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ed seykota 用的是 Donchian 的5/20 MA均线系统,后来将它改良为EMA均线系统.
我查了一下,海龟用的也是Richard Donchian 的"通道突破系统" (Channel breakout system). 可笑的是中文版的海龟交易系统将 Donchian的名字翻译成"唐志仁",真是让人苦笑不得.所以文章最好还是看原版的.
Richard Donchian graduates from Yale with a BA in economics and begins his Wall Street career in 1930. From 1933-1935 he writes a technical market letter for Hemphill, Noyes & Co. For several years thereafter, he publishes a stock market service, "Security Pilot," and sells it to brokerage houses. During WW II he serves as an Air Force statistical control officer with a group they call the "Whiz Kids." For two years after the war, he acts as economic trend analyst and market letter writer for Shearson Hamill & Co. Quotes from his "Market Outlook" letters appear in the Wall Street Journal and other financial publications. He joins Hayden, Stone in 1960 and becomes VP and Director of Commodity Research. He writes numerous articles including "Trend Following Methods in Commodity Price Analysis." He publishes a weekly "Commodity Trend Timing" letter, based on his 5-20 moving average method and achieves a circulation of over 10.000.
Donchian's 20 Trading Guides (First publication: 1934)
Beware of acting immediately on a widespread public opinion. Even if correct, it will usually delay the move.
From a period of dullness and inactivity, watch for and prepare to follow a move in the direction in which volume increases.
Limit losses and ride profits, irrespective of all other rules.
Light commitments are advisable when market position is not certain. Clearly defined moves are signaled frequently enough to make life interesting and concentration on these moves will prevent unprofitable whip-sawing.
Seldom take a position in the direction of an immediately preceding three-day move. Wait for a one-day reversal.
Judicious use of stop orders is a valuable aid to profitable trading. Stops may be used to protect profits, to limit losses, and from certain formations such as triangular foci to take positions. Stop orders are apt to be more valuable and less treacherous if used in proper relation the the chart formation.
In a market in which upswings are likely to equal or exceed downswings, heavier position should be taken for the upswings for percentage reasons - a decline from 50 to 25 will net only 50% profit, whereas an advance from 25 to 50 will net 100%
In taking a position, price orders are allowable. In closing a position, use market orders."
Buy strong-acting, strong-background commodities and sell weak ones, subject to all other rules.
Moves in which rails lead or participate strongly are usually more worth following than moves in which rails lag.
A study of the capitalization of a company, the degree of activity of an issue, and whether an issue is a lethargic truck horse or a spirited race horse is fully as important as a study of statistical reports.
A move followed by a sideways range often precedes another move of almost equal extent in the same direction as the original move. Generally, when the second move from the sideways range has run its course, a counter move approaching the sideways range may be expected.
Reversal or resistance to a move is likely to be encountered
0n reaching levels at which in the past, the commodity has fluctuated for a considerable length of time within a narrow range
On approaching highs or lows
Watch for good buying or selling opportunities when trend lines are approached, especially on medium or dull volume. Be sure such a line has not been hugged or hit too frequently.
Watch for "crawling along" or repeated bumping of minor or major trend lines and prepare to see such trend lines broken.
Breaking of minor trend lines counter to the major trend gives most other important position taking signals. Positions can be taken or reversed on stop at such places.
Triangles of ether slope may mean either accumulation or distribution depending on other considerations although triangles are usually broken on the flat side.
Watch for volume climax, especially after a long move.
Don't count on gaps being closed unless you can distinguish between breakaway gaps, normal gaps and exhaustion gaps.
During a move, take or increase positions in the direction of the move at the market the morning following any one-day reversal, however slight the reversal may be, especially if volume declines on the reversal.
Richard Donchian (1905-1993)
Note: These results are for educational purposes only.
They do not imply any kind of trading recommendation.
This particular sytem is particularly difficult to follow
and attempts to follow it may lead to substantial losses.
The System Rules:
1. Place a buy stop to cover shorts and to go long at the 210-day high.
2. Place a sell stop to liquidate longs and to go short at the 210-day low.
3. Size position so that risk to protective stop = 7% of current equity.
This sample portfolio contains S&P, 30-Bonds, Soybeans, Copper and Eurodollar.
1. 在210日最高点处放置一个 BUY STOP的反转指令. (指平掉空头仓位,并建立多头仓位)
2. 在210日最低点处放置一个SELL STOP的反转指令. (指平掉多头仓位,并建立空头仓位)
Starting Date 01/02/1990 Starting Equity $1,000,000.00
Ending Date 08/11/2006 Ending Equity $11,727,775.08
Annualized Percent Return 0.16 Maximum % Drawdown 0.34
Bliss 0.47 Annualized Sharpe Ratio (Rfr=1%) 0.75
Margin/Equity (est) 0.00 Ulcer Index 0.14
JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2006 2.29 0.23 9.15 22.89 4.64 0.33 3.31 -2.36 45.61
2005 -2.38 0.17 0.07 0.25 4.24 2.21 7.32 -2.11 7.41 1.46 11.84 4.27 39.55
2004 6.14 16.99 1.04 -7.09 -4.55 -0.89 -5.12 -2.01 0.84 -3.50 5.29 2.36 7.54
2003 -2.07 2.54 2.70 1.38 -2.51 2.98 -11.73 4.27 10.19 8.78 0.37 7.08 24.46
2002 0.18 1.46 -3.18 8.67 2.11 6.43 3.31 2.74 1.30 -3.29 -1.77 4.72 24.32
2001 7.59 5.70 5.42 -2.67 2.31 1.91 3.33 1.97 10.74 4.89 -5.10 -1.95 38.54
2000 -5.12 -3.82 -1.46 -0.62 -1.59 -2.11 3.05 -1.40 -2.92 -3.97 4.76 9.78 -6.20
1999 2.70 -1.44 1.61 -0.36 1.35 -1.86 -1.09 -1.53 0.84 1.47 1.45 7.95 11.28
1998 4.37 1.85 5.74 -0.69 -1.27 7.12 -4.39 -6.45 5.94 -15.79 -2.81 -0.39 -8.80
1997 4.62 -5.46 -6.34 5.28 8.19 -0.37 7.66 -3.10 5.46 2.71 5.11 1.72 27.01
1996 -3.68 -2.88 0.86 -0.77 -1.76 5.68 -6.02 5.01 -0.14 -2.43 -0.26 -1.40 -8.09
1995 -5.61 -4.68 3.71 -3.43 10.77 2.90 -0.06 3.80 3.77 6.68 5.33 5.97 31.67
1994 -1.61 -6.21 -8.71 2.98 7.20 2.07 -7.45 0.08 12.37 4.03 9.94 -1.37 11.44
1993 4.52 3.98 -1.09 7.06 -3.23 8.31 4.69 1.13 -0.31 0.03 0.96 1.34 30.31
1992 -6.72 -3.62 1.63 2.90 -2.18 4.76 11.23 1.25 0.91 -8.08 -4.08 2.19 -1.35
1991 -5.50 -6.38 0.87 4.30 -3.96 1.44 -2.70 8.81 2.42 3.67 2.27 14.11 18.97
1990 0.00 1.36 5.91 19.60 -25.63 13.94 -8.27 -3.88 0.14 -0.44 -9.19 15.60 0.40
Richard Donchian is known as the father of trend following. His original trend following ideas form the basis for all trend following success that has followed, including Richard Dennis. Donchian's original methods involved the use of a moving average for the entry/exit indicator portion of his system. Richard Dennis, however, did not use a moving average for entry/exit and concentrated much more heavily on money management than Donchian. Money management accounts for 90% of the Turtle success story. Then once you have that down, your psychology accounts for 100% of your success
Richard Davoud Donchian was born in Hartford, Connecticut, in September, 1905, the son of Samuel B. Donchian and Armenouhi A. Davoud, both of whom migrated from the Armenian province of Turkey in the 1880's. Richard attended public schools in Hartford, the Taft School in Watertown, Connecticut, and graduated from Yale University in 1928 with a B.A degree in economics. Upon graduation, he entered the family's oriental rug business.
Although he appreciated studying about and collecting oriental rugs, he became more interested in the financial markets after reading the book about Jesse Livermore, Reminiscences of a Stock Operator. After suffering personal financial losses during the market crash of 1929, he began his study of technical analysis, believing that only the chartists made sense and money. While continuing to serve as a Vice President of the Samuel Donchian Rug Company, he became a securities analyst and account executive with Hemphill, Noyes & Co. in 1933.
虽然他喜欢学习编织东方地毯,但在阅读了 Jesse Livermore的<股票作手操盘术>后他的兴趣转移到了金融市场. 在1929年的股市大崩盘他遭受了资金损失后,开始研究技术分析并相信只有图表才对赚钱有帮助. 在担任Samuel Donchian Rug Company (塞弥儿.唐志仁 地毯公司)副总裁期间,他于1922年成为了 Hemphill, Noyes & Co. 公司的证券分析师和操盘手? (Account executive如何精译?)
During World War II, he participated in the invasion of Sicily and later served as an Air Force Statistical Control Officer in the Pentagon. After the war he returned to the world of investments as a private investment adviser and economic analyst, remaining self-employed until 1960. In 1948 his focus changed from securities to the trading of commodities. He created "Futures, Inc.," a pioneer publicly held commodity fund, based on the principle of diversification, an idea new in this field. He was later dubbed the 'father of modern commodities trading methods," having developed a technical trading method called "trend following," which presupposes that commodity prices will move in long sweeps like bull and bear markets. He used a mathematical system based on moving averages of commodity prices. During this period, he authored numerous articles on both securities and futures trading.
In 1960 he became associated with Hayden Stone Inc., as Director of Commodity Research. From then until his death on April 24, 1993, he was associated with the various configurations of Hayden Stone and Shearson Lehman Brothers (now Smith Barney) and was a Senior Vice President. Also in 1960 he became responsible for writing a weekly technical newsletter entitled "Commodity Trend Timing," which he continued to author for 19 years. In 1963 he was awarded a Chartered Financial Analyst degree from the Institute of Chartered Financial Analysts at the University of Virginia.
Mr. Donchian was best known for his pioneer work in the field of commodity futures money management. He was a member of the Commodity Exchange, Inc., the New York Cotton Exchange, the New York Futures Exchange, the New York Society of Security Analysts, the American Statistical Association, the National Association of Future Trading Advisers, the Financial Forum, and listed in Who's Who in America. In June 1983 "Managed Accounts Report" selected him as the first recipient of its "Most Valuable Performer Award," for outstanding contributions to the field of commodity money management.
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