Turtle Trading 海龟交易策略
海龟交易策略（Turtle Trading Strategy）是由Richard Dennis和William Eckhardt在20世纪80年代开发的一种经典趋势跟随策略。该策略通过追踪价格的最高价和最低价来确定买入和卖出点位，并旨在捕捉长期趋势并获取利润。
海龟交易策略是如何诞生的
Richard Dennis是美国70年代著名的期货投资者，据传他在短短三年内从期货市场赚走了3.5亿美金。他曾和朋友William Eckhardt打赌，认为交易技能并不是天生的天赋，通过后天的系统培训，小白也可以变成出色的交易者。他招募24个普通人（他称之为“海龟”），并对他们进行了为期两周的培训，通过培训考核后给他们每个人都安排了一笔初始资金作为本金，金额从25万至200万美金不等。五年后，这些“海龟”的资金达到了1.75亿美金，Richard Dennis在实验结束后公布了他的培训体系，这就是著名的海龟交易策略。海龟交易策略是最早的量化交易方法之一，它的成功使得更多的交易者开始采用系统化的方法来进行交易，而不仅仅是依靠主观判断或者情绪。
交易规则
海龟交易策略非常注重严格的风险管理，这对量化交易产生了深远影响。量化交易者开始更加重视风险控制，采用止损和仓位控制等方法来规避风险。以下是海龟交易策略的详细介绍：
- 市场选择：海龟交易策略适用于具有足够流动性和波动性的市场，例如股票、期货或外汇市场。选择市场时，要考虑交易品种的流动性和可交易性。
- 入市规则：海龟交易策略使用突破系统来确定买入和卖出点位。具体来说，当价格突破最近一段时间（例如20日）的最高价时，产生买入信号；当价格突破最近一段时间的最低价时，产生卖出信号。
- 头寸规模：海龟交易策略采用固定风险模型来确定每个交易的头寸规模。根据风险限制，每个交易的风险限制为总资金的一定比例（例如2%）。根据当前的价格和波动性，计算每个交易的头寸规模，以确保风险控制在预设的范围内。
- 止损规则：海龟交易策略非常注重风险管理。在每个交易中，设定一个初始止损点位，当价格达到止损点位时，平仓并止损。初始止损点位通常设置在买入或卖出时的最后一个N日的最低价或最高价。随着价格上涨或下跌，根据市场情况调整止损点位，以保护利润和控制风险。
- 退出规则：海龟交易策略使用固定的盈利目标来确定退出点位。当价格达到预设的盈利目标时，平仓并获利。盈利目标可以根据市场的波动性和策略的需求来设定。
- 信号过滤：为了过滤掉一些无效的交易信号，可以使用其他技术指标或过滤条件来确认买入和卖出信号。常见的过滤指标包括移动平均线、相对强弱指标（RSI）等。
- 回测和优化：在实际应用之前，建议对历史数据进行回测和优化。通过回测，可以评估策略在历史数据上的表现，并根据实际情况进行参数的优化和调整。
需要注意的是，海龟交易策略并非完美无缺，可能会遇到市场不适应或产生较大回撤的情况。因此，风险管理和严格执行交易规则对于该策略的成功至关重要。此外，策略的具体参数和细节可能因个人而异，应根据个人的风险偏好、交易目标和市场条件进行适当的调整和优化。
用Java实现的海龟交易策略示例
import java.util.List;
public class TurtleTradingStrategy {
public static void main(String[] args) {
List<Double> prices = // 获取价格数据的方法，例如从API或文件中读取
int breakoutPeriod = 20; // 突破周期
double highestHigh = Double.MIN_VALUE;
double lowestLow = Double.MAX_VALUE;
boolean inMarket = false; // 是否持仓
double entryPrice = 0.0; // 入场价格
for (double price : prices) {
// 更新最高价和最低价
if (price > highestHigh) {
highestHigh = price;
}
if (price < lowestLow) {
lowestLow = price;
}
if (!inMarket && price > highestHigh) {
// 产生买入信号，突破最高价，买入
inMarket = true;
entryPrice = price;
// 执行买入操作
// ...
} else if (inMarket && price < lowestLow) {
// 产生卖出信号，突破最低价，卖出
inMarket = false;
// 执行卖出操作
// ...
}
// 更新突破周期内的最高价和最低价
if (prices.indexOf(price) >= breakoutPeriod) {
double previousPrice = prices.get(prices.indexOf(price) - breakoutPeriod);
if (previousPrice == highestHigh) {
// 需要重新计算最高价
highestHigh = calculateHighestHigh(prices, prices.indexOf(price) - breakoutPeriod + 1, prices.indexOf(price));
}
if (previousPrice == lowestLow) {
// 需要重新计算最低价
lowestLow = calculateLowestLow(prices, prices.indexOf(price) - breakoutPeriod + 1, prices.indexOf(price));
}
}
}
}
private static double calculateHighestHigh(List<Double> prices, int startIndex, int endIndex) {
double highestHigh = Double.MIN_VALUE;
for (int i = startIndex; i <= endIndex; i++) {
double price = prices.get(i);
if (price > highestHigh) {
highestHigh = price;
}
}
return highestHigh;
}
private static double calculateLowestLow(List<Double> prices, int startIndex, int endIndex) {
double lowestLow = Double.MAX_VALUE;
for (int i = startIndex; i <= endIndex; i++) {
double price = prices.get(i);
if (price < lowestLow) {
lowestLow = price;
}
}
return lowestLow;
}
}用Python实现的海龟交易策略示例
def turtle_trading_strategy(prices, breakout_period=20, risk_percentage=0.02):
highest_high = float('-inf')
lowest_low = float('inf')
in_market = False
entry_price = 0.0
for price in prices:
# 更新最高价和最低价
if price > highest_high:
highest_high = price
if price < lowest_low:
lowest_low = price
if not in_market and price > highest_high:
# 产生买入信号，突破最高价，买入
in_market = True
entry_price = price
# 执行买入操作
# ...
elif in_market and price < lowest_low:
# 产生卖出信号，突破最低价，卖出
in_market = False
# 执行卖出操作
# ...
# 更新突破周期内的最高价和最低价
if prices.index(price) >= breakout_period:
previous_prices = prices[prices.index(price) - breakout_period:prices.index(price)]
previous_highest_high = max(previous_prices)
previous_lowest_low = min(previous_prices)
if previous_highest_high == highest_high:
# 需要重新计算最高价
highest_high = calculate_highest_high(prices, prices.index(price) - breakout_period + 1, prices.index(price))
if previous_lowest_low == lowest_low:
# 需要重新计算最低价
lowest_low = calculate_lowest_low(prices, prices.index(price) - breakout_period + 1, prices.index(price))
def calculate_highest_high(prices, start_index, end_index):
highest_high = float('-inf')
for i in range(start_index, end_index + 1):
price = prices[i]
if price > highest_high:
highest_high = price
return highest_high
def calculate_lowest_low(prices, start_index, end_index):
lowest_low = float('inf')
for i in range(start_index, end_index + 1):
price = prices[i]
if price < lowest_low:
lowest_low = price
return lowest_low
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Some novices will not be able to get the dumbells all the greatest way to the floor with out
rounding their back and that’s ok; simply squat so far as you possibly can. Full two units of repetitions for every arm, and one other set with each arms.
In this article, we’re going to outline 10 newbie dumbbell workouts that you are
capable of do within the confines of your home. Your subsequent steps from here
is to get these exercises printed, get them put up on the fitness center wall and get busy.
You can do these full-body dumbbell workouts at home, when touring or on the gym.
Go too light land you’ll battle to challenge your larger
muscle teams such as your quads, hamstrings and again. “A stronger core means improved posture, steadiness, coordination and stability, all of which make everyday residing and movement simpler.” With nothing but
a couple of pairs of humble ‘bells, you can unlock an unlimited
repertoire of workouts, focusing on any and every
muscle group across your entire physique.
They can enhance cardio, flexibility, stability, and overall health.
As the name implies, this exercise is right for actually
focusing on build up the bicep. Make positive you’ve a relaxation day between every time you do them to permit for recovery.
They’re additionally good for bettering stability, as properly as hitting
the trapezius muscle in your upper again.
As a single leg exercise, they offer no hiding place
for a weaker side, forcing it to strengthen. It’s a superb muscle builder, but
in addition a movement improver. If you only really train with barbells or machines,
problem your self with some new workouts and movements.
This is a pure power endurance train right here – we’re going for
weight over time. Make certain you select a challenging weight (you’re nicely warmed up
by now), hold your form wonderful and drive the dumbbells for a full vary of movement.
This is the conditioning section – the final four weeks of this system have been we red-zone every
exercise. We keep it easy, however we work really,
actually exhausting during these periods. It’s the cherry on the cake of a 12
week dumbbell workout plan. The dumbbell bench press is my favourite of the normal chest
workout routines. I prefer it as a end result of the
free weight component forces stability on each side of the body, so
is especially good for creating functional steadiness.
These are performed virtually identically to the swiss ball crunch.
Here are our suggestions for selectorised dumbbells, and you can read more about each in our round-up of the most effective dumbbells.
For many of them, it throws them proper out of their comfort
zone and straight again to being a beginner… which helps them in the lengthy term.
The body is pretty adaptable, and as soon as it has
adapted it’s tough to pressure new change.
A dumbbell lets you tweak your positioning, method, tempo and so
on. All Through the piece, I’ll give additional advice on how you can put them together to
form a great workout. Unauthorized use and/or duplication of this material without categorical and
written permission from this site’s creator and proprietor is
strictly prohibited.
The mendacity extension, nonetheless, places your higher arms able that maximally activates all three heads of the triceps.
The dumbbell bicep curl is easy to perform, provides you a great pump, and can help
build shapely, muscular arms. If you have a coaching bench, stabilize your
physique towards it. If you don’t, you should use something stable
in your home, like a chair or a couch. When rowing along with your right arm, place your left leg on the chair and your proper foot on the floor.
It might help you develop a better reference to the train if you use the non-dumbbell
holding hand to attempt to feel your obliques on the working side.
When you’re exercising this tough you need to ensure you’re giving your physique sufficient gasoline to both complete the workout and repair itself afterwards.
That means eating a balanced food plan, ideally of home-cooked food if possible.
The isolation moves particularly are a good way to develop particular person muscles to benefit my wider performance.
For example, the brawn gained from triceps extensions lays the
foundations for a robust lockout on the top of a cut up jerk.
You can schedule the exercises throughout the week however you like, however a typical routine runs Monday, Wednesday,
Friday and Saturday or Sunday. The means you grip the dumbbells additionally means you might be challenging
your forearm and grip energy.
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