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Turtle Trading System Calculation Help wanted
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Turtle Trading System Calculation Help wanted

  #1 (permalink)
Elite Member
Ventura, California, United St
 
Futures Experience: Intermediate
Platform: Multicharts
Broker/Data: Open E Cry (OEC)
Favorite Futures: RLM, 6E
 
JVentura's Avatar
 
Posts: 20 since Oct 2010
Thanks: 38 given, 16 received

Turtle Trading System Calculation Help wanted

Hi, I am working on learning more on trading systems and I wanted to work through the calculations of the Turtle trading system since it's so well outlined and documented. Part of what I like to do is figure out how each indicator works and be able to do it myself. I started with PDF from originalturtles.org which outlined the system.

Here is my spreadsheet I created from EDZ0 contract data: https://spreadsheets.google.com/ccc?key=0AnJdeEY5kRoddG1FcE9QZllBN1VDQkZBM0lYWkpUZkE&hl=en&authkey=CKOQrPAG
I opened it up to everyone with the link can edit it so please don't save it if you chew it up.

My calculation is way off somewhere and I was hoping one of you who was familiar with the system could help me out and tell me where I went wrong. The Unit sizeing I am getting for my account size is way off. Also I saw variances in multicharts ATR compared to my ATR and was hoping that could be explained too.

In the Turtle trading document I wondered if there is an error in the example they use Heating Oil and state that the dollars per point is 42,000. Which sounds like maybe they definitely didn't mean per tick.

If you can point the error of my ways I would appreciate it.

Thanks,
James

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  #2 (permalink)
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  #3 (permalink)
Elite Member
North Bend, WA
 
Futures Experience: Beginner
Platform: Tradestation, C#
Broker/Data: Tradestation
Favorite Futures: None yet
 
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Posts: 15 since Oct 2010
Thanks: 63 given, 11 received


Try changing the 12.50 to 2500. $12.50 is the tick size, but it trades in multiples of .0050 (mintick size which equals $12.50). The $25 "pt" value is really saying that $25 == 0.01, so that means $2500 is the amount of money for a movement of "1". When you multiply 2500 by the ATR, it should give you the right number of contracts for your account size.

I think the turtle method was to set the heat to 2%, but you are smart to use 1%.

One thing to keep in mind is that this system has huge drawdowns and requires large accounts where you can trade many instruments in order to get the diversity needed to have SOMETHING trending well (rare) while the others lose their small amounts (but they lose them very often).

HTH-

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