Ultimate Algorithmic Trading System

count makes sense; trades are turned off, and then turned back on, which creates
an additional exit and entry. In Test 1, a trade could have stretched for several
weeks, but in Test 2, if trades are turned off, then this particular trade would be
liquidated and then reinitialized at the beginning of the next month—thus generating
an additional trade. Take a look at Tables 9.1 and 9.2, which show trades without
and with the portfolio stops.
Portfolio Maestro does exactly what it is supposed to do. Trades are immediately
liquidated on or near the stoppage date, and new trades are initiated on fresh signals
after the beginning of the next month.
It is also interesting to note that the original Turtle 55 strategy without money
management or portfolio stops actually performed the best from a profit-todrawdown
perspective.
■ Summary
This chapter highlighted the capabilities of Portfolio Maestro:
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PORTFOLIO ANALYSIS
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Portfolio level analysis—PM can test multiple markets and present a portfolio level
report of them combined together.
Money management—the Fixed Fractional technique was introduced and applied
to our large portfolio of 30+ markets using the Turtle 55 algorithm. Money
management offers a process that normalizes one market to another, and offers a
method to allocate capital in an efficient manner.
Portfolio analysis—PM offers several different ways to manage a portfolio’s equity
curve:
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Portfolio profit target
Portfolio stop loss
Portfolio trailing stop
The first two methods were tested and reviewed.
In addition to introducing Portfolio Maestro, this chapter also discussed money
management and portfolio analysis. The topics of all three were barely scratched.
However, I think enough was provided to excite further research on all three
subjects. Ideas such as money management and portfolio management can be
hypothesized all day long, but until you put these ideas to the test, you won’t know
if they are truly valuable. Most beginning traders do not believe money management
techniques can be applied to small accounts, and they are partially correct. However,
the concept of risk is always universally applicable, and that is a big part of all money
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