Monday, April 6, 2009

The Turtle Trading System EA - Trading the Turtle System II

After searching a lot for an expert advisor that had the exact same rules of the turtle trading system, I found out that all of the free experts out there that try to trade the turtle system differ from the rules in one or another way. Since this system has the reputation of being profitable and very mechanical, I decided to give it a shot and program my own version of the Turtle trading system following the turtle rules to the letter.

Well, I programmed an expert advisor to follow the rules of what the turtles called the trading system number 2. My ea does exactly what the turtles say it is supposed to do. It enters trades on 50 day breakouts, places stops at 2N and then enters an additional of maximum 3 positions in 1/2 N intervals with the N equations defining lot sizes so that the amount of capital risked is also adjusted to volatility (as the system says). The system exits trades based on a 20 day breach as it is also described by the system.

Now, I would have expected this trading system to lose most of it's trades and then show tremendous recoveries on a few trades each year. That is exactly what I observed in backtesting with the small difference in that the big wins experienced during the trending periods were not enough as to compensate for the huge loses suffered from all the false breakouts experienced by the system. My ea newsletter subscribers will have access to this ea from today, so make sure you join my newsletter if you would like to test this ea yourself.

Right now I am trying to find additional criteria that can be added to the ea in order to prevent the ea from losing most of it's profits on false breakout trades. My best guess is that breakouts need to be further filtered out by the use of an additional indicator which reduces the number of false signals experienced by the system. Make sure you leave a comment if you have any ideas !

I found out that the lack of profitability I was observing was due to some programming glitches, make sure you read my latest post to see the first 10 year profitable backtests of this system !

If you would like to learn more about this ea and other free and commercial expert advisors please consider buying my ebook on automated trading or subscribing to my weekly newsletter to receive updates and check the live and demo accounts I am running with several expert advisors. I hope you enjoyed the article !

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