Turtle Trading System

This is a discussion on Turtle Trading System within the Trading Systems forums, part of the Methods category; Fettered, Surely it depends on what type of money management system you're using as to what you should do. What ...

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Old Feb 11, 2005, 3:07pm   #46
Joined Oct 2003
Fettered, Surely it depends on what type of money management system you're using as to what you should do. What you describe (reducing size so you need to win more in % terms to get back to where you started) I understand as being know as 'drag'. Using this method can turn a system with a small positive expectancy into one with negative expectancy, but it doens't mean it shouldn't be used for other systems.
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Old Feb 11, 2005, 9:56pm   #47
Joined Jan 2004
flexibility

Quote:
Originally Posted by Tuffty
Fettered, Surely it depends on what type of money management system you're using as to what you should do. What you describe (reducing size so you need to win more in % terms to get back to where you started) I understand as being know as 'drag'. Using this method can turn a system with a small positive expectancy into one with negative expectancy, but it doens't mean it shouldn't be used for other systems.
I tend to agree.

From another perspective, what are the board's feelings on systematically driven, dynamic asset allocation methods? (i.e. at portfolio level, move funds towards winning positions and away from losing positions. obviously with some limits on maximum variation from the original stake size.)
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Old Feb 12, 2005, 4:29pm   #48
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"move funds towards winning positions and away from losing positions"

This will happen naturally as the winning positions get larger and the loosing ones reduce/get stopped out. I do have a question as to how often one should do a portfolio rebalancing. I guess it's a balance of diversification against letting the winners continue to win.
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Old Feb 13, 2005, 12:45am   #49
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Originally Posted by Tuffty
"move funds towards winning positions and away from losing positions"

This will happen naturally as the winning positions get larger and the loosing ones reduce/get stopped out. I do have a question as to how often one should do a portfolio rebalancing. I guess it's a balance of diversification against letting the winners continue to win.
I agree with you. However, to explain myself better, I'm thinking more along the lines of varying the size of N in accordance to a market's performance. N being the terminology from the Original Rules for a single risk unit.

As opposed to moving from a 2N to 3N position in a trending Bund market, has anyone considered a system where the Bund position skews to, say, 3.2N? (The extra 0.2N being taken from a poorly performing market.)
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