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Simplified original turtle trading system

  • #1
  • First Post: Edited Dec 4, 2012 8:54pm Mar 25, 2011 6:28am | Edited Dec 4, 2012 8:54pm
The story of the commodity trading Turtles has become one of the most famous in trading history. Their success has stirred the interest of many new traders and helped Richard Dennis become one of the most famous commodity traders of all time.

“The Turtle Trading System was a Complete Trading System. Its rules covered every aspect of trading, and left no decisions to the subjective whims of the trader. It had every component of a Complete Trading System.”

 However i found the rules are a bit complicated for me to understand and execute the trade after going through so many times trying to understand. Since, here are my own simplified original turtle trading system as i would want to make my trading simple and easy to execute.

Time frame: daily chart only
Market: all pairs
Position sizing: 2% of the capital
Entries: when the price exceeded by one pips of the high or low of the preceding 20 days
Stops: when the price exceeding by one pips of the 2 x ATR (average true range, setting 20 days) OR when the price exceeding by one pips of the high or low of the preceding 10 days; whichever come first.
Exist: when the price exceeding by one pips of the high or low of the preceding 10 days.

10 days is red color line
20 days is yellow color line

example using GBPUSD

Attached Image (click to enlarge)
Click to Enlarge Name: gbpusd winning trade.gif Size: 18 KB


long at 1.5771 at 2011.01.13 (up arrow) when price exceed 20 days high (yellow color line)
exist at 1.6030 at 2011.03.11 (down arrow) when price exceeds 10 days low (red color line)
stop at 1.5477 (the red color horizontal line) if the price reverse to cut loss.
to calculate for stos loss,
2011.01.03, the ATR is 0.0147, thus 2 x ATR is 0.0294.
1.5771 - 0.0294 = 1.5477 (stop loss)

But, don't place stop order ! The reason why turtle system do not reveal stop loss is to prevent stop hunting by broker.

"I always say you could publish my trading rules in the newspaper and no one would follow them. The key is CONSISTENCY and DISCLIPLINE. What they couldn't do is give them the CONFIDENCE to stick to those rules even things are going bad." Richard Dennis, a famous trader and father of the Turtles.

Problem with me is that i don't have the CONFIDENCE with this system yet, need to find out whether this system is profitable through backtesting of the EA. As we know that trend trading might give us several losses first before come into a winning trade.
My purpose of posting the system here is so that out there who know how to make it into EA file and kind to share with everyone here so that can we backtest the results to see whether this simplified original turtle rules is profitable or not.

Hope build up a chart like this for the simplified original turtle system.
DUNN composite, using trend trading system.
Attached Image (click to enlarge)
Click to Enlarge Name: 163919_186849507996835_100000153619241_762486_3432089_n.jpg Size: 99 KB


Thanks everyone, the ultimate trend trader !
______________
My challenges to make consistent profits - http://www.101forexcurrencytrading.com/
Attached File(s)
File Type: pdf turtlerules.pdf   271 KB | 7,020 downloads
  • #2
  • Mar 26, 2011 2:18am Mar 26, 2011 2:18am
good system, can u post more examples with trades?
agree - need EA
  • #3
  • Mar 26, 2011 8:06am Mar 26, 2011 8:06am
Use a trading simulator
  • #4
  • Mar 26, 2011 11:53pm Mar 26, 2011 11:53pm
Quoting Ronald Raygun
Use a trading simulator
Thanks Ronald for the sharing of the trading stimulator, however there it shows "TestGenerator: unmatched data error (volume limit 27170 at 2010.08.02 00:00 exceeded)"

Kindly advise as i do not know how to proceed.
  • #5
  • Mar 27, 2011 12:13am Mar 27, 2011 12:13am
Quoting MastaScalpa
good system, can u post more examples with trades?
agree - need EA
example using EURCHF

Attached Image (click to enlarge)
Click to Enlarge Name: eurchf loss.gif Size: 19 KB


LOSS TRADE: 264 pips
Short at 1.3305 at 2010.11.10 (down arrow) when price exceed 20 days low (yellow color line)
stop at 1.3569 (up arrow, the red color horizontal line) as the price reverse to cut loss.
to calculate for stos loss,
2011.11.10, the ATR is 0.0132, thus 2 x ATR is 0.0264.
1.3305 + 0.0264 = 1.3569 (stop loss)

Attached Image (click to enlarge)
Click to Enlarge Name: eurchf win.gif Size: 19 KB


WINNING TRADE: 516 pips
Short at 1.3229 at 2010.11.29 (down arrow) when price exceed 20 days low (yellow color line)
exist at 1.2713 at 2011.01.05 (up arrow) when price exceeds 10 days high (red color line)
stop at 1.3519 (the red color horizontal line) if the price reverse to cut loss.
to calculate for stos loss,
2010.11.29, the ATR is 0.0145, thus 2 x ATR is 0.0290.
1.3229 + 0.0290 = 1.3519 (stop loss)
  • #6
  • Mar 27, 2011 1:55am Mar 27, 2011 1:55am
Quoting aeron_1025
example using EURCHF

Attachment

LOSS TRADE: 264 pips
Short at 1.3305 at 2010.11.10 (down arrow) when price exceed 20 days low (yellow color line)
stop at 1.3569 (up arrow, the red color horizontal line) as the price reverse to cut loss.
to calculate for stos loss,
2011.11.10, the ATR is 0.0132, thus 2 x ATR is 0.0264.
1.3305 + 0.0264 = 1.3569 (stop loss)

Attachment

WINNING TRADE: 516 pips
Short at 1.3229 at 2010.11.29 (down arrow) when price exceed 20 days low (yellow color line)
exist at 1.2713 at 2011.01.05 (up...
have you cinsidered to compound when price goes in your favor?
  • #7
  • Mar 27, 2011 3:11am Mar 27, 2011 3:11am
Quoting Saintsurfer
have you cinsidered to compound when price goes in your favor?
I understand that the original turtle does.
but no for me as i want to make it simple, furthermore the price that go in favour might reverse and result in cut loss.
If you dont mind you would like to share your opinion on it?
  • #8
  • Mar 27, 2011 3:58am Mar 27, 2011 3:58am
Quoting aeron_1025
I understand that the original turtle does.
but no for me as i want to make it simple, furthermore the price that go in favour might reverse and result in cut loss.
If you dont mind you would like to share your opinion on it?
Simply it is important because market do not trend always, but when it does it is not so but idea to be a little bit agresive. Also we need to cover those smaller loses that apear in ranging periods. I think it shouldn`t become to complicated because of this. Sure it is after each ones taste. Anuway, it can be tested quiet sucsesfully and show if it`s worth.
  • #9
  • Mar 28, 2011 10:07am Mar 28, 2011 10:07am
Quoting Saintsurfer
Simply it is important because market do not trend always, but when it does it is not so but idea to be a little bit agresive. Also we need to cover those smaller loses that apear in ranging periods. I think it shouldn`t become to complicated because of this. Sure it is after each ones taste. Anuway, it can be tested quiet sucsesfully and show if it`s worth.
agree with you on the adding to the winning position.
how are you going about in compounding to the winning position? or is it same as what original turtle does?
  • #10
  • May 7, 2011 3:22pm May 7, 2011 3:22pm
I've been using modified version of these channels.
I treat 20D channel as support and resistance.
I wouldn't take straight breakouts. What I'm waiting for is "Event retest" which the "event" is the price breaking level out of the channel. I want to see the entire bar/s above (below for shorts) the breakout level, then but then it comes back to the breakout price or slightly deeper. Too deep will cause SL triggered. But often it will give you great ways to avoid many fakes.
Sure, there are some powerful breakouts that don't come back to retest. In such case either try to catch these run aways when they move sideways for a few days, or just look at other markets that can be ready for signals.
First Initial take Profit (ITP) is the opposite 20D channel. rest trailed with 10D channel or with ATR stops.
Also, if I have a reversal bar on the bottom of the channel, I would not go for breakout (although it may happen), but rather do the opposite trade.
have a look at my drawings on your chart.
Just ideas. Hope you find some helpful.
Keep going!

PS:
More: how about learning price action bars and looking for opportunities along the channels, trying to catch shorts against the top channel, longs against the bottom. On your chart see the lowest point: there was an outside bar that could be very good for long. Look at the highest point - that is also signals: double top bars with lower close. I used to trade like this. Consistent yearly 15-25%. Just like a fund.
Attached Image (click to enlarge)
Click to Enlarge Name: gbpusd winning trade.gif Size: 27 KB
Paul W
  • #11
  • May 7, 2011 3:39pm May 7, 2011 3:39pm
another chart with similar examples of channel trading ideas
Attached Image (click to enlarge)
Click to Enlarge Name: eurchf win.gif Size: 29 KB
Paul W
  • #12
  • May 7, 2011 3:43pm May 7, 2011 3:43pm
Davidee has done some great research here-
http://www.myforexdot.org.uk/Strange...iesSystem.html

very similar rules (turtle-like) for various currencies over a ten year period.
It may help your confidence.

Obviously, the Turtles may be the most well known group of trend followers of recent times.
Less obvious, is that to produce their extraordinary returns they often
had to endure extended periods of drawdown.

Drawdown from many small losses AS WELL AS drawdown from giving back
large profits in order to catch even LARGER profits from the longer term trend.

Peak-to-valley drawdowns of 30% not being unusual.
This is the incredibly difficult part.

Good Luck!
  • #13
  • May 7, 2011 3:52pm May 7, 2011 3:52pm
Dear Thread,

Check out the 27 February, 2010 Active Trader article called Tuning up the Turtle and the following link:

http://www.tradingblox.com/forum/viewtopic.php?t=7379

Enjoy.

Lenoxer
  • #14
  • May 7, 2011 4:26pm May 7, 2011 4:26pm
I'm interested in this system but i have a question ?

1. Between 03 -08 ,the drawndown is 60% , you must live through 5 consecutive losing years that very very very ... difficult for trader to stay with the system.

2. 5 years drawndown that happen between 03-08 never happen before, other drawndown never stay more than 2 years.

3. 60% drawndown happen with the fund ,if they trade like original turtle rule they must have diversification (trade gold,oil,index,fx,...),if amateur trade only FX that highly correlated (Changes in one pair effected to the others), drawndown might be higher.

From 1 to 3 , Can amateur trader stay with this system ?

Sorry for my English.
  • #15
  • May 9, 2011 11:27am May 9, 2011 11:27am
Quoting PaulZW
another chart with similar examples of channel trading ideas
Paul,

Thanks for your insightful input with the price action and the sharing of your modified turtle system. Definitely helpful for me
By the way how many years have you trading using your own modified with consistently 15-25% return on every year?
  • #16
  • May 9, 2011 11:35am May 9, 2011 11:35am
Quoting Intu
Davidee has done some great research here-
http://www.myforexdot.org.uk/Strange...iesSystem.html

very similar rules (turtle-like) for various currencies over a ten year period.
It may help your confidence.

Obviously, the Turtles may be the most well known group of trend followers of recent times.
Less obvious, is that to produce their extraordinary returns they often
had to endure extended periods of drawdown.

Drawdown from many small losses AS WELL AS drawdown from giving back
large profits in order to catch even...
Intu,

That is a great source, with over the past 10 years of results. impressive !
after reading through the article and his some others as well, do help me to gain back my confidence and passion towards currency trading. Thousand thanks as your comment which really has make my day !
P/S: I found out David's complete EUR/USD system works the best with average 37% return every years with 2% of risk capital. maybe i should try to ask him try out this simplified turtle system to see how is the past 10 years results
  • #17
  • May 9, 2011 11:39am May 9, 2011 11:39am
Quoting Lenoxer
Dear Thread,

Check out the 27 February, 2010 Active Trader article called Tuning up the Turtle and the following link:

http://www.tradingblox.com/forum/viewtopic.php?t=7379

Enjoy.

Lenoxer
Lenoxer,

Thanks for the link. the modified one is very crazy perfect !! Did you trading using turtle system as well currently?
  • #18
  • May 11, 2011 3:17am May 11, 2011 3:17am
Quoting aeron_1025
Lenoxer,

Thanks for the link. the modified one is very crazy perfect !! Did you trading using turtle system as well currently?
Dear Aeron,

No, I haven't traded it. I'm not a trader. I'm a fund of funds manager who hires traders. I'm always reading about trading strategies, though, via FF or books or the people I know. My concern about the link I pasted is whether the model is overfit. The equity curve is indeed impressive but one must say caveat emptor on it until you can verify that the model has enough degrees of freedom to work robustly going forward. And that work needs to be done by a zealous backtester.

My best,

Lenoxer
  • #19
  • May 12, 2011 10:48am May 12, 2011 10:48am
Quoting aeron_1025
Paul,

Thanks for your insightful input with the price action and the sharing of your modified turtle system. Definitely helpful for me
By the way how many years have you trading using your own modified with consistently 15-25% return on every year?
I traded it for about 3 years (2007-2010). Mostly entries of re-tests and also against the breakouts when price formed something like pin bar or outside bar.
Pairs were: EURUSD, GBPJPY, USDCAD.

But again, that kind of trading would be classified as "discretionary", not really mechanical.

I believe there are many variations of this kind of channel, discussed by Chande, Larry Williams, and others. And they are diversified into many markets.
Paul W
  • #20
  • May 17, 2011 10:03pm May 17, 2011 10:03pm
Quoting PaulZW
I traded it for about 3 years (2007-2010). Mostly entries of re-tests and also against the breakouts when price formed something like pin bar or outside bar.
Pairs were: EURUSD, GBPJPY, USDCAD.

But again, that kind of trading would be classified as "discretionary", not really mechanical.

I believe there are many variations of this kind of channel, discussed by Chande, Larry Williams, and others. And they are diversified into many markets.
Hi Paul,

That is consider great results ! Thanks Paul for your sharing and provide with useful forex resources here
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