· Marketplace -- what to buy and sell · The size of the market -- how much to buy and sell · Go to market -- when to buy and sell · Stop-loss -- when to sell out-of-loss stocks · Off-market -- when to sell profitable stocks • Strategy -- how to buy and sell
ATR is the average volatility of a stock over the last 20 trading days. In most market software, a simple custom formula can be found as follows: TR:MAX ((MAX((HIGH-LOW), ABS ((REF(CLOSE, 1) -HIGH)), ABS ((REF(CLOSE, 1) -LOW));
ATR:EMA(TR,20);
The number of shares bought and sold is calculated using the following formula:
Number of shares bought and sold = 1% of the account/ATR
For example: the account amount is 500,000 yuan, a 20-day average volatility of only 15 yuan shares is 0.6 yuan, then the number of bought and sold shares = 500,000 * 1% / 0.6 = 8,333 shares, taking into account 8,300 shares. Buying with 15 yuan, the position is 24.9%; If the average volatility is 0.45 yuan, you can buy 11,100 shares, the position is 33.3%; If the average volatility is 1 yuan, only buy 5,000 shares, the position is 15%.
The formula for calculating the position is: CW:CLOSE/ATR*100%
Since the volatility of the domestic stock market is significantly stronger than that of the mature market, single positions are generally between 10% and 20%, so, regardless of the size of the account, without taking into account the liquidity when buying and selling, there are only 5-7 stocks that are full.
For small funds accounts (less than 500,000), 3 shares are sufficient and the position can be gradually increased according to the rules. The limit for a single share is 4 units, i.e. 4*CW.
Adjust the size of the account
Whenever the account loses 10%, the Pigeon reduces the size of the account by 20% until it reaches the initial net worth. If we lose another 10%, we reduce the size of the account by another 20% and so on. In turn, if the profit is 10%, no more than 20% of the funds can be added.
The Sharks use two related systems to select stocks, both based on Donchian's channel breakout system.
The seagulls are given two different but related breakthrough systems, which we call System One and System Two. We are completely free to decide on which system to allocate our net worth according to our preference. Some of us choose System Two to trade all our net worth, some of us choose System One with 50% of our net worth, some of us choose System Two with 50% of our net worth, while others choose a different combination.
The bull always trades when the breakout occurs on the day, rather than waiting until the day's close or the next day's opening. In the case of a bull market, the bull will buy the stock at the opening if the market opens above the price of the breakout.
If the previous breakout has resulted in a winning trade, the breakout signal of System One will be ignored. Note: For the purpose of testing this problem, the last breakout is considered to be the most recent breakout on a commodity, regardless of whether that breakout was actually accepted or ignored because of the law. If the price after the breakout day fell by 2ATR 10 days before the winning day left the market, then this breakout will be considered a failed breakout. What do you mean? The direction of the last breakout is irrelevant to this law. Therefore, multiple breakouts at a loss will make subsequent breakouts effective. What do you mean? However, if the system 1 breakout is ignored because the previous trade has already made a profit, it can also be entered at the 55th breakout to avoid missing the main volatility. This 55th breakout is considered an automatic failsafe breakout point.
The shark establishes only one unit of position at the time of breakout, and increases the position at a 1/2 ATR interval after the position is established. This 1/2 ATR interval is based on the actual transaction price of the previous order. Therefore, if the initial breakout order decreases the 1/2 ATR, the new order is the 1 ATR plus the normal 1/2 ATR unit increase in the interval after the breakout to illustrate the decrease in the 1/2 ATR. What do you mean? This is correct until the maximum number of permitted units is reached. If the market fluctuates quickly, it is possible to increase to a maximum of 4 units in a day.
The highest price of a stock in the last 20 days is 15 yuan, the average daily fluctuation in the last 20 days is 0.7 yuan, the account funds are 500,000 yuan (empty position). So, when the stock price breaks through 15 yuan, buy 7,000 shares (the formula is calculated as 500,000 * 0.01/0.7, integrated downwards), assuming the first purchase price is 15.05 yuan; then later buy 7,000 shares at 15.4, 15.75 and 16.1 yuan, respectively, for a total of 28,000 shares, when the price increases by 0.35 yuan (half of ATR 0.7).
海龟交易系统规定任何一笔交易都不能出现2%以上的风险。
Because the price fluctuation 1ATR represents 1% of the net account value, the maximum stop loss at 2% of the risk allowed is the price fluctuation 2ATR.
To ensure that the risk of the entire position is minimal, if an additional unit is added, the stop loss on the front unit will be increased by 1/2ATR. This generally means that the stop loss on the entire position will be set at 2ATR on the unit that is the most recently added. However, the stop loss will be different if the back unit is set at a greater interval due to too fast a market fluctuation or because the opening jumps.
The whipsaw was taught an alternative stop-loss strategy that would yield better returns, but it was more difficult to execute because it caused more losses and resulted in a lower profit-loss ratio. This strategy was called the double-loss. What do you mean? Unlike 2% risk per trade, a stop loss is set at 1/2 ATR, or 1/2% of the account risk. If a unit has been stopped and the market returns to its original purchase price, the unit is re-established. What do you mean? Double losses also have the added benefit of not having to change the stop loss of the original unit when adding a new unit, as the total risk never exceeds 2% when adding a maximum of 4 units.
System Outside: The current price is the 10-day low. If the price drops to a 10-day break, all stocks will exit. What do you mean? System Diversion: The current price is the 20-day low. If the price drops to a 20-day break, all stocks will exit.
Translated from Faruto's blog