Way of the turtle

284
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Index

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system diversification for, 219–221
Rolling optimization windows, 197–199
R-squared, 97
Runners, 5
Samples:
representativeness of, 192–194
size of, 176–177, 194–195
Scalpers, 4–5, 7–9
Scalping, 24
Schwager, Jack D., 245
Sharpe, William F., 100
Sharpe ratio, 100–104, 184–185
Shefrin, Hersh, 13
Shiller, Robert, 13
Short positions, 6, 7
exit threshold for, 168
and price movement, 8–9
Simple lookbacks, 125, 128
Simple moving averages, 126
Simplicity:
in robust trading, 210–211
as rule for Turtles, 39
Single-market optimization, 195
Size of trade, 109
Skew, 56
Small numbers, law of, 16, 20–21
Southwest Airlines, 2–3
Speculative markets, states of, 25–27
Speculator-driven markets, 217
Speculators, 4, 5, 7
Spread, 4, 24
Standard deviation of returns, 97
Start dates, 184–186
Statistics, 180–182
Steenbarer, Brett, 232
Stop dates, 184–186
Stops:
distance between entry and, 118
with long-term trend-following 
systems, 144–147
in Turtle Trading System, 262–266
Whipsaw, 265–266
Styles of trading, 21–25
countertrend trading, 23
day trading, 24–25
matching personality to, 232
swing trading, 24
trend following, 22–23
Success:
emotional and psychological strength
for, 44
intelligence and, xxv
as making of money, 48
uniqueness for, 235
Success principles, 223–233
consistency, 230–231
humility, 229–230
letting go of ego, 224–229
and styles of trading, 232
Sunk costs effect, 15, 16–19
Support and resistance, 75–82
cognitive biases causing, 76–79
finding edge in, 79–82
Swing trading, 24, 26
System death, 87, 94, 96, 105–106
System Trader’s Club, 137
Systems 1 and 2, 38
Tactics, 269–272
Technical Traders Guide to Computer
Analysis of the Futures Markets
(Chuck LeBeau and David Lucas),
137–138
Test dates, 136
Tharp, Van, 33, 59, 232
Tick, 6
Time-based exits:
as building blocks, 127, 128
defined, 125
Donchian Trend with, 131, 140
Trade scrambling, 201, 203
Trade Your Way to Financial Freedom
(Van Tharp), 33, 59
Trader effects, 144, 153–158
in breakouts, 153–155
defined, 152
example of, 155–157
Traders, 1–2, 4–5
TradeStation, 213–214
Trading:
applying lessons in, xxvi
beliefs about, xxiv
primary goal of, 116
styles of, 21–25
Turtle rules for (see Turtle Trading 
System)
Trading Blox, 67, 203
Index
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285

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Trading Blox Builder, 143–144
Trading pits, 9–10
Trading systems, xxii, xxiii
comparing between, 59
discretionary trading vs., 224
diversification of, 219–221
lucky, 196
mechanical, 16, 245–246
variable performance of, 207–209
Trend following, 22–23
appeal of, 105–106
basic idea of, 38
building blocks for (see Building
blocks)
long-term (see Long-term trend-follow-
ing systems)
market states for, 25–26
markets for, 214–216
periods of losses with, 96
rules of, 38
source of edge for, 81
taught in Turtle Classes, 38–39
Trend portfolio filter, 68, 69, 71, 72
Trends, 22, 38
Triple Moving Average , 132, 142–145
The Turtle Classes, xxiv–xxvi, 29–45
expectation taught in, 35–37
first, 30
foundations of methods taught in,
30–31
fundamental points of, 39
initial trades in, 40–45
money management taught in, 32–33
order entry and trading mechanics
taught in, 33–35
risk of ruin taught in, 31–32
trend following taught in, 38–39
Turtle Trading System, 245–275
consistency and discipline in, 273–274
decisions covered by, 246–248
entries in, 258–262
exits in, 266–268
markets in, 249–250
position sizing in, 251–258
stops in, 262–266
tactics in, 269–272
Turtle Way (see Way of the Turtle)
The Turtles, xv, xx–xxi, 47
Turtle-style trading systems (see Long-
term trend-following systems)
Uncertainty:
in money management, 116–117
and probability thinking, 52–53
systematic errors under, 14
Unified measures of risk/reward, 98
Union League Club, 29–30
Unit size, 119–120
Units, 33, 118–119
adding, 260–262
as measure of risk, 255–257
volatility-adjusted, 253–255
Volatile markets, 25–27
Volatility:
dollar volatility adjustment, 252
measure of, 33
and N factor, 251–252
position units, volatility-adjusted,
253–255
Volatility channels, 125
ATR Channel Breakout system,
136–137
Bollinger bands, 138
as building blocks, 127, 128
Volatility-based position sizing, 118
Way of the Turtle, xxvi
dos and don’ts for, 60
losses viewed in, 37
mindset for, 36
money management in, 117
psychological basis of, 14–15
(See also Turtle Trading System)
When Genius Failed (Roger Lowenstein),
103
The Whipsaw, 265–266
Wilder, J. Welles, 33
286
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Index