In the financial world, there is such a famous story. 1983, two close friends in the American futures industry-Richard? Dennis and William? Eckhardt is divided on one question: Are great futures traders born or can they be trained? They took a gamble on this question and conducted an experiment to find the answer. This experiment is the famous "turtle trading experiment".

Dennis and Eckhardt selected 13 "turtles" from 1000 applicants, and taught them the trading ideas and rules in two weeks. In the next four years, the turtles earned an average annual income of 80% by relying on these trading rules.

The author of this book is one of the turtles in this experiment and the most successful one. In his book, he first reveals the whole experimental process and the mysterious "turtle trading rule" in the eyes of outsiders, so that you can understand:

How turtles trade and how to seize trading opportunities;

How do turtles measure risks and manage funds?

How did the turtles get the annual average rate of return above 100%?

Why some turtles have achieved great success, while others have lost all their money;

How to apply the turtle trading rule to your own trading;

This book is a must-read for all professional traders and mass investors.

Wonderful book review:

One:

Before reading this book, I had heard about richard dennis's Turtle Project many times. I have read the original version of the Turtle Law circulating on the Internet, but for me at that time, I didn't get much. I decided to buy this book this time and read it in two days (I seldom read it so quickly) because after six years of market training, I strongly feel that a simple, effective and enforceable trading system is a powerful guarantee for long-term profit. To be honest, I didn't have much hope for this book before reading it, because as we all know, the turtle trading rule has been studied by the market for countless times. I have read many books about investment and speculation in recent years, and I don't think I can find anything from them that is not mentioned in other books. The clumsy advertisements printed on the cover of this book by CITIC Publishing House, such as "earning $30 million in four years" and "the magical futures trading system where ordinary people can easily make money", also disgust me. In my mind, good books are generally low-key.

First of all, I think this book is more suitable for readers:

1. The readers of this book should be people with actual trading experience, and it is unnecessary for novices to read this book.

2. The rules mentioned in this book are more suitable for futures, bonds, foreign exchange and other markets that use a lot of leveraged transactions. People with valuable investment ideas don't have to read this book.

This book is the best reference for traders who use mechanical trading systems.

It's a pity that richard dennis didn't preface this book.

Curtis Faith, the author of this book, was the most successful turtle in the turtle experiment that year. These turtles were not randomly selected. In that year, more than 1000 people signed up for this turtle experiment, but only 13 people were finally admitted, and the selection probability was less than11. All the winners have different backgrounds and ages, and some of them have no actual trading experience. The only similarity is that they all have backgrounds in game theory and strategy, and they all have good knowledge of probability in gambling games. Of course, they are all very smart people. This is what I pay close attention to during reading, because I have always been interested in the topic of who is more suitable for trading. Curtis himself mentioned this topic many times in the book and finally gave some answers. I personally summed it up:

* It's not a question of right or wrong-making money doesn't mean you are God, and losing money doesn't mean you are a fool. It is important to do things right, not to make money.

* Forget the past-past failures and victories have nothing to do with your future transactions, and avoid short-term preferences.

* Think from the perspective of probability-if you don't predict the market, no opinion is the best opinion.

These principles are mentioned in other books, which is not the essence of this book. Why Curtis is more successful than other turtles, I think there are two important points. The author didn't have any actual trading experience before the turtle experiment, and he admired richard dennis. A blank sheet of paper is easier to draw, and once a wrong concept is cultivated, it is difficult to get rid of it; Admiring a person can help you increase your execution, and you can still firmly abide by the trading rules in the case of continuous losses.

In the book, the author also mentioned something that surprised me. In the years when he traded for richard dennis, as the most successful turtle, he used perhaps the best mechanical trading system of the year, and the highest withdrawal rate of his trading funds actually exceeded 70% (the ratio from the latest highest capital to the latest lowest capital). In this case, he can still insist on using the original strategy to enter and enter the market. In the stock market crash of 1987, he lost more than half of his working capital within a few days, and the withdrawal rate exceeded 50%. (The stock market crash also made richard dennis completely quit the speculative market and retired. According to the quantum fund data disclosed by Soros himself in "Financial Alchemy", the worst year's loss exceeded 26%. According to the statistics of each transaction, it is estimated that Soros's funds will be withdrawn at a faster rate. This gives me a new understanding of leveraged trading, and I also know that it is not easy to succeed in this line. Because according to Curtis, the average person can't afford to withdraw more than 30% of the funds. Once more than 30% of the funds are lost, it is likely that there will be an avalanche of funds and eventually it will break out. So Curtis repeatedly stressed that if you don't play according to the trading signal and play at will, you may miss several big markets a year, so the money you earn is not enough to fill in your loss list. This is a very important standard for turtle trading in trend tracking trading system.

After solving the problem of implementation, like other investment books, Curtis devoted two whole chapters to risk management. In addition to the maximum withdrawal range of funds I just mentioned, the position control of the turtle trading rule is also very advanced. They decide the size of the investment position according to the fluctuation of each market. Invest up to 4 positions in a market. In a highly correlated market, the total positions cannot exceed 6, and the positions established in any direction (long or short) cannot exceed 10. According to the "primitive turtle trading rules" at the back of the book, if the market is active enough, the overall risk of the four positions established by turtles in a single market is 5% of the total funds. Of course, not every market can establish four position units, because positions are gradually opened.

There are some interesting words about risks in the book, which may be helpful for us to choose which fund to invest in. Curtis stressed: "Stability does not mean low risk, and high-risk investment strategies may create stable returns in a limited time." This view coincides with Taleb (the author of Black Swan and Fool Who Get Rich at Random), and the actual example is the famous long-term capital management company. If you choose to invest only by looking at the income of many funds in the market over the years, then you may even lose everything. Especially in China, the history of most funds is less than 10 years, the average age of fund managers is only 35 years, and the economic cycle is generally around 10 years, or even longer. Most of these people have not been tested. Their success is probably due to accidental or objective reasons, because China has not experienced a real economic crisis in the last 20 years. So Curtis mentioned, "Good investors invest in people, not historical records; Just staring at historical records, I can't tell strength from luck. " When choosing a fund manager, it is better to see whether you agree with his investment philosophy and whether this person is integrated with knowledge and action than to look at his historical record.

Curtis elaborated on all aspects of the trading system in this book. As this book says, real experts can explain complex concepts concisely and easily. He mentioned that it is very necessary to do a historical test of the trading system, but you must avoid the most common mistake of doing a historical test: over-optimization. A correct history test can help you improve the execution of using this trading system. An overly complex system (I remember the famous wave theory in my mind when I wrote this) can't beat the market for a long time, because the market is constantly changing and growing.

In addition, I also noticed that both the turtle trading system and other trading systems introduced by Curtis have high annual returns, with the worst historical test reaching 28% and the highest even reaching 50%. From this point of view, the result of richard dennis's defeat at 1987 is almost inevitable, and no one can develop at a high speed for a long time (richard dennis started from $400 at 1970 and has already exceeded $200 million at 1987), especially when your capital is too large for the original market. Another example is Berkshire Hathaway, which is managed by Wal-Mart and Buffett. The next example is probably China, which has maintained rapid economic growth for 30 years.

For the turtle experiment with a very famous trading history, Curtis thinks that this gambling game can only be regarded as a draw. After all, not everyone was lucky enough to accept richard dennis's guidance and use a very advanced trading system at the beginning. So even if you fully understand all the contents of this book, you may not succeed. Strict and consistent execution is the biggest problem you will encounter. Moreover, the leveraged trading market of futures itself is a loser and a negative sum market. Losers are the norm and winners are few.

So the last chapter, although it didn't say anything about trading, helped me a lot. It's hard to imagine that Curtis, who studied under richard dennis at the age of 19 and achieved great success in trading, would have nothing at the age of 33, but of course he finally rallied. This reminds me of Zhou Libo, who is very popular in Shanghai recently. It was also the young man who suffered great setbacks, but he stood up again. Writing this paragraph is also encouraging me to get out of my previous setbacks recently. Life is a marathon, and the success or failure of a moment is nothing.

two

This is a book about how to create a mechanical trading system. The so-called mechanical trading system is a trading system that does not need human intervention at all. With the popularization of computer technology, many mechanical trading systems are executed by computers. In the American speculative market, about 30% trading orders are issued by computers. Even if the computer is not used, the mechanical trading system is operated manually, and the intelligence of the ordering personnel does not need to participate. He just needs to operate according to the signal given by the market.

It looks great. A computer keeps making money for us when we are lounging in bed or visiting mountains and rivers leisurely. At that time, of course, we can realize that "speculation is art" is beyond the realm.

It's not that simple. The establishment of trading system is based on a large number of speculative practices, trading data and system testing, which is a long, boring and frustrating process. Even the Turtle Trading Rule, which tells the story of this process, has been felt by many people. This is a book that looks completely boring. It is full of data, charts and mathematical arguments, which is far less good than Peter Lynch's book. But for a speculator who has enough trading practice and tries to establish a trading system, objective figures and scientific argumentation process can give them great confidence. Self-confidence is based on objective science, even in art. Artists receive scientific training to achieve their artistic achievements.

Regarding how to establish our own mechanical trading system, we can summarize the following steps from the Turtle Trading Law:

First of all, we should form our own speculative theory. This theory is based on one's own speculative practice, rather than copying the theories of other famous speculators. In fact, the speculative theory cannot be copied, because everyone's speculative background is different, and the successful speculative theory for others may not be suitable for themselves. At the same time, this theory should be supported by a long enough transaction record, not imagined.

Secondly, there should be enough historical data to obtain objective test data through interpolation. Through computer testing, the trading system can be tested before the funds enter the market. Many times, we will find that due to some unforeseen factors, the seemingly promising trading system is actually invalid. It is much better to find problems through computers in advance than in the market. Historical data testing can't predict the future, but it is the best way to judge whether a trading system can be profitable at present.

After passing the second test, the last step is to put the trading system into the real speculative market and give enough time for extrapolation test. Due to the random effect, there will be large or small differences between the real test data and the simulated test data. Whether it is optimized or not is a problem that needs to be weighed. On the one hand, a system without optimization may be an inefficient system; On the other hand, the over-optimized system will reduce the practicability of the system. How to deal with this dilemma still depends on data. In the book, the author vividly illustrates the difference between proper optimization and over-optimization.

Know the sound after practicing a thousand songs, and know the instrument after watching a thousand swords. The construction of trading system, based on objective data and wisdom in speculative practice, needs long-term accumulation. Therefore, for speculators, speculation itself should first consider science, not art. When our practice accumulates to a certain extent, it will naturally produce the beauty of art, but it is still science. Not just speculation, but everything.

Anyone who plays a thousand songs and then knows the sound, watches a thousand swords and then knows the instrument. Therefore, we must first learn the image of circular photos. Read Qiao Yue's "Formal Training" and take the turbulent waves as a metaphor. Selfless and important, impartial and hate love, and then you can be fair as a mirror. -"Wen Xin Diao Long"

If our speculative practice can also achieve a thousand songs, a thousand swords and a wide view of the world, then we will naturally be selfless to the market and impartial to love, and then we will be like a mirror.

Three:

1. Cognitive bias In trading, the reason why inexperienced losers and experienced winners have different ideas and behaviors is psychological bias. Typical cognitive biases include loss aversion, settlement cost, disposition effect (cashing in profits in advance), result preference (judging whether the result is good or not, regardless of the quality of the decision itself), anchoring effect, tidal current effect, and belief in decimal rules (drawing unfounded conclusions from too little information).

2. Loss aversion will affect a person's use of mechanical trading system, which is a painful thing for traders who hate losses.

3. Trend tracking, for several reasons, it is not easy for most people to stick to this strategy. First, megatrends rarely occur. For a typical trend tracking system, 60-70% of transactions may be at a loss. Second, when the trend reverses, the trend tracking system will also fail. Third, trend tracking needs a lot of money to ensure reasonable risk control.

4. Trend traders like stable trends. Contrarian traders like a stable and volatile market. Although it fluctuates greatly, it always stays within a fairly narrow price range. Band traders like volatile markets, regardless of the trend.

5. Profit principle of contrarian trading: market support and resistance mechanism. Their theoretical basis is that most new breakthroughs will not trigger market trends.

6. State of the market, the speculative market can be divided into four states: stability and calmness, stability and fluctuation, calm trend and fluctuating trend. Turtles never predict the market trend, but look for signs that the market is in a certain state. This is very important. Good traders don't try to predict what the market will do next. Instead, they observe the indicator signals and judge what state the market is in now.

7. Four core principles of turtles: mastering advantages, managing risks, and being firm and simple.

8. Bankruptcy risk. Bankruptcy risk will increase disproportionately with the increase of bets. If you double the capital every time, the risk of bankruptcy will not only double-depending on the characteristics of the system, the risk may increase by four, three or even four times.

9. Grasp the advantages: find a trading strategy with positive expectations, which can create positive returns in the long run. Look at the transaction from a long-term perspective, avoid outcome preference, and believe in the power of positive expectation.

10. Managing risks: there are two exit criteria for controlling risks and positions, and the loss exceeds 2N or the decline exceeds 2% of the total account.

1 1. firmness: the loss is only the cost of doing business, and does not represent a wrong transaction or a bad decision.

12. Simple and clear: The essence of the turtle rule is very simple. Grasp every trend, most of your profits may come from two or three successful transactions, so don't miss any trend, or your efforts throughout the year may come to naught. This is easy to understand, but it is not easy to do.

13. A good trader thinks about the present, not the future. Novices want to see the future. If they win, they will think they are right and heroes. If they lose, they will think they are fools, which is wrong. In fact, it is much easier to make money if you are wrong most of the time.

14. There are three cognitive biases that need to be overcome at all costs: recent preference, obsession with correctness and impulse to predict the future.

15. The trading world is a good place to smash excuses and bad habits. After all, trading is only between you and the market, and you have nothing to hide in front of the market. If you do well, you will get good results in the long run, and if you do badly, you will lose money in the long run. People who like to pass the buck will eventually suffer.

16. The advantages of the system come from three elements: the choice of asset portfolio, the entry signal and the exit signal.

17. Advantages lie in support and resistance. Support and resistance are just a general concept, not a golden rule. If a person adopts a contrarian strategy, then support and resistance are the direct sources of advantages. On the contrary, if a person uses a trend tracking system, then the breakthrough of support and resistance is the key. The advantage of trend investors lies in the cognitive lag when breaking through the support level and resistance level. When the price is between the support level and the resistance level, neither side will really fight. When the price is close to the support level or resistance level, both long and short sides will invest more and more, and the transaction volume will be enlarged.

18. Imitation effect: Strategies that have an impressive record in risk-return ratio are often the easiest to be imitated by the whole industry, and eventually, they become victims of system death early. On the contrary, systems and strategies that are not attractive to ordinary investors tend to have a longer life. Trend tracking is a good example. Most large investors can hardly bear the sharp decline and value fluctuation that are common in trend tracking strategies. Because of this, the trend tracking system is always effective in the long run.

19. Fund management is more like an art than a science. Many people regard fund management as a god and think that it can cure all the ills in the trading world. Many people have invented profound formulas, but fund management is actually very simple.

20. Bankruptcy risk: without a plan, the risk is too great and unrealistic expectations.

2 1. Trading is not a race, but boxing. The winner is the person who still stands in the ring after 12 round.

As you accumulate experience, you will realize that there is no perfect system in the world. You have to accept the fact that no one can predict the future, and any test based on historical data has considerable internal deviation.

23. A sound trading strategy has two characteristics: decentralization and simplification.

Four:

I wonder if anyone who has read this book has actually tested this trading system.

In fact, I skipped the last chapter when I first read this book. Looking back later, I found that the last chapter is to tell you the details of the original turtle trading system, from entry conditions, opening positions, stop loss and appearance. Everything is guaranteed. Meng thought it was too simple after seeing the entry conditions. Open positions on the highest day after breaking N, and continue to open positions at the price of 1% per liter until the maximum allowable stop loss limit is reached. The key is to wait until the price falls below the lowest price of n/2, and immediately see the glistening money flying out in my mind.

Several large-cap stocks have been tested with this system, and it is found that no real trend can escape this system. This simple rule is good. I made a rough fluctuation system, and I feel good about myself, but the back-test data is very bad.

Therefore, only by rolling up your sleeves and measuring them can you appreciate the wonderful taste of simplicity.

Friends who need this e-book add micro Q:280203 1363? Free access

Wechat official account search: pengdiary