| Strategy Description |
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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 markets in the Russell 1000 index by market cap that meet a profit factor > 2 over the last 5 and 10 years rebalance yearly. |
Key Statistics | Backtest | Live | Backtest | Live | |
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Runtime Days | 3606 | {{$KPI-DAYS-LIVE}} | Drawdown | 15.2% | {{$KPI-LIVE-DRAWDOWN}} |
Turnover | 1% | {{$KPI-LIVE-TURNOVER}} | Probabilistic SR | 9% | {{$KPI-LIVE-PSR}} |
CAGR | 7.3% | {{$KPI-LIVE-CAGR}} | Sharpe Ratio | 0.4 | {{$KPI-LIVE-SHARPE}} |
Capacity (USD) | 770M | Sortino Ratio | 0.4 | {{$KPI-LIVE-SORTINO}} | |
Trades per Day | 0.0 | {{$KPI-LIVE-TRADES-PER-DAY}} | Information Ratio | -0.3 | {{$KPI-LIVE-INFORMATION-RATIO}} |
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