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AdTurtle: An Advanced Turtle Trading System

Author

Listed:
  • Dimitrios Vezeris

    (COSMOS4U, 67100 Xanthi, Greece)

  • Ioannis Karkanis

    (COSMOS4U, 67100 Xanthi, Greece)

  • Themistoklis Kyrgos

    (COSMOS4U, 67100 Xanthi, Greece)

Abstract

For this research, we implemented a trading system based on the Turtle rules and examined its efficiency when trading selected assets from the Forex, Metals, Commodities, Energy and Cryptocurrency Markets using historical data. Afterwards, we enhanced our Turtle-based trading system with additional conditions for opening a new position. Specifically, we added an exclusion zone based on the ATR indicator, in order to have controlled conditions for opening a new position after a stop loss signal was triggered. Thus, AdTurtle was developed, a Turtle trading system with advanced algorithms of opening and closing positions. To the best of our knowledge, for the first time this variation of the Turtle trading system has been developed and examined.

Suggested Citation

  • Dimitrios Vezeris & Ioannis Karkanis & Themistoklis Kyrgos, 2019. "AdTurtle: An Advanced Turtle Trading System," JRFM, MDPI, vol. 12(2), pages 1-52, June.
    • Handle: RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:96-:d:238179
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    References listed on IDEAS

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    1. Chandrinos, Spyros K. & Lagaros, Nikos D., 2018. "Construction of currency portfolios by means of an optimized investment strategy," Operations Research Perspectives, Elsevier, vol. 5(C), pages 32-44.
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    Cited by:

    1. Nikolay Ivanov & Qiben Yan, 2021. "Constraint-Based Inference of Heuristics for Foreign Exchange Trade Model Optimization," Papers 2105.14194, arXiv.org.
    2. Jun-Cheng Chen & Cong-Xiao Chen & Li-Juan Duan & Zhi Cai, 2022. "DDPG based on multi-scale strokes for financial time series trading strategy," Papers 2207.10071, arXiv.org.
    3. Perry Sadorsky, 2021. "Predicting Gold and Silver Price Direction Using Tree-Based Classifiers," JRFM, MDPI, vol. 14(5), pages 1-21, April.

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