System 1 breakout entry signals would be ignored if the last breakout would have resulted in a winning trade. NOTE: For the purposes of this test, the last breakout was considered the last breakout in the particular commodity irrespective of whether or not that particular breakout was actually taken, or was skipped because of this rule. This breakout would be considered a losing breakout if the price subsequent to the date of the breakout moved 2N against the position before a profitable 10-day exit occurred.
The direction of the last breakout was irrelevant to this rule. Thus, a losing long breakout or a losing short breakout would enable the subsequent new breakout to be taken as a valid entry, regardless of its direction (long or short).
However, in the event that a System 1 entry breakout was skipped because the previous trade had been a winner, an entry would be made at the 55-day breakout to avoid missing major moves. This 55-day breakout was considered the Failsafe Breakout point.
At any given point, if you were out of the market, there would always be some price which would trigger a short entry and another different and higher price which would trigger a long entry. If the last breakout was a loser, then the entry signal would be closer to the current price (i.e. the 20 day breakout), than if it had been a winner, in which case the entry signal would likely be farther away, at the 55 day breakout.
- 系统1中描述的过滤，当上一次交易为盈利性交易时，则本次突破信号忽略；
- 如何判断是盈利性交易还是亏损性交易呢？
- 以2N退出则为Losing，以10day标准退出则是winning；（按照此标准执行）
- 或者是根据实际交易的盈亏来进行判断
Stop Placement
The Turtles used N-based stops to avoid large losses in equity.
The Turtles placed their stops based on position risk. No trade could incur more than 2% risk.
Since 1 N of price movement represented 1% of Account Equity, the maximum stop that would allow 2% risk would be 2 N of price movement. Turtle stops were set at 2 N below the entry for long positions, and 2 N above the entry for short positions. In order to keep total position risk at a minimum, if additional units were added, the stops for earlier units were raised by ½ N. This generally meant that all the stops for the entire position would be placed at 2 N from the most recently added unit. However, in cases where later units were placed at larger spacing either because of fast markets causing skid, or because of opening gaps, there would be differences in the stops.
Exit
The Turtles used breakout based exits for profitable positions.
The System 1 exit was a 10 day low for long positions and a 10 day high for short positions. All the Units in the position would be exited if the price went against the position for a 10 day breakout.
- 退出时，到底是使用EXIT还是使用STOP，按照多数人的理解应该是哪个先到使用哪个；
- 亏损时按照2N来执行，盈利时按照10day执行；
- 加仓单方向满12个单位时，是不是要把弱的品种换成强的品种？
在EXIT标准和STOP标准差别不大时，都认为这是一个Losing Position，不忽略本次的突破信号，只有在实盘中本次交易有比较明显的趋势同时产生了比较大的盈利时，产生忽略信号，这时STOP信号位于第4次加仓下方2N处，而EXIT信号则是10日的Donchain通道，这个时候EXIT信号和STOP信号之间会存在比较大的距离
