Did the turtle win the race for returns? a study on the turtle trading system.

This research aims to examine the complete trading model of the Turtle Trading System. In this research, we follow the rules as stated in Faith [2003] and implement a trading model to simulate trading on twenty futures contracts for the period 1980-2005. This study shows that significant profits wer...

Full description

Saved in:
Bibliographic Details
Main Authors: Chong, Giok Teng., Kok, Ern., Lee, Soon Huat.
Other Authors: Choong, Edmund Chewn Seng
Format: Final Year Project
Published: 2008
Subjects:
Online Access:http://hdl.handle.net/10356/10345
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
id sg-ntu-dr.10356-10345
record_format dspace
spelling sg-ntu-dr.10356-103452023-05-19T05:41:41Z Did the turtle win the race for returns? a study on the turtle trading system. Chong, Giok Teng. Kok, Ern. Lee, Soon Huat. Choong, Edmund Chewn Seng Nanyang Business School DRNTU::Business::Finance::Equity This research aims to examine the complete trading model of the Turtle Trading System. In this research, we follow the rules as stated in Faith [2003] and implement a trading model to simulate trading on twenty futures contracts for the period 1980-2005. This study shows that significant profits were made during the period in 1984-1987 in which the Turtles traded, however returns are found to be lower than their claims of 80% average annual compounded rate of returns. We are not able to conclude that the trading system is profitable across all markets, as it only generated significant positive monthly returns on currency futures such as Japanese Yen and Deutschmark while generating losses in other markets such as cocoa and copper. Returns were also observed to diminish over time. In general, the Turtle trading strategy also generated substantial drawdowns in trading individual markets. 2008-09-24T07:42:37Z 2008-09-24T07:42:37Z 2007 2007 Final Year Project (FYP) http://hdl.handle.net/10356/10345 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Equity
spellingShingle DRNTU::Business::Finance::Equity
Chong, Giok Teng.
Kok, Ern.
Lee, Soon Huat.
Did the turtle win the race for returns? a study on the turtle trading system.
description This research aims to examine the complete trading model of the Turtle Trading System. In this research, we follow the rules as stated in Faith [2003] and implement a trading model to simulate trading on twenty futures contracts for the period 1980-2005. This study shows that significant profits were made during the period in 1984-1987 in which the Turtles traded, however returns are found to be lower than their claims of 80% average annual compounded rate of returns. We are not able to conclude that the trading system is profitable across all markets, as it only generated significant positive monthly returns on currency futures such as Japanese Yen and Deutschmark while generating losses in other markets such as cocoa and copper. Returns were also observed to diminish over time. In general, the Turtle trading strategy also generated substantial drawdowns in trading individual markets.
author2 Choong, Edmund Chewn Seng
author_facet Choong, Edmund Chewn Seng
Chong, Giok Teng.
Kok, Ern.
Lee, Soon Huat.
format Final Year Project
author Chong, Giok Teng.
Kok, Ern.
Lee, Soon Huat.
author_sort Chong, Giok Teng.
title Did the turtle win the race for returns? a study on the turtle trading system.
title_short Did the turtle win the race for returns? a study on the turtle trading system.
title_full Did the turtle win the race for returns? a study on the turtle trading system.
title_fullStr Did the turtle win the race for returns? a study on the turtle trading system.
title_full_unstemmed Did the turtle win the race for returns? a study on the turtle trading system.
title_sort did the turtle win the race for returns? a study on the turtle trading system.
publishDate 2008
url http://hdl.handle.net/10356/10345
_version_ 1770566841161220096