However, there are so many people studying turtle trading rules now. My opinion can only represent the opinion of one family, and it is inevitable that it will be biased. Let's have a look.
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Generally speaking, in the turtle trading rules, why should volatility be used to separate the open positions?
I think this is mainly because the position size has been designed in the fluctuation of turtles. The position size is related to the stop loss rule. Therefore, under the appearance of fluctuation, the process of adding positions is actually an operational behavior centered on risk control and management. However, there are some deep things hidden here.
I will expand my point of view below.
Let's talk about the opening rules of turtles first, and then discuss further adding positions.
Turtle's initial rules for opening positions include two parts, which are called market entry strategy in the book, as shown in the figure below:
To put it simply, the turtle sends a signal to open the warehouse by breaking through the Qi Tang passage.
But we need to pay attention to one thing. Of the turtle's two systems, only system 2 mentioned the rule of adding positions. System 1 only discusses signal discrimination. I won't waste space here to post the original text of the turtle. I suggest you compare the book Tortoise. This paragraph is on page 232.
Here, I think it is necessary to make a short trip first. Let's start with the turtle system 1.
The system 1 distinguishes the effectiveness of signals, which are profit breakthrough and loss breakthrough respectively. There are no other breakthroughs defined in the book, so we can understand that once the system 1 sends a trading signal, the subsequent judgment of this signal is only a binary definition of "profit breakthrough" and "loss breakthrough". This has nothing to do with whether the position is profitable or not.
Let's take a look at the original words: "If the last breakthrough was a profit breakthrough (that is, a profit transaction), then the current entry signal of the system 1 will be ignored."
Literally, because the Qi Tang safe passage itself is describing a new high or a new low. If the signal is that the price has broken through the high point of Ansai Road in Tang Qi (for example, rising), then the process of the price hitting a new high can be regarded as that the system is constantly sending out signals. Turtles can't do more at every new high. So, only buy at the first breakthrough. This signal is regarded as a valid signal. I won't buy it if I break through in the future. In other words, it is more likely that the system 1 only has a bottom warehouse without adding a warehouse.
Let's study the definition of loss breakthrough again: if the price after the breakthrough date changes unfavorably by 2N before the position has a chance to withdraw from profit (according to the 10 breakthrough exit rule), it is regarded as a loss breakthrough.
This actually means that when opening a position, an initial stop loss is set at the 2N position in the unfavorable direction. Friends who don't know the meaning of n don't worry, I'll talk about it in detail later. Now, let's temporarily understand n as n minimum price changes)
If this initial stop loss is triggered, then the breakthrough signal that produces this operation is called loss breakthrough.
According to the rules, we can see that the system 1 is waiting for the opening opportunity, setting the initial stop loss and continuously tracking the completion of the transaction.
Let's take a look at the entry rules of system 2:
"If the price exceeds the 55-day high, the turtle will buy a unit on the corresponding commodity and establish a long position. If there is a signal that the price has fallen below the lowest price in the last 55 days, the turtle will sell a unit to establish a short position.
For system 2, all breakthroughs are regarded as effective signals, regardless of whether the final breakthrough is a loss or a profit. "
In system 2, profit breakthrough or loss breakthrough is no longer considered. As long as it is a breakthrough, it is considered meaningful.
Why? !
Why should system 1 be distinguished and system 2 not?
In my opinion, only by answering this question can we understand the logic of turtle jiacang from a deeper level.
We see that the turtle's system 1 and system 2 are essentially two sets of trend tracking systems. One is a sensitive system with small parameters, and the other is a slow system with large parameters.
Compared with the slow system, the sensitive system will send more signals. Because the unilateral trend of the market is not much, that kind of "just right" fluctuation is easy to clean the system frequently 1.
Even if it is a standard unilateral trend, it is inevitable that there will be a large reverse movement in the process. This kind of reverse movement will not only end profitable positions, but even give a signal to open positions in the opposite direction. However, this opposite turn-on signal usually leads to a loss of 2N amplitude.
It can be said that the turtle itself has taken into account the instability of sensitive systems. Therefore, it does not add positions on the system 1. This is also useful for us. That is to say, it is best not to capture the trend by frequently adding positions in a system composed of sensitive parameters.
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Next, before discussing the idea of adding positions in system 2, make some preparations.
Before discussing the rules of adding positions, let's study the position calculation and stop loss rules of turtles.
Turtle calculates the order quantity by calculating the "ATR" of the transaction target and combining the withdrawal interval of funds. This reflects the turtle's idea of combining fluctuation with risk control! I think this is a forward-looking idea. This idea is in my article "Dry Goods! A simple and easy-to-use fund management method for futures novices is also involved.
Next, let's discuss the specific formula and existing problems.
To calculate the true average fluctuation range (ATR), the "true fluctuation range (TR)" must be calculated first.
The formula is:
TR = MAX(H - L，H - PDC，PDC - L)
H- the highest price of the day; L- the lowest price of the day; PDC- the closing price of the previous trading day, abbreviated as: previous closing price.
Simply put, it is to find a larger number among the high-low price difference, the price difference between the highest price and the previous price, and the price difference between the previous price and the lowest price as the real fluctuation range (TR) of the day. (This should be calculated after the daily closing. )
There is a problem here: as a modern market, the TR of many varieties with large liquidity is usually the difference between the highest price and the lowest price of the day.
Let's take a look at the schematic:
Except in extreme cases, such as opening after the Spring Festival and National Day holidays. Such an example that the previous closing price is outside the high and low price of the day is not easy to appear in today's futures market. Even if there is, because of the averaging in ATR calculation, it has little influence on the calculation of the final result.
I wonder why turtles should consider the previous price when calculating TR. Probably because of the market at that time, it is more common to have a big gap at the daily level. In order to calculate the gap scale into the risk control model, it is necessary to compare the difference between the previous price and the high and low prices of the day, and take the larger one.
In fact, from this one-sided perspective, we can also see that the turtle system is different from the current market rhythm. When calculating the fluctuation range of today's market, we should also keep pace with the times. However, this step calculation of the original turtle is not impossible.
Then, there is a second problem in the formula for calculating the value of n: if you choose different start dates, the calculated value of n will be different.
Let's first look at the calculation formula of n:
N = ( 19 × PDN + TR)/20
PDN- N value of the previous trading day; Tr-the real fluctuation range of the day.
"Because the formula needs the value of the previous day's n, you can't use this formula when calculating n for the first time. You can only calculate the 20-day simple average of the real fluctuation range."
In other words, if we choose different start dates, the corresponding start n values will be different.
Let's take the data in the original text as an example:
Because the first value of n is calculated from the 20 average values of the actual fluctuation range TR, the average values of different dates are different, and the specific values will definitely be different. The following n values are all calculated on the basis of this basic n value, and there will inevitably be errors.
So now, the ATR calculation of many softwares directly uses the average value of 20 TRs. Instead of mechanically copying the formula of n.
Therefore, in order to make a difference, the turtle calculated that we are also called n, and it is simply calculated by TR average. Let's call it ATR in the future.
When the turtles get n, they will use it to calculate the order quantity.
The formula is:
Position size unit = 65438+ 0% of account/(n× point value)
Use the examples in the book to calculate:
When n = 0.0 14 1; Account size = 1 $1,000,000; Civil fuel point value = $42,000
Position size unit =1000 000×1%/(00141× 42000) =16.88.
Round to 16 contract.
Ok, now let's recall the initial stop loss mentioned in the above article when discussing system 1. That is, the stop loss space of 2N.
If your order exceeds 16 contract, and the stop loss drops by 2N, the trading loss is:16× 42000× 2× 0.01=18950.4 USD.
Let's calculate the ratio again:18950.4÷1000 000×100% =1.895% ≈ 2%.
It should be clear here that the turtle's stop loss is actually in line with fund management. Its purpose is to control the single capital loss within 2% of the total capital according to the fluctuation range of the market and under the premise of accommodating the market toss as much as possible.
It is easy to confuse friends who analyze turtles for the first time. It is equivalent to dealing with many tasks in one link, including: market fluctuation, risk control calculation (realized by order quantity calculation), stop loss point confirmation and so on.
So, what does this have to do with the jiacang in our problem?
This involves two aspects, and we will continue to discuss them.
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Start with the examples in the book.
On page 236 of the book, the paragraph about "stop loss standard" is as follows:
We can see that the positions of jiacang are all accumulated in the interval of 1/2N at the initial position. Stop loss price is the position where the entry price 2N reverses.
That is, every time a new position is opened, if the market turns back after the transaction and stops, the transaction will lose 2% of the total funds.
Let's calculate one by one:
The fourth unit: 30.10-27.70 = 2.4; 2.4 ÷ 1.2 = 2(N)？ (N= 1.2)
The third unit: 29.50-27.70 =1.8; 1.8÷ 1.2 = 1.5(N)
The second unit: 28.90-27.70 =1.2; 1.2 ÷ 1.2 = 1(N)
The first unit: 28.30-27.70 = 0.6; 0.6 ÷ 1.2 = 0.5 (Newton)
Total loss: 2+ 1.5+ 1+0.5 = 5 (N)
In other words, the total risk of opening positions by four companies is theoretically 5%.
In other words, the turtle's position is actually increased step by step on the basis of considering the total risk control.
Every time 1/2N rises, the market may turn back ahead of time, and new buying positions cannot be triggered. This will reduce the lost opportunity cost to some extent.
For example, the market only started the second share, and then turned back. At this time, both units stop loss and the total risk is 3.5%. If we buy two units directly at the initial starting position (instead of one unit), the total risk is 4% (although the initial stop loss is lower). In this way, although the entry position is more unfavorable, the total risk is actually smaller under the same position. And from the point of view that the market can reach the second buying position, the potential is stronger than when the price only reaches the first position.
We can think of it this way. When the market rises to 10%, we may not feel anything yet. When the market rose by 20%, we thought it was possible to start the market. When the market rises by 30%, we are sure that the upward trend is coming; When the market rises by 40%, we are in an upward trend; When the market rose 100%, we had already made a big profit.
This is the core of positive feedback thinking, and every homeopathic reinforcement is considered as continuous reinforcement. Therefore, the turtle's jiacang can be understood as the embodiment of positive feedback thinking.
The second level:
Faith said in the book:
This shows that if the trend comes out but fails to make enough money, the turtles will eventually lose money.
This is manifested in two aspects: one is that the trend must be grasped and cannot be missed; The other is to grasp the trend and make as much money as possible.
So, the turtle set up system 2. Grasp the inevitable trend through a more sluggish system. Even if system 1 is knocked out, then system 2 will certainly grasp the trend.
But just grasping the trend is not enough. Faith's subtext is that it is more likely that the slow start of the system will represent the general trend than the system 1. Then, we must try the mode of adding positions and grasp the profits as much as possible.
From this point of view, it explains why system 2 has added positions and system 1 does not.
Because the functions of the two systems are different: system 1 tries to avoid noise while grasping the market; The second system is to earn as much as possible on the premise of grasping the market and controlling risks.
Well, after talking for a long time, finally sum up the answer.
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Why does the storage method of turtles take fluctuation as the interval?
The turtle's jiacang can be said to be an act of "betting heavily" on the "relatively certain" market.
Increase fluctuating positions, on the one hand, screen the market again on the basis of the signal of system 2 to avoid unnecessary heavy positions; On the other hand, it is more convenient to control individual risk and total position risk by setting an initial stop loss service for each incoming position.
If you try, you can flexibly adjust the volatility of the jiacang mode. As long as we can take into account the two basic principles of controlling risks and grasping the market. For example, when using system 2 to break through, the breakthrough position must be above 1/2N before adding positions; Alternatively, 2N positions will be added upward on the track side of the Tang Channel on the 20th, and the fourth position will be filled by tracking the departure track of the Tang Channel on the 20th.
In short, in the turtle's view, there are not many trends, so we must not miss them, and we must make as much money as possible. As for the form, we can be flexible as long as we abide by these two basic principles.
Well, that's all. In fact, three or four paragraphs can be summarized. However, if there are only three or four paragraphs, some people may not understand them. Think of this article as combing my thoughts.
If you agree with my article, please forward it for me. Let more interested friends see it. I will be honored if my article can give you more inspiration.