Taking a Peek Inside the Turtle's Shell: A Review of Trading Models and Money Management

摘要: This paper considers two issues. Firstly it examines the efficacy of a mechanical trading model freely available from 'Turtletrader' web page on Internet. The results are tested against Efficient Market Hypothesis (EMH) Weak-Form as proposed by Fama (1970). findings show that EMH fails to describe profits generated when examining CBOT Corn and T-Bond futures contracts. second issue examined is impact optimal fixed fraction (or f) determine minimum account capitalisation reinvestment issues portfolio per method in Vince (1990). When considered, insufficient funds rapidly produces with zero balance.