I just finished reading Curtis Faith’s book “Way of the Turtle.” A couple thoughts:
I was a runner on the Chicago Merc Exchange & CBOE in 2007
Back then, everyone told me to read a dense options pricing book that THEY THEMSELVES admitted they didn’t fully understand
I was a runner on the Chicago Merc Exchange & CBOE in 2007
Back then, everyone told me to read a dense options pricing book that THEY THEMSELVES admitted they didn’t fully understand
Many of the traders I knew that summer got wiped out or switched jobs in the following few years.
Obviously the book they had recommended to me (and by proxy their own methods) had failed them, and this led me to heavily discount the wisdom of all trading disciplines
Obviously the book they had recommended to me (and by proxy their own methods) had failed them, and this led me to heavily discount the wisdom of all trading disciplines
However, Faith’s book documents how Richard Dennis taught a group of inexperienced non-traders a systematic trend following system that made millions.
I’m not saying there aren’t idiots who trade like this but there are clearly very wise people that trade systematically as well.
I’m not saying there aren’t idiots who trade like this but there are clearly very wise people that trade systematically as well.
And the most interesting part of the book is how clearly Dennis / Faith / the Turtles understand the complex relationship between the variables within their own system.
Their system is complete & internally rational w/ all components relying in subtle ways on other components
Their system is complete & internally rational w/ all components relying in subtle ways on other components
Even when the system suggests painful trades (like watching a winner give back half its gain in an uptrend), the Turtles understand that those periods are integral to their systems success.
The Turtles are coherent systems thinkers, and that’s to be admired.
The Turtles are coherent systems thinkers, and that’s to be admired.
Just as with the Graham & Dodd, Buffett & Munger, or Greenblatt styles of value investing, you cant reach into their systems and extract one component and expect it to have the same function absent its relationship to other parts of the original system.
Example: “punchcard” investing in the spirit of Buffett makes no sense if you combine it with a trailing stop ala trend following.
If anyone knows about the Turtles’ mechanical systems being turned into algo systems, please send those links my way.
