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Trading Systems | AUG 2001
Trading The Turtle System On Currencies by Guy Brys, Anja Struyf, and Luc Van Hof
Trading The Turtle System On Currencies by Guy Brys, Anja Struyf, and Luc Van Hof The system was developed two decades ago on the basis of a bet, but since then, it’s been a proven winner. The Turtle system was developed on daily data but it has some promising real-life results when used with intraday data, in this case currencies. We tested the infamous Turtle system in intraday trading on foreign exchange markets, using a large database of historical rates. We examined all four components of the system (entry, exit, trading size, and money management) and developed parameter values through optimization on a training set of data. Our results compared well with the study that former Turtle Russell Sands conducted in 1995 on daily data, and the method was profitable when assessed by total net profit (the equity curve), the return-to-risk ratio, and the Sharpe ratio.
by Guy Brys, Anja Struyf, and Luc Van Hof
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