A Multi-Stock Turtle-Style Strategy Using Rolling Closing-Price Extremes

Summary

This Chinese equity strategy applies a simple Turtle-inspired rule to five named stocks. It defines a recent high using the highest closing price over 20 sessions and a recent low using the lowest close over 10 sessions. The stated rule buys when the high exceeds the low and sells when the low exceeds the high, with trades placed at the open. The listed universe includes large and state-linked companies across consumer, telecom, banking, and oil sectors.

The page specifies a daily stock-bar data table, a backtest beginning in 2020 and running through the present, and initial capital of 500,000. It provides no numerical performance results, risk statistics, or details on portfolio allocation and transaction costs. The comparison of a rolling high with a rolling low is not a conventional price breakout trigger by itself, and the page does not clarify signal persistence, position sizing, or handling of overlapping holdings. The strategy description is therefore a basic specification rather than evidence of an effective Turtle implementation.

Key ideas

• The strategy tracks a 20-session highest close and a 10-session lowest close for five specified Chinese stocks.
• It states that a high above the low triggers a purchase and the reverse comparison triggers a sale.
• Orders are described as executing at the market open using daily stock-bar data.
• The page gives a backtest period and starting capital but reports no performance or risk results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.