Turtle Soup strategy

The Turtle Soup trading strategy, however, does not react to all signals all the time. It uses a signals filter and a time filter. The time filter block all signals outside the period 06h00- 22h00. The signals filter consists of two exponential moving averages (EMA), a 21-period EMA and a 30-period EMA. When the fast EMA (21-period) lies above the slow EMA (30-period) only buy signals are accepted. When the fast EMA lies below the slow EMA only short sell signals are accepted.

The Turtle Soup strategy uses a stop. The stop is a fixed stop calculated as 3x the 20-period ATR (average true range). This stop is far from the market price. It can be considered an emergency stop which will rarely be hit.

Positions are also closed when the market price reaches a 5-period high or low. To be precise, a long position will be closed when the market price hits a 5-period high. A short sell position will be closed when the market price hits a 5-period low. Open positions are closed at the close of the 30-minute period.