Ultimate Algorithmic Trading System

TABLE 3.1
Turtle System 1 without LTLF for the Sample Portfolio
Total Return $439,471.42 Market PNL
Total Realized Return $416,450.17 @AD ($6,110.00)
Gross Profit $5,182,686.04 @BP ($6,543.75)
Gross Loss −$4,766,235.87 @C ($6,987.50)
Open Trade P/L $23,021.25 @CC ($36,020.00)
@CL $77,690.00
Number of Trades $5,234.00 @CT $20,065.00
Number of Winning Trades $1,751.00 @DX ($14,590.00)
Number of Losing Trades $3,481.00 @EC $84,150.00
% Profitable 33.45% @ED ($10,800.00)
@EMD ($70,700.00)
Average Trade $79.57 @ES ($36,162.50)
Average Trade (%) 0.39% @FC $39,675.00
Standard Deviation $3,566.48 @FV ($11,335.93)
Standard Deviation Trade % 28.39% @GC ($19,480.00)
Largest Winning Trade $53,275.00 @HG $101,125.00
Largest Losing Trade −$8,375.00 @HO $97,287.00
@KC ($34,106.25)
Profit Factor 1.09 @KW ($2,975.00)
Average Win/Average Loss 2.16 @LC ($32,130.00)
Sharpe Ratio 0.12 @LH $16,570.00
K-Ratio 0.16 @NG $28,550.00
Return Retracement Ratio 0.54 @OJ $3,977.50
@PL $90,825.00
@RB $45,105.20
@S $32,693.75
@SB $20,252.00
@SI $182,700.00
@TF ($104,090.00)
@TU ($9,174.97)
@TY $16,871.88
@US ($12,581.25)
@W ($5,512.50)
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COMPLETE TRADING ALGORITHMS
Now let’s go back and retest System 1 with the Last Trader Was a Loser Filter (LTLF)
to see if it had any beneficial impact on the performance. Actual trades were only
placed after a subsequent loss—be it from an actual loss or a simulated loss. Losses
were generated by the $2,000 money management stop or a trailing 10-day stop that
resulted in a loss. Table 3.3 shows the results of System 1 with the LTLF in place.
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