How the Turtles would Trade Today | with Richard Dennis, Jerry Parker, and Brian Proctor

Overview

This episode is a roundtable discussion among hedge-fund and managed-futures figures about Richard Dennis’s Turtle Trading program. They cover what has changed in the CTA industry since then, and how trend-following discipline and risk management should (and should not) be adapted.

Key themes and analysis

1) Past performance, risk warnings, and investor understanding

The host emphasizes that any investment-performance discussion is based on historical results and does not guarantee future outcomes. Investors must understand product-specific risks before allocating.

2) Institutional pressures and changing allocation dynamics

The group discusses how investors and consultants evaluate CTAs. Growth and allocations may depend not only on returns, but also on:

• firm scale
• credibility
• product fit with specific mandates

Several comments suggest investor appetite has shifted over time toward more controlled risk, influenced in part by changing interest-rate environments.

3) Volatility targeting vs. “letting the strategy breathe”

A major debate centers on volatility targeting:

• Brian notes that many successful CTAs now target a constant volatility level (e.g., a fixed % volatility across products) to meet investor mandates.
• Richard argues there’s no need for volatility targeting, claiming volatility can be managed by the strategy itself. For him, the priority is consistency with the rules and effective risk control.
• Jerry rejects “ball targeting,” stating it isn’t part of the Turtle philosophy. Instead, Turtle-style trading emphasizes:
  • rule-based execution
  • risk management mechanisms such as exits and trailing stops

Implication: volatility targeting may be more about marketing/mandate fit than improving the trading edge.

4) Trend-following performance under pressure

The group discusses a period where trend-following has faced lower returns, attributing challenges to:

• fewer or “broken” trends
• broader market regime shifts
• market structure effects, including liquidity and policy dynamics

They also highlight that central bank intervention and government policies can reduce liquidity, making trends harder to capture in certain markets.

5) Exits are the critical decision—and discretion is dangerous

A consensus emerges that where and how you exit is often more important than entry.

They debate whether the Turtle era involved watching for “news/parabolic moves” that quickly reverse as a reason to reduce exposure. Key reflections include:

• Jerry: he had “bad thoughts” but learned to follow the program’s taught exits. Once independent, he avoided improvisation and discretionary tinkering.
• Brian: the Turtle program reduced psychological pressure because risk and capital weren’t entirely his own. When managing real money independently, discipline became harder—but adherence to rules remained central.

6) Strict risk management and avoiding overtrading

Jerry summarizes core Turtle takeaways as:

1. Strict risk management
2. Don’t overtrade
3. Stay in winning trades until the trend is confirmed
4. Continued system development/research, including combining time frames and approaches

The emphasis is that the program’s real value wasn’t only returns, but the operational discipline behind them.

7) Lessons about not “breaking” the system

Richard and others reflect on regret from periods of rule deviation or over-optimization. A recurring warning is that changing too much—or optimizing too narrowly to recent samples—can harm results as regimes shift.

8) Will Turtle-style systems still work?

Richard says he isn’t sure what he’d teach today because today’s environment and market structure are harder to interpret objectively than in the original era.

Still, multiple participants express cautious confidence that trend-following has a persistent role—especially when other parts of markets aren’t trending. They suggest diversification (including commodities) may help capture trends when equities alone do not.

9) Counter-trend ideas and “rare signals”

Richard is asked about counter-trend models he explored. He replies that such opportunities appear too infrequent to justify effort, and that many counter-trend approaches fail because markets can remain irrational longer than expected.

10) Turtle program legacy and personal reflections

Richard says he has no regrets about the Turtle program, though he dislikes people profiting online who weren’t connected to the original work.

Brian and Jerry describe the Turtle period as unusually:

• supportive
• educational (training and mentorship)
• structured

They also suggest some competitors started without similar support. Leaving the program and building independently increased the emotional and operational burden of following rules.

Presenters / contributors

• Niels Castro Larson (host)
• Richard Dennis (creator of the Turtle program)
• Jerry Parker (Turtle founder; President of Chesapeake Capital)
• Brian Proctor (Turtle; Managing Director, EMC Capital Advisors)