Turtles Version 3.1 Tests

I converted yet another legendary script, this time based on the Turtles of the 70s. 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 data set 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 generated chart:

Turtlev31 M01L0 revised

ADM Turtle v3.1 improved

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

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.

AAPL 16/6/2011 :: Turtles Version 3.1 Test ADM  16/6/2011 :: Turtles Version 3.1 Test AGQ  16/6/2011 :: Turtles Version 3.1 Test AMZN  16/6/2011 :: Turtles Version 3.1 Test

BHH  16/6/2011 :: Turtles Version 3.1 Test BIDU  16/6/2011 :: Turtles Version 3.1 Test CCK  16/6/2011 :: Turtles Version 3.1 Test CF  16/6/2011 :: Turtles Version 3.1 Test

CMG  16/6/2011 :: Turtles Version 3.1 Test CRDN  16/6/2011 :: Turtles Version 3.1 Test CSX  16/6/2011 :: Turtles Version 3.1 Test DBS  16/6/2011 :: Turtles Version 3.1 Test

DDS  16/6/2011 :: Turtles Version 3.1 Test DIT  16/6/2011 :: Turtles Version 3.1 Test ERX  16/6/2011 :: Turtles Version 3.1 Test GLD  16/6/2011 :: Turtles Version 3.1 Test

GTLS  16/6/2011 :: Turtles Version 3.1 Test IBM  16/6/2011 :: Turtles Version 3.1 Test IMAX  16/6/2011 :: Turtles Version 3.1 Test IPGP  16/6/2011 :: Turtles Version 3.1 Test

JNPR  16/6/2011 :: Turtles Version 3.1 Test NFLX  16/6/2011 :: Turtles Version 3.1 Test NTES  16/6/2011 :: Turtles Version 3.1 Test PAAS  16/6/2011 :: Turtles Version 3.1 Test

PANL  16/6/2011 :: Turtles Version 3.1 Test PCLN  16/6/2011 :: Turtles Version 3.1 Test SCCO  16/6/2011 :: Turtles Version 3.1 Test SINA  16/6/2011 :: Turtles Version 3.1 Test

SLV  16/6/2011 :: Turtles Version 3.1 Test SLW  16/6/2011 :: Turtles Version 3.1 Test SOHU  16/6/2011 :: Turtles Version 3.1 Test SRZ  16/6/2011 :: Turtles Version 3.1 Test

TBL  16/6/2011 :: Turtles Version 3.1 Test TDSC  16/6/2011 :: Turtles Version 3.1 Test TRMB  16/6/2011 :: Turtles Version 3.1 Test TRN  16/6/2011 :: Turtles Version 3.1 Test

TSCO  16/6/2011 :: Turtles Version 3.1 Test TZOO  16/6/2011 :: Turtles Version 3.1 Test ULTA  16/6/2011 :: Turtles Version 3.1 Test URI  16/6/2011 :: Turtles Version 3.1 Test

WLK  16/6/2011 :: Turtles Version 3.1 Test WTW  16/6/2011 :: Turtles Version 3.1 Test XOP  16/6/2011 :: Turtles Version 3.1 Test


Created on ... June 20, 2011 © Guy R. Fleury. All rights reserved.

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