Skip to content
- 快速阅读，貌似只有Rules一章是有价值的，算是清除一个2019年以来的open loop。
- Break out strat
- System-1: Entry 4 week break out, exit 2 week break out in opposite direction
- System-2: Entry 11 week break out, exit 4 week break out in opposite direction
- Daily range – ATR – also called N. 基于日线 HLOC.
- 2N also used as hard stop for stop-loss.
- Avg Bet Size = 2%
- 2% is a risk limit
- 2N / 2ATR = positioning
- Smaller ATR means bigger position
- Pyramiding, add onto winning position, when +1N (plus one unit) +2N etc., max 5N
- Risk tolerance decrease 20% every 10% drawdown
- Avoid same position on highly correlated markets, use both long / short for additional diversification