海龟交易法则与海龟交易系统公式

海龟交易法则与海龟交易系统公式 理查德?丹尼斯于1983年创立并教授13位学生海龟交易法规则。在这套规则中最要的是纪律、连续性、信心(遵守法则的信心)。完整的机械交易系统组成部份:市场、头寸规模、入市、止损、离市、策略.期货市场中各类交易法则形形色色，我们并不认为海龟交易法是就是独一无二的交易法则，但值得让我们学习的是这种宁做一个海龟的交易法则精神。是的，在系统交易中无论交易策略是哪种交易规则，能否严格执行下去是一个交易员最大的心理障碍，在海龟交易法教学中有这样一段“ 海龟交易法-艰难的决择 对于大多数的交易员，海龟系统离市或许是海龟系统法则中唯一最难的部分。等待10日或20日新低出现通常可能意味着眼睁睁地瞅着20%、40%甚至100%的可观利润化为泡影。 人们具有一种想要早点离市的强烈倾向。你需要极强的纪律性才能为了继续持有头寸直到真正的大幅波动到来而眼看着你的利润化为泡影。在大幅赢利的交易中，遵守纪律和坚持原则的能力是成功老道的交易员的特征。也正是因为海龟交易系统多数的交易都为亏损交易只有严格执行以保证一单盈利交易能对冲掉所以的亏损交易。 海龟交易法-入市 venture capital investment guarantee mechanisms, talents, positive for special funds, play to the guiding role of financial capital, leveraging features, evolving financial resources, capital, financial capital, protection of social capital into new patterns. 3 innovation environment, optimizing talent, create a good atmosphere. Departments at all levels to put science and technology innovation and talent working in the strategic position of priority development, and full play to the guiding role of Government, vigorously promote scientific and technological innovation and the preferential policies, mobilizing the entire society's awareness of innovation, stimulate creativity. Further open "service the green channel" for talent to provide efficient, convenient, quality service and allow all kinds of talents to focus on innovation, play to our strengths. County-level accreditation in recognition of work in a timely manner, contributing to talent and rewarding scientific and technological achievements to emerge, release patent awards grants, encourage patent applications, social forces are encouraged to set up science and technology awards, create an environment conducive to scientific and technological progress, technological innovation, talent and career policy environment, rule of law, market and social environment. Comrades, technological innovation, talent is a 入市是所有交易系统最重要的一个方面。 海龟们得到了两种不同却有关系的突破系统法则，我们称这两个系统为系统一和系统二。 系统一-以20日突破为基础的偏短线系统 系统二-以50日突破为基础的较简单的长线系统 3.1 突破 海龟总是在日间突破发生时进行交易，而不会等到每日收盘或次日开盘。在开盘跳空的情况下，如果市场开盘超过了突破的价位，海龟一开盘就会建立头寸。 如果上次突破已导致赢利的交易，系统一的突破入市信号就会被忽视。如果有赢利的10日离市之前，突破日之后的价格与头寸方向相反波动了2N，那么，这一突破就会被视为失败的突破。 然而，如果系统一的入市突破由于以前的交易已经取得赢利而被忽略，还可以在55日突破时入市，以避免错过主要的波动。这种55日突破被视为自动保险突破点(Failsafe Breakout point)。 如果你还没有入市，在任何特定点位都会有一些价位会触发空头入市，在另外一些不同的较高价位会触发多头入市。如果上次突破失败，那么，入市信号会更接近于现价(即，20日突破)，如果上次突破成功，在这种情况下入市信号可能会远得多，位于55日突破处。 系统二入市-只要有一个信号显示价格超过了前55日的最高价或最低价就建立头寸。 无论以前的突破是成功还是失败，所有系统二的突破都会被接受。 海龟交易法-波动性(N) venture capital investment guarantee mechanisms, talents, positive for special funds, play to the guiding role of financial capital, leveraging features, evolving financial resources, capital, financial capital, protection of social capital into new patterns. 3 innovation environment, optimizing talent, create a good atmosphere. Departments at all levels to put science and technology innovation and talent working in the strategic position of priority development, and full play to the guiding role of Government, vigorously promote scientific and technological innovation and the preferential policies, mobilizing the entire society's awareness of innovation, stimulate creativity. Further open "service the green channel" for talent to provide efficient, convenient, quality service and allow all kinds of talents to focus on innovation, play to our strengths. County-level accreditation in recognition of work in a timely manner, contributing to talent and rewarding scientific and technological achievements to emerge, release patent awards grants, encourage patent applications, social forces are encouraged to set up science and technology awards, create an environment conducive to scientific and technological progress, technological innovation, talent and career policy environment, rule of law, market and social environment. Comrades, technological innovation, talent is a 2.1 波动性-N的含意 N就是TR(True Range，实际范围)的20日指数移动平均，现在更普遍地称之为ATR。从概念上来看，N表示单个交易日某个特定市场所造成的价格波动的平均范围。 TR(实际范围)=MAX(H-L,H-PDC,PDC-L) H-当日最高价 L-当日最低价 PDC-前个交易日的收盘价 用下面的公式计算N: N=(19×PDN+TR)/20 PDN-前个交易日的N值 TR-当日的实际范围 海龟交易法-增仓 3.2 增加单位 海龟在突破时只建立一个单位的多头头寸，在建立头寸后以1/2N(即二分之一N----译注)的间隔增加头寸。在达到最大许可单位数之前，这样都是正确的。如果市场波动很快，有可能在一天之内就增加到最大4个单位。 示例: 黄金 N=2.50 55日突破=310 venture capital investment guarantee mechanisms, talents, positive for special funds, play to the guiding role of financial capital, leveraging features, evolving financial resources, capital, financial capital, protection of social capital into new patterns. 3 innovation environment, optimizing talent, create a good atmosphere. Departments at all levels to put science and technology innovation and talent working in the strategic position of priority development, and full play to the guiding role of Government, vigorously promote scientific and technological innovation and the preferential policies, mobilizing the entire society's awareness of innovation, stimulate creativity. Further open "service the green channel" for talent to provide efficient, convenient, quality service and allow all kinds of talents to focus on innovation, play to our strengths. County-level accreditation in recognition of work in a timely manner, contributing to talent and rewarding scientific and technological achievements to emerge, release patent awards grants, encourage patent applications, social forces are encouraged to set up science and technology awards, create an environment conducive to scientific and technological progress, technological innovation, talent and career policy environment, rule of law, market and social environment. Comrades, technological innovation, talent is a 增加的第一个单位 310.00 第二个单位 310.00+1/2个2.50即311.25 第三个单位 311.25+1/2个2.50即312.50 第四个单位 312.50+1/2个2.50即313.75 原油 N=1.20 55日突破=28.30 增加的第一个单位 28.30 第二个单位 28.30+1/2个1.20即28.90 第三个单位 28.90+1/2个1.20即29.50 第四个单位 29.50+1/2个1.20即30.10 海龟交易法-止损 海龟以头寸风险为基础设置止损。任何一笔交易都不能出现2%以上的风险。所以容许风险为2%的最大止损就是价格波动2N。 为了保证全部头寸的风险最小，如果另外增加单位，前面单位的止损就提高1/2N。或者因开盘跳空而以较大的间隔设置的情况下，止损就有所不同。 例如: 原油 N=1.20 55日突破=28.30 入市价格 止损 venture capital investment guarantee mechanisms, talents, positive for special funds, play to the guiding role of financial capital, leveraging features, evolving financial resources, capital, financial capital, protection of social capital into new patterns. 3 innovation environment, optimizing talent, create a good atmosphere. Departments at all levels to put science and technology innovation and talent working in the strategic position of priority development, and full play to the guiding role of Government, vigorously promote scientific and technological innovation and the preferential policies, mobilizing the entire society's awareness of innovation, stimulate creativity. Further open "service the green channel" for talent to provide efficient, convenient, quality service and allow all kinds of talents to focus on innovation, play to our strengths. County-level accreditation in recognition of work in a timely manner, contributing to talent and rewarding scientific and technological achievements to emerge, release patent awards grants, encourage patent applications, social forces are encouraged to set up science and technology awards, create an environment conducive to scientific and technological progress, technological innovation, talent and career policy environment, rule of law, market and social environment. Comrades, technological innovation, talent is a 第一个单位 28.30 25.90 入市价格 止损 第一个单位 28.30 26.50 第二个单位 28.90 26.50 入市价格 止损 第一个单位 28.30 27.10 第二个单位 28.90 27.10 第三个单位 29.50 27.10 入市价格 止损 第一个单位 28.30 27.70 第二个单位 28.90 27.70 第三个单位 29.50 27.70 第四个单位 30.10 27.70 因市场开盘跳空至30.80而使第四个单位以较高的价格增加的情况 下: 入市价格 止损 第一个单位 28.30 27.70 第二个单位 28.90 27.70 第三个单位 29.50 27.70 第四个单位 30.80 28.40 海龟交易法-离市 venture capital investment guarantee mechanisms, talents, positive for special funds, play to the guiding role of financial capital, leveraging features, evolving financial resources, capital, financial capital, protection of social capital into new patterns. 3 innovation environment, optimizing talent, create a good atmosphere. Departments at all levels to put science and technology innovation and talent working in the strategic position of priority development, and full play to the guiding role of Government, vigorously promote scientific and technological innovation and the preferential policies, mobilizing the entire society's awareness of innovation, stimulate creativity. Further open "service the green channel" for talent to provide efficient, convenient, quality service and allow all kinds of talents to focus on innovation, play to our strengths. County-level accreditation in recognition of work in a timely manner, contributing to talent and rewarding scientific and technological achievements to emerge, release patent awards grants, encourage patent applications, social forces are encouraged to set up science and technology awards, create an environment conducive to scientific and technological progress, technological innovation, talent and career policy environment, rule of law, market and social environment. Comrades, technological innovation, talent is a 海龟们知道，你在何时落袋为安会造成盈亏之间的不同。 海龟系统在突破时建立头寸。大多数的突破并不会形成趋势。这意味着海龟所做的大多数交易都会导致亏损。如果赢利的交易所挣的钱平均下来不够弥补这些亏损的话，那么，海龟就已经亏钱了。每个能够赢利的交易系统都有不同的最佳离市点。 我们来看海龟系统。如果你在利润为1N时退出赢利头寸而在亏损为2N时退出亏损头寸，你就需要两倍的赢利才能弥补亏损交易所带来的损失。 在交易系统的各个组成部分之间存在着复杂的关系。这意味着你不能只考虑赢利头寸的正确离市，而不考虑入市、资金管理以及其他因素。 赢利头寸的正确退出是交易最重要的方面之一，也是最不为人理解的一个方面。然而，它会造成盈亏之间的不同。 5.1 海龟的离市 系统一离市对于多头头寸为10日最低价，对于空头头寸为10日最高价。如果价格波动与头寸背离至10日突破，头寸中的所有单位都会退出。 系统二离市对于多头头寸为20日最低价，对于空头头寸为20日最高价。如果价格波动与头寸背离至20日突破，头寸中的所有单位都会退出。由此我们看出海龟交易法也不例外，只要是系统交易都有着严格的执行能力才能达到长期稳定盈利的结果。 venture capital investment guarantee mechanisms, talents, positive for special funds, play to the guiding role of financial capital, leveraging features, evolving financial resources, capital, financial capital, protection of social capital into new patterns. 3 innovation environment, optimizing talent, create a good atmosphere. Departments at all levels to put science and technology innovation and talent working in the strategic position of priority development, and full play to the guiding role of Government, vigorously promote scientific and technological innovation and the preferential policies, mobilizing the entire society's awareness of innovation, stimulate creativity. Further open "service the green channel" for talent to provide efficient, convenient, quality service and allow all kinds of talents to focus on innovation, play to our strengths. County-level accreditation in recognition of work in a timely manner, contributing to talent and rewarding scientific and technological achievements to emerge, release patent awards grants, encourage patent applications, social forces are encouraged to set up science and technology awards, create an environment conducive to scientific and technological progress, technological innovation, talent and career policy environment, rule of law, market and social environment. Comrades, technological innovation, talent is a