Strategy Report: Turtle Strategy

| Strategy Description

The Turtle Trading strategy is a famous trend-following approach developed by legendary commodity traders Richard Dennis and William Eckhardt in the early 1980s. The strategy involves buying a stock or contract during a breakout (when prices move above a trading range) and quickly selling on a retracement or price fall. The strategy is traded on the top 10 stocks from index S&P 500 MOMENTUM.

Key StatisticsBacktestLiveBacktestLive
Runtime Days3606{{$KPI-DAYS-LIVE}} Drawdown8.9%{{$KPI-LIVE-DRAWDOWN}}
Turnover1%{{$KPI-LIVE-TURNOVER}} Probabilistic SR2%{{$KPI-LIVE-PSR}}
CAGR4.7%{{$KPI-LIVE-CAGR}} Sharpe Ratio0.2{{$KPI-LIVE-SHARPE}}
Capacity (USD)720M Sortino Ratio0.2{{$KPI-LIVE-SORTINO}}
Trades per Day0.0{{$KPI-LIVE-TRADES-PER-DAY}} Information Ratio-0.5{{$KPI-LIVE-INFORMATION-RATIO}}
Drawdown Recovery0{{$KPI-LIVE-DRAWDOWN-RECOVERY}}
Monthly Returns
Cumulative Returns
Annual Returns
Returns Per Trade
Asset Allocation
Drawdown
Strategy Report Summary: Turtle Strategy
Daily Returns
Rolling Portfolio Beta
Rolling Sharpe Ratio
Leverage
Long-Short Exposure
Strategy Report Summary: Turtle Strategy
Market Sell-Off 2015
New Normal 2014-2019
COVID-19 Pandemic 2020
Post-COVID Run-up 2020-2021
Meme Season 2021
Russia Invades Ukraine 2022-2023
AI Boom 2022-Present
Strategy Report Summary: Turtle Strategy
Parameters
entry_length 20 exit_length 10
risk_percentage 2.5 symbols AVGO
market_type equity