Features
a. Many filters are used: (1) selecting stocks every 5 days automatically to find out the most undervalued stocks for the portfolio and filter out low liquidity (2) determining whether the last breakout is successful or not. The previous fail breakout means the current breakout is risky, which needs more rules to determine.
b. Strick trade pipeline strategy: using special N algorithm and ATR index from Turtle Trading System, and adding moving average, dividing the pipeline into different conditions, to better control the change of price
c. High risk, but high returns. It is a kind of feature of Turtle Trading Rules, always waiting for big trend and earning huge revenue from big trend, but not loss too much in the fluctuation.
The process of this strategy:
(1) Selecting a list of fundamental stocks mainly according PB ratio, PCF ratio and market cap, and changing this list every 5 days. (2) selecting the stocks within above fundamental list by filtering down by recent volume every 5 days to select the most undervalued stocks for the portfolio and filter out low liquidity (3) Building trading strategy based on Turtle Trading Strategy a. Basic Elements:
(1) 30-days short term entry system - Donchian Channel 1 (2) 90-days long term entry system - Donchian Channel 2 (3) 10-days exit system – exit price (stop loss) (4) N : ATR Index (5) Trade amount: (account size*0.01)/(N * current price) (6) 30-days short term moving strategy (7) 100-days long term moving strategy (8) filter: the type of last time breakout if the minimum close price in past 20 days is lower than previous entry price in the long position, the previous breakout is successful
if the minimum close price in past 20 days is higher than previous entry price in the short position, the previous breakout is successful