Trading The Turtle System On Currencies by Guy Brys, Anja Struyf, and Luc Van Hof
ARTICLE SYNOPSIS ...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...