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The Original Turtle Trading Rules. Background.  Richard Dennis, set up a group of 13 people and tranned them about trading stock market (year 1989). Two months later after done with tranning, Dennis funded each of people with $500,000 to $2,000,000. Background.

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background
Background
  •  Richard Dennis, set up a group of 13 people and tranned them about trading stock market (year 1989).
  • Two months later after done with tranning, Dennis funded each of people with $500,000 to $2,000,000
background1
Background

Over next four years, they earned an average annual compound rate of return of 80%

1 a complete trading system
1. A Complete Trading System
  • System provides answer for trading
    • System follows a set of rules
  • No human emotion involves in trading

Buy

Buy

Sell

2 know what to buy and sell
2. Know what to buy and sell
  • The Turtles traded all liquid U.S markets except the grains (small contracts)and the meats(a corruption problem).

Industries

Aerospace & Defense Chemicals Exchange Traded Funds Oil, Gas & Energy Agriculture, Paper &Packaging Clean Tech Food Manufacturing & Products Publishing& Media Automotive Closed End Funds & Investment Companies Healthcare & Pharmaceutical Real Estate Banks, Financial Services & Insurance Computers, Technology & Internet Industrial & Manufacturing Telecommunications Biotechnology Consumer & Retail Products Leisure & Entertainment Transportation Building & Construction Distr. Unit Trusts & Funds Metals & Mining Utilities Business & Support Services Electronics & Engineering

3 position sizing
3. Position Sizing

True Range = Maximum(H-L,H-PDC,PDC-L)

where H - Current High

L - Current Low

PDC - Previous Day\'s Close

N = (19 X PDN + TR)/20

where PDN - Previous Day\'s N

TR - Current Day\'s True Range

Dollar Volatility Adjustment

Dollar Volatility = N * Dollars per Point

Unit Size = 1% of Account / Market Dollar Volatility

3 position sizing2
3. Position Sizing

http://www.turtletrades.com/calculate-N.php?thesymbol=MSFT

3 position sizing3
3. Position Sizing

Level Type Maximum Unit

1 Single Market 4 Units

  • Closely Correlated Market 6 Units
  • Loosely Correlated Market 10 Units
  • Single Direction - Long or Short 12 Units

Single Market

Closely Correlated Market -- heating oil and crude oil; gold and silver

Loosely Correlated Market -- gold and copper ; silver and copper

Single Direction

3 position sizing4
3. Position Sizing
  • Adjusting Trading Size The Turtle were instructed to decreased the size of account by 20% if we went down 10%

Trading $1,000,000 -> account went down (10%) $100,000 = left $900,000

Next Trading we have $800,000 -> account went down (10%) $80,000 = left 720,000 Next Trading we have $640,000

4 entries
4. Entries

System 1 - A short term system based on a 20-day breakout.

System 2 - A simpler long-term system based on a 55- days breakout.

System 1 Entry

Price > average 20-day high = buy one unit (long position)

Price < average 20-day low = sell one unit (short position)

System 2 Entry

Price > average 55-day high = buy one unit (long position)

Price < average 55-day low = sell one unit (short position)

5 stops
5. Stops

"There are old traders; and there are bold traders; but there are no old bold traders" Traders that don\'t use stops go broke.

Since N = 1% of Account Equity , So the maximum stop would be 2% (2N)

For Example Crude Oil

N = 1.20 55 days breakout = 28.30

Entry Price Stop

First Unit 28.30 27.70

Second Unit 28.90 27.70

Third Unit 29.50 27.70

5 stops1
5. Stops

N = 1.20 55 days breakout = 28.30

Entry Price Stop

First Unit 28.30 27.70

Second Unit 28.90 27.70

Third Unit 29.50 28.90

Fourth Unit 30.10 29.50

6 exits
6. Exits

The system 1 exit = 10 days low/high for long positions

The system 2 exit = 20 days low/high for long positions

“Waiting for a 10 or 20 days new low can often mean watching 20%, 40% even 100% of significant profits evaporate”

7 tactics
7. Tactics
  • limit orders is better than market orders-offer a chance for better fills and less slippage
  • bid price > ask price = trading

Fast Market

  • A market can move thousands of dollars per contract in a few minutes - do not panic and wait for the market to trade

Simultaneous Entry Signals

  • If a market occurs the stretch of a few hours , take the trade as they came.

Buy Strength and Sell Weakness

  • use Visual examination
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