Turtle-Style 20-Day Breakout Entries and 10-Day Exits in Rubber Futures

Summary

This note presents a simplified Turtle trend-following system and applies it to a rubber futures contract. It frames the approach around seeking positive long-run expectancy, controlling risk, following rules consistently, and favoring simplicity. The concrete example enters long when the close exceeds the highest level of the prior 20 trading days and exits when the close falls below the lowest level of the prior 10 days, with trades executed at the close.

The document identifies the instrument and a sample period, but provides no performance results, risk sizing, stop-loss rules, or transaction cost analysis. It is therefore a compact rule description rather than evidence that the example was profitable or robust. The stated principles emphasize risk control and disciplined execution, while the example itself specifies only entry and exit triggers.

Key ideas

• The example enters a long position when the close breaks above the previous 20 trading days’ high.
• It exits when the close falls below the previous 10 trading days’ low.
• The note presents positive expectancy, risk control, consistent execution, and simplicity as core system principles.
• The example names a rubber futures contract and a sample period but provides no performance statistics or sizing rules.

Tags

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