➤ The turtle trading system

A trading strategy that works

Some years ago Richard Dennis and Bill Eckhard They wondered if a good trader is born or made. They wanted to find the answer by doing an experiment. That was how the story of the turtle system.

The strategy became very famous in the 80s and 90s because it worked very well. But what interests you, as well as me, is whether this still works.

The turtle system is more than thirty years old and although the results have fallen a bit, I will tell you that the base it’s still working. we start.

1. Why is it called the turtle system?

Just like the turtles were raised (near where these guys lived) they wanted to know if they could create traders.

Mystery solved haha.

2. What is the strategy the original strategy?

It is a system that tries to exploit the trend in the market. Part of two Donchian channels, one of 20 periods and the other of 55. Two because the strategy had two signals, the short-term (fast average) and the long-term (slower average).

When the price pierces the 20-period channel upwards or downwards, the short-term signal is activated. If the price breaks up we buy, if it breaks down we sell.

Same scenario with the 55-period channel and the long-term signal.

3. Monetary management of the turtle system

Here is the chicha of the system. From my point of view she has something quite good and ahead of her time. They use the ATR to set stop losses. They were one of the first trading systems that began to apply it.

The worst, the pyramiding. They applied an entry that was made in phases. If the price was in favor, re-entries were made. I don’t see this point.

4. The markets it operated

was created for different and uncorrelated assets to soften his behavior.

  • Raw materials: Cocoa, coffee, sugar, cotton, gold, silver, copper, oil and gas.
  • Bonds: Treasury at 90 days and at 10 and 30 years of the United States
  • Currencies: Swiss Franc, German Mark, British Pound, French Franc, Japanese Yen, Canadian Dollar, Eurodollar.
  • Stocks: Standard & Poor’s 500 Stocks

One catch here. The correlations have changed and that has made the system not so stable. You have to adjust this.

5. An adaptation

The turtle system is one of the best published to date, but an adaptation improves things. It is clear that markets change, so building a portfolio with an up-to-date correlation and a modification in the periods of minimums and maximums makes the results are much better.

What you will see is only applying an input rule and an output rule, with a stop by ATR and no reentries or stories. Just applying in Nasdaq:

This system, along with the rest are in the membership.

I read you in comments, hug.

PS: don’t confuse this system with a well-known Spanish-speaking system about turtles.

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