(

) Prince of the pit

Trend Follower
400
200 !!!

The original turtle trading rules

 1
A Complete Trading System from Original Turtle

Trading System

Turtle trading system

Trading system

( Market )
( Position sizing )
( Entries )
( Stop )
( Exit )
( Tactics )

...


1.

2.

Money Management
3.

4.

5.

 2
Position Sizing

Cut loss

Portfolio Risk 2% 1
2 10 ( cut loss)
9 Cut loss
20,000 200,000 ( 20,000 ) (
)

Portfolio Risk = 1,000,000 * 2% = 20,000

1. Cut loss 10 9 = 1
2. 1 Port risk 20,000
3. 20,000 1 10 = 200,000
(Port risk/ )*
Port risk/
(Turtles)
N Average True Range

 Trade-position-size-calculator
http://free-trade-position-size-calculator.lastdownload.com

Position Sizing
Turtle trading Position
size

Turtle trading Position Size
Position Turtle trading
Position Size



Turtles

Volatility and Meaning of N ( N)

Turtles Richard Dennis Bill Eckhardt
N N cut loss

N 20-Day Wilder Moving Average True range ( True range )
N ATR (Average True Range)
TR
TR = Maximum (H-L, H-PDC, PDC-L)

H = High
L = Low
PDC = Previous days close
N ( ATR)
N = (19 * PDN + TR)/20 PDN N (Previous-day N)
N N
N Simple Moving Average TR N
( Metastock indicator: ATR 20 )

Turtle trading Peak and

Trough

Dollar Volatility adjust ( )

Position Size N
( 1 1 )

Price Volatility = N * Price per Unit

1 1,000 N 10
10,000 10 1N
N ( ) N
Price Volatility 10 N 1 cut
loss 9 ( 10 - 1) N

Volatility-adjusted position unit ( Position)

Turtle Trading N 1% Portfolio N

Unit Size = (1% of Portfolio) / Price Volatility
N Price Volatility Portfolio 1,000,000
N 1 1% Port 10,000 N
Turtles 10,000 ( 1 Unit)
10 100,000

Portfolio

 3
The importance of Position Sizing
Position Size
Port

Risk/Reward
Turtle Trading Volatility


Portfolio
option, future commodity (Contract)
position size 1 point 5,000 N 14.5
Price Volatility 14.5 * 5000 = 72,500 2,000,000
1% 200,000 200,000 / 72,500 =
2.75862 2 (
3 )

 Performance Turtle Trading

System 1990-2003 ( U.S.)

Unit as a measure of risk ( Unit )

Turtles Unit ( N) Position size Unit
Unit
port
Turtles Unit
port Losing period
Drawdown
panic Black Monday
Portfolio
Limit
Level
Type
Maximum Units
1

4 Units/
2

6 Units/
3

10 Units/
4
(Long/Short) 12 Units/
Sector
Sector Unit

 Limit Level

Adjusting Trading Size ( )

Trend follower Sideway

Turtles
Richard Dennis

Turtles 20% portfolio

port 10% 1,000,000 10% 900,000
port 800,000 10% 800,000 port
640,000
Drawdown period
Performance

 4
Entries
Turtles
Turtles
(short) Initiate Position Entry

Turtles Signal

The Turtles Trader

Turtles 2
Donchians Channel Breakout System

-
Turtles -
Donchians Channel Breakout System Richard Dennis
Turtles 2 System 1 System 2
Turtles

System 1 - Breakout - 20

System 2 - Breakout - 55

 (Breakout)
( Breakout)
20-day Breakout (-
20 ) 20
Turtles (Buy) (Short) Position
-
(Gaps)
Turtles long & short Long
Short ( Entry signal Exit signal
Entry signal )

System 1
Turtles - - 20 1
Unit
System 1 System 1
(
)
(
) Turtles

(
)
- Stop 2N

System 1
System 2

System 2
Turtle - - 55 (tick)
1 Unit

 System 2 - 55 -
System 1
System 2 System 1 Fail-safe Signal


20-Day Breakout Error

55-Day Breakout

Significant Breakout
PSL cyclical

 5
Adding Units
Turtle Trading

Adding Unit
Turtles Anti-Martingale System
Position


Turtles

Position Adding Units

Turtles

N
Turtles ()
( ) N Breakout 20
N 0.4 Turtles 20 20.40
20 20.20
20.60
Position
Position sizing Money Management
4-5

 Original Turtle Trading

Rules
Gold N = 2.50 55 Breakout
310

310.00

310.00 + N 311.25

311.00 + N 312.50

312.50 + N 313.75

Turtles

Trend Following Turtles Winning Ratio
2-3

 6
Stop Loss

Turtles N

Turtles

!


!

Turtle Trading
Turtles
Turtles Position

Turtle Trading
Turtles (Position)
2% Position 2%

 ATR N 1N 1%
2%
2N 2N
N
N 2N
N
Gap
( N Turtles
N)
N = 1.20 55-Day Breakout
28.30
. ..
28.30. 25.90 ( 2N )
. ..
28.30. 26.50 ( N )
28.90.26.50 ( 2N )
. ..
28.30. 27.10 ( N )
28.90.27.10 ( N )
.29.50.27.10 ( 2N )
..
28.30. 27.70 ( N )
28.90.27.70 ( N )
.29.50.27.70 ( N )

 .30.10..27.70 ( 2N )
30.10 (
30.80 )
..
28.30. 27.70 ( N )
28.90.27.70 ( N )
.29.50.27.70 ( N )
.30.80..28.60 ( 2N )
Stop Stop
N Stop

4
4 Units
(Level-1 Limit)

 7
Stop Loss Episode-II
2
Turtles

Stop Win/Loss
The Whipsaw
2% %
0.5% N
N
Turtles

Turtles
Unit Limit
( 4 Units )
2% Position (0.5% x 4 Units 2% )

N = 1.20 55-Day Breakout
28.30
. ..
28.30. 27.70
. ..
28.30. 27.70
28.90.28.30

. ..
28.30. 27.70
28.90.28.30
.29.50.28.90
..
28.30. 27.70
28.90.28.30
.29.50.28.90
.30.10..29.50


Turtles
N 20-Day ATR N
N Position Size
Position
N N

 8
Exits

Turtles Breakout
Turtles
Trend Following




10%-30%
80%-100%
30%-40%

Turtles
Turtle Trading Breakouts
Breakouts
- Turtles -
Turtles
-
- Turtle Trading Turtles
1N 2N -
-

 Money Management

Turtle System
System 1 10
Long Positions 10 Short
Positions Breakout 10

System 2 20
Long Positions 20 Short
Positions Breakout 20

System 1 -
20 10
System 2 -
55 20

Turtle Trading
System
10 20 20%, 40%
100%
Turtles

-

 9
Tactics of the Turtles

Mies van der Rohe

Richard Dennis William Eckhardt Turtles
-
-
Turtles Turtles Limit Order
Market Order Limit Order
- Market Order
(Bid) (Offer) Bid
Offer
- Market Order
Bid Offer -
- Turtles

- Limit Order
Market Order
- Limit Order Turtles -


-
Turtles - Limit Order -

Turtles
-

- Market Order



(Offer)
-
(Offer)


Turtles (
) -
Market Order
Turtles

-

Turtles Turtles
Turtles

-
(Position Limit) (Position)
Turtles

 -
- Turtles


Turtles





Turtles

( )
Turtles Breakout
N N
Turtles 3
N



Turtles Long Position Short Position

Future Contract 2



Position Size Turtles
-

Turtle Trading System


Richard Dennis



80%

- Market Wizards Jack D. Schwager

Turtles
Turtles


Turtle Trading


Turtle Trading

?
?
?
?

Turtle Trading

Turtles Richard Dennis




Turtles

( 1 Unit N)
Position

Position



Turtle System,

- (Historical Trading Data)


8
20

 (Adding Units)

 10
Further Study

Berry Le Platner






(Paper Trading)

, ,

(Trading Psychology)

 (Money Management)
Money Management


, , (Money
Management)
(Money Management)

(Trading Research)

-
Curve-Fitting, OverOptimization, (Trading Statistic)