Here is the performance, without commission/slippage (1870 total trades) of combining Turtle Soup with 20 Day Donchian (MySimpleTurtle). The results look very good – so the marriage of the trend/counter trend has promise. We know that we are going to lose on most of our trend following trades (with loses limited of course) so why not try and take advantage of this fact. The fake break out (Turtle Soup) mechanism can be customized to slow the trading down and to help confirm a true fake out. I will have some suggestions on this very subject in the near future.
Remember, before you look at the results, the performance metrics are hypothetical and past performance is not indicative of future results. This post is for informational purposes only.
Posted by George Pruitt – Director of Research