous turtle trading system for another X nos year after their employment. This X nos of year had lapsed and the rules are now revealed.

Ready to take a look at the famouse Turtle Trading Rules? Here is the URL:

http://www.originalturtles.org

Go there and read about the turtle storey and download the pdf rule file.

I started this thread so that we can share inspirations and thoughts we get from this turtle trading rules.

[HC note on 2006-12-18: I just realised that now th turtle rules book can no longer download FOC, but you have to make a donation of US$29.95]

I don't trade mechanically, and I don't trade for a living (yet :)). But I have much to learn when the this turtle rule come to my notice, however complete or incomplete they are.

First thing I noticed is that it is not just 1 set of buy and sell rules, it is more than that. This trading system covers the following areas:

1. Markets - What to buy or sell
2. Position Sizing - How much to buy or sell
3. Entries - When to buy or sell
4. Stops - When to get out of a losing position
5. Exits - When to get out of a winning position
6. Tactics - How to buy or sell

How many of us thought of these when we read our first TA book? And how many of us trading now thought of these?

Second thing that strike me is: these rules add on to winning positions and cut when the price move is not in our favour.

Have some thought about this rule for a moment.

Without going into the details of how to add every 1/2 N, adding to winning posting will result in the following situation: when your are right, you are likely to have a bigger (multiple units of) position, when you are wrong, you likely to have a smaller (single unit of ) position.

Even before doing any calculation, this sound very logical to me. If you have the same win/loss dollar amount per unit and the some win/loss number ratio, with this kind of position management, you will definitely end up on the winning side!

This rule also repeat, or shout, to me: NEVER AVERAGE DOWN.

Third thing that strike me is that "Risk Control" is the central theme of the whole trading system.

Risk is something that cannot be totally eliminated in trading. To ensure long term survival, it has to be control and minimized. Have you notice how this system control risk?

Here are what I noticed:
1. Sufficient Portfolio size
2. Trade liquid market
3. Use volatility based position sizing method
4. Limit number of open positions
5. Adjust trade size when portfolio grow or shrink
6. Volatility based stop setting, and the way it is moved up

Another important fact:

“I always say that you could publish my (turtle) trading rules in the newspaper and no one would follow them. The key is consistency and discipline. Almost anybody can make up a list of rules that are 80% as good as what we taught our people. What they couldn’t do is give them the confidence to stick to those rules even when things are going bad.”

-Richard Dennis

Some time back when Russell Sands came to Singapore to teach his turtle trading, I attended the preview. Usual marketing talks to get people sign up for the course at S$3888 for a 2 days sessions. At the end of the preview, there was a QnA session, I recalled herein some of the comments by Russell Sands I find interesting:

(Note: All these come from my memory and are not the the exact words from Russel)

On expected return and draw down when trading turtle system:
Expected return is about annualized 100%, while the drawdown is about 40%.
Turtle trading system typically can achieve a max annualized profit that is 2 - 2.5 times the maximum drawdown. If someone is not able to stomach that much of volatility, it is advisable to scale down and expect a lower possible max return.

On discretion in taking signal generated:
When experience with trading the system, one way is by reducing the position size to reduce volatility say in wars time.

On intraday trading:
since the price movement in intraday is less, one has to expect less profit per trade and only useful if you can trade with near zero commission, otherwise the transaction cost is eating you alive. That is also why position trading is better for retail traders.

He also mentioned that learning of turtle trading rules is easy, but mastering trading is difficult. Just like playing chess. It is easy to learn the rules, but it take one's life time to master.

The Turtle position sizing rules, as it is designed, is suitable only for the futures
market. It cannot, as it is designed, be used for the stock market. Doing so will
expose your account to undue high risk.

The Turtle position sizing is related to the amount of risk per position, which
include all pyramid entries. This position risk in futures is the limitation of the loss
that the account can suffer. This cannot be applied to stocks. I tell you why.

A futures contract will not be delisted out of the blue. Futures exchanges cannot
and will never do that. They do delist futures contract that are inactive for a long
time and only do so after much deliberation. And even if they do that, they begin
by ceasing to list new delivery months while existing delivery month with Open
Interest will carry on to be opened for trading until expiry.

So if something adverse happen to your position, the futures exchange's
mechanism of trading allows you to get out, the question is at what price but
defintely not at the price of zero. In other words, your futures contract will never
be worthless.

But stocks? They can be suspended indefinitely anytime and then delisted without
you getting out of your position. Yes, your stock price can become zero; your
stock position can become worthless.

I will use Citiraya as an example. I will apply the Turtle System to the weekly
price. Daily prices of stocks are too noisy and erratic to be useful, not just for
Turtle but also for analysis. The minimum useful data periodicity is the weekly data.

In the chart is the Turtle system applied to Citiraya. The system is set to only go
long since going short on SGX stock is not efficient. This does not mean I favour
only long trades. No, in the contrary whether long or short is no different to me, or
to anyone who trades futures or US stocks. This is the type of sophistication they
have at their diposal and there is nothing illegal or unethical about it.





For this system, TradeStation needs 55 bars to get all calculation up to speed. The
FailSafe is 55 bars if you have not read the Turtle rules. So the earliset bar that
can be used in the study will be bar 56. Therefore on the chart you will notice that
two buy signals are ignored - in March and May of 2003.

The first long entry is the week ending 2Jul2004. Due to a limitation in TradeStation's
EasyLanguage, I programmed the Turtle system to pyramid up to the 3rd unit.
This is one short of the Turtle's max of 4 units. Therefore, the first entry is a total
of 93,000 shares (93 lots). The position risk for this position is a total of 4.5pct of
accout equity. The position sizing and position risk is based on an account size
which set as S$100,000.

Therefore position risk is S$4,500 but is this so? Really if we follow the rules, we
risk a loss of maximum S$4,500 plus some for execution slippage? Not so! But let's
move on first. This trade was exited in the week ending 7Jan2005 with a profit of
S$27,900. This work out to 27.9 pct of account equity.





This being a profitable trade, the next signal would be ignored unless it broke the
55-bar high or 55-bar low. This is to avoid missing out on a sustaned trend. The
following week it broke above the 55-bar high to trigger a "FailSafe" long entry.
Because market volatility has increased there N too, the 3 units pyramid position is
now 84,000 shares (84 lots). The average entry price is $0.9517 for a S$ commitment
of S$79,943. The position risk would be 4.5 pct of account equity right? Well wrong!
Never in stocks! Never!

For stocks, the position risk is your $ commitment. In this case, it is S$ 79,943.
Why? If you have taken the trade have you gotten out? If you haven't gotten out
then can you get out now? Well what is the price of Citiraya now? It is getting to
look like zero. And you can't do anything about it can you?

So you loss a whopping 62.5pct of your account equity (79,943/(100,000 + 27.900)).
This is unacceptable if you ever want to survive.

In the futures market, such a sitution will not happen for the basic simple fact that
futures prices will never go to zero. But risk can still exceed that as planned due to
limit moves. Limit moves is when the price move the maximum amount for the
day as stipulated by the futures exchange. Once it reaches that level, trading
basically stop as long as price is locked limit. I will give an example using Live
Cattle futures.

What is the worst thing that can hit Cattle prices? Mad cow desease. This was what
hit the US cattle market on 24Dec2003. Mad cow desease was confirmed in one
of the US cattle farm. As you can see, cattle prices went into a tailspin. It locked
limit down for 3 days.





If you were long you couldn't get out until 30Dec2003. But the BIG difference
between this and Citiraya, or any stock for this matter, was you still could get out.
Yes you suffered a bigger loss than you had planned but you still got out. You are
not stuck and hopeless! You are not!

Look at the Turlte's position sizing in this case of Live Cattle Feb04 futures. At the
height of price rally with the increased volatility, the position size for 1 unit is only
one lot for a US$100,000 account. Note that it went short 9 days before the mad
cow news. Now let's just say that it was long instead, and long 1 unit at 90.67, the
close on 23Dec2003. Let's assume that it had to get out at the first tradable sell
price which is the open of 30Dec2003 at 77.00. This 1 lot position suffered a loss of
US$ 5,468 ((90.67-77.00) * US$400). This was 5.47 pct of account equity.

If it was long 3 units then loss was US$ 16,404 which was 16.4 pct of account
equity. Compare this to 62.5 pct for Citiraya. This is why I always say that trading
stocks is more risky than trading futures. I hope this example will convince you.

Like HC has said in his posting in the Position Sizing thread, the Turtle position
sizing rules has to be modified for stocks to reduced the position risk for stocks.

Note: The Turtle Trading System program I am writing is still not finished otherwise
I would love to use it for illustration. But since it is not finished I prefer to keep its
features under wrap. Its trading system features is definitely better than what
TradeStation can do as this next chart shows. The software should not assume you
can sell on locked limit down days.

Thanks CSK for pointing out the risk differences in trading futures and stocks.

Come to think about it, so long as we trade stocks, this risk is unavoidable regardless of what method we use (FA, TA or whatever), it become a systematic risk which every stock investor/trader have to live with.

What left behind is how to reduce its probability and impact. I am not sure avoiding those companies with bad fundamentals may help reduce the probability, but limiting the overall position surely can reduce the impact.

Reposting...

This is the matrix of the raw calculation data array. This matrix helps me to check
all the calculation and the eventual Turtle System positions and performance. This
Debug tab will be removed from the final shipping version. What the matrix does
not show is the LastProfitableTrade filter. Therefore the ProfitLoss shown are also
not that of the actual system but just for my checking. They are of a one lot
position taking all signals.

The Turtle Trading System is well known and is a complete trading system. It is
the ideal platform to teach and learn proper technical trading approaches and
habits. By this I don't mean that this is the only system to use. It may not be
suitable for everyone. But it is a good platform to learn what are the things to
have and why in any complete trading system.

The first release version will not have portfolio feature yet but will come with free
upgrade to the next version with the feature within a few months of the first
release. The portfolio feature must of course have the ability to show your
portfolio Profit/Loss in your chosen base currency since trading in instruments
across countries is common.

One major obstacle to sticking with system rules is temptation. It is like when you
are happily married with a happy family and then a sexy lady (or an incredible
hulk) enter into the picture. Temptation right? Whether or not you succumb
depends on your own discipline.

Geez, what has this to do with the market, you may be wondering. Well a lot
really. But only if you have been there long enough, got involved, got hurt and
then said, "I thought I was clever. I thought I was right. But I was very stupid."

It is a human tendency to count chicken before they are hatched. Leave this to the
chicken farmer! You don't do it. But will you listen? Very likely, NO. I tell you why
and what you have always been doing, always counting chicken.

Look at the chart. The system went long and it is showing an unrealised profit
($110 per lot) as well as an unrealised loss (-$120 per lot). Both excluding
commission and slippage.

Now, which one are you interested in? Since it is human tendency to count
chicken, it is obviously the profit, right? This is the problem. The common reason
is if you can get out with a profit then why be stupid and get out with a loss. Or
you have been listening to too many often repeated advice (wrong advice) that
you won't go broke taking profit, no matter how small.

Do you know what is letting your profit run? Do you know what is the difference to
cutting your profit? Even if prices were to turn down down, hit your stop and you
take the loss, it is still the right decision to stick to the rules.

Look back to mid-Dec2004 and early-May2005. They started out the same way. In
fact, they must all start out the same way. Where would you be in Mar2005 and
July 2005 if you had cut your profits?

Now you have to decide whether you want to get excited by the sexy lady (or the
incredible hulk) and be a chicken counter.

I design the software like this. It shows the scenario in graphics so that you can
visually visualised it. Every picture tells a thousand (or is it million) stories.

Second guessing the system is a taboo. You do need to approach the Turlte
Trading System with a very open mind. And that very open mind requires you to
drop all that you have ever learned about technical analysis. Because whatever
technical analysis you have learned prior you will have so much attachment to
them that your ability to follow the Turtle rules will be severely impaired. You will
end up second guessing the system. You will end up questioning the system.
Because you tend to think you know that bit more you are not going to take an
animal that always hide inside his shell seriously.

Because of this, I design Turtle Farm such that it does not have any other
technical indicators. It only has Turtle related indicators, no more. To this end, I
hope that users will not have distraction. But this will not prevent them from firing
up another TA software. At least by doing that, they have to make an effort to
launch the other software. And they must know they are in for distraction because
they are making that effort.

The example here on Crude Oil explains. Wouldn't what you have learned about
divergence and possible head and shoulder top distract you from following the
Turtle rules?

Hi all;

I'm a newbie and just came to know about what Turtle Trading is all about. I trade stock and thinking of using Turtle for profit maximization but according to HC earliest posted thread, the turtle position sizing rules has to be modified to reduce the position risk of stocks. Question, will the performance be same as Futures Trading since it was developed for commodity?

I don't trade futures, and I don't use Turtle Trading rules to mechanically trade. So I was unable to answer your question.

BUT, I have the following thoughts to share:

1. Trading is always balancing reward with risk. As the saying goes: If you cannot stand the heat, don't stand beside the wok. In order to reduce the risk of ruin (blow out of your trading capital), controlling risk is very important. One way of risk control, is position sizing.

2. Even I don't trade using turtle trading system, I have learn quit a few thing from the turtle trading system. Please reread my postings dated 10 May 2005 in this thread.

3. I had did a very primitive system testing of turtle trading rule (simple MAs crossover buy/sell, long only) some times back, using SGX and US stock data. Turtle trading rule is trending following, so it works better in (long) trending environment. Sad to say, my preliminary system testing result show that SGX's counter don't perform well when compared to US stock. US stock, especially Nasdaq stocks, has a higher profitability. You may wish to take note of this.

Hope these helps.

Hi San,

I think we cannot do a straight comparision between stocks and futures. In
futures, you don't need need to pay the contract amount but just the margin.
There is leverage involved yet risk is controlled by the position size and N.
Therefore in futures, even when you are fully loaded with 24 units, you may not
commit the entire account equity for the margin requirememnt. In stocks, you
can't even go near the 24 units before the entire account equity is used up.

This is the way the stock market mechanism works so really cannot compare. If
the question is whether the Turtle sytem can be used for stocks then the answer
yes. Do note that it is a trend-trading system so it works best for stocks that tend
to move around. A lot of stocks in SGX got stuck in sideway movement so it will
definitely perform poorly on these stocks. Also remember the rule to also avoid
illiquid futures or stocks.

Then the other factor is diversification. Stocks are usually corelated. The question
is to what degree. There are strict Turtle rules to limit exposure to corelated
instruments.

The risk for stocks is that they have that possibility to go to zero. No matter what
system you use this is a common denominator you cannot avoid. This is what I
think the biggest limit to your account exposure. Look at the Citiraya case earlier
in this thread.

The Turtles rules are formulated to take advantage of market opportunities yet
have mechanism to protect your money. They are valid and sound rules. The
problem is not the system rules but with the underlying market mechanism. Any
other trading system will be similarly affected.

Like HC said, US stocks give better result. I think because its standard lot size is
100 shares and not super low price like a lot of SGX stocks. Take a look at how
Creative jump around and note that it must follow listing requirememnt of the US
regulators. US stocks are not allow to stay below US$1 for more than a month (I
can't remember the exact period) or they will be delisted forever.

It is also not just simply futures vs stocks. If there is Citiraya stock futures, the
outcome will still be the same since the stock is suspended and outstanding
futures contract month would have expired worthless.

Stocks are just pieces of paper (although now it is scripless) where people assign
a value to. All of us can still live to old age without the necessity to own any stock
in our entire life. But we cannot go without rice, corn, oats, wheat, soybeans,
coffee, cocoa, sugar, beef, pork, eggs, lumber, crude oil, gasoline, heating oil (if
we live in winter country), etc. Even shampoo, soap and plastic bags and boxes
are by-products of raw commidities. Unlike stocks, commodities will always have a
value and will never go to zero.

To answer your question, the performance will be the same as a trading system
but the performance will be different because of the different mechanism of the
futures and stock markets.

Hi San,

The other thing you have to know is even in stock markets, different countries
have different rules and regulations. The US stock market is a very mature
and sophiscated market. The US regulators and public accept the fact that short
selling is healthy, unlike most Asian stock markets which view short-selling in a
negative light leading to Asian public to have immature minds just like the
regulators.

In the US selling stocks short is perfectly legal, perfectly moral and an accepted
trading strategy. There are mechanism to accomodate short selling. This bode well
for the Turtle system because it thrives on trends doesn't matter whether uptrend
or downtrend so long as there are trends. So while you cannot benefit from the
downtrend in C76 in SGX you can benefit from the downtrend in CREAF in
NASDAQ.

So even for stocks, it also depend on the sophistication of the market and
participants the stocks are traded in.

Hi HC/CSk;

Thanks for taking time to reply, it is a valuable information that is not easily available elsewhere if without your sharing. I look forward to the Turtle Seminar.

This is a table showing the trade by trade list of the latest theorectical trades in
USDCHF position size of 1 contract of USD100,000 and the LastProftableTrade
filter turned off. The display limited by my PC screen. It tells a lot of things if you
know what you are looking for.

When you look at the table showing you some vital imformation, it confirms good
advice given by those who have been been hurt by the market, who learned from
their mistakes and were kind enough to pass on their experience even after they
themselves had passed on in life. Even when they were not Turtles. Their
experience and advice are universal.

I marked out a few trades in red. If you think I marked those with the biggest
profits then you are wrong. I did not do this. If it so happen they are those with
the biggest profits then they are coincidental, not intentional.

Those are trades that if you missed then you would have committed Type II error.
What is Type II error you may be asking? It was taught to the original Turtles in
1983. It was crucial to the performance of the Turtle Trading System.

If you did not read this in the Turtle rules revealed by Curtis Faith that is because
the rules that he claimed to be all there is to it is NOT really all there is to it. Not
every thing is reveadled in that 37 page document. It is close but incomplete.
So don't take those rules and think that's it.

Can you spot the reason why I marked these trades?

Hi CSK

I can see that the common thing abt those you highlighted have the highest "Bars in Pos"? What does these 'Bars in Pos' means anyway?

Hi Slammer,

You are spot on. Yes, these trades have the hishest BarsInPos number in the list
shown. BarsInPos in full is the number of Bars In this Position. What it means is
how long was the position held from entry until exit. In this case, the data used is
daily data so bars here means days. If the data is weekly or monthly then the
BarsInPos will corresponds to that data periodicity.

These are the trades that will bring in the biggest chunk of profits. Also termed as
outliers, they don't happen often but when they do, must not be missed. Missing
such trades is Type II error.

Advice from those who have been hurt, learned their mistakes, taught them
unselfishly and have since passed on in life:


Advice 1:

10TH: WHEN TO TAKE PROFITS

Never close a trade just because you have a profit. The time to hold on is when
the tide is running in your favor. When tempted to close a trade just because you
have a profit ask yourself the questions: "Do I need the money?" "Is the move
over?" "Do I have to sell?" "Why should I take profits?"

Look at your charts; do what they tell you. If they do not show a change in trend,
wait. Protect profits with stop loss order, but do not take a profit too soon. This is
just as bad as taking a loss too late. Patience to hold on when you are right and
nerve to get out quickly when you are wrong will make a success.

WD Gann


Advice 2:

"What old Mr. Partridge said did not mean much to me until I began to think about
my own numerous failures to make as much money as I ought to when I was so
right on the general market. The more I studied the more I realized how wise that
old chap was. He had evidently suffered from the same defect in his young days
and knew his own human weaknesses. He would not lay himself open to a
temptation that experience had taught him was hard to resist and had always
proved expensive to him, as it was to me.

I think it was a long step forward in my trading education when I realized at last
that when old Mr. Partridge kept on telling the other customers, "Well, you know
this is a bull market!" he really meant to tell them that the big money was not in
the individual fluctuations but in the main movements that is, not in reading the
tape but in sizing up the entire market and its trend.

And right here let me say one thing: After spending many years in Wall Street and
after making and losing millions of dollars I want to tell you this: It never was my
thinking that made the big money for me. It always was my sitting. Got that? My
sitting tight! It is no trick at all to be right on the market. You always find lots of
early bulls in bull markets and early bears in bear markets. I've known many men
who were right at exactly the right time, and began buying or selling stocks when
prices were at the very level, which should show the greatest profit. And their
experience invariably matched mine -- that is, they made no real money out of it.
Men who can both be right and sit tight are uncommon. I found it one of the
hardest things to learn. But it is only after a stock operator has firmly grasped this
that he can make big money. It is literally true that millions come easier to a
trader after he knows how to trade than hundreds did in the days of his ignorance.

The reason is that a man may see straight and clearly and yet become impatient
or doubtful when the market takes its time about doing as he figured it must do.
That is why so many men in Wall Street, who are not at all in the sucker class, not
even in the third grade, nevertheless lose money. The market does not beat them.
They beat themselves, because though they have brains they cannot sit tight. Old
Turkey was dead right in doing and saying what he did. He had not only the
courage of his convictions but the intelligent patience to sit tight."

Jesse Livermore

There is another observation to be made from the same table. If you have already
got it, very good!

At the other end of the BarsInPos numbers, those with the smallest numbers,
those are the losers. Since the Turtle system uses a 10-bar against trailing exit,
those with less than 10 BarsInPos are always losing trades. There is no way that
these can be winning trades. And those that are 10, 11 and even 12 are also
usually losing trades because it is quite unlikely that prices would move enough so
soon to return a profit when exited based on the Turtle rules.

So the system not only Let Your Profit Run, it also Cut Your Losses.

I showed Turtle Farm to some people in the industry. The most common comment
is that the chart looks very similar to TradeStation's. Yes, it does. This is because
I want to be able to show the chart with the same type of resolution. I don't know
what it is but this method of presentation seems more pleasing to the eyes and
does not lose crispness.

On the other hand the Equity Curve and other graphs in the Performance Report
are done with MSChart.ocx, something similar to Excel's. The presentaion is crude
but I don't have a choice since I want to use its capability to display difference
types of charts. Therefore the equity graph are still very much work-in-progress
and I am not satisfied with the output. I have the manuals as well as the MSDN
doc. The info are really the same. Yet I cannot find out how to change the
settings, like the X and Y axis intervals and displaying more than 6 characters on
the Y axis. As you can see, the Accum NetProfit numbers are more than 6 characters
and I have to truncate it.

Turtle Farm has been undergoing transformation in recent months. It is now a MDI
application after morphing from a SDI application.

MDI - Multiple Document Interface
SDI - Single Document Interface

I find the SDI design put unnecessary limitation on program flexibility. Examples
of SDI app are Notepad, Internet Explorer, Windows Explorer, WinZip. Examples
of MDI apps are MS Excel, MS Word, TradeStation.

If you use Internet Explorer, you will find how fast your desktop becomes
cluttered with so many IE windows. So like FireFox, IE7 now has tabs to display
all the webpages within one IE program Windows. Another form of MDI now?

There have been talk that Microsoft is moving away from MDI to SDI. It is not true.

Visual Studio 2005 is still MDI. There is no way it can be productive as a SDI.

MS Word may not look like a MDI but it actually is. Just that it display the .doc files
in separate windows does not make it a SDI app. Close one program window and
all MS Word windows will close.

So here is a screen shot of Turtle Farm in its MDI re-incarnation. Sporting a new
program name as well.

The first example is on EuroFX futures on the IMM.

In 2002, it came two times, the second stretching into Feb2003.
In 2003, it came two times, the second stretching into Jan2004.
In 2004, it came only once, very late in the year.
In 2005, it came only once, by early July it was over.

These are the outliers. The ones that make the difference to a trading system.
As you can see, they don't come often. It is very rare you see them.

So...

if you like a lot of activities,
if you like the excitement of the market place,
if you are impatient for results,
if you have a need to trade everyday or every other day,
if you can't walk away from the screen,
if you can't walk away from the market,
even when you have a positions,
then this is not for you.
Because it will never work for you.
Chinese saying is Eight Characters Clash.

If you like only profits,
if you are happy to take your profits early,
if you don't like losses,
if you let them run,
if you believe in the number games,
if you believe that good trading system
must show high percentage of winners
and low percentage of losers,
if you believe in the often advertised systems
of >90% accuracy,
of >95% accuracy,
if you are looking for
>100% profit in a few hours,
for >1000% profit in a few days,
then this system is not for you.
Because it will never work for you.
Chinese saying is Eight Characters Clash.

This is a trend following system. You see its beauty only very rarely, but see its
downside often. This is life anyway. This is human nature. Look around you. How
often do you see the upside of things? How often do you see the downside of
things? You have walk the path of life, you should know the answer by now. The
market is no different. It is created by humans and used by humans. Therein all
the human nature will be present. Trading system is no different.

The following $$$ is simulated results. A 58.53% return may not be convincing.
But before you let $$$ distract your mind, take note that the simulation is ran on
ONLY ONE SYMBOL with an account size of USD200,000. With this account size,
a lot more other symbols can be traded of course. Have you seen the chart of
Sugar#11?

But before you do, take a lot at the EuroFX futures chart. I try to show a realistic
picture of the realistic market. I believe in showing you the good, the bad, and
the ugly. Go on, pick them out. I don't believe in showing you fantasy.

Once in a while a very super good friend of yours come along, the true super
friend of yours. Like sugar#11 this time around. This type of friends are,
unfortunately very rare. But they do exist. This time around even with a 225.69%
over two years the accuracy is a lucky unusaully high 78.95%. But look how much
this may have contributed to the account.

Again I don't like the number game so commonly flashed on newspaper
advertisement nowadays. I show you when it can happen and therefore correctly
guide your expectation. I don't want to mislead you. Then add up all the possible
realistic numbers. Let there be reality. Let there be no illusion.

I wrote a series of four articles on Developing Trading Systems back in 2001.
Then I posted them on my website in 2003 and they have been one of the most
popular hits since. They are referenced by some oversea forums.

I urge you to pay attention to the importance of the different types of market as
mentioned in the very first article. In there, I have written that trading system
desgned for any one market will have its pros (when it is profitable) and cons
(when it is not profitable). It is important you understand this.

I work with many professional traders for many years. Even they as professionals
can also failed to see they applying the wrong system to the wrong market type
the system intended for. Pay close attention to what I mean by type of market in
the article.

If I were to tell them the system and market type do not suit at that point, they
were quick to snap back. You see professioansl are usually day traders and day
traders they tend to develop short temper. But it was my job and I had to endure
it.

I remember an American local in one of the Simex pit. He was so fixated with his
floor trading system. Sadly during a period of months his system was not working
and he started blaming many things. The Osaka screen was slow in updating
Osaka prices. The quote machine was slow. Wrong morning settlement price was
captured. The "papers" were not giving him fills, and so on. If only he could open
his shut ears and shut mind and listen to his local friends who were getting lesser
by the day.

I have a local friend who did arbitragng between Tokyo JGB and Simex JGB on the
Simex pit for many years. He usually act during the opening and closed his
position soon after. But if he was caught wrong he would have to wait longer.
There was a time for months when the JGB was not moving in a way he could take
advantage, he found himself having to look at other markets. So here is one who
has his ears and mind open.

Now that Simex has already gone electronic, he knows his own arbitrage system
cannot be applied as before. He is using different strategy, another of his own.

The articles can be found at these links:
Developing Tradng Systems - Part I
Supplement to Deveoping Trading Systems - Part I
Developing Trading Systems - Part II
Developing Trading Systems - Part III

If you read somewhere in the previous atricle in this thread, I wrote:
"I try to show a realistic picture of the realistic market. I believe in showing you
the good, the bad, and the ugly. Go on, pick them out. I don't believe in showing
you fantasy."

I assure you there will always be people who do not like what I have posted or
written and try to distort. They show it either directly or indirectly. This is human
nature at its worst.

Sharing your experience for others to avoid the mistakes you have made is not easy. There will always be people who do not want the mistakes avoided.

If you want to test out the Turtle Trading System and have not been able to do it
for lack of tools, you can do it now.

Analyst's TurtleFarm has just been released. It can be downloaded for a 10 day
trial. The download link is:

http://www.technical-analysis.com/download.html

CSK,

does it include crude prices? seems like i am going to patronize you again. but kudos to you for coming out yet another great system! by the way, how much is it? do you offer some discount for returning customer? hahah.... cheers~

Dear CSK,

As a satisfied customer of Analyst DataServer, I immediately downloaded your TurtleFarm upon your release.

Just 1 quick question.

In the Yahoo directory, I saw the *.lst files which list the stocks on different countries' stock exchanges.

As new IPOs and old stocks being delisted will change the list, how can this list be updated?

Thank you for the new product. I have only been trying it out 5 minutes ago.

Hi Doozy,

Thank you for your support.

Do you mean Crude Oil futures? I have some data from the last few years
but stop doing the continuous about 1-1/2 years ago.

The introductory price of S$299 (approx US$193) is very competively priced.
MetaStock add-in starts from US$199 with most about US$299. The add-ins
requires MetaStock before you can use them.

Add-in for TradeStation is even more expensive, it is common to see them
priced around US$400+ to US$600+ with some going for more than US$2,000+.
Of course you will need to have TradeStation to use the add-ins.

Analyst's TurtleFarm is a standalone product therefore the pricng is very
competitive. I did the TradeStation Turtle EasyLangauge code in 2003 for
much more.

Hi teachme,

I am happy to know you like Analyst's DataServer.

In Analyst's TurtleFarm, the *.lst files are normal CSV text files. This design is by
purpose. You can open it with any text editor (like notepad) and make chnages.
Each line describe one instrument in this format:

Symbol,Name


If you open the Components - DJIA.lst, you see this:

AA,ALCOA INC
AIG,AMER INTL GROUP INC
AXP,AMER EXPRESS INC
BA,BOEING CO
C,CITIGROUP INC
CAT,CATERPILLAR INC
DD,DU PONT E I DE NEM
DIS,WALT DISNEY-DISNEY C
GE,GEN ELECTRIC CO
GM,GEN MOTORS
HD,HOME DEPOT INC
HON,HONEYWELL INTL INC
HPQ,HEWLETT PACKARD CO
IBM,INTL BUSINESS MACH
INTC,INTEL CP
JNJ,JOHNSON AND JOHNS DC
JPM,JP MORGAN CHASE CO
KO,COCA COLA CO THE
MCD,MCDONALDS CP
MMM,3M COMPANY
MO,ALTRIA GROUP INC
MRK,MERCK CO INC
MSFT,MICROSOFT CP
PFE,PFIZER INC
PG,PROCTER GAMBLE CO
T,AT&T INC.
UTX,UNITED TECH
VZ,VERIZON COMMUN
WMT,WAL MART STORES
XOM,EXXON MOBIL CP


You can make any change, addition or subtraction to any of the files easily. I may
put in a sub-program to do it.

There are so many things I want to add. Auto-scanning will be part of the portfolio
feature. In fact, if you look at the the New Orders Alert Window, you will see that
orders are already produced for ALL the charts loaded. So the program core
structure are well designed and already in place for enhancement, just that they
are not shown yet.

Naturally, the way it is designed, this auto-scanning can be extended to symbol
lists with the required parameter settings. Portfolio list is no difference from
symbol list.

This chart is produced using TurtleFarm, which signals an exit today.

Capitaland (2006-12-19 Closing Price $5.70)



Today it closes the 4 buy orders issued some 3 months ago.

how come profit and loss, the purple bar still points down? the turtle N20 means? can help? thanks

Answer from a 3 days user:

I have changes the Turtle parameters: see the snapshot below:



The purple line is the total profit and lose of that trade (in this case, 4 pyramid positions), after exiting the trade. It stands UP at $9119.88.

The blue line is the profit and lost calculated based on the closing price; and red line is the profit and lost if exit at the trailing stop loss.

N is used to size the position, and 20 is the parameter (ATR's period). CSK please correct me if I am wrong.

Let me add the summary and the equity curve for those who are interested.

Yes, exactly.

Reference to this chart:



It is common that we always associate our position P/L with the current market
price. However, the Turtles were taught not to do that. They were taught they
must let the market tell them the time to get out and in so doing, they have to
give back some to the market. At any time, no one can tell whether the market
will continue up or go down. If you get out and price run further in favour, not only
void the rules but also mess up a potential big move that can bring in the profit
the system is designed to catch.

Exit P/L
The RED Exit P/L line will always begin below zero for new positions. This is only
correct because the initial stop loss if hit will always result in a loss.

Mark-to-market P/L
The CYAN mark-to-market P/L is to show what would be reported by broker's
daily statement.

Turtle N
"N" is the method to define volatility in that price series. It is 20 ATR with 1 ATR
defined as 1N. 1% of Notional acct is then translated to 1N. This is used to
calculate position size after which the intial stop loss is 2N, therefore risk for 1st
pyramid postion is 2% of Notional acct.

The N fo rthe 1st pyramid position is captured and used for subsequent 3
pyramids at 1/2 N interval. If a trend develops, N is likely to increase but the
captured N is still used for all risk and therefore all pyramid postion size stay
constant for that trade.

I actually saw the post and question around 1am but could not reply at that time.
I was finishing two bug fixes (one a mistake by me). Then I had to test the
program on the various Windows version after which I also had to test the release
installation setup on the various Windows version. Quite a tedious process and
took quite a while. I did not get to sleep until about 7am and woke up just pass
9 am. Feeling very groggy now.

Since I cannot inform everyone who downloaded the trial, except my cust list,
maybe I put out the bug fixes here in the hope that the info will reach out to
more people.

QUOTE

UPDATE INFORMATION

Analyst's TurtleFarm version 1.0.1 is immediately available for download


Dear Users,

An update version 1.0.1 is available. This update fixes two bugs:

1) Error 384 when opening a saved workspace
In Microsoft Windows, all windows has 3 windowstate: normal, minimize and
maximize. The bug occurs when a chart window in a workspace is maximized and
the workspace is saved. The maximized chart will open maximized exactly as it
was saved. The program remembers and saves all chart window's "normal"
window sizes. When the workspace is open later, the program retrieves all chart
windows' "normal" sizes and apply them. The program was trying to apply the info
(resize) to a maximized wndow which is not allowed. This is now fixed. All created
workspaces will work fine. There is no need to do any thing.

Note: Any minimized chart window will open as "normal" size and shown. This is to
prevent any minimized chart window from being hidden behind other chart
windows and the user cannot find it.


2) Charts when opened later after new data has been updated do not show the
newly updated data.
All chart windows has a AnalysisStartDate and a AnalysisEndDate information
tagged with it in the workspace. When I was finishing up the Walk Bar-by-Bar
feature, I switch off the chart from showing data after the AnalysisEndDate for QC
testing. It is my mistake not to switch this back on for the release. By default, all
chart windows will now display up to latest data when they are open.This is now
fixed. All created workspaces will work fine. There is no need to do any thing.

The download link to Analyst's TurtleFarm version 1.0.1 is:

http://www.technical-analysis.com/download.html

If version 1.0.0 is already installed, installation of version 1.0.1 will update and
overwrite. There is no need to uninstall version 1.0.0.

If version 1.0.0 is not installed, installation of 1.0.1 will proceed as a normal new
installation.

UNQUOTE

There is an error in my statement:

"It is 20 ATR with 1 ATR defined as 1N."


It should be:

It is 20-day ATR with 1 ATR defined as 1N.

What this means is that the daily calculation of 20-day ATR is used as 1N.

Hope this correct the error.

I have posted here a review of book by Curtis Faith "Way of the Turtle"

See: http://z7.invisionfree.com/ChartistsUnited...dpost&p=4277713

This book as the original turtle rules at the end of book, and is going for US$27.95 (Border Bookstore currently having a promotional price of S$42+), which is less then the US$29.95 http://www.originalturtles.org/ is asking, plus you have Curtis take on system trading.

I often noticed that in Hc's screen capture of Turtle charts that the
combo dropdown box at the top left corner of the chart is visible.
I was wondering why.

From his post at the How Useful is Paper Trading (link) thread,
I now understand it is due to the screnn capture software he uses.

I do realise that this feature of Analyst's TurtleFarm is not
documentated in the Help file. This feature is modeled after
TradeStation 2000i where typing the symbol on the chart will
load that symbol if that symbol exist in the same directory of
the loaded chart. If the symbol does not exist, then the Change
Symbol dialog will pop up. In MetaStock, there is no such
combobox and typing a character on the chart will pop up the
change symbol dialog.

If the screen capture software trigger the combobox then it may
actually does a SENDKEY windows message to the chart window.
There are other screen capture software that do not so this, for
example, MWSnap.





I am improving the program codes to work with the data
situation where the minimum tick is bigger than the daily high
low range. This can occur in Singapore stocks where after
data adjustment for corporate adjustment, the data at the
beginning can be very low and the daily range less than the
min tick. This is because SGX has a problematic archaic min
tick structure that depends on the price level:

Up to $1.00 - $0.005
Up to $3.00 - $0.01
Up to $5.00 - $0.02
Up to $10.00 - $0.05
Above $10.00 - $0.10

ALL software, and I do mean ALL software, in the world cannot
handle this for trading system evaluation. Unless the software
is designed specially customed for Singapore stocks which will
then limit itself to a very very small market potential.

There is no such problematic min tick structure in the biggest
stock markets of the world, NYSE and NASDAQ, where after
decimalization a few years ago, the min tick is US$0.01 for
all price levels. Before decimalization, it was $1/8 for all price
levels.