Turtle System Backtested

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…

This entry was posted in Clippings, Finance and Investments. Bookmark the permalink.

Leave a Reply

Your email address will not be published. Required fields are marked *