Personnal Muck turtle system | Forex Factory

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Personnal Muck turtle system

  • #1
  • First Post: Edited Jun 29, 2007 2:38am Jun 28, 2007 3:42am | Edited Jun 29, 2007 2:38am
Hi,

I wanted to release my trading system I've been testing for 2 years now.
I backtested it on Excel since 1990 and results are pretty good.

Here are the rules :

Buy at the highest high of the last 48 days.
Sell at the lowest low of the last 48 days.
Place a protective sell stop at the high from the last 24 days.
Place a protective buy stop at the low from the last 24 days.

NB: Don't take into account a signal when the last trade was a winning trade.

I tested it on EURUSD, GBPUSD but it should works on others currencies.
I will upload the system's backtest this evening.

Yours sincerely.
Alexandre.
  • #2
  • Jun 28, 2007 3:45am Jun 28, 2007 3:45am
NB: Don't take into account a signal when the last trade was a winning trade.

What does this line mean, I read it as only place a trade after a loser, is that correct ?
  • #3
  • Jun 28, 2007 3:48am Jun 28, 2007 3:48am
i think he means if the last trade was a long, next one should be a short. I.E. Stop and wait for reverse signal.
  • #4
  • Jun 28, 2007 3:56am Jun 28, 2007 3:56am
Quoting scorpion
NB: Don't take into account a signal when the last trade was a winning trade.

What does this line mean, I read it as only place a trade after a loser, is that correct ?
In fact, if your current position (long or short) closed with a profit, you don't play the next signal.
But don't worry, this evening I'll upload the Excel files and I ll comment it
  • #5
  • Jun 28, 2007 6:17am Jun 28, 2007 6:17am
Quoting aderbess
Hi,

I wanted to release my trading system I've been testing for 2 years now.
I backtested it on Excel since 1990 and resultats are pretty good.

Here are the rules :

Buy at the highest high of the last 48 days.
Sell at the lowest low of the last 48 days.
Place a protective sell stop at the high from the last 24 days.
Place a protective buy stop at the low from the last 24 days.

NB: Don't take into account a signal when the last trade was a winning trade.

I tested it on EURUSD, GBPUSD but it should works on others currencies.
I will upload the system's backtest this evening.

Yours sincerely.
Alexandre.
where do you take profit then??
  • #6
  • Jun 28, 2007 7:12am Jun 28, 2007 7:12am
Quoting aderbess
Hi,

I wanted to release my trading system I've been testing for 2 years now.
I backtested it on Excel since 1990 and resultats are pretty good.

Here are the rules :

Buy at the highest high of the last 48 days.
Sell at the lowest low of the last 48 days.
Place a protective sell stop at the high from the last 24 days.
Place a protective buy stop at the low from the last 24 days.

NB: Don't take into account a signal when the last trade was a winning trade.

I tested it on EURUSD, GBPUSD but it should works on others currencies.
I will upload the system's backtest this evening.

Yours sincerely.
Alexandre.
As you indicated with the system name, this is the Turtle System, except Turtle uses 50 and 20.

Do you use the Turtle Money Management?
  • #7
  • Jun 28, 2007 7:19am Jun 28, 2007 7:19am
Quoting billbss
This is the Turtle System, except it uses 50 and 20.
Maybe that's why he calls it the "Muck Turtle" system.

I've been playing around with Donchian Channels lately as well. There is something that seems to work with channels within channels, where the periods are in a ratio of 2:1.

If you use this on an hourly chart, the 24 period would essentially be the high/low of the previous day, and the 48 period would essentially be the high/low of the last two days.
  • #8
  • Jun 28, 2007 7:47am Jun 28, 2007 7:47am
Quoting billbss
As you indicated with the system name, this is the Turtle System, except Turtle uses 50 and 20.

Do you use the Turtle Money Management?
Sure, it's a derivative of turtle system. However i use my own money management rules.
  • #9
  • Jun 28, 2007 7:51am Jun 28, 2007 7:51am
Quoting SynWind
where do you take profit then??
In fact your protective stop loss will progress in time because it is the high or low of the last 24 days.

For example :
15/10/2005 you are long Euro at 1.33 with a protective stop loss at 1.30 (the low of the last 24 days)
25/11/2005 : your new low of the last 24 days is 1.34. So, now your protective stop loss turn into take profit.

NB: cotations are not correct, i used it as example.
  • #10
  • Jun 29, 2007 2:38am Jun 29, 2007 2:38am
I'm really sorry, i couldn't upload the file yesterday. I ll do it today.
  • #11
  • Jun 29, 2007 6:38pm Jun 29, 2007 6:38pm
Thanks for posting. Looking forward to your backtest results.
  • #12
  • Jun 29, 2007 11:09pm Jun 29, 2007 11:09pm
Quoting aderbess
Hi,

I wanted to release my trading system I've been testing for 2 years now.
I backtested it on Excel since 1990 and results are pretty good.

Here are the rules :

Buy at the highest high of the last 48 days.
Sell at the lowest low of the last 48 days.
Place a protective sell stop at the high from the last 24 days.
Place a protective buy stop at the low from the last 24 days.

NB: Don't take into account a signal when the last trade was a winning trade.

I tested it on EURUSD, GBPUSD but it should works on others currencies.
I will upload the system's backtest this evening.

Yours sincerely.
Alexandre.
could you give us more example ? especially for the current market
  • #13
  • Jun 30, 2007 1:41pm Jun 30, 2007 1:41pm
Here are the results and the Excel files :


1990-2006 (EURUSD)

Net Profit (pip) 11769
Number Trades 32
Number winners 22
Number losers 10
Winning % 69%
Average Win 566
Average Loss 160
Average trade 368
Win/Loss Ratio 3.53
Largest DD 516
Profit factor 7.77
Expectation 2.13


Excel files : http://www.megaupload.com/fr/?d=6IGN4986 (I'm sorry i can't upload, that doesn't work).
  • #14
  • Jun 30, 2007 3:43pm Jun 30, 2007 3:43pm
Quoting aderbess
Here are the results and the Excel files :


1990-2006 (EURUSD)

Net Profit (pip) 11769
Number Trades 32
Number winners 22
Number losers 10
Winning % 69%
Average Win 566
Average Loss 160
Average trade 368
Win/Loss Ratio 3.53
Largest DD 516
Profit factor 7.77
Expectation 2.13


Excel files : http://www.megaupload.com/fr/?d=6IGN4986 (I'm sorry i can't upload, that doesn't work).

Aderbess,

Please correct me if I am wrong. Based on your results your system generated 32 trades in 16 years. That is two trades per year?!!!
  • #15
  • Jul 1, 2007 5:34am Jul 1, 2007 5:34am
You perfectly right. You can use this system on other currencies.
It is a good way to catch large trend move.
  • #16
  • Jul 1, 2007 5:39am Jul 1, 2007 5:39am
At 2 trades a year, take only the direction of positive rollover?
  • #17
  • Jul 1, 2007 7:43am Jul 1, 2007 7:43am
Quoting alcastro
Aderbess,

Please correct me if I am wrong. Based on your results your system generated 32 trades in 16 years. That is two trades per year?!!!
I guess that's the "turtle" part of the system.
  • #18
  • Jul 1, 2007 9:10am Jul 1, 2007 9:10am
Quoting alcastro
Aderbess,

Please correct me if I am wrong. Based on your results your system generated 32 trades in 16 years. That is two trades per year?!!!
This was done a daily chart with just the EURUSD. I suppose you can use a 4H chart on several pairs to get more trades per year.

Personally, I don't trust anything below a 1H on FX, because the noise level drifts away from Gaussian (thin tailed distribution) to Cauchian (fat tailed distribution).
  • #19
  • Jul 1, 2007 12:08pm Jul 1, 2007 12:08pm
Quoting tdion
At 2 trades a year, take only the direction of positive rollover?
No you play both.
  • #20
  • Jul 1, 2007 12:11pm Jul 1, 2007 12:11pm
Quoting bluebuddha
This was done a daily chart with just the EURUSD. I suppose you can use a 4H chart on several pairs to get more trades per year.

Personally, I don't trust anything below a 1H on FX, because the noise level drifts away from Gaussian (thin tailed distribution) to Cauchian (fat tailed distribution).
You can use a 4H chart on several pairs. However, You'll get many false signals. And remember, smaller the timeframe is, smaller the profit.
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