Commodity traders who ran the Turtle experiment
Richard Dennis & William Eckhardt
Richard Dennis (born 1949) is a Chicago commodities speculator, nicknamed the 'Prince of the Pit', who started as an order runner at the Chicago Mercantile Exchange at 17. His trading partner William Eckhardt left graduate study in mathematics for the trading pits. In 1983–84 they recruited 23 trainees through newspaper ads, taught them a rule-based trend-following system in two weeks and funded their accounts, to settle a bet over whether trading could be taught.
What they argue
- Dennis held that successful trading rests on rules that can be taught; Eckhardt argued it needed innate talent. The 'Turtle' experiment settled their bet in Dennis's favour.
- The Turtle rules entered on breakouts to new 20- or 55-day highs or lows, sized positions by volatility (N, a 20-day average true range) and placed stops 2N from entry.
- Eckhardt argued that human nature aims to maximise the chance of a gain rather than the size of gains, which favours mechanical systems and small risk per trade (he cited about 2%).
Sources
Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.
Books and papers
- The Original Turtle Trading Rules (OriginalTurtles.org; Curtis Faith and the original Turtles) (2003)
- Way of the Turtle (Curtis Faith, McGraw-Hill) (2007)
- Market Wizards (Jack D. Schwager; includes Dennis interview) (1989)
- The New Market Wizards (Jack D. Schwager; includes Eckhardt interview) (1992)
Turtle System 1 (20/10)
Rule and full recordBreakouts & channels · daily
The Turtles' short-term system: buy a 20-day breakout, sell a 10-day low, but skip a breakout if the last one would have been a winner.
Best risk-adjusted results against buy and hold:
Turtle System 2 (55/20)
Rule and full recordBreakouts & channels · daily
The Turtles' long-term system: buy every 55-day breakout, sell a 20-day low.
Best risk-adjusted results against buy and hold: