Traders' Roundtable A forum for mechanical system traders. Turtle System for Tradestation 9 Easy Language Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. I am in the process of putting together an investment fund for close friends and family and will be using the turtle method of trend following with a few alterations of my own that have proven successful over the years.
I am currently using Tradestation 9 and admittedly foresee a huge learning curve ahead of me in being able to code the strategy I have been using to date. To make things easier I thought I might ask if anyone has successfully coded the turtle rules into easy language and whether they would be kind enough to share it with me so that I can use it as a base to work from.
The rules I am referring to are not only the entry and exit signals but also, and more importantly, the position sizing and pyramiding parameters. Please excuse me if it is considered inappropriate to be asking for this kind of information - but I thought it wouldn't hurt to throw it out there.
In return I will be happy to share the alterations I currently work with that have proven to minimize the drawdown of the turtle sysstem in sideways markets.
Thanking you all in advance, h. It ran the exact backtesting software program written by an Original Turtle, to test the Turtle System One over a long period of time, including the "historical data" used by Dennis and Eckhardt to develop the Turtle System, and also the actual Turtle trading years when they traded it with real money, and afterwards.
The figure is copied below. What part you need? Why wouldn't you use TB? TS has no portfolio level testing unlike TB which was built with portfolio level testing as a priority? Extreme diversification is a must for turtles who want to survive over the long term. I hope you aware of dangers of testing continous contracts on markets versus raw contracts.
Usually continous contracts inflate back test results. As I stated it usually inflates back test results, but not always. It depends on the strategy itself and it's look back and holding periods. I've seen many examples of this phenomena, particularly in smaller markets. I'd never trade any backtested strategy on continous data without looking at raw contracts for signal discrepancy.
There is more than one method. It depends on the strategy specifics. I'm not a lttf. The point being that if one assumes continous data gives the same result as using raw data for backtesting, I've seen cases where that was both true and false.
It's not a forgone conclusion. The point being that if one assumes continous data gives the same result as using raw data for backtesting. By raw contracts, I'm referring to the PnL report being derived from the contract that one would have had to have traded at the point in time.
When I traded for Man London there, they would test on raw data. If you get the exact same trades and equity curve then you have handled the back-adjustment process appropriately. Load from file whatever continuous contract data you need for trading decisions.
Drive the trading decisions off the continuous and trade the raw. You should still see the exact same equity curve as in 1. The real point in all this is: Price gaps on rollovers. To fail to account for these will give back tested results which are, for all reasonable purposes, completely useless. Don't forget liquidity lack thereof in the non-front-month contract. Hence what you think is a day high looking at individual contract data right after you roll into it, could be significantly different.
Similarly if you use any volatility measure that depends on lows and highs, using illiquid out-month contract data can and will provide misleading calculations. As mentioned just above, if you are holding a continuous position in a futures market, the roll-over transaction you do in real trading i.
I had assumed such software enables rolling on some trigger such as OI or volume or fixed date as with the production of continuous contracts; without which it would indeed be useless. I can't believe that isn't the case. In which case the results should of course equate to tests using back adjusted data. In the case of such software there is no "gap" to beware of. There are still people on this forum who deny the accuracy of back testing using gap adjusted price series leaving aside the question of ratio dependent calculations.
Until these guys have actually gone through the matter in enough depth, the penny will not drop. The specific reasons for a given market's roll date vary depending on said market, but I've never built or used continuous contracts that depend on volume or OI rollovers for whatever that's worth. All posts 1 day 7 days 2 weeks 1 month 3 months 6 months 1 year Sort by: Author Post time Subject Direction:More...