Watch out that you don't bite off too much than you can chew. The rules for turtles are simple - but you must remember that they put a large importance on stock selection prior to actually trading the stock. So you will end up with a pretty complicated hypothesis. My suggestion would be that you keep it simple. Try a simple hypothesis, that states that it is possible to beat a buy-to-hold strategy by cycling in and out of a stock (a bit thin, the hypothesis would need work). Pick a stock that has consistently generated returns, like SAB, so as to remove a whole lot of variables, like profitability, returns, etc. Then chose any TA strategy - the turtles would be a good one, to demonstrate that using the same initial position as margin on a leveraged call, you can generate a better return than simply buying and holding. Just a thought
