Did the turtle win the race for returns? a study on the turtle trading system.

Abstract

This research aims to examine the complete trading model of the Turtle Trading System. In this research, we follow the rules as stated in Faith [2003] and implement a trading model to simulate trading on twenty futures contracts for the period 1980-2005. This study shows that significant profits were made during the period in 1984-1987 in which the Turtles traded, however returns are found to be lower than their claims of 80% average annual compounded rate of returns. We are not able to conclude that the trading system is profitable across all markets, as it only generated significant positive monthly returns on currency futures such as Japanese Yen and Deutschmark while generating losses in other markets such as cocoa and copper. Returns were also observed to diminish over time. In general, the Turtle trading strategy also generated substantial drawdowns in trading individual markets.