説明:
このトレンドフォローシステムはによって設計されました デニス・ガートマン と ビル・エッカート, 過去の高値と安値のブレイクアウトに依存して、取引を完了します: it is the complete opposite to the "buy low and sell high" アプローチ. このトレンドフォローシステムは、平均的および正常な個人のグループに教えられました, そしてほぼ全員が収益性の高いトレーダーになりました.
主なルールは "Trade an N-day breakout and take profits when an M-day high or low is breached (N は M より上にある必要があります)". 例:
- 10日間のブレイクアウトを購入し、価格行動が5日間の安値に達したら取引を終了します.
- 20 日間のブレイクアウトをショートし、価格行動が 10 日間の高値に達したら取引を終了します.
この指標では, the red and blue lines are the trading lines, and the dotted line is the exit line. オリジナルシステムは:
- Go long when the trading line turns 青
- Go short when the trading line turns 赤
- Exit long positions when the price touches the exit line
- Exit short positions when the price touches the exit line
Recommended initial stop-loss is ATR * 2 from the opening price. Default system parameters were 20,10 と 55,20.
私は持っている, しかし, アルゴリズムを少し変更して、初期のエントリーシグナルを取得し、非常に不安定な状況でのランダムなトレンドスイングを回避しました. そうするために, このインジケーターは、バーが実際に現在のトレンドラインの上または下で閉じた場合にのみ、トレンドの変化を示します - 通常のストップロス注文のように単にそれに触れるのではなく -. 欠点は、最後のバーがすでに閉じている場合にのみトレンドの変化を検出できることです. 念のため, 厳密なバージョンも利用可能です.
このインジケーターは、他のインジケーターと一緒に使用する必要があります: 古典的な亀の取引指標, to represent the same period or the failsafe trading system and get further signals if you have been stopped out. どちらのインジケーターも取引アラートを実装しています, 取引設定に応じて、自由に有効または無効にします.
Original Turtle Rules:
To trade exactly like the turtles did, you need to set up two indicators representing the 主要 そしてその フェイルセーフ システム.
- Set up the main indicator with TradePeriod = 20 and StopPeriod = 10 (A.k.a S1)
- Set up the failsafe indicator with TradePeriod = 55 and StopPeriod = 20 using a different color. (A.k.a S2)
の entry strategy using S1 is as follows
- Buy 20-day breakouts using S1 only if last signaled trade was a loss.
- Sell 20-day breakouts using S1 only if last signaled trade was a loss.
- If last signaled trade by S1 was a win, you shouldn't trade -Irregardless of the direction or if you traded last signal it or not-
の entry strategy using S2 is as follows:
- Buy 55-day breakouts only if you ignored last S1 signal and the market is rallying without you
- Sell 55-day breakouts only if you ignored last S1 signal and the market is pluging without you
The turtles had a progressive position sizing approach that boosted their winnings. Once a trading decision has been made you should...
- Enter the market with 2% 危険. Place stop-loss 2ATR from the opening price.
- If the position moves in your favor 1/2ATR, enter the market again with 2% risk and trail all stop-losses 2ATR from current price.
- If the position moves in your favor 1/2ATR, enter the market again with 2% risk and trail all stop-losses 2ATR from current price.
- If the position moves in your favor 1/2ATR, enter the market again with 2% risk and trail all stop-losses 2ATR from current price.
- Stop adding to positions when 4 positions have been taken. (*** And see money management rule below)
の exit strategy is performed using the dotted line of the indicator:
- Exit longs taken using S1 when price action closes below a 10-day low
- Exit shorts taken using S1 when price action closes above a 10-day high
- Exit longs taken using S2 when price action closes below a 20-day low
- Exit shorts taken using S2 when price action closes avove a 20-day high
The turtles had very strict 資金管理 それも. Initial position risk was 2%, but it decreased according to the current drawdown.
- If the account had a 10% ドローダウン, the risk for each trade should decrease a 20%
- If the account had a 20% ドローダウン, the risk for each trade should decrease a 40%.
- If the account had a 30% ドローダウン, the risk for each trade should decrease a 60%.
- それで, if the account had a N% drawdown, the risk for each trade should decrease N*2%.
画像:
Other considerations:
- Don't get too fixated to the 20,10 (S1) と 55,20 (S1) パラメーター
- の 取引期間 must always be higher than 停止期間
変更ログ:
- 2012-05-17: Added alerts, fixed an important bug and attached a raw version displaying both channels.
- 2012-06-12: Updated the indicator enabling the strict mode from the same file.
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