★Turtle Soup進場策略－程式交易≠Holy Grail

Turtle Soup其實是在海龜交易法之後才初露頭角的一個策略，在國外已經流行多年(至少有將近10年)，但是在台灣我是近2年才聽過這個名詞。有時候翻一翻老策略是不錯的，因為10年前的東西，在2年前台灣有人開始傳閱，表示這個策略的基礎是值得鑽研的。

這個策略發明者以日k線為主，進場方式如下，我原文重現：

For buy’s entry method (sell’s are reversed):

1. Today must make a new 20-day low, the lower the better.

2. The previous 20-day low must have occurred at least four trading sessions earlier. This is very important.

3. After the market falls below the prior 20-day low, place an entry buy stop 5-10 ticks above the previous 20-day low. The buy stop is good for today only.

4. If the buy stop is filled, immediately place an initial good-till-cancelled sell stoploss one tick under today’s low.

5. As the position becomes profitable, use a trailing stop to prevent giving back profits. Some of these trades will last two to three hours and some will last a few days. Due to the volatility and the noise at these 20-day high and low points, each market behaves differently.

6. Re-entry Rule: If you are stopped out on either day one or day two of the trade, you may re-enter on a buy stop at your original entry price level (day one and day two only). By doing this, you should increase your profitability by a small amount.

為了有些看英文比較吃力的人，我舉台指期2011年底的走勢作一個範例講解。那個時候如果你學過Turtle Soup，你就會試著作多單。

最後，我不喜歡叫龜湯，因為很難聽。