Way of the turtle

Table 10-3 
Comparative Performance through June 2006 versus through
November 2006
CAGR% CAGR%
Max DD 
Max DD
System
11/06
06/06
%
11/06
06/06
%
ATR CBO
45.9%
49.5%
–7.3% 40.0% 
39.9% 
0.3% 
Bollinger CBO
49.2%
51.8%
–5.0% 34.1% 
34.1% 
0.0% 
Donchian Trend
27.4%
29.4%
–6.8% 38.7% 
36.7% 
5.4% 
Donchian Time
57.1%
57.2%
–0.2% 43.6% 
43.6% 
0.0% 
Dual MA
49.1% 
57.8% –15.1% 47.2% 
31.8% 
48.4% 
Triple MA
41.2% 
48.1% –14.3% 42.3% 
31.3% 
35.1% 
Source: Copyright 2006 Trading Blox, LLC. All rights reserved worldwide.
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Way of the Turtle

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What happened? How did our results change so dramatically?
Why did our best system have a 50 percent increase in the size of
the drawdown? Why did the system that used the simplest exit have
no change in performance over the last five months when some
other systems did especially poorly? How does a trader build sys-
tems that are more likely to perform to expectations? Put a differ-
ent way, how can you conform your expectations to better fit the
probable outcomes of trading a system?
These questions offer an apt introduction to Chapter 11, which
will examine all these issues and increase your understanding of
the difference between the results you might get in a backtest and
what you might expect in actual trading, as well as those factors
which influence the disparity between tested and actual trading
results.
Turtle-Style Trading: Step by Step
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