2012 10 31 Turtle Trading Model (Original)

Signals & Position Sizes
Long Instrument
COFFEE 'C' FUTURE Dec12 COCOA FUTURE USD-CHF X-RATE EUR-USD X-RATE GBP-USD X-RATE USD-JPY X-RATE USD-CAD X-RATE S&P 500 INDEX Gold Spot $/Oz Dec12 Silver Spot $/Oz COPPER FUTURE WTI CRUDE FUTURE Dec12 HEATING OIL FUTR Nov12 NATURAL GAS FUTR Dec12 Dec12 SUGAR #11 (WORLD) Mar13
31 October 2012
Entries Type Trade lot

CFD CFD CFD Spot Spot Spot Spot Spot CFD Spot Spot CFD CFD CFD CFD 3,000 2 30,000 23,000 17,000 18,000 24,000 26,000 10 8 225 2,000 50 2,500 1,000
Exits Unit 3
190.12 2,772 22.23 0.9861 1.3264 1.6396 80.89 1.0072
Stops Unit 1 Unit 2

178.44 2,609 21.08 0.9706 1.3034 1.6178 79.62 0.9922 1,452.38 1,770.69 34.3651 374.80 97.87 318.22 3.780
Close Dist.
157.20 2,390 19.56 0.9324 1.2959 1.6073 79.63 0.9994 1,411.94 1,709.60 31.7725 350.60 85.68 308.66 3.691 6.05 4.86 4.78 7.63 2.31 2.71 1.48 0.30 4.24 5.11 5.39 5.46 7.31 3.19 2.20
Unit 1
185.45 2,707 21.77 0.9799 1.3172 1.6309 80.38 1.0012 1,474.51 1,796.08 35.3650 383.95 101.01 326.68 3.970
Unit 2
187.79 2,740 22.00 0.9830 1.3218 1.6353 80.63 1.0042 1,481.89 1,804.54 35.6983 387.00 102.06 329.50 4.033
Unit 4
192.46 2,805 22.46 0.9892 1.3310 1.6440 81.14 1.0102 1,496.64 1,821.47 36.3649 393.10 104.15 335.14 4.160 156.30 2,338 19.27 0.9215 1.2826 1.5914 77.95 0.9736 1,405.14 1,698.86 31.5238 348.20 84.66 301.61 3.609
Unit 3
180.78 2,642 21.31 0.9737 1.3080 1.6222 79.87 0.9952 1,459.76 1,779.16 34.6984 377.85 98.91 321.04 3.843
Unit 4
183.11 2,674 21.54 0.9768 1.3126 1.6265 80.13 0.9982 1,467.13 1,787.62 35.0317 380.90 99.96 323.86 3.907
176.11 2,577 20.85 0.9675 1.2988 1.6135 79.37 0.9892 1,445.01 1,762.23 34.0318 371.74 96.82 315.40 3.716
1,489.26 1,813.00 36.0316 390.05 103.11 332.32 4.097
Source: Bloomberg L.P., Saxo Bank Strategy & Research
Short Instrument
COFFEE 'C' FUTURE Dec12 COCOA FUTURE USD-CHF X-RATE EUR-USD X-RATE GBP-USD X-RATE USD-JPY X-RATE USD-CAD X-RATE S&P 500 INDEX Gold Spot $/Oz Dec12 Silver Spot $/Oz COPPER FUTURE WTI CRUDE FUTURE Dec12 HEATING OIL FUTR Nov12 NATURAL GAS FUTR Dec12 Dec12 SUGAR #11 (WORLD) Mar13
Entries Type Trade lot

CFD CFD CFD Spot Spot Spot Spot Spot CFD Spot Spot CFD CFD CFD CFD 3,000 2 30,000 23,000 17,000 18,000 24,000 26,000 10 8 225 2,000 50 2,500 1,000
Exits Unit 3
151.63 2,273 18.81 0.9153 1.2164 1.5550 76.62 0.9573
Stops Unit 1 Unit 2

163.31 2,436 19.96 0.9308 1.2394 1.5768 77.89 0.9723 1,417.75 1,615.62 28.5299 343.80 87.80 310.07 3.245
Close Dist.
157.20 2,390 19.56 0.9324 1.2959 1.6073 79.63 0.9994 1,411.94 1,709.60 31.7725 350.60 85.68 308.66 3.691 0.19 0.80 0.63 1.75 7.64 5.01 4.94 6.03 1.11 7.05 6.36 2.61 0.49 1.25 5.01
Unit 1
156.30 2,338 19.27 0.9215 1.2256 1.5637 77.13 0.9633 1,395.62 1,590.23 27.5300 334.65 84.66 301.61 3.055
Unit 2
153.96 2,305 19.04 0.9184 1.2210 1.5593 76.88 0.9603 1,388.24 1,581.77 27.1967 331.60 83.61 298.79 2.992
Unit 4
149.29 2,240 18.58 0.9122 1.2118 1.5506 76.37 0.9543 1,373.49 1,564.84 26.5301 325.50 81.52 293.15 2.865 185.45 2,526 21.77 0.9432 1.3140 1.6217 80.38 1.0012 1,470.96 1,796.08 35.1100 382.25 94.02 326.68 3.970
Unit 3
160.97 2,403 19.73 0.9277 1.2348 1.5724 77.64 0.9693 1,410.37 1,607.15 28.1966 340.75 86.76 307.25 3.182
Unit 4
158.64 2,371 19.50 0.9246 1.2302 1.5681 77.38 0.9663 1,403.00 1,598.69 27.8633 337.70 85.71 304.43 3.118
165.64 2,468 20.19 0.9339 1.2440 1.5811 78.14 0.9753 1,425.12 1,624.08 28.8632 346.86 88.85 312.89 3.309
1,380.87 1,573.31 26.8634 328.55 82.56 295.97 2.928
Source: Bloomberg L.P., Saxo Bank Strategy & Research
How to understand the tables

Figures are based on an account size of EUR 50,000. In order to use the tables for a different account size the figures must be scaled relatively. For example, an account size of EUR 25,000 should divide the trade sizes by two. Trade lot refers to the amount to be bought or sold in Saxo Trader assuming CFD instruments for all commodities and S&P 500 E-Mini, spot for FX and precious metals. For example, sugar's trade size is measured in pounds and WTI crude is measured in barrels. Dist. (distance) is measured as the distance to Unit 1 divided by ATR (20 days). If distance is zero and flashing green it means that the latest closing price was either above or below the first unit (or multiple units if the move was big) depending on the trade being long or short. This indicates that a position should be made with buying or selling the units whenever the price is reached with each unit consisting of the trade size. When a trade is initiated, entry points for unit 2-4 are the prices observed when the signal occurred and can be used to enter limit orders with the price points for each unit when entering a trade
(see example below).

All other instruments than spot FX and precious metals the positions have to be rolled. Saxo Trader provides the expiration dates on all commodities and stock indices.
Trade example
This trade example is based on Donchian figures for Coffee calculated as of June 6, 2012. The prior closing price was 156.20 and the distance was 0.33 with short entries for unit 1-4 of 154.65, 152.31, 149.96 and 147.62 respectively and stops for unit 1-4 of 164.03, 161.68, 159.34 and 156.99 respectively. The trade size was 37,500 (pounds) per unit. In this example it is assumed that the distance was zero and flashing green thus indicating that the closing price was not 156.20 but instead something below the first unit's short entry price of 154.65 - for example 153.10. How should Coffee be traded with the current information on hand? Given the closing price of 153.10 a short signal was triggered as 153.10 was below the first short unit entry point of 154.65. The first short unit based on 37,500 pounds should thus be added on the open at the available price e.g. 153.15. The entries and stops for unit 2-4 on the day the trade is initialised should be used going forward. One way to do this, is by immediately setting up limit orders for the next short units 2-4 on 152.31, 149.96 and 147.62 respectively with a trade size of 37,500 on each limit order. Every short unit should be accompanied by stops based on the stop prices indicated in the table. Stops can either be set up as units are added or instead executed intraday with market orders if
stops are reached.
DISCLAIMER - GENERAL
None of the information contained herein constitutes an offer (or solicitation of an offer) to buy or sell any currency, product or financial instrument, to make any investment, or to participate in any particular trading strategy. This material is produced for marketing and/or informational purposes only and Saxo Bank A/S and its owners, subsidiaries and affiliates whether acting directly or through branch offices (Saxo Bank) make no representation or warranty, and assume no liability, for the accuracy or completeness of the information provided herein. In providing this material Saxo Bank has not taken into account any particular recipients investment objectives, special investment goals, financial situation, and specific needs and demands and nothing herein is intended
as a recommendation for any recipient to invest or divest in a particular manner and Saxo Bank assumes no liability for any recipient sustaining a loss from trading in accordance with a perceived
recommendation. All investments entail a risk and may result in both profits and losses. In particular investments in leveraged products, such as but not limited to foreign exchange, derivates and commodities can be very speculative and profits and losses may fluctuate both violently and rapidly. Speculative trading is not suitable for all investors and all recipients should carefully consider their financial situation and consult financial advisor(s) in order to understand the risks involved and ensure the suitability of their situation prior to making any investment, divestment or entering into any transaction. Any mentioning herein, if any, of any risk may not be, and should not be considered to be, neither a comprehensive disclosure or risks nor a comprehensive description such risks. Any expression of opinion may be personal to the author and may not reflect the opinion of Saxo Bank and all expressions of opinion are subject to change without notice (neither prior nor subsequent). Whilst reasonable care has been taken to ensure that the contents of this document are not untrue or misleading, it has not been the subject of independent verification and no representation is made as to its accuracy or completeness. No liability is accepted for any loss arising from reliance on it. This document and its contents are confidential and should not be copied, distributed, published or reproduced in whole or in part or disclosed by recipients to any other person. Any information or opinions in this document are not intended for distribution to, or use by, any person in any jurisdiction or country where such distribution or use would be lawful. The information in this document is not directed at or intended for US Persons within the meaning of the United States Securities Act of 1993, as amended and the United States Securities Exchange Act of 1934, as amended. This investment research has not been prepared in accordance with legal requirements designed to promote the independence of investment research. Further it is not subject to any prohibition on
dealing ahead of the dissemination of investment research.

Saxo Bank, its affiliates or staff, may perform services for, solicit business from, hold long or short positions in, or otherwise be interested in the investments (including derivatives), of ant issuer mentioned herein. This disclaimer is subject to Saxo Bank's Full Disclaimer available at www.saxobank.com/disclaimer.

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Signals & Position Sizes

Entries Type Trade lot

Stops Unit 1 Unit 2

1,489.26 1,813.00 36.0316 390.05 103.11 332.32 4.097

Source: Bloomberg L.P., Saxo Bank Strategy & Research

Entries Type Trade lot

Stops Unit 1 Unit 2

1,380.87 1,573.31 26.8634 328.55 82.56 295.97 2.928

Source: Bloomberg L.P., Saxo Bank Strategy & Research

How to understand the tables

(see example below).

stops are reached.

dealing ahead of the dissemination of investment research.

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