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

• Main Authors: Chong, Giok Teng., Kok, Ern., Lee, Soon Huat.
• Other Authors: Choong, Edmund Chewn Seng
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Equity
• Online Access: http://hdl.handle.net/10356/10345
• Institution: Nanyang Technological University

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...