Ultimate Algorithmic Trading System

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PORTFOLIO ANALYSIS
FIGURE 9.15
this case.
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The Returns and Equity tab displays the portfolio’s maximum drawdown in
ATR Lookback—How many days in the ATR calculation. The shorter lookback
gives recent history more weight.
Maximum Quantity—The largest position size that will be allowed on any
given trade. Eurodollars are notorious for generating large position sizes. Since
execution costs cut into the bottom line you probably should limit this to 10.
Round Quantity—You cannot trade a fractional part of a futures contract, so
always set this to one.
Look at Figure 9.16 and make your changes accordingly.
Now click on the Manage Portfolios button. You will notice that Money
Management: Fixed Fractional with ATR Risk has been added directly under Turtle 55
in the strategy portion of the dialog window. The description of the Money
Management strategy is included as well:
Buy 2 times ATR over 10 bars lookback, but no more than 10. Risk no more than 1.00
percent of Equity.
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