Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Testing a price breakout strategy using Donchian Channels
This research report implements and tests the effectiveness of a trend following trading strategy on the South African Futures Exchange (SAFEX) through utilising Donchian Channels and modelled after the 'Turtle method' which was first popularized in the United States in the 1970s before the automati...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2016
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613204688928768 |
|---|---|
| access_status_str | Open Access |
| author | Swart, Justin-Niall |
| author2 | Van Rensburg, Paul |
| author_browse | Swart, Justin-Niall Van Rensburg, Paul |
| author_facet | Van Rensburg, Paul Swart, Justin-Niall |
| author_sort | Swart, Justin-Niall |
| collection | Thesis |
| description | This research report implements and tests the effectiveness of a trend following trading strategy on the South African Futures Exchange (SAFEX) through utilising Donchian Channels and modelled after the 'Turtle method' which was first popularized in the United States in the 1970s before the automation of trading models. Prior literature focused on the commodities and equity indices spectrum of futures contracts in North American and Asian markets while this report replicates the model and attempts to optimize it for use on the SAFEX. The objective of this research is to invigorate academic study of trading strategies in the South African market by employing what was a successful, albeit very simple, trend following strategy on a sparsely studied academic field in South Africa. The contrarian trading strategy comprises three systems that generate idiosyncratic entry and exit signals using Donchian Channel theory to identify a price breakout from an average true range (ATR) band in the attempt to profitably trade on a price trend. The three systems implemented include: The short term system (System 1) generating a 'long' position when an instrument price moves above the 20-day 'high' and exit when it moves below the 10-day 'low', and vice versa for short positions; the long term system (System 2) following the same logic with 55-day entries and 20-day exits, and a third system (Integrated system) integrating the short and long term systems. A 20-day average true range is used to determine position sizing, stop-losses and additional contract purchases when a price-trend is potentially identified, while fractional asset allocation theory is drawn upon to determine optimal capital allocation to position. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/21754 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:26.116Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2016 |
| publishDateRange | 2016 |
| publishDateSort | 2016 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/21754 Testing a price breakout strategy using Donchian Channels Swart, Justin-Niall Van Rensburg, Paul Investment Management This research report implements and tests the effectiveness of a trend following trading strategy on the South African Futures Exchange (SAFEX) through utilising Donchian Channels and modelled after the 'Turtle method' which was first popularized in the United States in the 1970s before the automation of trading models. Prior literature focused on the commodities and equity indices spectrum of futures contracts in North American and Asian markets while this report replicates the model and attempts to optimize it for use on the SAFEX. The objective of this research is to invigorate academic study of trading strategies in the South African market by employing what was a successful, albeit very simple, trend following strategy on a sparsely studied academic field in South Africa. The contrarian trading strategy comprises three systems that generate idiosyncratic entry and exit signals using Donchian Channel theory to identify a price breakout from an average true range (ATR) band in the attempt to profitably trade on a price trend. The three systems implemented include: The short term system (System 1) generating a 'long' position when an instrument price moves above the 20-day 'high' and exit when it moves below the 10-day 'low', and vice versa for short positions; the long term system (System 2) following the same logic with 55-day entries and 20-day exits, and a third system (Integrated system) integrating the short and long term systems. A 20-day average true range is used to determine position sizing, stop-losses and additional contract purchases when a price-trend is potentially identified, while fractional asset allocation theory is drawn upon to determine optimal capital allocation to position. 2016-09-14T12:50:51Z 2016-09-14T12:50:51Z 2016 Master Thesis Masters MCom http://hdl.handle.net/11427/21754 eng application/pdf Department of Finance and Tax Faculty of Commerce University of Cape Town |
| spellingShingle | Investment Management Swart, Justin-Niall Testing a price breakout strategy using Donchian Channels |
| thesis_degree_str | Master's |
| title | Testing a price breakout strategy using Donchian Channels |
| title_full | Testing a price breakout strategy using Donchian Channels |
| title_fullStr | Testing a price breakout strategy using Donchian Channels |
| title_full_unstemmed | Testing a price breakout strategy using Donchian Channels |
| title_short | Testing a price breakout strategy using Donchian Channels |
| title_sort | testing a price breakout strategy using donchian channels |
| topic | Investment Management |
| url | http://hdl.handle.net/11427/21754 |
| work_keys_str_mv | AT swartjustinniall testingapricebreakoutstrategyusingdonchianchannels |