1, market and variety selection (what to buy and sell)
1983 can trade 2 1 variety in five markets: agricultural products, metals, fuel futures and foreign exchange. Strangely, there are no stocks, only the S&P 500 stock index. Principles for selecting markets and varieties:
Low correlation: in other words, it is unlikely that varieties will rise and fall synchronously because of mutual influence. For example, the correlation between metal futures and agricultural products futures is low, while the correlation between gold and silver futures in metal futures is relatively high. This factor is very important. If all funds are traded in a highly correlated market, it will undoubtedly increase the risk and the volatility of the yield curve will also increase. This factor will also affect the later position management. Shanghai and Shenzhen A shares can be said to be a highly correlated stock exchange market.
Good liquidity: various transactions can be quickly turned into cash.
Large capacity: futures must trade the main contract. A large-capacity market is not easy to be manipulated. Some time ago, a non-main contract in a domestic futures market fell sharply in an instant, resulting in automatic liquidation of multiple accounts and heavy losses. Only a large-capacity market can carry large ships, and large funds can enter and exit calmly, without causing large fluctuations in the market.
2. Size of positions (how much to buy and how much to sell)
This is the key factor that determines success or failure, but it is often ignored.
Turtle trading rules adopt a position management strategy based on volatility (stop loss is also based on volatility), so it is necessary to understand the meaning of volatility (represented by n).
Volatility n: the 20-day exponential moving average of the actual fluctuation range. That is the ATR index in our common market software (generally calculated by simple moving average).
Value volatility NV: the monetary value represented by volatility, which is what the volatility is. The volatility of A shares is directly measured by currency, and the minimum trading unit is 100 shares, so NV=N x 100. For stock index futures, it is different. Fluctuations are measured in points and must be converted into money. NV=N x the value of each point. For example, the value of each point specified in the Shanghai and Shenzhen 300 stock index futures is 300 yuan RMB, so NV = N×300.
Account size c: how many goods can be traded. C= invested capital x leverage, A-share market has no leverage (leverage is 1), and C= invested capital.
Unit u: how much do turtles buy at a time when they open positions? U= (C x 1%) / NV
For example, suppose the account size is RMB 654.38+10,000, the stock in A-share market shows a buying signal at 00 1 one day, and the daily ATR index is 0.55. How much should we buy? U = (100000 x0.01)/(0.55x100) =18 hands.
Note: the value of n changes every day, and turtles only use the value of n to calculate it every Monday.
Maximum position limit:
1, the four largest positions of a single variety (such as Japanese yen), which is called Man Cang (Japanese yen).
2. A highly related variety * * * has at most 6 positional units.
3. Varieties with low correlation * * * have at most 10 positions.
4, a single direction (bulls or bears) maximum 12, known as the complete Man Cang.
3. Enter the market (open position, buy for the first time)
Turtles have two sets of rules for entering the market. I think it is more appropriate to call Jiancang in Chinese, which corresponds to Jiancang.
Rule 1: Short-term system based on 20-day breakthrough (that is, hitting 20-day high or low)
Rule 2: Long-term system based on 55-day breakthrough (60-day breakthrough also has data)
Note: the instant price is valid, and you don't have to wait until the close of the day; Only buy 1 unit positions; The entry signal after entry is ignored.
Rules for adding positions: If the price changes by 0.5N (the coefficient is between 0.5- 1) to the profit direction on the basis of the last buying price, increase it by 1 unit until it reaches 4 units in Man Cang.
Step 4 stop loss
Turtles set a stop loss according to the risk of the position. It can be said that there are two stop loss rules:
Unified stop loss: the risk of any transaction cannot exceed 2% of the account size. The price fluctuation of 1N indicates the account size of 1%, and the maximum stop loss with an allowable risk of 2% is 2N reverse price fluctuation. After buying in batches but stopping at a uniform price and adding positions with a fluctuation of 0.5n, the stop-loss price of the previous position also increased by 0.5n. ..
Double stop loss: the stop loss is set at 0.5N of the reverse fluctuation of the price, that is, only 0.5% of the account risk is assumed. The position of each unit keeps its own stop-loss price unchanged. After a unit triggers a stop loss, if the market price returns to the original purchase price, the unit will be re-established. The disadvantage is that it will cause more losses, and the advantage is that the cumulative risk of four unit positions does not exceed 2%.
Here is an example of doing more transactions:
The stock that broke through the price on the 55th is S = 100, and N=4.00.
Uniform stop loss and double stop loss
Market entry price stop loss difference market entry price stop loss difference
The first unit is100922n100980.5n.
1 position.
The first unit is100941.5n100980.5n.
The second unit is102942n1021000 0.5n.
After adding two locations.
The first unit is100961n100980.5n.
The second unit is10291.5n1021000.5n.
The third unit is104962.0n1041020.5n.
After three positions.
The first unit is100980.5n.
The second unit is102981.0n.
The third unit is104981.5n.
The fourth unit is106982.0n.
(If the price jumps, it will not affect the previous stop-loss price:)
The first unit is100961n.
The second unit is102961.5n.
The third unit is104962.0n.
The fourth unit is1091012.0n.
5. Leaving the market (another kind of selling besides stop loss)
Turtles have two rules for leaving. Once triggered, all units in this position will quit.
Off-site rule 1: the recent 10-day reverse breakthrough (the long position is the lowest price of 10-day, and the short position is the highest price of 10-day).
Rule 2: Reverse Breakthrough in the Last 20 Days