2024-11-11 15:56:50 +00:00
|
|
|
# Turtle Trading
|
|
|
|
|
|
2024-11-11 17:41:16 +00:00
|
|
|
This strategy is based on the Turtle Trading method created by Richard Dennis and William Eckhardt.
|
|
|
|
|
|
2024-11-12 15:31:04 +00:00
|
|
|
It is a simple trend following strategy based on breakouts.
|
|
|
|
|
|
2024-11-12 15:29:49 +00:00
|
|
|
## Rules
|
|
|
|
|
|
|
|
|
|
1. If the asset (e.g., SPY) exceeds its highest high over the past 20 days, enter a long trade.
|
|
|
|
|
2. Exit the trade when the asset drops below the lowest low over the past 10 days.
|
|
|
|
|
|
2024-11-12 15:33:09 +00:00
|
|
|
## Parameters
|
|
|
|
|
|
|
|
|
|
**High Period**: The period over which to determine whether price has exceeded the highest high for entering a trade. (Default: 20)
|
|
|
|
|
|
|
|
|
|
**Low Period**: The period over which to determine whether price has dropped below the lowest low for exiting a trade. (Default: 10)
|
|
|
|
|
|
2024-11-12 15:35:58 +00:00
|
|
|
## Backtest Results
|
|
|
|
|
|
|
|
|
|
### SPY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2024-11-12 15:38:42 +00:00
|
|
|
### QQQ
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2024-11-11 15:56:50 +00:00
|
|
|
---
|
