Strategy Turtle soup+1

This strategy is based on the « Turtle soup+1 » trading system developed by Larry Connors. It consists in detecting a bullish (bearish) signal among the last 20 candles of a Japanese candlestick.

There is a bullish signal if

  • The lowest price is recorded in the last candle
  • There are at least 3 candles between the 2 last lowest prices recorded
  • The close price of the last candle is above the former lowest price recorded

There is a bearish signal if

  • The highest price is detected in the last candle
  • There are at least 3 candles between the 2 last highest prices recorded
  • The close price of the last candle is below the former highest price recorded

We have added the following conditions to make the signal more relevant

In the case of a bullish signal :

  • The 20-day-CCI must be above -100
  • The 15-day-Repulse 15 must diverge upward against the two lowest prices recorded

In the case of a bearish signal :

  • The 20-day-CCI must be above 100
  • The 15-day-Repulse 15 must diverge downward against the two highers prices recorded

WARNING:

  • This trading system is dedicated to the most experienced investors
  • A stop loss allows you to close your position in the case you aren’t on the good way.

Efficieny rate of the strategy Turtle soup+1 on CAC40 companies on 08/11/2024

  
ACCOR95,57100,00               
AIR LIQUIDE98,34100,00               
AIRBUS98,76100,00               
ALCATEL-LUCENT - 100,00               
ALCATEL-LUCENT97,25100,00               
ALSTOM99,95 -               
ALSTOM - -               
ARCELORMITTAL SA94,4988,74               
AXA98,4499,71               
BNP PARIBAS ACT.A100,00100,00               
BOUYGUES98,7596,77               
CAPGEMINI98,21100,00               
CARREFOUR92,6399,67               
CREDIT AGRICOLE99,71100,00               
DANONE99,46100,00               
DEMO100,00100,00               
EDF94,66100,00               
ESSILOR INTL.91,37100,00               
ESSILORLUXOTTICA100,00 -               
KERING99,25100,00               
L'OREAL98,6897,30               
LAFARGEHOLCIM LTD96,27 -               
LEGRAND93,92100,00               
LVMH92,21100,00               
MICHELIN98,90100,00               
ORANGE94,87100,00               
PERNOD RICARD97,40100,00               
PEUGEOT97,57100,00               
PUBLICIS GROUPE SA95,61100,00               
RENAULT92,85 -               
SAFRAN99,6299,17               
SAINT GOBAIN100,0096,00               
SANOFI98,4897,50               
SCHNEIDER ELECTRIC100,00100,00               
SOCIETE GENERALE99,35100,00               
SOLVAY98,4186,95               
STELLANTIS NV - -               
TECHNIP99,89100,00               
TECHNIPFMC100,00 -               
TOTAL100,00 -               
TOTALENERGIES100,0033,07               
UNIBAIL-RODAMCO100,00 -               
VALEO94,07100,00               
VEOLIA ENVIRON.100,00100,00               
VINCI99,44100,00               
VIVENDI SE98,46100,00               

Evolution of the efficiency rate of the strategy Turtle soup+1

 

Methodology applied :

The methodology applied to calculate the efficiency of a strategy is as follows:

  • Bullish and bearish signals are calculated every evening when the market is closed.
  • The reference price corresponds to the opening price following the detection of the signal.
  • The gain or the loss is calculated over a period of 40 days following the detection of the signal by taking the highest closing price recorded over the period.
  • This period is reduced in case of detection of an inverse signal.
  • The efficiency rate is calculated by dividing the sum of gains and losses on the sum by the sum of the gains.

This efficency is displayed in %.