The Turtles original method was based on Donchian channels. As I remember it they went long when the price went above the upper channel and short when it went below. Then they used risk management to keep them in the game. In other words if the stock kept running in their desired direction they stayed with it and if it came back the stop loss would take them out. They had many small losses and a few large wins and that’s what kept them solvent.
I wrote a filter using Donchian channels and set it up like the Turtles would have done – then I back tested it - I hate “many small losses.” I take enough as it is.
So I changed it – I set the filter to look for stocks that came back up through the lower Donchian channel after being below it for at least one close. This is what that looks like –
This output is actually for Wednesday's close - you can see that Glass responded well to the Donchian channel.
When I back tested it there were some absolutely great results. 62% win percentage and 75% annualized ROI. But the net change over time was where the real story was told – This has the potential to be a real intermediate (10 – 20 day) term filter.
1 day - .04%
4 days – 1.07
10 days – 2.39
20 days – 4.33
30 days – 4.86
Donchian channels Marlyn’s way – it might be a winner.