Way of the turtle

The Results Are In Again
Recall that the systems were tested through the end of June 2006,
and as I write this, many more months have passed. You may be
curious about what happened to our systems in the interim. 
Which system would you have picked to trade based on the data
through June 2006? If you could have chosen two systems, which
ones would you have picked? I changed the end date for the tests,
using data through the end of November 2006, and Table 10-2
shows the updated results.
Turtle-Style Trading: Step by Step
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Table 10-2
Historical System Performance Comparison through November
2006
Max DD 
System
CAGR% MAR Sharpe Trades W% 
DD
Length
ATR 
CBO
45.9% 1.15
1.27
216
43.1% 40.0% 8.3
Bollinger 
CBO
49.2% 1.44
1.47
136
53.7% 34.1% 7.8
Donchian 
Trend 27.4% 0.75
0.94
1901
38.7% 38.7% 27.6
Donchian 
Time
57.1% 1.31
1.34
773
59.1% 43.6% 12.1
Dual 
MA
49.1% 1.04
1.34
222
36.9% 47.2% 8.3
Triple 
MA
41.2% 0.97
1.21
186
41.9% 42.3% 8.5
Source: Copyright 2006 Trading Blox, LLC. All rights reserved worldwide.
A quick glance at the CAGR% and MAR ratio tells you fairly
quickly that the last few months of 2006 were bad for trend-fol-
lowing systems in general. The interesting aspect here is the
changes that occurred. Table 10-3 reveals the percentage changes
in CAGR% and maximum drawdown.