Testing a price breakout strategy using Donchian Channels

Simple item page
dc.contributor.advisorVan Rensburg, Paulen_ZA
dc.contributor.authorSwart, Justin-Niallen_ZA
dc.date.accessioned2016-09-14T12:50:51Z
dc.date.available2016-09-14T12:50:51Z
dc.date.issued2016en_ZA
dc.description.abstractThis 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.en_ZA
dc.identifier.apacitationSwart, J. (2016). <i>Testing a price breakout strategy using Donchian Channels</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/21754en_ZA
dc.identifier.chicagocitationSwart, Justin-Niall. <i>"Testing a price breakout strategy using Donchian Channels."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016. http://hdl.handle.net/11427/21754en_ZA
dc.identifier.citationSwart, J. 2016. Testing a price breakout strategy using Donchian Channels. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Swart, Justin-Niall AB - 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. DA - 2016 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2016 T1 - Testing a price breakout strategy using Donchian Channels TI - Testing a price breakout strategy using Donchian Channels UR - http://hdl.handle.net/11427/21754 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/21754
dc.identifier.vancouvercitationSwart J. Testing a price breakout strategy using Donchian Channels. [Thesis]. University of Cape Town ,Faculty of Commerce ,Department of Finance and Tax, 2016 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/21754en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Finance and Taxen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherInvestment Managementen_ZA
dc.titleTesting a price breakout strategy using Donchian Channelsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMComen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
thesis_com_2016_swart_justin_niall.pdf
Size:
13.14 MB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Masters