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 on 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

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 can be considered just part of doing business.

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


AAPL 20/6/2011 :: Turtles Version 3.2 Test Improved ADM  20/6/2011 :: Turtles Version 3.2 Test Improved AGQ  20/6/2011 :: Turtles Version 3.2 Test Improved AMZN  20/6/2011 :: Turtles Version 3.2 Test Improved

BHH  20/6/2011 :: Turtles Version 3.2 Test Improved BIDU  20/6/2011 :: Turtles Version 3.2 Test Improved CCK  20/6/2011 :: Turtles Version 3.2 Test Improved CF  20/6/2011 :: Turtles Version 3.2 Test Improved

CMG  20/6/2011 :: Turtles Version 3.2 Test Improved CRDN  20/6/2011 :: Turtles Version 3.2 Test Improved CSX  20/6/2011 :: Turtles Version 3.2 Test Improved DBS  20/6/2011 :: Turtles Version 3.2 Test Improved

DDS  20/6/2011 :: Turtles Version 3.2 Test Improved DIT  20/6/2011 :: Turtles Version 3.2 Test Improved ERX  20/6/2011 :: Turtles Version 3.2 Test Improved GLD  20/6/2011 :: Turtles Version 3.2 Test Improved

GTLS  20/6/2011 :: Turtles Version 3.2 Test Improved IBM  20/6/2011 :: Turtles Version 3.2 Test Improved IMAX  20/6/2011 :: Turtles Version 3.2 Test Improved IPGP  20/6/2011 :: Turtles Version 3.2 Test Improved

JNPR  20/6/2011 :: Turtles Version 3.2 Test Improved NFLX  20/6/2011 :: Turtles Version 3.2 Test Improved NTES  20/6/2011 :: Turtles Version 3.2 Test Improved PAAS  20/6/2011 :: Turtles Version 3.2 Test Improved

PANL  20/6/2011 :: Turtles Version 3.2 Test Improved PCLN  20/6/2011 :: Turtles Version 3.2 Test Improved SCCO  20/6/2011 :: Turtles Version 3.2 Test Improved SINA  20/6/2011 :: Turtles Version 3.2 Test Improved

SLV  20/6/2011 :: Turtles Version 3.2 Test Improved SLW  20/6/2011 :: Turtles Version 3.2 Test Improved SOHU  20/6/2011 :: Turtles Version 3.2 Test Improved SRZ  20/6/2011 :: Turtles Version 3.2 Test Improved

TBL  20/6/2011 :: Turtles Version 3.2 Test Improved TDSC  20/6/2011 :: Turtles Version 3.2 Test Improved TRMB  20/6/2011 :: Turtles Version 3.2 Test Improved TRN  20/6/2011 :: Turtles Version 3.2 Test Improved

TSCO  20/6/2011 :: Turtles Version 3.2 Test Improved TZOO  20/6/2011 :: Turtles Version 3.2 Test Improved ULTA  20/6/2011 :: Turtles Version 3.2 Test Improved URI  20/6/2011 :: Turtles Version 3.2 Test Improved

WLK  20/6/2011 :: Turtles Version 3.2 Test Improved WTW  20/6/2011 :: Turtles Version 3.2 Test Improved XOP  20/6/2011 :: Turtles Version 3.2 Test Improved


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

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