Turtle Trading System

This is a discussion on Turtle Trading System within the Trading Systems forums, part of the Methods category; Originally Posted by Tuffty "move funds towards winning positions and away from losing positions" This will happen naturally as the ...

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Old Feb 13, 2005, 12:45am   #49
Joined Jan 2004
Quote:
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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