Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/10345
Full metadata record
DC FieldValueLanguage
dc.contributor.authorChong, Giok Teng.en_US
dc.contributor.authorKok, Ern.en_US
dc.contributor.authorLee, Soon Huat.en_US
dc.date.accessioned2008-09-24T07:42:37Z-
dc.date.available2008-09-24T07:42:37Z-
dc.date.copyright2007en_US
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10356/10345-
dc.description.abstractThis 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.en_US
dc.rightsNanyang Technological Universityen_US
dc.subjectDRNTU::Business::Finance::Equity-
dc.titleDid the turtle win the race for returns? a study on the turtle trading system.en_US
dc.typeFinal Year Project (FYP)en_US
dc.contributor.supervisorChoong, Edmund Chewn Sengen_US
dc.contributor.schoolCollege of Business (Nanyang Business School)en_US
item.fulltextWith Fulltext-
item.grantfulltextrestricted-
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)
Files in This Item:
File Description SizeFormat 
NBS-REPORTS_2904.pdf
  Restricted Access
481.82 kBAdobe PDFView/Open

Page view(s)

377
checked on Oct 23, 2020

Download(s)

6
checked on Oct 23, 2020

Google ScholarTM

Check

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.