1. The Original Turtle Trading Rules

2. Background
 Richard Dennis, set up a group of 13 people and tranned them about trading stock market (year 1989).
Two months later after done with tranning, Dennis funded each of people with $500,000 to $2,000,000

3. Background
Over next four years, they earned an average annual compound rate of return of 80%

4. 1. A Complete Trading System
System provides answer for trading
System follows a set of rules
No human emotion involves in trading
Buy
Buy
Sell

5. 2. Know what to buy and sell
The Turtles traded all liquid U.S markets except the grains (small contracts)and the meats(a corruption problem).
Industries
Aerospace & Defense Chemicals Exchange Traded Funds Oil, Gas & Energy Agriculture, Paper &Packaging Clean Tech Food Manufacturing & Products Publishing& Media Automotive Closed End Funds & Investment Companies Healthcare & Pharmaceutical Real Estate Banks, Financial Services & Insurance Computers, Technology & Internet Industrial & Manufacturing Telecommunications Biotechnology Consumer & Retail Products Leisure & Entertainment Transportation Building & Construction Distr. Unit Trusts & Funds Metals & Mining Utilities Business & Support Services Electronics & Engineering

6. 3. Position Sizing Dollar Volatility Adjustment
True Range = Maximum(H-L,H-PDC,PDC-L)
where H - Current High
L - Current Low
PDC - Previous Day's Close
N = (19 X PDN + TR)/20
where PDN - Previous Day's N
TR - Current Day's True Range
Dollar Volatility Adjustment
Dollar Volatility = N * Dollars per Point
Unit Size = 1% of Account / Market Dollar Volatility

7. 3. Position Sizing

8. 3. Position Sizing
N.php?thesymbol=MSFT

9. 3. Position Sizing Level Type Maximum Unit 1 Single Market 4 Units
Closely Correlated Market Units
Loosely Correlated Market Units
Single Direction - Long or Short Units
Single Market
Closely Correlated Market -- heating oil and crude oil; gold and silver
Loosely Correlated Market -- gold and copper ; silver and copper
Single Direction

10. 3. Position Sizing
Adjusting Trading Size The Turtle were instructed to decreased the size of account by 20% if we went down 10%
Trading $1,000,000 -> account went down (10%) $100,000 = left $900,000
Next Trading we have $800,000 -> account went down (10%) $80,000 = left 720,000 Next Trading we have $640,000

11. 4. Entries System 1 - A short term system based on a 20-day breakout.
System 2 - A simpler long-term system based on a 55- days breakout.
System 1 Entry
Price > average 20-day high = buy one unit (long position)
Price < average 20-day low = sell one unit (short position)
System 2 Entry
Price > average 55-day high = buy one unit (long position)
Price < average 55-day low = sell one unit (short position)

12. 4. Entries

13. 5. Stops
"There are old traders; and there are bold traders; but there are no old bold traders" Traders that don't use stops go broke. Since N = 1% of Account Equity , So the maximum stop would be 2% (2N) For Example Crude Oil N = days breakout = Entry Price Stop First Unit Second Unit Third Unit

14. 5. Stops N = 1.20 55 days breakout = 28.30 Entry Price Stop
First Unit
Second Unit
Third Unit
Fourth Unit

15. 5. Stops

16. 6. Exits
The system 1 exit = 10 days low/high for long positions
The system 2 exit = 20 days low/high for long positions
“Waiting for a 10 or 20 days new low can often mean watching 20%, 40% even 100% of significant profits evaporate”

17. 7. Tactics
limit orders is better than market orders-offer a chance for better fills and less slippage
bid price > ask price = trading
Fast Market
A market can move thousands of dollars per contract in a few minutes - do not panic and wait for the market to trade
Simultaneous Entry Signals
If a market occurs the stretch of a few hours , take the trade as they came.
Buy Strength and Sell Weakness
use Visual examination

18. Today

19. Testing

20. Testing

21. Testing

22. Testing

23. Testing