KLSE Turtle Trading

Dow closed at 12609.42 on Friday trading session. For the week ending 4 Apr 08, Dow was up 393 points.

KLSE did not perform as well. It closed at 1221 down 36 points for the week.

Let’s take a look at a simple breakout system called Turtle Trading System. This system was popularized by Richard Donchian. It uses 20 day breakout as an entry rule for both long and short trades. The duration of the test is from Apr 1998 to 4 Apr 2008.

Let’s assume the following breakout rules:

Entry

1. Today’s Close must be greater than the High of the previous 20 trading day
2. If condition 1 is true, buy at the opening price on the next trading day.

Exit

1. Today’s Close must be less than the Low of the previous 20 trading day
2. If condition 1 is true, sell at the opening price on the next trading day.

The trading result is shown below:

Winning trades:

Entry Date	Entry Price	Exit Date	Exit Price	% Change	Bars Held
9/8/1998	457.44	2/9/1999	525.13	14.8	103
4/7/1999	557.07	7/27/1999	772.04	38.59	79
12/14/1999	771.57	4/18/2000	888.89	15.21	82
6/12/2001	584.75	9/18/2001	612.79	4.8	68
11/16/2001	633.86	5/22/2002	782.11	23.39	120
12/27/2002	646	2/25/2003	651.46	0.85	37
4/8/2003	640.03	11/20/2003	766.4	19.74	157
1/8/2004	805.18	4/15/2004	866.81	7.65	64
6/11/2004	823.99	8/3/2004	828.03	0.49	37
9/3/2004	844.64	2/22/2005	903.8	7	112
6/14/2005	894.82	8/29/2005	916.02	2.37	54
1/6/2006	906.6	3/7/2006	915.96	1.03	37
7/13/2006	928.46	3/6/2007	1,117.51	20.36	158
4/4/2007	1,263.19	8/2/2007	1,349.20	6.81	83
9/21/2007	1,305.06	11/23/2007	1,346.45	3.17	43
			Average	11.084	82.266667

Losing trades:

Entry Date	Entry Price	Exit Date	Exit Price	% Change	Bars Held
5/22/2000	949.63	5/29/2000	884.08	-6.9	5
10/17/2000	766.51	11/17/2000	728.81	-4.92	22
1/30/2001	720.99	3/2/2001	702.5	-2.56	22
8/19/2002	736.6	8/30/2002	715.08	-2.92	9
10/25/2002	655.91	11/20/2002	636.94	-2.89	17
5/4/2005	895.5	5/26/2005	868.94	-2.97	15
9/27/2005	925.33	10/20/2005	914.8	-1.14	17
3/29/2006	932.59	5/23/2006	924.69	-0.85	37
12/4/2007	1,415.45	1/24/2008	1,401.25	-1	32
			Average	-2.90556	19.55556

There were a total of 24 trades with 15 winners and 9 losers. The average win is 11% and average loss is 2.9%.