STI Turtle Trading Breakout

Dow closed at 12609.42 on Friday trading session. For the week ending 4 Apr 08, Dow was up 393 points.

STI closed at 3155.56, up 123 points for the week. If you look at the weekly chart for the STI, you can see that it is the 2^nd consecutive “White” candle. Both “White” candles closed near the high which is a bullish sign.

The STI also broke through its 20 day high on 2 Apr 08. If you are a breakout player, then you will look to buy at this level.

Let’s take a look at a simple breakout system called Turtle Trading System. This system was popularized by Richard Donchian. It uses 20 day breakout as an entry rule for both long and short trades. The duration of the test is from Apr 1998 to 4 Apr 2008.

Let’s assume the following breakout rules:

Entry

1. Today’s Close must be greater than the High of the previous 20 trading day
2. If condition 1 is true, buy at the opening price on the next trading day.

Exit

1. Today’s Close must be less than the Low of the previous 20 trading day
2. If condition 1 is true, sell at the opening price on the next trading day.

The trading result is shown below:

Winning trades:

Entry Date	Entry Price	Exit Date	Exit Price	Change %	Draw Down %	Max Gain %
10/13/1998	1,019.80	2/4/1999	1,371.46	34.48	-3.3359	55.0402
3/5/1999	1,441.85	7/23/1999	2,066.30	43.31	-0.4466	55.8713
11/12/1999	2,155.49	1/20/2000	2,265.25	5.09	0	19.8308
10/18/2001	1,420.57	4/10/2002	1,741.56	22.6	-6.8648	30.1583
5/30/2003	1,344.08	9/11/2003	1,561.99	16.21	-0.0699	22.1825
9/25/2003	1,618.40	11/12/2003	1,703.51	5.26	-0.2713	11.5268
12/31/2003	1,765.85	3/12/2004	1,821.54	3.15	-0.0753	8.3291
7/1/2004	1,840.31	10/15/2004	1,945.21	5.7	-0.545	9.8679
1/4/2005	2,069.12	4/19/2005	2,120.51	2.48	-0.3446	5.9044
5/13/2005	2,175.59	10/20/2005	2,239.72	2.95	-1.7471	10.3034
11/21/2005	2,297.42	5/17/2006	2,525.14	9.91	-1.3728	16.0576
7/3/2006	2,435.35	3/6/2007	2,997.61	23.09	-4.7763	36.1702
4/5/2007	3,332.39	7/30/2007	3,467.36	4.05	-1.2336	10.6887
9/6/2007	3,374.01	11/12/2007	3,531.23	4.66	-0.1603	15.772
4/3/2008	3,124.61	Open	Open	0.99	-0.1421	1.6392
			Average	12.262	-1.425706667	20.62282667

Losing trades:

Entry Date	Entry Price	Exit Date	Exit Price	Change %	Draw Down %	Max Gain %
3/28/2000	2,220.32	4/18/2000	2,057.69	-7.32	-10.7656	0.6454
4/8/2003	1,322.66	4/25/2003	1,233.67	-6.73	-6.7281	0.9413
11/2/2000	2,035.93	12/22/2000	1,906.38	-6.36	-7.0823	1.6474
1/14/2003	1,386.21	1/30/2003	1,309.24	-5.55	-6.0135	1.45
5/2/2001	1,735.75	7/9/2001	1,647.62	-5.08	-5.6834	1.0716
4/12/2004	1,902.82	4/30/2004	1,810.19	-4.87	-4.868	0.1813
2/1/2001	1,984.43	2/28/2001	1,914.77	-3.51	-3.5103	0.8012
7/20/2000	2,137.35	9/13/2000	2,081.77	-2.6	-6.021	3.9198
11/18/2004	2,048.25	12/10/2004	2,006.12	-2.06	-2.3977	1.3836
			Average	-4.8977778	-5.896655556	1.337955556

There were a total of 24 trades with 15 winners and 9 losers. The average win is 12.26% and average loss is 4.89%.