When systems die: The Rise and Fall Richard Dennis

We have been cleaning files and came across the remarkable story of Richard Dennis and his turtles.

For those who don't know it, here is a good recap:

Richard Dennis

Salient notes:

When his experiment ended five years later, his Turtles reportedly had earned an aggregate profit of $175 million.^[6] The exact system taught to the Turtles by Dennis has been published in at least two books and can be back-tested to check its performance in recent years. The result of such back-test shows a drastic drop in performance after 1986, and even a flat performance from 1996 to 2009.^[7] However, a number of turtles (e.g., Jerry Parker of Chesapeake Capital, Liz Cheval of EMC, Paul Rabar of Rabar Market Research, Tom Shanks of Hawksbill Capital Management, Howard Seidler of Saxon Investment Corporation, Jim DiMaria of JPD Enterprises, Inc.) began and continued careers as successful commodity trading managers, using techniques similar, but not identical, to the Turtle System.

Dennis managed pools of capital for others in the markets for a while, but withdrew from such management in the spring of 1988 after his clients suffered heavy losses. In the Black Monday stock market crash of 1987, he reportedly lost $10 million,^[8] with a total of $50 million reportedly lost in 1987–1988.^[2] In 1990 his firm settled investor complaints of his failure to follow his own rules, for over $2.5 million, without admitting or denying any wrongdoing.^[9] He also managed funds for some time in the mid and late 1990s, closing these operations after losses in the summer of 2000.

The trader conundrum:  your system can go stone cold dead, and/or you can stop following your own system, for a number of reasons.