I think that many people misunderstand the Turtles system. I am not turtle trading but have been doing a lot of reading about it. It was, in fact, a post of yours some time back that started me down the track.
The system is not so much about triggers of when to buy and sell but more about "money management" (their terminology) or "risk/reward" (mine). As you say, the aim is to have many small losses and a few very large winners. The turtles have been doing very well this year, with many of the turtle funds up by 25-30% in the first 8 months.
One of the big criticisms of turtles is the occassional large drawdowns. These are, of course, in relation to the reward level that you shoot for. The higher the rewards (aimed for) the higher the risk. Their money management should always ensure that you live through drawdowns to play another day. I am not aware of any turtles that have been totally blown away.
For anybody interested www.turtletrader.com provides hours of interesting reading. These guys do tend to overdo the "religious zeal" a bit. They adore Ayn Rand - as I have on and off over the years. They are also very dismissive of most brokers/analysts etc..
As I said, I am not turtle trading but their methods (as I understand them) have provided me with plenty to chew on.
