程序化交易的诞生是以海龟交易法则的出现为里程碑的,

海龟交易法则的诞生是在二十四年前，来处于查德·丹尼斯与威廉·埃克哈特的一个赌博——“伟大的期货交易者究竟是天生的，还是可以后天培养的？”,这个赌博,最终成就了一个传奇性的实验。

丹尼斯将他的交易理念和思想用两周时间传授给他招募来的23个普通人，并像新加坡人养海龟一样训练他们，给他训练的这些交易者取了个名字叫做海龟，他们所使用的交易方法叫做海龟法则。在随后的四年中，海龟们取得了年均复利80%的收益。

 

下面是海龟交易法则的源代码

源码：

 

vars: N(0),StopLoss(1),DV(0),BB(0),AccountBalance(0),DollarRisk(0),LTT(0),

Tracker(0),LastTrade(0),HBP(0),LBP(0); 

{/// Turtle 20-Day Breakout Replica //////////////////////////////////////}

if marketposition = 0 then begin

BB = 0;

N = AvgTrueRange(20);

AccountBalance = 1000000;

DV = N * BigPointValue;

{AccountBalance = InitialBalance + netprofit;}

DollarRisk = AccountBalance * 0.01;

LTT = IntPortion(DollarRisk/DV);

StopLoss = 2 * DV * LTT;

if LastTrade = -1 then begin

buy LTT shares next bar highest(h,20) or higher;

buy LTT shares next bar highest(h,20) + (0.5*N) or higher;

buy LTT shares next bar highest(h,20) + (1.0*N) or higher;

buy LTT shares next bar highest(h,20) + (1.5*N) or higher;

sellshort LTT shares next bar lowest(l,20) or lower;

sellshort LTT shares next bar lowest(l,20) - (0.5*N) or lower;

sellshort LTT shares next bar lowest(l,20) - (1.0*N) or lower;

sellshort LTT shares next bar lowest(l,20) - (1.5*N) or lower;

end;

if LastTrade = 1 then begin

buy LTT shares next bar highest(h,50) or higher;

buy LTT shares next bar highest(h,50) + (0.5*N) or higher;

buy LTT shares next bar highest(h,50) + (1.0*N) or higher;

buy LTT shares next bar highest(h,50) + (1.5*N) or higher;

sellshort LTT shares next bar lowest(l,50) or lower;

sellshort LTT shares next bar lowest(l,50) - (0.5*N) or lower;

sellshort LTT shares next bar lowest(l,50) - (1.0*N) or lower;

sellshort LTT shares next bar lowest(l,50) - (1.5*N) or lower;

end;

end;

{// PREVIOUS TRADE TRACKER}

if HBP = 0 and h > highest(h,19)[1] then begin

Tracker = 1; HBP = h; LBP = 0;

end;

if LBP = 0 and l < lowest(l,19)[1] then begin

Tracker = -1; LBP = l; HBP = 0;

end;

if Tracker = 1 then begin

if l < HBP - (2*N) then LastTrade = -1;

if h > HBP + (4*N) then LastTrade = 1;

end;

if Tracker = -1 then begin

if h > LBP + (2*N) then LastTrade = -1;

if l < LBP - (4*N) then LastTrade = 1;

end;

{// LONG 20 }

if LastTrade = -1 and marketposition = 1 then begin

BB = BB + 1;

if currentcontracts = LTT then begin

buy LTT shares next bar highest(h,20)[BB] + (0.5*N) or higher;

buy LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher;

buy LTT shares next bar highest(h,20)[BB]+ (1.5*N) or higher;

end;

if currentcontracts = LTT * 2 then begin

buy LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher;

buy LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher;

end;

if currentcontracts = LTT * 3 then

buy LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher;

end;

{// LONG 50}

if LastTrade = 1 and marketposition = 1 then begin

BB = BB + 1;

if currentcontracts = LTT then begin

buy LTT shares next bar highest(h,50)[BB] + (0.5*N) or higher;

buy LTT shares next bar highest(h,50)[BB] + (1.0*N) or higher;

buy LTT shares next bar highest(h,50)[BB]+ (1.5*N) or higher;

end;

if currentcontracts = LTT * 2 then begin

buy LTT shares next bar highest(h,50)[BB] + (1.0*N) or higher;

buy LTT shares next bar highest(h,50)[BB] + (1.5*N) or higher;

end;

if currentcontracts = LTT * 3 then

buy LTT shares next bar highest(h,50)[BB] + (1.5*N) or higher;

end;

sell("out-S") next bar lowest(l,10) or lower;

{// SHORT 20 }

if LastTrade = -1 and marketposition = -1 then begin

BB = BB + 1;

if currentcontracts = LTT then begin

sellshort LTT shares next bar lowest(l,20)[BB] - (0.5*N) or lower;

sellshort LTT shares next bar lowest(l,20)[BB] - (1.0*N) or lower;

sellshort LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;

end;

if currentcontracts = LTT * 2 then begin

sellshort LTT shares next bar lowest(l,20)[BB] - (1.0*N) or lower;

sellshort LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;

end;

if currentcontracts = LTT * 3 then

sellshort LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;

end;

{// SHORT 55 }

if LastTrade = 1 and marketposition = -1 then begin

BB = BB + 1;

if currentcontracts = LTT then begin

sellshort LTT shares next bar lowest(l,50)[BB] - (0.5*N) or lower;

sellshort LTT shares next bar lowest(l,50)[BB] - (1.0*N) or lower;

sellshort LTT shares next bar lowest(l,50)[BB] - (1.5*N) or lower;

end;

if currentcontracts = LTT * 2 then begin

sellshort LTT shares next bar lowest(l,50)[BB] - (1.0*N) or lower;

sellshort LTT shares next bar lowest(l,50)[BB] - (1.5*N) or lower;

end;

if currentcontracts = LTT * 3 then

sellshort LTT shares next bar lowest(l,50)[BB] - (1.5*N) or lower;

end;

buytocover ("out-B") next bar highest(h,10) or higher;

{// STOPS}

if currentcontracts = (2 * LTT) then StopLoss = DV * 3.5 * LTT;

if currentcontracts = (3 * LTT) then StopLoss = DV * 4.5 * LTT;

if currentcontracts = (4 * LTT) then StopLoss = DV * 5.0 * LTT;

setstoploss (StopLoss);

{// COMMENTARY}

commentary ("LTT: ",LTT,Newline);

commentary ("currentcontracts: ",currentcontracts,Newline);

commentary ("StopLoss: ",StopLoss,Newline);

commentary ("AccountBalance:",AccountBalance,NewLine);

commentary ("LastTrade: ",LastTrade,NewLine);