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Turtle Trading

Partial implementation of Turtle Trading using futures contracts. Comments and feedback welcomed!

Areas for improvement:
- Account for partial fills in risk management
- Cap direction risk limit at 12

Source: https://github.com/vyq/turtle-trading

Related links:
- https://www.quantopian.com/posts/turtle-trading-strategy
- https://www.quantopian.com/posts/how-to-code-the-turtle-trading-rules
- https://www.quantopian.com/posts/turtle-trading-algo

7 responses

Attach notebook.

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Attach backtest for 2014-01-01 to 2015-01-01.

Clone Algorithm
38
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Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 592ba37f9ee3026e077742b3
There was a runtime error.

Attach backtest for 2007-01-01 to 2008-01-01.

Clone Algorithm
38
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 592ba3bc6eeb1e6a236d4a78
There was a runtime error.

Attach backtest for 2012-01-01 to 2013-01-01.

Clone Algorithm
38
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 592ba3f7c0955a6a317734f5
There was a runtime error.

Hum......talk about old hat my friend....
Tuning the Turtle

Excellent article Anthony. Have you implemented your revised Turtle System here on Quantopian?

No, I fear not. Only in proprietary software I used to use called "Trading Blox". Since that article the revised Turtle Strategy has not prospered however. It is along the right lines and "better" than the original but it has not been sufficient to weather the choppy waters of the last 5 years.

Probably a better correlation / anti correlation regime would help. But as ever it is changing a system after the fact. I'm afraid it may have boiled down to curve fitting (albeit unwitting) which has only emerged with time and changing markets.