One of the most famous trend-following trading systems is the Turtle System developed by US commodity traders, Richard Dennis and William Eckhardt. Even 27 years after it was launched in 1983, traders profitably use variations across a wide range of markets.
The Turtle rules is a very mechanical way to manage risk. The buy-sell signals are simple. Either a 55-day high/low, or a 20-day high/low is a signal, depending on contract volatility. Positions are long for a high, and short for low. Any position is cut-off, if 1-2 per cent of total stake is lost.
Stops and position sizes are based on average true range (ATR). True range for a given session is the largest absolute value of high-low difference, high-previous session close difference and low-previous session close difference. Entry plus/minus the 20-day ATR is assumed as stop loss for a short/long respectively. Assumed loss/unit multiplied by position size gives risk in a given position.
Turtle has worked pretty well in trending markets, including Indian equity market. On last February (February 21s t2013).Turtle strading has given a sell signal for nifty spot below 5940 .It is still running.
For details contact abrahamshare@gmail.com
(Source :http://www.business-standard.com/article/markets/how-to-gain-from-the-turtle-trading-system-110121600089_1.html)
No comments:
Post a Comment