Thursday, May 15, 2008

Booknotes: The Complete TurtleTrader



  • The Turtles were trained to be trend-following traders. In a nutshell, that meant that they needed a "trend" to make money.
  • Risk 2% of account for each trade.
  • Traders who face the same opportunity must trade the same. Personal feelings can't interfere.
  • The Turtles were taught not to fixate on when they entered a market. They were taught to worry about when they will exit.
  • The Turtles were supposed to say, "I want to buy or sell short markets that are in motion, because markets in motion tend to stay in motion."
  • Don't try to predict how long a trend either up or down will last. It is impossible.
  • The Turtles were not to wait for a retracement. There was no statistical justification to think like that.
  • They learned that it was better to risk taking many small losses than to risk missing one large profit.
  • Entries and Exits: "It's always better to buy rallies."
  • The Turtles were taught to enter trades via "breakouts." A breakout occurs when a market "breaks through" a recent high or low.
  • Start keeping track of the open, high, low, and close of each market you are tracking. That is the key date you need to make all of your trading decisions.
  • System One (S1) used a 20-day price breakout for entry and 10-day breakout in opposite direction for exit.
  • S2 used 55-day entry and 20-day exit.
  • To calculate N: 1. today's high minus low; 2. yesterday's close minus today's high; 3. yesterday's close minus today's low. Maximum value of three is the "true range."
  • 20-day average is the N.
  • Also a 2N stop.
  • Low "N" measurement at the time of entry is a good thing.
  • Pyramiding: Adding units at each N move.
  • Avoid markets that are highly correlated.

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