An interesting computational experiment: [Link to the original page]
Turtle System Hypothetical Performance
- Initial Captial: $1,000,000
- 35 Markets tested: AD, BO, BP, C, CC, CD, CL, CT, ED, EM, FC, GC, HG, HO, HU, JY, KC, LB, LC, LH, MP, NG, O, OJ, PA, PB, PL, S, SB, SF, SI, SM, TY, US, W
- Risk: 2% per trade
- No pyramiding
- Fixed fractional money management
%Return Capital at Profit/Loss YEAR ON $1,000,000 End of Year For Year 1995 -1.87% $ 981,300 $ (18,700) 1996 -13.2% $ 848,900 $ (132,400) 1997 40.0% $ 1,249,284 $ 400,384 1998 0.8% $ 1,257,474 $ 8,190 1999 19.1% $ 1,448,900 $ 191,426 2000 37.7% $ 2,026,074 $ 577,174 2001 -27.1% $ 1,754,559 $ (271,515) 2002 12.0% $ 1,874,392 $ 119,833 2003 12.3% $ 1,997,874 $ 123,482 2004 -65.7% $ 1,340,142 $ (657,732) 2005(THRU APRIL) -13.1% $ 1,208,900 $ (131,242) Worst Monthly Drawdown: 36.6%
Worst Cumulative Drawdown, % on Initial Capital: 81.7%
Worst Cumulative Drawdown Period: January 2001 – April 2005
% Return/Year on Original $1,000,000: 2.09%Trade results generated by Trading Blox Builder, associated with www.OriginalTurtles.org. See www.tradingblox.com for the only software that is available to test the Turtle system.
I redid the calculation to show actual annual returns rather than returns on initial capital and added S&P total return data and some statistics:
| Year | Capital at Year-end |
Profit/Loss | Return | S&P 500 Total Return |
|---|---|---|---|---|
| 1995 | $981,300 | -$18,700 | -1.87% | 37.58% |
| 1996 | $848,900 | -$132,400 | -13.49% | 22.96% |
| 1997 | $1,249,284 | $400,384 | 47.17% | 33.36% |
| 1998 | $1,257,474 | $8,190 | 0.66% | 28.58% |
| 1999 | $1,448,900 | $191,426 | 15.22% | 21.04% |
| 2000 | $2,026,074 | $577,174 | 39.84% | -9.10% |
| 2001 | $1,754,559 | -$271,515 | -13.40% | -11.89% |
| 2002 | $1,874,392 | $119,833 | 6.83% | -22.10% |
| 2003 | $1,997,874 | $123,482 | 6.59% | 28.68% |
| 2004 | $1,340,142 | -$657,732 | -32.92% | 10.88% |
| Geometric Mean Return | 3.31% | 13.50% | ||
| Standard Deviation of Returns | 24.23% | 21.10% | ||
| Correlation | 5.32% | |||
Dismal… Not to mention that the software package used for this back-test retails for slightly under $3,000… But, then, the correlation is low enough to support the idea that futures (in limited quantities, of course) can be a good addition to equities:
Come to think of it, CSFB/Tremont Managed Futures Index has negative correlations with both S&P 500 and MSCI World… But 2004 is still hard to stomach…