Ultimate Algorithmic Trading System

TABLE 3.2
Turtle System 2 for the Sample Portfolio
Summary Value Markets PNL
82
COMPLETE TRADING ALGORITHMS
Total Return $949,937.69 @AD $40,250.00
Total Realized Return $889,799.88 @BP $3,987.50
Gross Profit $3,444,084.89 @C $11,225.00
Gross Loss −$2,554,285.01 @CC ($34,600.00)
Open Trade P/L $60,137.81 @CL $174,440.00
@CT $20,720.00
Number of Trades $2,324.00 @DX $21,150.00
Number of Winning Trades $726.00 @EC $83,600.00
Number of Losing Trades $1,597.00 @ED $1,743.75
% Profitable 31.24% @EMD $4,490.00
@ES $11,587.50
Average Trade $382.87 @FC $31,825.00
Average Trade (%) 0.67% @FV ($585.93)
Standard Deviation $5,477.96 @GC $57,530.00
Standard Deviation Trade % 56.38% @HG $91,425.00
Largest Winning Trade $90,440.00 @HO $173,699.40
Largest Losing Trade −$7,590.00 @KC ($19,500.00)
@KW $22,500.00
Profit Factor 1.35 @LC ($14,740.00)
Average Win/Average Loss 2.97 @LH $19,660.00
Sharpe Ratio 0.16 @NG $102,840.00
K-Ratio 0.19 @OJ ($1,155.00)
Return Retracement Ratio 1.19 @PL $70,340.00
@RB $80,879.40
@S $70,162.50
@SB $28,963.20
@SI $134,575.00
@TF ($13,100.00)
@TU $7,437.50
@TY ($6,156.25)
@US $10,687.50
@W $3,612.50
The results agreed with my research from more than 10 years ago. In an
article I wrote for SFO magazine in 2004, I executed the exact same analysis
utilizing another testing platform, Trading Blox Builder (www.tradingblox.com),
and received similar results; the profit-to-drawdown ratio increased using the LTLF.
The Trading Blox testing platform was built around the absolute complete Turtle
www.rasabourse.com