主题：海龟经典软件-TRADING BLOX策略

Trade Long/Short

This parameter tells Trading Blox whether or not trades in the short direction are to be taken.

 

Trade if Last is Winner

When this parameter is set to False (unchecked and disabled), Trading Blox looks back at the last entry breakout for that instrument and determines if it would have been a winner, either actually, or theoretically. If the last trade was, or would have been a winner, then the next trade is skipped, regardless of direction (long or short).

 

The last breakout is considered to be the last breakout in that market regardless of whether or not that particular breakout was actually taken, or was skipped because of this rule. (Trading Blox looks back only at "regular" breakouts, and not Entry Failsafe Breakouts.)

 

The direction of the last breakout-long or short-is irrelevant to the operation of this rule, as is the direction of the trade currently being considered. Thus, a losing long breakout or a losing short breakout, whether hypothetical or actual, would enable the subsequent new breakout to be taken as a valid entry, regardless of its direction (long or short):

 

Some traders believe that two large, consecutive wins are unlikely, or that a profitable trade is more likely to follow a losing trade. Trading Blox allows you to test this idea by setting this parameter to False.

 

Entry Breakout (days)

A trade is entered when the price hits the high or the low of the preceding X-days, as adjusted by the Entry Offset. For example, Entry Breakout = 20 means that a long position is taken if price hits the 20-day high; A short position is taken if price hits the 20-day low.

 

Entry Failsafe Breakout (days)

This parameter works in concert with Trade if Last is Winner, and is used only if Trade if Last is Winner = False (as is shown in the partial screen shot above).

 

For example, consider the following set of parameters and values:

 

With these settings, if a 20-day breakout entry was recently signaled, but was skipped because the prior trade was a winner (either actually, or theoretically), then if the price breaks out above or below the 55-day extreme high or low, an entry is initiated for that position regardless of the outcome of the prior trade.

 

Entry Failsafe Breakout keeps you from missing very strong trends due to the action of the Trade if Last is Winner rule.

 

Entry Offset (ATR)

If set to zero, this parameter has no effect. If Entry Offset in ATR is set to 1.0, a long position isn't entered until price hits the normal breakout price, plus 1.0 ATR. Likewise, a short position won't be entered until the price hits the normal breakout price, minus 1.0 ATR. Either a positive or negative value can be specified for this parameter. A positive value effectively delays entry until the specified point after the breakout threshold chosen; a negative value would enter before the breakout threshold chosen.

 

Unit Add (ATR)

This parameter defines the price at which additions to an existing position are made. The Turtles entered single Unit positions at the breakouts, and added to those positions at 1/2 ATR intervals following trade initiation. (Adding to existing positions is often referred to as "pyramiding.")

 

Following the initial breakout entry, Trading Blox will continue to add a Unit (or Units, in the case of a large price move in a single day), at each interval defined by Unit Add in ATR, as price progresses favorably, right up to the maximum permitted number of Units, as specified by the various Max Units rules (explained below).

 

During historical simulation tests, the theoretical entry price is adjusted up or down by Slippage Percent and/or Minimum Slippage, to obtain the simulated fill price. So each interval is based on the simulated fill price of the previous order. So if an initial breakout order slipped by 1/2 ATR, the new order would be moved to account for the 1/2 ATR slippage, plus the normal unit add interval specified by Unit Add in ATR.

 

The exception to this rule is when multiple Units are added in a single day during a trade in progress. For example, with Unit Add in ATR = 0.5, the initial breakout order is placed and incurs slippage of 1/2 ATR. Several days later, two more units are added on the same day. In this case, the order price of both the 2nd and 3rd Units is adjusted up by 1/2 ATR (to 1 full ATR past the breakout), based on the slippage incurred by the 1st Unit. Ordinarily, in the case where several Units have been added (each on a separate day), the order price of each Unit is adjusted by the cumulative slippage (in N) of all the Units that preceded it on the trade in progress.

 

Notes:

 

Stop (ATR)

This parameter defines the distance from the entry price to the initial stop, in terms of ATR. Since ATR is a measure of daily volatility and the Turtle System stops are based on ATR, this means that the Turtle System equalizes the position size across the various markets based on volatility.

 

According to the original Turtle Rules, long positions were stopped out if price fell 2 ATR from the entry price. Conversely, short positions were stopped out if the price rose 2 ATR from the entry price.

 

Unlike the Exit Breakout based stop, which moves up or down with the X-day high or low, the stop defined by Stop in ATR is a "hard" stop that is fixed above or below the entry price upon entry. Once set, it does not vary throughout the course of the trade, unless Units are added, in which case the for earlier units are raised by the amount specified by Unit Add (ATR).

 

Trades are liquidated when price hits the stop defined by either the Stop in ATR, the Entry Breakout for the opposite direction, or the Exit Breakout (see above), whichever is closest to the price at the time.

 

In this system the initial entry stop for the trade entry day is based on the order price. This is for ease of placing the stop once the order is filled. Note that the stop is adjusted based on the actual fill price for the following day.

 

Exit Breakout (days)

Trades in progress are exited when the price hits the high or the low of the preceding X-days as adjusted by the Exit Offset. This concept is the identical to Entry Breakout, but the logic is reversed: Long trades are exited when price breaks out below the X-day low, and short trades are exited when price breaks out above the X-day low.

 

The Exit Breakout moves up (or down) with price. It protects against adverse price excursions, and also serves as a trailing stop that acts to lock in a profit when the trend reverses.

 

Trades are liquidated when price hits the stop defined by either the Stop in ATR, the Entry Breakout for the opposite direction, or the Exit Breakout (see above), whichever is closest to the price at the time.

 

Exit Offset (ATR)

If set to zero, this parameter has no effect. If Exit Offset in ATR is set to 1.0, a long position isn't exited until price hits the normal breakout price, minus 1.0 ATR. Likewise, a short position won't be exited until the price hits the normal breakout price, plus 1.0 ATR. Either a positive or negative value can be specified for this parameter. A positive value effectively delays exit until the specified point after the breakout threshold chosen; a negative value would exit before the breakout threshold chosen.

 

Max Instrument Units

This parameter defines the maximum number of Units that can be held at one time, in any single futures market, or any single stock. For instance, Max Instrument Units = 4 means that no more than 4 Units of Coffee may be held at one time; this includes the initial Unit, plus 3 Units added.