ATR教程（波动率设止损）

Average True Range 真实波动幅度均值 1998／10／20 药渣
译

Average True Range is an indespensable tool for designers of good tradingsystems. It is truly a workhorse among technical indicators. Every systemstrader should be familiar with ATR and its many useful functions. It hasnumerous applications including use in setups, entries, stops and profittaking. It is even a valuable aid in money management.

真实波动幅度均值（ATR）是优秀的交易系统设计者的一个不可缺少的工具，它称得上是技术指标中的一匹真正的劲马。每一位系统交易者都应当熟悉ATR及其具有的许多有用功能。其众多应用包括：参数设置，入市，止损，获利等，甚至是资金管理中的一个非常有价值的辅助工具。
译者注：setups在上篇文章中我也碰到，我把它翻译为参数设置，不知道对不对。

The following is a brief explanation of how ATR is calculated and a few simpleexamples of the many ways that ATR can be used to design profitable tradingsystems.

ATR是如何计算的？下面我们会简单解释的；如何利用ART设计交易系统？我们随后也会用几个简单例子说明众多方法中的一些。

How to calculate Average True Range (ATR).

如何计算真实波动幅度均值（ATR）

Range: This is simply the difference between the high point and the low pointof any bar.
True Range: This is the GREATEST of the following:
1. The distance from today\'s high to today\'s low
2. The distance from yesterday\'s close to today\'s high, or
3. The distance from yesterday\'s close to today\'s low
True range is different from range whenever there is a gap in prices from onebar to the next.
Average True Range is simply the true range averaged over a number of bars ofdata.

波动幅度：单根K线图最高点和最低点间的距离。（译者将原文用的是条形图改为我们熟悉的K线图）
真实波动幅度：是以下三个波动幅度的最大值

1. 当天最高点和最低点间的距离
2. 前一天收盘价和当天最高价间的距离，或
3. 前天收盘价和当天最低价间的距离
当日K线图出现缺口时，真实波动幅度和单根K线的波动幅度是不同的。
真实波动幅度均值就是真实波动幅度的平均值

To make ATR adaptive to recent changes in volatility, use a short average (2 to10 bars). To make the ATR reflective of \"normal\" volatility use 20to 50 bars or more.

为了让ATR反映近期波动性，可以使用短期ATR（2－10根K线图）；为了让ATR反映“长期”波动性，可以使用20至50根K线或更多。

Characteristics and benefits of ATR.

ATR的特征及其益处

ATR is a truly adaptive and universal measure of market price movement.
Here is an example that might help illustrate the importance of thesecharacteristics:

ATR是一个评价市场价格运动的通用指标，而且是一个真正的自适应指标。
下面这个例子能帮助解释这些特征的重要性

If we were to measure the average price movement of Corn over a two day periodand express this in dollars it might be a figure of about $500.00. If we wereto measure the average price movement of a Yen contract it would probably beabout $2,000 or more. If we were building a system where we wanted to use theset appropriate stop losses in Corn and Yen we would be looking at two verydifferent stop levels because of the difference in the volatility (in dollars).We might want to use a $750 stop loss in Corn and a $3,000 stop loss in Yen. Ifwe were building one system that would be applied identically to both of thesemarkets it would be very difficult to have one stop expressed in dollars thatwould be applicable to both markets. The $750 Corn stop would be too close whentrading Yen and the $3,000 Yen stop would be too far away when trading Corn.

如果我们计算一下玉米在两天内的平均价格波动幅度，比如说是500美元；日元合约的平均价格波动幅度可能是2,000美元或更多。如果我们要建立一个交易系统分别为玉米或日元设置合适的止损水平，那么我们会看到这两者的止损水平是不同的，因为两者的波动性不同。我们可能在玉米上设定750美元的止损水平，而在日元合约上是3,000美元。如果我们要建立一个能同时适用于这两个市场的交易系统，我们很难在这两个市场上让用美元数量表示的止损水平相等。750美元的止损水平对玉米来说是合适的，但对日元来说可能太小了；3,000美元的止损水平对日元来说是合适的，但对玉米来说太大了。

However, let\'s assume that, using the information in the example above, theATR of Corn over a two day period is $500 and the ATR of Yen over the sameperiod is $2,000. If we were to use a stop expressed as 1.5 ATRs we could usethe same formula for both markets. The Corn stop would be $750 and the Yen stopwould be $3,000.

然而，我们不妨假定在上面的例子中，玉米在两天内的真实波动幅度均值（ATR）是500美元，日元在两天内的真实波动幅度均值（ATR）是2,000美元。如果我们把止损水平设置为1.5倍的ATR（即用ATR表示的止损水平），我们就能在这两个市场使用相同的标准（即1.5倍的ATR），玉米的止损水平会是750美元，日元的止损水平会是3000美元。

Now lets assume that the market conditions change so that Corn becomesextremely volatile and moves $1,000 over a two day period and Yen gets veryquiet and now moves only $1,000 over a two day period. If we were still usingour stops as originally expressed in dollars we would still have a $750 stop inCorn (much too close now) and a $3,000 stop in Yen (much too far away now).However, our stop expressed in units of ATR would adapt to the changes and ournew ATR stops of 1.5 ATRs would automatically change our stops to $1500 forCorn and $1500 for Yen. The ATR stops would automatically adjust to the changesin the market without any change in the original formula. Our new stop is 1.5ATRs the same as always.

现在让我们假定市场条件变了，玉米波动性变的很高，两天之内运动了1000美元；而日元变得很平静，两天之内只运动了1000美元。如果我们还使用以前的用美元数量表示的止损水平，即玉米的止损水平仍然定为750美元，日元的止损水平仍然定为3000美元，那么现在玉米的止损水平定的太近了，而日元的止损水平又定得太远了。然而，用ATR的某一倍数表示的止损水平能适应市场的变化，1.5倍ATR的止损水平将自动调整玉米和日元的止损水平分别为1500美元。用ATR表示的止损水平能自动适应市场的变化，同时不会改变原先的止损标准，新情况下的止损标准与以前的止损标准一样，同是1.5倍ATR。

The value of having ATR as a universal and adaptive measure of marketvolatility can not be overstated. ATR is an invaluable tool in building systemsthat are robust (this means they are likely to work in the future) and that canbe applied to many markets without modification. Using ATR you might be able tobuild a system for Corn that might actually work in Yen without the slightestmodification. But perhaps more importantly, you can build a system using ATRthat works well in Corn over your historical data and that is also likely towork just as well in the future even if the nature of the Corn data changesdramatically.

ATR作为市场波动性指标具有的通用性和适应性的使用价值无论怎么肯定都不过分。ATR对于建立坚实的交易系统是非常有价值的（也就是说交易系统可能在未来同样有效），而且他们能不加修饰的用于多个市场。使用ATR你可以设计一个既适用于玉米市场，同样也可以在没有任何修改的情况下用于日元市场。但是，或许更重要的是，你可以建立一个系统，它不仅在玉米的历史数据测试中表现良好，它同样也很有可能在未来即使玉米市场变化很大的情况下仍然表现良好。

Sample Applications of ATR as an entry tool:

ATR作为一种入场工具的应用示例

Entry Setups: (Remember, entry setups tell us when a possible trade is near.

Entry triggers tell us to do the trade now.)

入场背景：（记住，入场背景告诉我们不久将会出现交易机会，而入场触发器告诉我们现在入场交易）

Range contraction setup: Many technicians have observed that big moves oftenemerge from quiet sideways markets. These quiet periods can be detected quiteeasily by comparing a short period ATR with a longer period ATR. For example ifthe 10 bar ATR is only .75 or less of the 50 period ATR it would indicate thatthe market has been unusually quiet lately. This can be a setup condition thattells us an important entry is near.

波动区间收缩背景：许多技术派已经注意到大幅价格运动往往出现在价格平静的横盘整理之后。通过比较短期ATR和长期ATR可以非常容易的鉴别出价格平静的横盘整理区间，比如当10期ATR小于等于0.75倍50期ATR时，就表明近期市场不寻常的平静。这就是一个背景条件，表明关键的入场时机就在眼前。Range expansionsetup: Many technicians believe that unusually high volatility means that asustainable trend is underway. Range expansion periods are just the opposite ofthe range contraction periods. Range expansion periods can be measured byrequiring that the 10 bar ATR be some amount greater than the 50 period ATR.For example the 10 bar ATR must be 1.25 or more times the 50 period ATR.

波动区间扩张背景：许多技术派相信不同寻常的价格移动意味着一个幅度可观的趋势正在形成。波动区间扩张时期正好与波动区间收缩时期相反，这时我们要求10期ATR大于50期ATR，例如10期ATR大于等于50期ATR的1.25倍。

If you are concerned about the apparent contradiction of these two theories wecould easily combine them. We could require that a period of low volatility befollowed by a period of unusually high volatility before looking for our entry.

如果你对这两种截然相反的情况有兴趣，我们可以非常容易的将两者融合在一起。我们寻找的入场机会在什么时候呢？在波动区间收缩之后紧跟着波动区间扩张的时候。

Dip or rally setup: Lets assume that we want to buy a market only after a dipor sell it only after a rally. We could tell our system to prepare for a buyentry whenever the price is 3 ATRs or more lower than it was five days ago. Oursetup to sell on a rally would be that we want to sell short only when theprice is 3 ATRs or more higher than it was five days ago. The choice of 3 ATRsand five days is simply an example and isn抰 necessarily arecommended choice of parameters. You will have to figure out the properparameters on your own depending on the unique requirements of your particularsystem.

回调或反弹背静：假定我们只想在市场回调时买入，在市场反弹时卖出。当价格比5天前的价格至少低3倍ATR时，我们可以让我们的系统准备买入。当价格比5天前的价格至少高出3倍ATR时，我们可以让我们的交易系统准备卖空。

Entry Triggers:

入场触发器：

Volatility Breakout: This theory assumes that a sudden large move in onedirection indicates that a trend in the direction of the breakout has begun.Normally the entry rule goes something like this: Buy on a stop if the pricerises 2 ATRs from yesterday抯 close. Or sellshort on a stop if the price declines 2 ATRs from the previous close. Thegeneral concept here is that on a normal day the price will only rise or fall 1ATR or less from the previous close. Rising or falling 2 ATRs is an unusualoccurrence and indicates that something out of the ordinary has influenced theprices to cause the breakout. The inference is that whatever caused thisbreakout has major importance and a new trend is beginning.

波动性突变：该理论认为突然出现的某个方向的大幅运动表明与该方向相同的趋势正在形成。一般来说，我们的入场规则可以表述为：当价格比上一交易日收盘价高2ATR时买入，当价格比上一交易日收盘价低2ATR时卖出。这里的一般概念是在平常交易日里价格涨跌不会超过上一交易日收盘价1ATR，超过上一交易日收盘价2ATR的价格涨跌是不寻常的事件，这表明有什么不同寻常的事发生了。由此可以做出的结论是：促使价格这么运动的原因是实质性的，一个新的趋势正在形成。

Some volatility systems operate by measuring the breakout in points rather thanunits of ATR. For example the system may require that the Yen must rise 250points from the previous close to signal a breakout to the upside. Systemsmeasuring points rather than units of ATR may need frequent reoptimization tostay in tune with current market conditions. However, breakouts measured inunits of ATR should not require reoptimization because, as we previouslyexplained, the ATR value contracts and expands with changing market conditions.

一些波动性突变系统的评价标准以点数为单位，而不是以ATR为单位。例如它们认为当日元比上一个收盘价高出250点时才表明上升趋势出现。以点数为单位而不是以ATR为单位的交易系统需要不断的调整优化，才能与市场变化保持一致。然而，以ATR为单位的交易系统不需要优化，正如我们以前解释的那样，ATR值会随着市场变化而变化。

Change in direction trigger: Lets assume that we want to buy a dip in a risingmarket. We combine the dip or rally setup described above with an entry triggerthat tells us the dip or rally may be over and the primary trend is resuming.

方向改变触发器：假定我们想在上升趋势中的回调买入，我们可以将我们之前谈到的回调或反弹背景与入场触发器结合起来，后者能告诉我们什么时候回调或反弹已经结束，也就是告诉我们主要趋势什么时候正在恢复。

The series of rules might read something like this: If the close today is 2.0ATRs greater than the 40 day moving average (this condition establishes thatthe long term trend is still up) and the close today is 2 ATRs or more belowthe close seven days ago (this condition establishes that we are presently in adip within the uptrend) then buy tomorrow if the price rises 0.8 ATRs abovetodays low. This entry trigger shows that we have rallied significantly from arecent low and that the dip is probably over. As we enter the trade the pricesare again moving in the direction of the major trend.

这一系列规则可以表述为：如果今天的收盘价比40天移动均价高2ATR或更多，这表明长期趋势是向上的；而且今天的收盘价比七天前的收盘价低2ATR或更多，这表明我们正处在上升趋势的回调中，那么我们就会在明天价格比今天最低价高出0.8ATR时买入。入场触发器表明市场已经从近期低点中恢复上涨，回调可能已经结束，当我们进入市场后，市场会再次向主趋势方向运动。As you can see, theATR can be a most valuable tool for designing logical entries. In our nextarticle we will discuss using ATR in our exit strategies and give someinteresting examples.

正如你在上面看到的，ATR在设计合理入场策略时是非常有价值的工具。在我们的下篇文章中，我们将会讨论ATR在退出策略中的应用，并给出一些有趣的应用实例。

Using Average True Range for Exits

ATR在离市中的应用

In this Bulletin we will show how ATR can help us achieve more accurateexits.

在本文中我们将向大家展示ATR如何帮助我们更准确的离市

ATR EXIT TARGETS: Perhaps the most valuable of all application of ATR is to useit to define profit objectives. If we were to run some tests to define profitobjective in terms of dollars we could probably find a particular dollar amountthat produced acceptable results when reviewing historical data. Just as anexample, let\'s assume that we run some optimizations to find the best level atwhich to take profits in a particular market and we find that the best numberis $1250. Although this amount may produce acceptable results on a historicalbasis it is not always the best solution to the problem.

ATR出场策略：或许ATR最有价值的应用是用来确定盈利目标。如果我们对用美元数量表示的盈利目标进行测试，我们很可能找到这样一个美元数量表示的盈利目标，它在历史数据测试中能产生理想的回报。比如，假设我们经过优化后已经找到能在某一特定市场获得正期望收益的最佳盈利目标——1250美元。虽然该方法能在历史测试中获得满意效果，但这不是解决问题的最好方法。

When the market is quiet and there is little volatility our profits are likelyto fall well short of our $1250 objective. However when the market is volatileand trending strongly our potential profit might be much greater than $1250.The $1250 level is simply a not so happy medium that is usually either toolarge a target or too small a target.

当市场平静的时，波动性变小，我们的盈利极可能低于1250美元的目标；然而当市场波动性变大，而且形成一个强劲的趋势，我们的潜在盈利很可能远大于1250美元。1250美元的目标水平无法让人满意，要么有时目标水平太高，要么有时目标水平太低。

On the other hand if we measure our profit objective in terms of ATR we have amuch more robust and logical solution. Lets assume that we run our tests againlooking for units of ATR instead of dollars. Assume our research shows us thatour best profit objective is now expressed as 4 ATRs. In a normal market 4 ATRsmight be equal to $1250, the same as our dollar denominated target. However ina quiet market 4 ATRS might only be $800. The advantage of our ATR research isthat while our original $1250 target is no longer obtainable because of thequiet market conditions the ATR target has adapted to the change in volatilityand can still be achieved.

相反，如果我们用ATR来限定我们的盈利目标，我们将会找到一个更强健更合理的解决方法。让我们用ATR代替美元作为盈利目标单位，重新进行测试，测试结果表明最佳盈利目标是4ATR。在正常情况下，4ATR的盈利目标就等于1250美元的盈利目标；然而在市场平静时，4ATR可能仅等于800美元。ATR作为盈利目标单位的优点在于：当市场变平静时，原来1250美元的盈利目标无法实现，而ATR能随着波动性的改变而改变，因而原来的4ATR盈利目标还能实现。

Increases in volatility produce an even more dramatic effect. Let\'s assumethat the market is suddenly streaking in one direction because of someimportant news. Our 4 ATRs is now $5,000. Wouldn抰 it be a shame ifour system was taking profits of $1250 when the market is willing to give us$5,000 or more.

波动性增加能带来更大的影响。比如某一重要的新闻使市场突然向某一方向飞跑，我们4ATR的目标现在相当于5000美元，所以当市场能给我们5000美元或更多的时候，我们却把盈利目标定为1250美元，这样的交易系统难道不会让我们很没面子吗？

streak Vi 快速移动，飞跑；Vt使布满条纹

n 条纹，纹理；（of）个性特征［倾向］；一段时期

In addition to setting profit objectives, ATR can also be very helpful inplacing trailing stops. Here are two examples that you may recall fromdiscussions on the FORUM page and past BULLETINS.

除了帮我们设定盈利目标，ATR还能帮助我们设置跟踪止损点。这里我们举两个例子，或许你会记得我们以前在论坛和通讯里面讨论过。

THE CHANDELIER EXIT: We have often advocated the importance of good exits andthis is one of our favorites. The exit stop is placed at a multiple of averagetrue ranges from the highest high or highest close since the entry of thetrade. As the highs get higher the stop moves up but it never moves downward.

吊灯止损法：我们常常强调一个好的离市在交易中的重要性，我们喜欢这么强调。我们把止损点放在离我们入市后的最高点或最高收盘价某一ATR处，随着高点越变越高，我们的止损点也逐渐上移，而不是下移。

chandelier 枝形吊灯Examples:

示例：

Exit at the highest high since entry minus 3 ATR on a stop.

止损点放在自我们入市交易后的最高价减去3ATR处。

Exit at the highest close since entry minus 2.5 ATR on a stop.

止损点放在自我们入市交易后的最高收盘价减去2.5ATR处。

Application: We like the Chandelier Exit as one of our exits for trendfollowing systems. (The name is derived from the fact that the exit is hungdownward from the ceiling of a market.)

应用：我们喜欢把吊灯止损法应用于趋势跟踪系统。（我们这么命名，是因为我们注意到该止损点很象是从市场的天花板上挂下来的。

This exit is extremely effective at letting profits run in the direction of atrend while still offering some protection against a major reversal in trend.In fact our research has shown that this exit is so effective that you canenter futures markets at random and if you use this exit the results over timewill be profitable. (If you don\'t believe us just try it.) When used for longterm trend following the best values for the ATR in most markets rangessomewhere between 2.5 and 4.0.

该止损法非常有利于让我们的盈利往趋势方向累积，同时还能保护我们免受趋势大幅反转的伤害。事实上，我们的研究表明该止损法是如此神奇有效以至于你可以随机进入期货市场，然后使用该止损法，长期来说其结果是盈利的（如果不信，可以试试看）。在长期趋势跟踪系统中，对大多数市场来说，最佳ATR值在2.5至4.0间。

THE YO YO EXIT: This exit is very similar to the Chandelier Exit except thatthe ATR stop is always pegged to the most recent close instead of the highesthigh. Since the closes move higher and lower, the stop also moves up and down(hence the Yo Yo name). Although this stop appears similar to the ChandelierExit the logic is quite a bit different. The Yo Yo Exit is a classic volatilitystop that is intended to recognize an abnormal adverse price fluctuation thatoccurs in one day. This abnormal volatility is often the result of a news eventor some important technical reversal that is likely to signal the end of atrend. This logic makes the YO YO exit very effective and we seldom regretbeing stopped out whenever this exit is triggered.

YO YO止损法：该法非常类似于吊灯止损法，差别仅在于其ATR止损点总是盯牢上一个收盘价的，而不是盯牢最高价（或最高收盘价）。由于上一个收盘价不断的变高或变底，止损点也跟着上移或下移（因为我们把它叫做YO YO止损法）。尽管两种止损法表面上很像，但其逻辑还是相当有区别的。YO YO止损法是典型的波动性止损法，即用于辨别一个交易日内异常的不利的价格波动。这种异常波动往往是由于某一新闻事件，或是一种重要的技术性反转（是趋势结束的标志）。这种逻辑使得YO YO止损法非常有效，我们很少因为这种止损触发的退出交易而后悔。

We should caution you that the Yo Yo stop should never be our only lossprotection because if the price moves slowly against our position the Yo Yostop also moves away each day and, in theory, the stop may never be hit.

我们必须提醒你YO YO止损法绝不是我们唯一的亏损保护措施，因为如果价格是缓慢的向不利于我们仓位的方向移动，YO YO止损点也跟着一天天的往下移，永远也不会触发止损点，这在理论上是可能的。

Combining the exits: The Yo Yo and the Chandelier exits work best when usedtogether. The Chandelier Exit is typically set at 3 ATRs or more from a highpoint and never lowered; therefore it will protect us against any gradualreversal of trend. The Yo Yo exit is typically set at only 1.5 to 2.0 ATRs fromthe most recent close and will protect our position from unusual one day spikesin volatility. When used together the operative stop each day would bewhichever of the two stops is closest.

综合两种止损方法：综合使用YO YO止损法和吊灯止损法更有效。吊灯止损点往往设在距离最高点（或最高收盘价）3ATR或更多的地方，在市场向不利于我们的方向移动时，该止损点是不变的，因此他将保护我们免受趋势逐渐逆转的伤害。YO YO止损点往往设在离上一个收盘价仅1.5或2ATR处，它可以保护我们免受异常的日内价格的剧烈波动。当两者同时使用时，每天的止损价会是两者中最先被触发的那个。

spike n 尖状物；曲线上的陡升线。

Money Management Advice: When using any stops based on multiples of ATR weshould keep in mind that volatility can quickly expand to where our risk isgreater than we intended. We do not want to unknowingly exceed the risklimitations dictated by our money management scheme so we should also have a\"worst case\" dollar based stop available or be prepared to reduceour position size quickly as the ATR values expand. When should we reduce ourposition size and when should we implement our fixed dollar stop?

资金管理建议：当使用任何一种基于ATR的止损点，我们必须记住波动性可以很快大到使我们承受得风险比我们计划要承受的大。我不想在不知不觉中超过资金管理限定的风险水平，因此我们必须有一个“在最坏情况下的”基于美元单位的止损水平，或者我们必须在ATR变大时迅速减少我们的头寸。什么时候我们该减少我们的头寸规模？什么时候该实行我们的固定的美元止损点？两者该如何取舍？

If we are on the right side of the volatility expansion it may not be wise toreduce our position size just as the trade is beginning to do what we hopedfor. For this reason I prefer to implement the dollar based stop on profitablepositions rather than reducing the size of winning positions prematurely. Weobviously want to have big positions in our winners and small positions in ourlosers. Therefore it would make sense to reduce our position size only if thevolatility is increasing in a trade that is going against us. Once extremelylarge profits have been achieved, positions can safely be reduced withoutsacrificing too much in the way of potential profits.

如果波动性扩张时我们在正确的方向，减少持仓规模是不明智的，因为市场正向我们希望的方向发展。基于这个原因，在有盈利潜能的仓位上我倾向于采用基于美元的止损点而不是采用过早的减少盈利仓位的规模。显然，我们想在盈利时持有大仓位，在损失时持有小仓位。因此在市场向不利于我们的方向发展，且波动性变大时，减少我们的头寸规模才是明智的。一旦获得巨大的盈利，仓位可以被安全的减少而不会牺牲太多的潜在赢利。

By now we hope you have begun to appreciate the value of ATR in designingsystems. There are still more uses for ATR that we have yet to discuss (KeltnerBands for example). We hope to have additional articles about ATR sometime inthe future. In the meantime we hope this series of articles has stimulated somecreative thinking about the many uses of ATR. Lets us know if you come up withmore creative ideas on how to apply this wonderful technical tool.

文章写到现在，我们希望你已经开始肯定ATR在交易系统设计中的作用。还有很多ATR用法有待讨论（比如Keltne带）。我们希望将来还能写一些关于ATR的文章，我们还希望这一系列文章能激起一些关于ATR用法的创造性想法。如果你有的话，请告诉我们你是如何创造性的应用这一伟大的技术分析工具。(完）A New Exit Strategy - The ATR Ratchet By Chuck LeBeau 药渣译
一种新的止损策略——ATR棘轮法

The basic idea is quite simple. We first pick a logical starting point and thenadd daily units of ATR to the starting point to produce a trailing stop thatmoves consistently higher while also adapting to changes in volatility. Theadvantage of this strategy over the original Parabolic based exit is that when usingthe ATR Ratchet we have much more control of the starting point and theacceleration. We also found that the ATR based exit has a fast and appropriatereaction to changes in volatility that will enable us to lock in more profitthan most conventional trailing exits.

基本思想是非常简单的，我们先选定一个合理的起始价格，然后每天加某一倍数的ATR，得到一个跟踪止损点。由该方法生成的止损点不仅能随着时间的增加不断上移而且同时也能适应市场波动性增减。与我们以前采用的由抛物转向指标得到的止损点相比，其优点在于：使用ATR棘轮，我们能更自由的选择起始价格和增减速度。此外我们还发现基于ATR的止损点能更快更准确的反映波动性变化，从而使我们能比传统的跟踪止损法锁定更多的利润。

Here is an example of the strategy: After the trade has reached a profit targetof at least one ATR or more, we pick a recent low point (such as the lowest lowof the last ten days). Then we add some small daily unit of ATR (0.05 ATR forexample) to that low point for each day in the trade. If we have been in thetrade for 15 days we would multiply 0.05 ATRs by 15 days and add the resulting0.75 ATRs to the starting point. After 20 days in the trade we would now beadding 1.0 ATRs (.05 times 20) to the lowest low of the last ten days. The ATRRatchet is very simple in its logic but you will quickly discover that thereare lots of moving parts that perform a lot of interesting and usefulfunctions; much more than we expected.

下面是一个应用该策略的例子：当我们1ATR以上的盈利目标实现时，我们选择一个近期低点（比如最近十天的最低价）作为起始价格，然后根据我们持仓天数每天将最低价增加零点几倍的ATR（比如0.05ATR）。如果我们已经持有仓位15天了，那么我们把0.05ATR乘以15天，然后将其乘积0.75ATR加到起始价位上。20天后，我们将把1.0ATR（0.05乘以20天）加到最近十天的最低价上。ATR棘轮法在逻辑上是很简单的，但是你马上就能发现有许多运动点能完成一些有趣且有用的功能，比我们想象的要多得多。

We particularly like this strategy because, unlike the Parabolic, the ATRRatchet can easily be implemented any time we want during the trade. We canstart implementing the stop the very first day of the trade or we can waituntil some specific event prompts us to implement a profit-taking exit. I wouldsuggest waiting to use the exit until some minimum level of profitability hasbeen reached because, as you will see, this stop has a way of moving up veryrapidly under favorable market conditions.

我们尤其喜欢该策略，因为不象抛物转向指标，ATR棘轮能非常容易的在我们交易过程中的任何时候使用。我们可以在进入交易的第一天就开始使用这种止损策略，也可以等发生某些有利事件后再使用止赢策略。我建议等到实现盈利后再使用该止损策略，原因正如你我都看到的那样，这种止损点会在有利的市场环境中迅速向上移动。

The ATR Ratchet begins very quietly and moves up steadily each day because weare adding one small unit of ATR for each bar in the trade. However thestarting point from which the stop is being calculated (the 10 day low in ourexample) also moves up on a regular basis as long as the market is headed inthe right direction. So now we have a constantly increasing number of units ofATR being added to a constantly rising ten day low. Each time the 10-day lowincreases our ATR Ratchet moves higher so we typically have a small but steadyincrease in the daily stop followed by much larger jumps as the 10 day low moveshigher. It is important to emphasize that we are constantly adding our dailyacceleration to an upward moving starting point that produces a unique dualacceleration feature for this exit. We have a rising stop that is beingaccelerated by both time and price. In addition, the ATR Ratchet will often addsubstantial additional acceleration in response to increases in volatilityduring the trade.

ATR棘轮安静的转动着，每天都在向上移动，因为我们每天都在让其增加零点几倍的ATR。此外，我们用于计算止损点的起始价格（比如我们上边例举的最近十天最低价）会随着市场向上运动不断上移。因此随着时间的增加，我们在不断升高的最近十天最低价的基础上增加不断增长的累积ATR。每当10天低价上移，我们的ATR棘轮也跟着向上转动，我们的止损点也跟着每天稳步上移，如果十天低价急剧上移，我们的止损点也跟着向上跳跃。有必要强调一下，该策略是我们能不断的把每日价格变化速度反应在不断上移的起始价格上，从而形成该止损策略独一无二的双重加速因素。不断上移的止损点不仅能被时间因素加速，还能被价格加速。此外，波动性增加也会提高ATR棘轮止损点上移的速度。

The acceleration due to range expansions is an important feature of the ATRRatchet. Because markets often tend to show wider ranges as the trendaccelerates the ATR will tend to expand very rapidly during our best profitruns. In a fast moving market you will typically find many gaps and large rangebars. Because we are adding multiple units of ATR to our starting point, anyincrease in the size of the underlying ATR causes the stop to suddenly make avery large jump that brings it closer to the high point of the trade. If wehave been in the trade for forty days any increase in the ATR will have aforty-fold impact on the cumulative daily acceleration. That is exactly what wewant it to do. We found that when a market was making a good profit run the ATRRatchet moved up surprisingly fast and did an excellent job of locking in openprofits.

波动性增加会使止损点上移速度增加，这是ATR棘轮策略的重要特征。在一个快速移动的市场中，你会看到许多缺口和长长的 K线图。市场趋势加速时市场波动性也会增加，因而在我们盈利迅速增加时，ATR也会迅速增加。由于我们要往起始价格中增加一定数量的ATR，所以ATR的每一次增加都会使止损点突然向上跳跃，止损点就变得更靠近入场后的最高价。如果我们已经持有仓位40天，那么ATR的任何增加都会对止损点产生40倍的影响。这正是我们想要的。我们发现，当市场给我们丰盛的盈利时，ATR棘轮止损点也会令人惊讶的迅速上移从而很好的为我们锁定浮动盈利。

Keep in mind that this exit strategy is a new one (even to us) so ourexperience and observations about it are still very limited. However I am goingto discuss a few observations about the variables that might help you tounderstand and apply this exit successfully.

请记住（即是对我们来说）这种止损策略是新的策略，因为我们对它的经验和结论是很有限的。然而我还是打算讨论对一些变量的观察结论，或许这能帮你理解和成功的应用这种止损策略。

Starting Price: One of the nice features about the ATR Ratchet is that we canstart it any place we want. For example we can start it at some significant lowpoint just as the Parabolic does. Or we can start it at a swing low, a supportlevel, and a channel low or at our entry point minus some ATR unit. If we waituntil the trade is fairly profitable we could start it at the entry point oreven somewhere above our entry point. The possible starting points areunlimited; use your imagination and your logic to find a starting point thatmakes sense for your time frame and for what you want your system toaccomplish. Our idea of starting the Ratchet from the x day low makes it moveup faster than a fixed starting point (as in the Parabolic) because the startingpoint rises repeatedly in a strong market. If you prefer, you could just aseasily start the Ratchet at something like 2 ATRs below the entry price andthen the starting point would remain fixed. In this case the Ratchet would moveup only as the result of accumulating additional time in the trade and as theresult of possible expansions of the ATR itself.

起始价格：ATR棘轮的一个非常好的特性是我们可以在任何我们中意的地方设置起始价格。例如我们可以象抛物转向指标一样在一些重要的低点设置起始价格，我们还可以在摆动区间的底部，或支撑水平，或某某通道得底部，或者低于入场点一定数量ATR的地方设置起始价格。如果我们等到账面产生数量可观的盈利后，我们可以把起始价格设置在甚至是高于入场点的地方。可行的入场点是无限的，充分发挥你的想象力和逻辑推理能力去寻找一个适合你时间框架的、对你的交易系统也是切实可行的起始价格。与固定的起始价格（比如抛物转向指标中）不同，我们把最近X天低点设置为起始价格，这使得我们的ATR棘轮止损点上升得更快，因为在不断走强的市场中，我们的起始价格也会不断上移。要是你喜欢，你也可以把ATR棘轮的起始价格固定在某一个地方，比如在低于入场点2ATR的地方，在这种情况下，虽然起始价格不会向上移动，但随着持仓时间的延长ATR棘轮止损点还是会上移的，另外ATR值变大也会使ATR棘轮止损点上移。When to Start: Wecan very easily initiate the exit strategy based on time rather than price orcombine the two ideas. For example, we can start the exit only after the tradehas been open for at least 10 days and is profitable by more than one ATR. Mygeneral impression at this point is that it is best to implement the ATRRatchet only after a fairly large profit objective has been reached. The ATRRatchet looks like a very good profit taking exit but I suspect it will kickyou out of a trade much too soon if you start it before the trade isprofitable.
何时启动ATR棘轮：我们可以根据时间而不是根据价格来启动ATR棘轮策略，因为前者即其简单。或者我们也可以综合考虑时间与价格来启动ATR棘轮策略。例如，是否启动ATR棘轮取决于是否同时满足两个条件：1）至少已经持仓10天（基于时间因素）；2）浮动盈利至少1ATR。总体感觉，启动ATR棘轮的最佳时机是在实现巨大的盈利目标之后。ATR棘轮似乎是一个非常好的保护盈利的止损策略。但我怀疑如果你在交易实现浮动盈利前启动ATR棘轮，你会过早的被踢出市场。
（译者注：我不明白为什么在实现盈利前启动ATR棘轮策略就会被过早踢出市场，而当实现巨大盈利后启动该策略就不会被过早踢出市场？虽然原作者没有明说，但隐含着这种意思）


As I mentioned, one of the things I like best about the ATR Ratchet is itsflexibility and adaptability. Here is another idea on how to start it. We canstart it after fifteen bars but we don't necessarily have to add fifteenratchets. The logic for the coding would be to start the Ratchet after 15 barsin the trade but multiply the ATR units by the number of bars in the trademinus ten or divide the number of days in the trade by some constant before multiplyingthe ATR units. This procedure will reduce the number of ratchets, particularlyat the beginning of the trade when the exit is first implemented. Play aroundwith the ATR Ratchet and see what creative ideas you can come up with.
如上所述，ATR棘轮策略最讨我喜欢的地方之一是该策略的灵活性和适应能力。下面是另一个关于如何使用ATR棘轮策略的想法。我们可以在15根K线后启动ATR棘轮，但我们可以不用加上所有这15个棘轮步长（译者的理解：对应每一根K线ATR棘轮要相应向上移动一个棘轮步长。不知道对原文的这种理解是否正确），例如在编制计算程序代码时，我们将K线条数减去10，然后将所得的商乘以某一数量的ATR（译者注：一个棘轮步长等于某一数量的ATR，比如我们以前提到的0.05ATR），或者我们也可以把我们的持仓天数除以某一常数，然后将所得商乘以某一数量的ATR。这种思路可以减少棘轮步长的数目，尤其是在我们开仓后的前期阶段启动ATR棘轮策略时。好好琢磨ATR棘轮策略，或许你会有一些创造性的想法。

Daily Ratchet Amount: After testing it the daily Ratchet amount we chose whenwe were first doing our research turned out to be much too large for ourintended application. The large Ratchet amount (percentage of ATR) moved thestop up too fast for the time frame we wanted to trade. After some trial anderror we found that a Ratchet amount in the neighborhood of 0.05 or 0.10 (5% or10% of one 20-day average true range) multiplied by the number of bars thetrade has been open will move the stop up much faster than you might expect.
ATR棘轮每天移动量：我们刚开始研究使用的ATR棘轮每天移动量经测试表明太大了。对于我们的交易时间框架来说，太大的ATR棘轮每天移动量（百分之几的ATR）会让我们的止损点向上移动的过分快。经过一段时间的试验和失败后我们发现用我们的持仓天数乘以ATR棘轮每天移动量0.05~0.10ATR（5％至10％ATR(20天期)）能让止损点上移的速度比你想象的要快得多。

As a variation on this strategy the very small initial Ratchet can always beincreased later in the trade once the profits are very high. We could startwith a small Ratchet and then after a large amount of profit we could use alarger daily Ratchet increment. There are all sorts of interestingpossibilities.（不知道如何翻译）
作为该策略的变通方法，我们可以在最初使用较小的ATR棘轮每天移动量，然后一旦我们获得很大的浮动盈利，我们就可以使用较大的ATR棘轮每天移动量。 increment 增加，增值，增额

ATR Length: As we have learned in our previous uses of ATR, the length that weuse to average the ranges can be very important. If we want the ATR to behighly responsive to short term variations in the size of the range we shoulduse a short length for the average (4 or 5 bars). If we want a smoother ATRwith less reaction to one or two days of unusual volatility we should use alonger average (20 to 50 bars). For most of my work with the ATR I use 20 daysfor the average unless I have a good reason to make it more or less sensitive.

ATR周期长度：正如我们在以前使用ATR过程中发现的，我们用来计算ATR的时间周期长度是非常重要的。如果我们希望ATR能快速反应市场短期波动区间的变化，我们可以使用较短期的均值（比如4止5根K线）；如果我们希望一个更加平滑的ATR，不会对一两天的异常波动敏感，我们可以使用长期均值（20至50根K线）。我在工作中使用的ATR大部分是20天均值，除非我有充分理由希望ATR变得更敏感或更不敏感。

Summary: We have just scratched the surface on our understanding of thepossibilities and variations of the ATR Ratchet as a profit taking tool. Weparticularly like the flexibility it offers and we suspect that each traderwill wind up using a slightly different variation. As you can see, there aremany important variables to tinker with. Be sure to code the Ratchet so it getsplotted on a chart when your are first learning and experimenting with it. TheATR Ratchet is full of pleasant surprises and the plot on the chart willquickly teach you a great deal about its unusual characteristics.
总结：ATR棘轮做为一种赢利工具，我们对其应用潜能及变通用法的理解才触及皮毛。我们尤其喜欢它带给我们的灵活性，我怀疑每个交易者都会想出略微不同的版本。正如你看到的，有许多重要的变量可以修修补补。（以下略）
译者补充：原文中多次提到Parabolic SAR（韦尔达技术指标）,以下是译者转摘的相关知识。

Parabolic SAR (Stop and Reverse)，抛物转向指标，为一种设定止损点相当有效的韦尔达技术指标，基本原理是将我们股票或商品价格走势假设为抛物线运动。利用价格与指针交*判断趋势反转进行平仓与建立反向新仓。
公式：

SAR（t） = SAR（t-1） + AF * ( EP – SAR（t-1）)

1.一开始AF = 0.02，当一个新的极值出现时，AF每次便增加0.02，直到AF值为0.2为止便不再增加；若无新极值，则AF维持前一笔的值。

2.EP是指该上涨波段的最高价(Extreme High)，或下跌波段的最低价(Extreme Low)。计算SARt时，以t-1以前的数据寻找EP，而不含t时的高低点。

3.起始值SAR0的设定，首先要先决定一开始是上涨波段或下跌波段，如果，是上涨波段，最高价作为SAR0；反之，如果是下跌波段，则取最低价作为SAR0。
而决定是上涨波段或下跌波段的方式，市场上常用的方式有数种，例如：以前n笔资料作为判断，如n=2，则拿第二笔资料的最高价与第一笔最高价相比较，如果第二笔高于第一笔，则视为上涨波段，此时SAR0=Low0；若否，则视为下跌波段，此时SAR0=High0。

4.反转时，以前波EP作为SAR的起始值。
利用抛物转向点(SAR)的转向去判断买卖策略，方法如下：－

1. 当抛物转向点(SAR)由价位线之上转到当日价位线之下(由绿点转为红点)，代表市势逆转向好，可视作入货讯号。

2. 相反，当抛物转向点(SAR)由价位线之下转到价位线之上(由红点转为绿点)，则代表市况转淡，可视作沽货讯号。

SAR假设一开始持有多或空部位，当持有多部位时，不论当天价格走势如何，SAR指针每天都会不断上扬，以追赶价格。因此当SAR追上价格时，表示该波段的行情结束了并且发生反转，原持有部位应该在此时作停损操作。由于讯号明显，是相当好用的停损点指标。

SAR的设计，是每天用与极值差距的某一比率(即AF值)来追赶目前价格。可以有效的掌握到波段行情。因此可以将反转点视为买进或卖出讯号。
　　ＳＡＲ的使用其实很简单，跟单移动平均线的穿越、跌破交易法则是相同的。它的特色是在我们不必等到收盘再动作。一般指标因为皆以收盘价为计算基准，所以交易者必须承受收盘之前价格的风险。而ＳＡＲ是在盘中就可以决定平仓与否。而它的使用风险在那里呢？就是起始时的停损风险过大了些…在建立仓位约一周内，你如果初次使用ＳＡＲ，我想你睡好觉的机会是很少的。此时ＳＡＲ是标在价格的某一高或低价，也许跟目前价格有许多的距离，特别对期货仓位而言。然后ＡＦ此时又必然是最小的状态﹙反转必须由０．０２起算﹚。所以在约一周以上的时间，你的仓位曝露在比较大的止损风险。ＳＡＲ最难就在进场！
抛物转向指标(SAR)的缺点

1. 运算抛物转向指标(SAR)的缺点是在于公式中的「加速因子」(AccelerationFactor)，它不能巧妙地适应于不同商品或股票，必需由运用者作出不断的尝试，才能在波动节拍中寻找最佳的加速因子(AF)数值。一般使用的加速因子(AF)数值的限度在0.02至0.20之间，以0.02值递增或递减(例如：0.02、0.04、0.06.....等等)。

2. 在处于盘整市时，抛物转向指标(SAR)转向频率非常高，会导致讯号追随者在高买低卖的情况下造成亏损。因此，在遇到盘整市时，抛物转向指标(SAR)绝不宜使用。


When to Start: We can very easily initiate the exit strategy based on timerather than price or combine the two ideas. For example, we can start the exitonly after the trade has been open for at least 10 days and is profitable bymore than one ATR. My general impression at this point is that it is best toimplement the ATR Ratchet only after a fairly large profit objective has beenreached. The ATR Ratchet looks like a very good profit taking exit but Isuspect it will kick you out of a trade much too soon if you start it beforethe trade is profitable.
As I mentioned, one of the things I like best about the ATR Ratchet is itsflexibility and adaptability. Here is another idea on how to start it. We canstart it after fifteen bars but we don't necessarily have to add fifteenratchets. The logic for the coding would be to start the Ratchet after 15 barsin the trade but multiply the ATR units by the number of bars in the trademinus ten or divide the number of days in the trade by some constant beforemultiplying the ATR units. This procedure will reduce the number of ratchets,particularly at the beginning of the trade when the exit is first implemented.Play around with the ATR Ratchet and see what creative ideas you can come upwith.

ATR棘轮的启动时机：
我们能够很方便地优先采用基于时间而不是价格的参数（或者是时间和价格的参数组合）来启用上述的离市策略。例如，我们启用离市当且仅当一项交易开仓至少十个交易日之后并且获利超过一个ATR的幅度。总体的感觉，只有在交易达到了相当大规模的盈利目标之后才是ATR棘轮启动的最佳时机。这看起来是一种很好的获利平仓策略，但需注意的是如果在一次交易获利之前就启动棘轮有可能让你过早出局而丧失此次机会。
如上所述，对我来说，ATR棘轮最引人入胜的一点在于它的适用性和灵活性。下面介绍如何启用棘轮策略的另一种思路。我们可以在15根条形图之后再启用ATR棘轮而不必计算这前期的15步运作过程。在编制程序代码时，我们可以设置在交易的第15根条形图之后再启用棘轮而用交易产生后的条形图数量减去10再乘以ATR的单位值，或者用交易产生后的天数先除以某一个常数后再乘以ATR的单位值。这种方法将简化棘轮的计算程序，尤其是在交易初期首次启用离市策略的时候。好好琢磨琢磨ATR棘轮，看看你能够由此产生一些什么样的创造性思维。（这两段由lq1698译）Trailing Stops By Chuck LeBeau and Terence Tan
跟踪止损
作者：Chuck LeBeau andTerence Tan


Now that we have taken the necessary precautions to avoid catastrophic lossesby using disciplined money management stops, it is appropriate to concentrateon strategies that are designed to accumulate and retain profits in the market.When properly implemented these strategies are intended to accomplish twoimportant goals in trade management: they should allow profits to run, while atthe same time they should protect open trade profits.


既然我们已经认识到必须通过严格的资金管理止损策略等措施来防止灾难性损失，现在是到重点关心那些用来扩大和保护盈利的策略的时候了。正确执行这些策略是为了实现两个重要的投资管理目标：不仅能让已有的盈利继续扩大，同时还必须能保护已有的浮动盈利。

While their application is extremely wide, we do not believe that trailingstops are appropriate in all trading circumstances. Most of the trailing exitswe will describe are specifically designed to allow profits to runindefinitely. Therefore they are best used with trend following type systems.In counter-trend trading, more aggressive exits are more suitable. The “whenyou’ve got a profit, take it” philosophy works best when you are tradingcounter-trend, since the anticipated amount of profits is limited. However, totake quick profits in a trend is usually an exercise in frustration: we exitthe market with a small profit only to watch the huge trend continue to move inour direction for days or months after our untimely exit. We thereforerecommend using different exit strategies based on the underlying marketcondition. We will discuss the more aggressive exits later; for now we willconcentrate on exits designed to accumulate large profits over time.


尽管跟踪止损的应有范围极其广泛，丹我们相信跟踪止损不适用于所有的交易环境。我们提到的大多数跟踪止损是专门用来实现盈利继续扩大目的的，因此，这些策略用在趋势跟踪系统上最有效。在反趋势交易中，采用更具进攻性的止损策略更合适。“一旦有盈利，就把它放进口袋”的交易理念更适合于反趋势交易，因为期望收益是有限的。然而，如果你的交易是顺着趋势的，那么“立即将盈利放进口袋”的行为会让你有挫折感：我们以很小的盈利退出市场，然后眼睁睁的看着市场在随后的几天或者几个月内继续向着我们交易的方向走出一个很壮观的趋势。因为我们建议在不同的市场背景下使用不同的退出策略。以后我们会讨论更具进攻性的退出策略，现在我们重点讨论利用时间帮我们积累大幅盈利的退出策略。


A thorough understanding of trailing stops is critical for trend-followingtraders. This is because trend following is typically associated with a lowerpercentage of profitable trades; which makes it particularly important tocapture as much profit as possible when those large but infrequent trendsoccur. Typical trend followers make most of their profits by capturing only afew infrequent but very large trends, while managing to cut losses effectivelyduring the more frequent sideways markets.


彻底理解跟踪止损对于趋势跟随者来说是极其关键的，这是因为典型的趋势追随交易的成功几率都是比较低的，这使得在不常出现但规模很大的长期趋势中抓住尽可能多的盈利变得极其重要。典型的趋势跟随者，大部分盈利都来自于抓住不常出现的长期趋势，同时能在设法更频繁出现的横盘市中有效降低损失。


The rationale behind the use of the trailing stop is based on the anticipationof occasional extremely large trends and the possibilities of capturingsubstantial profits during these major trends. If the entry is timely and themarket continues to trend in the direction of the trade, trailing stops are anexcellent exit strategy that can enable us to capture a significant portion ofthat trend.


跟踪止损策略的理论基础有两个，一个是对偶尔会出现的大规模趋势的期望，另外一个是有可能抓住主要趋势的绝大部分盈利。如果入场时机合适而且市场继续向着我们交易的方向前进，跟踪止损是一个完美的止损策略，它能帮助你抓住一个趋势的绝大部分。

The trailing stops we will describe in this and following articles have similarcharacteristics that are important to understand as we use them to design ourtrading systems. Effective trailing stops can significantly increase the netprofits gained in a trend-following system by allowing us to maximize andcapture large profitable trades. The ratio of the average winning trade to theaverage losing trade is usually improved substantially by the use of trailingstops. However there are some negative characteristics of these stops. Thenumber of profitable trades is sometimes reduced since these stops may allowmodestly profitable trades to turn into losers. Also, occasional largeretracements in open trade profits can make the use of these stops quitedifficult psychologically. No trader enjoys seeing large profits reduced tosmall profits or watching profitable trades become unprofitable.


我们在本文以及后续一些列文章中讨论的各种跟踪止损方法都有一些相似的特征，理解这些特征是非常重要的，因为跟踪止损是交易系统的组成部分之一。有效的止损策略能帮我们最大限度的抓住盈利交易，因而能显著提高趋势跟随系统的净利润。通过使用跟踪止损，我们能明显提高平均回报对平均亏损的比率，然而跟踪止损策略也有缺点，它能让一些本来有中等盈利的交易变成亏损交易，因而有时会降低盈利交易的次数。此外，偶尔出现的浮动盈利的大幅缩减让交易者在心理上很难接受这种止损策略。看到大幅盈利变成很小的盈利或者看到盈利头寸变成亏损头寸，没有交易者会开心的。

The Channel Exit
通道止损策略


The simplest process for following a trend is to establish a stop thatcontinuously moves in the direction of the trend using recent highest high orlowest low prices. For example, to follow prices in an uptrend, a stop may beplaced at the lowest low of the last few bars; for a downtrend, the stop isplaced at the highest high of the last few bars. The number of bars used tocalculate the highest high or lowest low price depends on the room we wish togive the trade. The more bars back we use to set the stop, the more room wegive the trade and consequently the larger the retracement of profits beforethe stop is triggered. Using a very recent high or low point enables us to takea quick exit on the trade.


最简单的趋势跟随策略是让止损点跟随着趋势前进的方向不断向前移动，可以用近期高点或近期低点的移动方向来判定趋势方向。例如，在上升趋势中止损点可以放在最近几根K线的最低点处；在下降趋势中止损点可以放在最近几根 K线的最高点处。用来判定最高点和最低点的K线条数取决于我们愿意给交易多少变化空间。我们用来越多的K线条数来确定止损点，我们给予交易的变化空间越大，相应的，在触发止损前盈利回撤的幅度也会越大。使用越近的高点或低点，止损被触发的速度也越快。


This type of trailing stop is commonly referred to as a “Channel Exit”. The“channel” name comes from the appearance of a channel formed from using thehighest high of X bars and the lowest low of X bars for short and long exitsrespectively. The name also derives from the popular entry strategy that usesthese same points to enter trades on breakouts. Since we are focusing on exitsand will be using only one boundary of the channel, the term “channel” may be aslight misnomer, but we will continue to refer to these trailing exits by theircommonly used name.


这种跟踪止损常常被叫做“通道止损”。我们使用最近X根K线的最高点和最低点分别作为我们的短期和长期止损点，所有这些高点和低点构成一个形似通道的带状区域，因而我们把它称之为“通道”。该名字也衍生于一种流行的入市策略，当突破刚才提到的那些高低点时就入市交易。由于我们现在只关心退出策略，而且只使用通道的其中一条边界，似乎使用“通道”这个名称有点说不过去，但我们还是决定使用习惯名称来表示这种跟踪止损策略。
词汇笔记：Misnomer 错误的名字，使用不当的名字（称）；名字（称）的误用


For most of our examples we will assume that we are working with daily bars butwe could be working with bars of any magnitude depending on the type of systemwe are designing. A channel exit is extremely versatile and can work equallywell with weekly bars or five-minute bars. Also keep in mind that any examplesreferring to long trades can be equally applicable to short trades.

在大多数例子中我们假定我们用的是日K线图，但完全适用于其他任一时间尺度K线图，我们都知道不同的交易系统使用不同时间尺度的线图。通道止损策略适用范围极其广泛，能毫无差别的胜任周K线图和5分钟K线图。同样要记住的是，我们所举的例子不仅适用于长期交易策略，同时也适用于短期交易策略。


The implementation of a channel exit is very simple. Suppose we have decided touse a 20-day channel exit for a long trade. For each day in the trade, we woulddetermine the lowest low price of the last 20 days and place our exit stop atthat point. Many traders may place their stops a few points nearer or furtherthan the actual low price depending on their preferences. As the prices move inthe direction of the trade, the lowest price of the last twenty dayscontinually moves up, thus “trailing” under the trade and serving to protectsome of the profits accumulated. It is important to note that the channel stopmoves only in the direction of the trade but never reverses direction. Whenprices fall back through the lowest low price of the last twenty days, thetrade is exited using a sell stop order.

通道止损策略的使用方法是很简单的。假定我们选择20天期通道作为我们长期交易系统的止损点，我们每一天都要确定最近20天的最低点，并以此作为我们的止损点。许多交易者会根据他们的喜好将他们的止损点放在实际价格低点的上方或下方。当价格向着我们交易的方向运动时，最近20天低点也随着不断上移，因此该策略不仅能“跟踪”趋势，还能保护不断累积的盈利。通道止损点只会向着我们持仓的方向移动而不会逆着我们持仓的方向移动，注意到这一点非常重要。当价格击穿最近20天低点，就会触发我们的卖出止损指令，退出交易。

The first and obvious question to answer about channel exits is how many barsto use to pick the exit point. For example, should we set our stop at thelowest low of 5 days or the lowest low of 20 days, or some other number ofdays? The answer depends on the objectives of our system. A clearly stated setof objectives for the system is always very helpful at these important decisionpoints. Do we want a long-term system with slow exits or do we want ashort-term system with quicker exits? A longer channel length will usuallyallow more profits to accumulate over a long run if there are big trends. Ashorter channel will usually capture more profits if there are smaller trends.In our research, we have found that long-term systems generally work well witha trailing exit at the lowest low or the highest high of the last 20 days ormore. For intermediate term systems, use the lowest or highest price of between5 to 20 days. For short-term systems, the lowest or highest price of between 1to 5 days is usually optimal.

对于通道止损策略，最容易想到的一个问题是为了设置合理的止损点需要几根K线。例如我们是把止损点放在最近5天低点还是最近20天低点，或者是其它时间周期内的低点？答案取决于我们交易系统的目标。明确的目标往往有助于我们在这些重要的问题上做出选择。我们喜欢短期交易系统，还是喜欢长期交易系统？前者需要迅速止损，后者止损较为宽松。在大趋势中，长周期的通道止损策略可以让我们积累更多的盈利；在小趋势中，短周期的止损策略可以让我们抓住更多的利润。在研究中，我们发现把长期交易系统的止损点放在最近20天（或更长周期内的）最高点或最低点时其表现通常都很好；对于中期交易系统，可以把止损点设置在最近5～20天内的最高点或最低点处；对于短期交易系统，把止损点设置在最近1～5天内的最高点或最低点处通常表现最好。

Trailing stops with a long-term channel accumulate the largest open profits ifthere is a sustained trend. However this method will also give back the largestamount of open profits when the stop is eventually triggered. Using a shorterchannel can create a closer stop in order to preserve more open trade profits.As can be expected, the closer stop often does not allow profits to accumulateas nicely as the longer channel, and often causes us to be prematurely stoppedout of a large trend. However, we have noticed that a very short channel lengthof between 1 to 3 bars is still highly effective in trailing a profitable tradein a runaway trend. The best type of channel exit to use in a runaway trend isa very short channel, for example 3 bars in length. We have observed that thisexit in a strong trend often keeps us in a trade until we are close to the endof the trend.

在一个相当持久的趋势中，使用长周期的通道跟踪止损策略能积累起巨大的浮动盈利；然而当止损点最终被触发时，该方法仍然会回吐大量的浮动盈利。短周期的通道止损策略设置的止损点较近，因而能保护更多的浮动盈利。正如你想到的，较近的止损点通常不象较远的长期止损点那样善长于积累盈利，往往会使我们过早的被止损出大趋势。然而，我们观察到在一个失控的趋势中使用非常短期的通道止损点能非常有效的保护赢利交易，比如1～3根K线的时间周期。在失控的趋势中，最好的通道止损策略是短周期通道止损策略，比如3根K线的时间周期。我们观察到在一个强劲的趋势中，这种短周期通道止损策略能让我们一直坚持呆在市场内，直到趋势快要结束时。It appears thatthere is a conflict of exit objectives here. A longer channel length willcapture more profit but give back a large proportion of that profit; a shorterchannel length will capture less profit, but protect more of what it has captured.How can we resolve this issue and create an exit that can both accumulate largeprofits, as well as protect these profits closely? A very effective exittechnique calls for a long-term channel to be implemented at the beginning ofthe trade with the length of the channel gradually shortened as larger profitsare accumulated. Once the trade is significantly profitable, or in a stronglytrending move, the goal is to have a very short channel that gives back verylittle of the large open profit.

显然这种止损策略目标是有冲突的。通道止损策略使用的时间周期越长就越能抓住更多的利润，但止损点一旦被触发还是会回吐大量的利润；通道止损策略使用的时间周期越短能抓住的利润就越少，但它能保护更多的浮动盈利。如何才能解决这个问题？如何才能找到这么一个止损策略，它既能积累大量盈利又能很好的保护账面利润。一个有效的止损技术是在交易初期使用长周期的通道止损策略，然后随着账面利润的逐渐累积逐步缩短通道止损策略的时间周期。一旦交易获得可观的利润，或者出现一个非常强劲的趋势运动后，我们就应该使用非常短周期的通道止损策略，目的是只回吐巨幅浮动盈利中的极小一小部分。

Here is an example of how this method might be implemented. At the beginning ofa long trade, after setting our previously described money management stop toavoid any catastrophic losses, we will trail a stop at the lowest low of thelast 20 days. This 20-day channel stop is usually far enough from the trade toavoid needless whipsaws and keep us in the trade long enough to beginaccumulating some worthwhile profits. At some pre-determined level ofprofitability, which can be based on a multiple of the average true-range orsome specific dollar amount of open profit, the channel length can be shortenedto take us out of the trade at the lowest low of 10 days. If we are fortunateenough to reach another higher level of profitability, like 5 average trueranges of profit or some other large dollar amount, we can shorten the channelfurther so that we will exit at the lowest low of 5 days. At the highest levelof profitability, perhaps a very rare occurrence, we might even be able toplace our exit stop at the previous day’s low to protect the great profit wehave accumulated. As you can see, this strategy allows plenty of room forprofits to accumulate at the beginning of a trade and then tightens up thestops as profits are accumulated. The larger the profits, the tighter our exitstop. The more we have, the less we want to give back.

下面是一个应用这种方法的例子。在长线交易初期，我们先根据我们以前讨论的方法设置一个资金管理止损点以防止任何灾难性亏损，然后我们在近期20天最低点处设置一个跟踪止损点。20天周期的通道止损点通常能很好地保护我们避免市场来回拉锯的伤害，让我们坚持长线仓位以累积应得的利润。当我们实现计划中的盈利后，比如以ATR为单位的盈利目标或基于具体美元数量的盈利目标实现后，我们就可以缩短通道止损策略的时间周期，比如将止损点设在近期10天低点处。如果我们很幸运，再次获得另一份巨额盈利（比如5ATR的盈利，或以美元为单位的巨额盈利），我们可以再次缩短时间周期，比如将止损点设在近期5天低点处。如果获得大到不能再大的赢利水平后，这是一种极其少见的情况，我们甚至可以把止损点放在前一天的低点处以保护我们已累积起来的巨额盈利。正如你看到的，这种策略在交易初期设置较为宽松的止损点允许利润不断累积，然后随着盈利的增加逐步收紧止损点。赢利越多，止损点越紧；积累的赢利越多，我们允许回吐的赢利越少。

There is another way of improving the channel exit that is worthwhile todiscuss: this is to contract (or expand) the traditional channels using theheight of the channel, or some multiple of the average true range. How thismight work is as follows: Supposing you are working with a 20-day channel exit.First you calculate the height of the channel, as measured by the distancebetween the highest 20-day high and the lowest 20-day low. Then you contractthe channel by increasing the lowest low value and decreasing the highest highvalue previously obtained to determine the exit points. For instance, in a longtrade, you could increase the lowest low price by 5% of the channel height or5% of the average true range, and use that adjusted price as your exit stop.This creates a slightly tighter stop than the conventional channel. Moreimportantly, it allows you to execute your trade before the multitude of stopsthat are already placed in the market at the 20-day low.

另外一个值得讨论的改善通道止损策略的方法是：利用通道宽度或ATR来收缩（或扩张）传统的通道止损策略。方法如下：假定你正在使用20天期的通道止损策略，首先是计算通道的宽度，也就是最近20天最高点与最近20天最低点间的距离。然后将之前得到的20天低点和20天高点分别上移和下移一定的距离，这样就能将通道收缩。例如，在长线交易中，可以将止损点调整到比近期价格低点高5％通道宽度或5％ATR的地方。用这种方法得到的止损点比传统的通道止损点更容易被触发。更重要的是，该方法能让你先他人一步止损，因为市场上有很多止损点是放在最近20天低点处的。

The last point can be considered an important disadvantage of the channel exit.The channel breakout methods are popular enough to cause a large number ofentry and exit stops to be placed at previous lowest low and highest highprices. This can cause a significant amount of slippage when attempting toimplement these techniques in your own trading. The method of adjusting theactual lowest low or highest high price by a percentage of the overall channelheight or the average true range is one possible way to move your stops awayfrom the stops placed by the general public and thereby achieve betterexecutions on your exits.

最后一点要考虑的是通道止损的一个非常重要的弱点。通道突破方法是如此的流行，以至于在前期地点或高点处会触发大量的止损单或入场单，因而当你在交易中使用这些技术时会发现明显的价格滑动。用某一百分比的通道宽度或ATR来调整实际价格低点或高点的方法或许是一种将你的止损点与一般大众的止损点区别开来的方法，从而让你更好的执行止损交易。

Trailing Stops - The Chandelier Exit December 3, 1999By Chuck Le Beau andTerence Tan



Trailing Stops - The Chandelier Exit December 3, 1999By Chuck Le Beau andTerence Tan

跟踪止损——吊灯止损策略

In Bulletin #34 we discussed the Channel Exit which trails a stop based onprevious LOW points. In this Bulletin we will discuss a stop placement strategythat trails our stop based on previous HIGH points.

再上一篇文章中我们讨论了通道止损策略，该策略以前期低点为参照物来设置跟踪止损点。在本文中我们将讨论另外一种跟踪止损策略，该策略以前期高点为参照物来设置止损点。

The Chandelier Exit hangs a trailing stop from either the highest high of thetrade or the highest close of the trade. The distance from the high point tothe trailing stop is probably best measured in units of Average True Range.However the distance from the high point could also be measured in dollars orin contract based points.

吊灯止损策略将跟踪止损点设置在市场最高价（或最高收盘价）下方某个地方处，该最高价（或最高收盘价）是从我们进入市场以后开始计算的，由该策略生成的止损点就象是从市场最高价的“天花板”上悬挂下来的吊灯。止损点与市场高点间的距离或许以ATR来衡量最好，当然也可以用美元数量来衡量，或者以合约价格点数来衡量。

Here are three simple examples: (As usual we will use long side examples.Simply reverse the logic for short trades.) （略）

1. Place a stop at the highest high since we entered the trade minus threeAverage True Ranges. 2. Place a stop at the highest high of the trade minus$1500.00. 3. Place a stop at the highest high of the trade minus 150 points. （略）

The value of this trailing stop is that it moves upward very promptly as higherhighs are reached. The Chandelier name seems appropriate and should help us toremember the logic of this very effective exit. Just as a chandelier hangs downfrom the ceiling of a room, the Chandelier Exit hangs down from the high pointor the ceiling of our trade.

该跟踪止损点的优点在于当市场不断创出新高时止损点能相应迅速上移。“吊灯”这个名字似乎起的蛮合适的，它能帮我们理解这种有效的止损策略的设计方法。（后面略）

The reason we prefer to use units of Average True Range to measure the distancefrom the high to our stop is that the ATR is applicable across markets and isadaptive to changes in volatility. We can use the same formula to trade corn,yen, coffee, or stocks. If the trading ranges expand or contract our stop willautomatically adjust and move to the appropriate level continuously staying intune with changing market conditions. (Members who are not already familiarwith the many valuable applications of Average True Range should be sure toreview Bulletins #10, 11, 13, and 14.) （略）

In Dr. Van K. Tharp's excellent book, Trade Your Way to Financial Freedom, herefers to a study he conducted to demonstrate that an effective exit strategycould produce profits even with random entries. We were not surprised to seethat the exit methodology he used to produce the profitable test results acrossa diversified portfolio of futures markets was the Chandelier Exit. (Tharp usedthree ATRs trailing from the highest or lowest close and used a ten-dayexponential moving average to calculate the ATR.) Van K. Tharp

在他那本非常优秀的《通向金融王国的自由之路》一书中引用了他做过的一个研究，该研究表明即使使用随机入市策略，有效的离市策略还是能使交易赢利。当我们看到他在分散的期货组合中使用的能产生盈利的离市方法是吊灯止损策略时，我们一点也不奇怪。（Tharp将跟踪止损点设置在距离最高收盘价或最低收盘价3ATR的地方，他是用10天移动平均来计算ATR的。）

Protecting Open Profits When we discussed the Channel Exit in Bulletin #34 wesuggested that at the beginning of a trade we should use a wide stop and then,as profits are accumulated, tighten the stop by reducing the number of bars inthe Channel. The same profit-protection logic can be applied using theChandelier Exit. At the beginning of a trade the distance to the stop in mostfutures markets should probably be in the neighborhood of 2.5 to 4 Average TrueRanges. As the trade becomes increasingly profitable we can bring the stopcloser by reducing the units of ATR from the high to our stop. Let's assumethat we started with 3 ATRs at the beginning of the trade. After we havereached our first profit level we might tighten the stop to trail the highpoint at only 1.5 ATRs. After the second profit level is reached we might wantto tighten the trailing stop to only one ATR. We have had good results withsome highly profitable trades by trailing exits as close as a half an ATR. Wehave found that some markets have better trending characteristics than othersand we prefer to adjust the trailing stops on a market by market basis so thereis no universal formula that we would recommend. The important message we wantto convey is that to capture the maximum profit potential of trend-followingtrades the trailing stops need to be tightened as significant profits areaccumulated. （以上几段主要讨论如何保护盈利，在交易初期可以使用较宽松的止损，随着盈利的增加逐渐收紧止损以保护盈利。此方法与上一贴讨论的方法一致，故略去上面内容重复的几段翻译）

Keep in mind that although the highs used to hang the Chandelier move onlyupward the changes in volatility can shorten or lengthen the distance to theactual stop. If you want to see less fluctuation in the stop distance use alonger moving average to calculate ATR. If you want the stop placement to bemore adaptive to changing market conditions, use a shorter moving average. Wenormally use about twenty bars to calculate the ATR unless there is a specificreason to adjust it. In our experience the use of very short averages (3 or 4bars) for the ATR can often create problems when there are brief periods ofsmall ranges that tend to bring the stops too close. These abnormally closestops may cause us to exit prematurely. If we want to have a short and highlyadaptive ATR without risking placing stops that are too close, we can calculatea short average and a longer average (maybe four bars and twenty bars) and usethe average that produces the widest stop. This technique allows our stops tomove away quickly during periods of high volatility without the risk of beingunnecessarily whipsawed during brief periods of low volatility.
需要记住的是尽管悬挂在市场高点上的吊灯止损点只会向上移动，但止损点与市场高点间的距离却应该随着市场波动性的改变而增减。如果你希望止损点与市场高点间的距离的变化不要过于剧烈，你可以使用长期ATR；如果你希望止损点与市场高点间的距离更好的反映市场的变化，可以使用短期ATR。我们通常用20条K线来计算ATR，除非我们有特殊的理由使用其他时间周期的ATR。我们的经验是当市场暂时处于小幅波动时，使用短期ATR（3～4根K线）常常使我们将止损点设得太紧，这常常会造成一些麻烦。止损点设得过紧，会使我们过早的退出市场。如果我们即想使用极其灵敏的短期ATR，又不用担心是否将止损点设得太紧，我们可以同时计算出短期和长期ATR（比分别使用4条和20条 K线），然后选择较大的那个，这样我们的止损点就不会太紧。这个方法既能让我们的止损点在市场波动性变高时迅速远离市场高点，同时又不会让我们在市场波动性暂时变小时被无谓的止损出局。

Combining the Channel Exit and the Chandelier
综合使用通道止损策略和吊灯止损策略

We like to start our trades with the trailing Channel Exit and then add theChandelier Exit after the price has moved away from our entry point so that theopen trade is profitable. The Channel Exit is pegged at a low point and doesnot move up as new profits are reached. The Channel Exit will move up only whenenough time has passed that the previous low is dropped from the data period ofthe channel. The Channel Exit moves up very gradually over time but it does notmove up relative to any recent highs that are being made. This is why we needthe Chandelier Exit in place to make sure that our exits are never too far awayfrom the high point of the trade.

我们喜欢在交易初期使用通道止损策略，然后当价格离开我们的入场点时使用吊灯之损策略，如此就可以保护我们的浮动盈利。通道止损点仅盯牢价格低点，有时不会随着盈利增加而上移。当然，经过一段时间后，当前期低点落在我们的计算周期以外后，随着使用更高的价格低点，通道止损点也会向上移动的。通道止损点会随着时间的增加逐步上移，当不会因为最近价格达到新高而上移。这就是为什么我们需要在合适的时机引入吊灯止损策略的原因，我们要确保我们的止损点不会远离价格高点。

By combining the two exit techniques we can use the Channel Exit as anappropriate stop that very gradually rises at the beginning of the trade.However if the trade makes a run in our favor the prices will quickly move veryfar away from our slowly trailing Channel Exit. Once we are profitable we needto have a better exit that protects more of our profit. At this point it wouldmake sense to switch to the Chandelier Exit which will rise instantly whenevernew highs are reached. This valuable feature of the Chandelier makes it one ofour most logical exits from our profitable trades.

通过综合使用这两种离市技术，我们可以在交易初期获得一个逐步上移的止损点，然后当市场向着我们持仓的方向奔跑时我们又可以拥有一个迅速上移的止损点，这可以保护更多的浮动盈利。通道止损策略适合用于前一个止损点，而吊灯止损策略更能满足后一个止损点的要求。从保护浮动盈利的角度来说，这种止损策略的转换是合理的，当市场创出新高时，吊灯止损点总是能同时跟着上移。吊灯止损策略的这个优点是其成为在我们盈利交易所中使用的最合理的离市策略中的一种。

As you can see, the Chandelier Exit is a very useful tool. However coding theChandelier Exit in TradeStation is not necessarily a straightforward matter.For the convenience of our members we are posting the TradeStation code on ourweb site at: http://www.traderclub.com/toolkit.htm#chandelier

正如你看到的，吊灯止损策略是一项非常有用的工具。然而在TradeStation中为吊灯之损策略编程却不是一件容易的事。为了方便我们的会员，我们将相应的TradeStation程序放在我们的网站上：http://www.traderclub.com/toolkit.htm#chandelierElaboratingOn Our Multiple Systems Concept多重交易系统概念思考


　　无论是在单一市场还是在多个市场中，交易者都只使用一种交易系统，这在过去是一种典型的做法。因为跟随趋势交易有可能获得巨大的盈利，因而趋势跟随策略吸引了大多数交易者。Richard Donchian等众多技术分析先驱都在倡导这种趋势追随策略，他们以及另外一些专业交易顾问还给出历史盈利记录来证明对该策略的偏爱是有根据的。70年代的巨大趋势让那些早期趋势追随者变得富有，整个技术分析世界彻底相信趋势追随策略显然是一个最有利可图的交易方法。


　　最近所谓的海龟交易系统就是一个很好的例子。海龟们及许多其它职业交易员已经明白的证明：将这个简单但有效的趋势追随策略应用于不同的市场，同时实行严格的资金管理（他们成功的真正秘密），真的能获得一个有盈利的资金曲线。


　　在过去的几年里，没有通货膨胀，世界经济政策也缺乏谐调，在我们看来正是这些原因使得趋势在最近比在过去发生的更少。由于追随趋势获利的频率降低，趋势追随者已经开始寻求多样化，在世界市场范围内不断构建越来越庞大的投资组合。


　　然而在如此众多的市场中分散投资需要大量的资金，而且大部分长期趋势追随者都会遇到经常出现的而且幅度很大的回撤，海龟们以及其它职业交易者也不能幸免。在非趋势市场中经常出现的损失，只能通过偶然出现的巨大盈利来抵消。不幸的是，只有极其广泛的多样化才能保证趋势追随者能抓住这些难得的市场机会。不断增加的市场多样化需求，使得现代交易者需要雇佣一支庞大的雇员队伍，一天24小时疯狂的交易世界各地的市场。


　　所有这些多样化的努力都是根据我们的一个假定，即我们只能使用一种交易系统，所以我们只能竭尽我们的所能以在尽可能多的市场交易。寻找那个在所有市场中都能成功交易的系统，常常被暗指为寻找那个很难找到的圣杯。在多年的寻找后，我们决定转向寻找一种更好的交易方法，我想我们已经找到了，我们想在不同的市场中使用不同的交易系统。


　　我们一直都在倡导市场有三个方向而不是只有两个方向，我们认为市场有上升趋势、下降趋势和横盘整理三个方向。将这种观点再推进一步，我们还发现市场的这三个不同方向有截然不同的特征。上升趋势普遍遵循一种有序的模式，这与下降趋势极为不同；横盘模式与上升趋势和下降趋势没有一丝相似之处。如果有这种概念，为什么我们要在上升趋势、下降趋势和横盘整理市场中使用同一种系统。


　　我想我们应该设计一套多重交易系统，每一个都有特定的应用范围，难道这种想法不合理吗？例如，我们可以很容易的设计出能在上升市场中运行的很好的系统。我们也能给这些只建立多头仓位的系统设计一个开关，当市场停止上涨时这些交易系统就会自动关闭从而不再发出交易信号。我们不想在一个下跌市场中使用一个只做多的交易系统，不是吗？只需要一点常识我们就能在交易事业中做得更好。


　　在一个下跌市场中，我们希望使用一个做空的交易系统，而且该系统能利用我们对下跌市场一般形态的概念。经验告诉我们下跌市场往往既迅速又剧烈，因此我们应该比在上升市场中更快的变现盈利。那句古老的格言“让利润滚动起来”更适合于上升市场。毕竟，没有一个商品市场会跌到价格为零的（然而，最近一两年某些对商品市场的熊市观点，让我们怀疑市场不可能跌到零的观点）。我一点也不怀疑实物商品市场的上涨空间比下跌空间大，因此“让我们的多头仓位的盈利充分的滚动起来，将我们的空头仓位盈利尽早的实现”的观点显得更合理。


　　此外，横盘市场需要一个完全不同的入市和离市策略。当市场在一个区间内波动时，不论是让利润向多头方向滚动的想法，还是让利润向空头方向滚动的想法，都很难实现，因为这只会使盈利交易变成亏损交易。由于受波动区间的限制我们的利润是有限的，因而我们的入场时机必须尽可能得准确，只有高成功率才能弥补偶尔出现的大亏损的伤害。


　　对上涨、下跌和横盘这些不同的市场条件，采用不同的交易系统是非常合理的，对这一点我们很少怀疑。我们一直都想建立能在多重市场条件下应用的多重交易策略。我们不仅想多样化我们的交易市场，我们还想多样化我们的交易系统。


　　现在我们已经快实现我们的目标——为债券市场建立一个完美的多重交易系统工具包。作为我们伟大计划的一个例子，让我们简短看一下我们是如何使我们的债券交易系统配合我们的策略的，我们的交易时间包括从开始到结尾的完整的价格周期。


　　从价格周期的底部开始，Phoenix系统是用于建立多头仓位的，而此时的趋势被大多数定义定义为下降趋势。如果这种炒底系统成功的话，也就是市场逆转后象我们预期的那样开始一个上升趋势，然后25X25系统和Big and Little Dipper系统就会确认这种上升趋势，并在不断加强的上升趋势的各种规模的回调中买入。当后面的这两个系统开始探测到上升趋势并在上升趋势的各种回调中买入时，Phoenix系统很可能还在耐心的持有一个有着不错盈利的多头头寸。


　　此时我们不想只拥有一种多头头寸。经验告诉我们，一个结实的上升趋势是一种风险最低且有盈利潜能的市场类型。这种非常有序的市场为我们提供了一个持有多重头寸的非常理想的环境。在整个上升趋势期间，Little Dipper系统交易的是短期趋势，25X25系统和Big Dipper系统交易的是中期趋势，Phoenix系统则在耐心的坚持着长期趋势。我们不仅使用多重交易策略，我们还在交易多重时间框架内的上升趋势。


　　随着价格周期的进行，市场改变原先的趋势进入宽幅盘整期或者显示出某种下降趋势的迹象，这时只做多头交易的系统自动关闭，而Serendipity和Sidewinder这两个既能做多又能做空的系统就会自动打开，它们会在反弹中卖出、回调中买入。这两个系统变成我们的主要交易策略，因为它们是专门用于横盘市场和下降趋势市场的。


　　如果债券市场恢复先前的上升趋势，只做多头交易的系统又会自动激活。如果市场继续下跌，Serendipity和Sidewinder这两个系统会继续在下降趋势中的回调卖空。最后当一个剧烈且持久的下降趋势结束时，也即一个完整的价格周期结束时，Phoenix系统会再次试图炒另一个底，一个新的周期开始了……


　　如上所示，我们的计划并不是设计六七个能在债券市场中赚钱的系统。我们的计划是建立一个多重交易系统，正对当前的市场环境选用最合适的系统。每个系统都有它自己特定的任务，每个系统都在我们伟大的计划中扮演着重要脚色。


　　上面的这种多重交易策略应用效果怎么样？我们无法给出一个肯定的答案，但我们认为我们的想法是合理的，历史测试结果也是很有利的。但最终的结论往往在于未来的证明。

Managing Positions When Using Multiple Systems

使用多重系统时如何进行头寸管理

In our last Bulletin we presented our reasoning for using multiple systems inmultiple markets in order to produce more consistent profits and to generate asmoother equity curve. In this Bulletin we will address some of the practicalaspects of controlling our position sizes when employing this strategy.

在上一贴中我们解释了在多重市场中使用多重系统，有助于获得持续一致的盈利和更为平滑的资金曲线。在本帖中，我们将给出在实践中使用这种策略时会碰到的一些有关控制头寸规模的问题。

When using multiple strategies/systems in one market we are inevitably facedwith the question of how many positions to trade and what to do when long andshort trades appear at the same time. Many potential problems can be reduced ifthe systems are designed to integrate well so that one type of system will beturning off just as a different type of system is turning on. It is certainlynot that difficult to devise rules that will serve to eliminate most of thecontradictory trading signals.

我们要建立多少头寸？当多头信号和空头信号同时出现时我们该如何建立头寸方向？等等这些问题是我们在同一市场中使用多重策略／系统时必然要面对的问题。其中一些问题是可以避免的，只要能协调好系统间的关系，当一种系统被触发时与之相反的系统就会自动关闭。我们不难通过建立一些规则来排除大部分相互矛盾的交易信号。

For example we can require that prices be above a specified moving average inorder to initiate buy signals and below that same moving average to generatesignals to sell short. Although such a rule might appear to avoid contradictorysignals it is not foolproof. It is possible that an existing long position initiatedat prices above the specified moving average might still be in place when a newentry is signalled in the opposite direction as a result of prices havingdrifted below the moving average. In this instance we have an open longposition and a new signal to sell short.

例如，在产生买入信号前我们要求价格必须在某一移动平均线之上，在产生卖空信号前我们要求价格必须在某一移动平均线之下。尽管这样的规则能避免产生一些相互矛盾的信号，但不能完全避免。比如当价格低于某一移动平均线时系统发出卖空信号，然而此时我们还持有在价格高于该移动平均线时建立的多头仓位，也就是说在我们持有多头仓位的时候又接到一个卖空的入场信号，这种相互矛盾的情形是有可能出现的。

Although it is theoretically possible to have two or more accounts and holdboth long and short positions at the same time, the common solution is tosimply trade the net position. Two longs and a short is a net position of onelong. A long and a short is a net position of no contracts. The large CTAs whoare trading multiple systems usually trade net positions and some of themeasily operate 50 or more systems at a time.

尽管理论上我们可以同时持有两个或两个以上的账户，因而能同时持有多头和空头头寸，但一般的解决方法是简简单单的持有两者相互抵消后的净头寸。两个多头头寸和一个空头头寸相互抵消后的净头寸是一个多头头寸；一个多头头寸和一个空头头寸相互抵消后的净头寸为零。许多使用多重系统的商品交易顾问（CTA）通常只建立净头寸，其中有些人能同时轻松的使用50种以上的系统。（译者的疑问：同时使用50种系统，太夸张了吧）

Another possibility with the multiple position strategy is to operate with alimited exposure in terms of the maximum number of contracts traded at onetime. For example, assume we wanted to trade all six of our bond systems andnever have more than three contracts on at one time. For starters, the designof the bond systems makes it unlikely that we would ever have more than threepositions in the same direction. But let\'s assume that it does happen and weare holding three long positions and a fourth system kicks in and says to golong again. We could choose to operate on a first come basis and simply ignorethe fourth signal. However, as the designer of these systems I believe there mightbe a better solution.

当我们要限定交易暴露的风险时，也即规定同时持有的合约数目的最大量，我们会面对另一种可能出现的问题。例如,假定我们同时使用6个债券交易系统，而且我们同时持有的合约数量不得超过3个。一开始债券交易系统被设计成不会让我们在同一个方向建立3个以上的仓位，然后我们持有3个多头头寸，再然后出现第四个信号让我们再次入场做多。我们可能选择忽略第四个信号，仅按原先的入场基准坚持仓位。然而，作为这些债券系统的设计者，我相信还有更好的解决办法。

for starters 第一；首先；作为开头

I would suggest trading on the basis of giving priority to the most recentsignal. If we were long three contracts and got a signal to go long again, Iwould switch the oldest open position and trade it as though it were the newsignal. Lets say that we are long on systems A, B, and C. Then system D gives abuy signal. No new trade is entered and we operate the exits as though we arelong in systems B, C and D.

我则建议根据最新的信号进行交易。如果我们已经建立了3笔多头仓位，然后又得到一个入场做多的信号，我会将之前建立的第一笔多头仓位的交易基准转换到最新信号上，这样该仓位就像是根据最新的入场信号建立起来的。比如，我们根据系统A 、 B 和 C建立起3笔多头仓位，然后系统D给出一个买入信号，虽然此时我们没有再次进行新的交易，但效果上相当于做了一次虚拟的交易，因为我们现在是根据系统B ， C和D来持有多头仓位的。

The reason I prefer this method is because I know the effort that is put intodesigning the pre-entry setups for each system. These pre-entry setups aredesigned to give us an accurate reading of market conditions just as we entereach trade. These pre-entry conditions not only tell us the direction (up, downor sideways) but often tell us the present strength of the directional trend andthe best time frame to be trading right now. By switching from the old positionin system \"A\" into the new position in system \"D\", wewill gain the benefit of using system \"D\'s exit strategy which is mostlikely to be in tune with current market conditions. I like to call thisprocess \"System Updating\". There is no order needed or entered withour broker to \"Update\" our systems. We simply stop placing exitorders for system A and commence placing exit orders for system D instead.

我之所以选择这种方法是因为每个系统的设置都是经过精心设计的。设计这些设置的目的是在我们入场交易前市场背景必须满足一定的条件。这些市场背景不仅告诉我们趋势方向（上升、下降还是横盘整理），在很多情况下还能告诉我们当前趋势的力度以及我们应该选择的交易时间框架。把原先系统“ A ”的头寸转换为系统“ D ”的头寸，我们就能使用系统D的离市策略，这会使我们受益，因为系统D有可能更适合当前的市场状况。我喜欢把这种转换过程叫做“系统更新”。在这个系统“更新”过程中，我们既不需要下订单，也不需要经纪人，需要的仅仅是取消原来系统 A设置的止损单，代之以系统D设置的止损单。

Another possibility is to limit our open positions to one long term strategyand one short term strategy so that we can monitor all six systems withouthaving more than two positions on at one time. If we have one long termposition on we will only enter a second position when it is a short term entrysignal. All additional long term signals are ignored or we employ the\"Updating\" technique described above.

另一种情况是我们可以将我们的交易限定在长线交易策略和短线交易策略范围内，这样即使我们同时检测6个交易系统，我们同时持有的仓位也不会超过2笔。如果我们已经建立了一个长线仓位，那么我们仅当得到短线交易信号的时候才入场建立第二笔仓位。我们要么忽略以后得到的所有长线交易信号，要么采用前面所示的“更新”技术。

As you can see, trading six systems at once does not require that we ever havesix positions on at any time. In fact the specific intent designed into themultiple bond strategies is to never have more than one or two positions on atone time unless we are in a strong bull market where trading is easy andusually very low risk. In that ideal market environment we want to have as manypositions on as our capital and system signals will allow. If the systemsoperate as designed we might have as many as four open positions under theseideal conditions. Any more than that would be very unlikely and easily handled.

如上讨论，同时使用6个交易系统并不意味着在交易过程中的某时某刻我们会同时持有6笔仓位。事实上，我们的债券市场多重交易策略的一个内含准则是：我们一般不同时持有一笔或两笔以上的仓位，除非我们正处在一个强劲的牛市，此时交易即简单而且通常风险也很低，在这种理想的市场环境中我们会在资金和系统允许的范围内持有尽可能多的头寸。按照我们设计的系统，在这种理想的条件下，我们最多同时持有4笔头寸。超过该头寸规模的可能性很小而且也很难管理。

In summary, the systems themselves should take care of most of the positionsizing automatically. But in case we want to limit our exposure or use otherposition sizing methods there are many ways of applying logical and creativestrategies that will limit our open positions to whatever number we desire. Wehave only illustrated a few of the many possibilities

总之，多重系统本身应该能自动照顾自己的头寸规模。但是，如果我们想限制我们的头寸暴露或者使用其他头寸调整方法，我们还能通过许多合理的有创造性的策略来限制我们的头寸规模，我们仅列举了其中部分可能的方法。（完）


　　指标不是系统


　　一个被经常问到的问题是各种技术指标的相对价值，例如有些人会问“MACD和布尔带，那一个更好？”或者“ADX和CCI，那一个更能赚钱？”


　　这些问题说明有些人将指标和交易系统混淆在一起了。我们最好把技术指标看作是交易系统的一部分，而不能把它们看作是交易系统本身，我们认为理解这一点非常重要。一些典型的评论其实毫无意义，比如“我用过指标X，发现它毫无用处”，或者“我用过ADX，觉得该指标很好”，这些评论暗示着指标被当作系统来检验了。


　　在我们眼里，不存在好的指标和坏的指标。指标最好被看作是用来解决特定交易问题的工具，一个指标可能在解决某一问题时非常有效，但在解决另一问题时没有价值。任何一个指标的价值取决于其使用方法。作为系统开发者，我们必须避免“指标A比指标B好”等等诸如此类的笼统的判断和评价。我们的任务是要知道解决某一特定问题有哪些最合适的指标可选，同时保证我们现在使用的任何一个指标对当前任务来说是合适的。


　　每个指标都有其缺点和优点，关键是要看我们怎么使用它们。例如，我们发现移动平均指标是一个很差劲的入场信号触发器，但却是一个优秀的方向指标。5天移动平均线高于20天移动平均线说明趋势是向上的，此时它是一个可靠的指标；但这并不是说我们应该立即买入。相反，波动幅度向上扩张是个优秀的入场信号触发器，但在辨别趋势方向上没有价值。


　　如果我们能综合这两个指标，在5天移动平均线高于20天移动平均线的情况下，如果出现波动幅度向上扩张，我们就立即入场做多，在此基础上我们就能构建出一个可靠的系统。然而，如果我们仅凭一个波动幅度扩张指标或者仅凭一个5／20天移动均线交叉指标就做出买入或卖出决定，那么我们很快就会发现这些指标没有价值。


　　经过多年的分析和研究，我们开始明白各种指标有不同的用途，我们不应该只从入场时机价值的角度来判断和比较这些指标。


　　我们已经明白指标不应该被看作是系统，它们仅仅是工具；同时我们也应该明白使用工具的基本知识。如果我们想用锯来钉钉子，我们会将锯子当作没用的工具扔掉。如果我们想用锤子来锯木板，我们会发现锤子是一种没用的工具。一旦明白了这一点，我们的任务就是去寻找能解决某一交易问题的工具，我们就不会再试图去寻找或购买或发明所谓的最好指标。



……我们不应该仅将目光停留在那些作为入场信号触发器的指标上，我们还应该更多的思考那些起设置作用的指标（这些指标帮我们确定在我们入场交易前市场所处的状态），同时我们也应该更多的思考那些能提高我们离市能力的指标。在我们看来，技术分析界现有的指标数目多于我们知道其用法的指标数目，而且最近出现的那些没有设计目的的指标增加了这种混乱。我建议那些企图引入新指标的人应该清楚的阐明该指标的目的及其用法，并给出一些检验结果证明它能有效解决特定任务。


　　从需要和使用价值的角度来说，我更想寻找的是这样一种指标，它能帮我们选出在随后几个月内最有可能出现一个强劲趋势的市场。我想如果一个指标即能测量波动性又能判断市场运动方向，那么这会是一个非常好的指标。


　　在未来几周里，我们会尽力与大家分享我们对一些指标的见解，我们认为这些指标能有效的解决我们在构建交易系统时遇到的一些典型的具体问题。……以下一些例子可能有用：我们正在寻找能指示盘整市场的设置；我们正在寻找能预测波动性增加的设置；我们正在寻找那些能告诉我们什么时候该收紧我们的止损点的离市设置。我们正在寻找那些能作为可靠的入场或出场触发器的短期模式。


　　为什么要使用多重离市策略？


　　当我们开发交易系统时，关于入场的代码通常只有寥寥几行，相反离市策略及关于离市的代码通常很复杂。我们在如何更准确的离市上花费如此多的劳力与心力，其原因在于经过多年的交易生涯后，我们开始认识到准确离市的重要性及其难度。


　　入场是简单的。在我们每一次下单前，我们能清楚的知道之前发生的所有事，如果这些事件和市场条件能满足我们系统的交易规则，我们就得到了一个有效的入场信号。入场是简单的，因为我们可以设置一些条件，只有当市场满足我们的条件时我们才入场，否则我们就什么也不做。


　　然而，一旦我们进入交易后，任何事情都有可能发生。既然，我们建立的那些暴露头寸面对无数种可能性，那么如果我们希望通过一两条简单的离市策略来有效处理这些可能性的想法是极不明智的。然而，在实践中这些不明智的想法随处可见，事实上，许多流行的交易系统的离市规则仅仅是入场规则的反面。


　　我们相信好的离市策略需要大量的事前计划，我们也相信简单的离市策略不会比一整套经过精心策划的离市策略有效，因为后者考虑到各种可能性。我们的离市策略必须能完成一系列至关重要的任务。我们想保护我们的资本不出现任何灾难性损失，因此我们需要一个可依赖的资金管理止损，它不仅能限制我们的损失规模而且要能防止我们两面受损。


　　然后，如果交易向有利于我们的方向发展，我们就会把止损点设得更紧，这样就能减小或者消除我们资金面对的风险。如果需要，我们会设置一个不赔不赚的止损点，这可以防止我们的盈利交易变成亏损交易。As soon as possible？？（意思是什么，我的字典查不到）Whipsaw两面受损：价格开始沿一个方向波动，随后不久，又向另一个方向波动。这种市场经常产生虚假买入和卖出信号，导致两面受损。


　　在大多数交易系统中，我们的目标是每笔交易都要实现最大盈利，因此我们并不打算略有盈利就急着平仓获利。这个目标意味着我们的离市策略不仅要能保护最初获得的小额盈利，同时还给我们提供获得大额盈利的的机会。如果市场每天都向着有利于我们的方向发展，那么离市会变得非常非常的简单。然而不幸的是市场很少这样运行，因此我们必须考虑在每个交易日内出现的小幅波动。


　　为了更好的实现我们的每笔交易都要实现最大盈利的目标，有时我们可以将我们的离市点设得更远，这样可以防止过早被止损出市场。例如，让我们看看我们以前讨论过的YO YO离市策略，该策略的理论基础是如果市场在某个交易日内向着不利于我们的方向大幅运动我们就退出市场。


　　该离市策略是非常有效的，通过衡量当前价格偏离上一交易日收盘价的程度来选择该策略的止损点。例如，如果当前价格偏离上一交易日收盘价的程度是1.5ATR，那么我们就立即退出市场。然而，如果收盘价不断向不利于我们的方向移动，而且价格的日内波动不大，这样我们的止损点就永远不会被触发，因而这种基于波动性的止损点就会不断向着不利于我们的方向上移或下移。显然，这种有可能无限上移或下移的止损点无法控制我们损失的规模，因此YO YO止损策略必须总是与其它固定止损点的止损策略合用。


　　现在我们已经讨论了可以用YO YO止损策略来保护我们的交易免受在交易日内出现的不利价格逆转的伤害，但我们还是没有讨论关于如何获取赢利的问题。到目前为止，我们已经讨论了防止我们巨额损失的止损点、盈亏平衡止损点以及让我们在趋势突然逆转时退出市场的止损点，但我们还没有讨论关于获取交易利润的重要问题