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December 15, 2005
The Evolution Of The Giant
To put it in Turtle terms, a good freeze or heat wave or embargo used to cause a market like Coffee or Soybeans or Crude Oil to run for months, and give us maybe a 40 N move before it was over. If you look very closely, as I have, at both the Turtle system in particular as well as other trend following systems in general, there are some things that have changed slightly. An examination of 'rolling' five or ten year periods will show some smaller deteriorating statistics since the 'formal' origination of the turtle trading method back in the early 1980's. The total returns are slightly lower, the drawdowns are a little deeper, and the recovery periods are a little
From The Evolution Of The Giant
Posted by Ken at December 15, 2005 10:40 AM
