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发表于 2008-1-19 17:01
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Average True Range 真实波动幅度均值
The first and obvious question to answer about channel exits is how many bars to use to pick the exit point. For example, should we set our stop at the lowest low of 5 days or the lowest low of 20 days, or some other number of days? The answer depends on the objectives of our system. A clearly stated set of objectives for the system is always very helpful at these important decision points. Do we want a long-term system with slow exits or do we want a short-term system with quicker exits? A longer channel length will usually allow more profits to accumulate over a long run if there are big trends. A shorter channel will usually capture more profits if there are smaller trends. In our research, we have found that long-term systems generally work well with a trailing exit at the lowest low or the highest high of the last 20 days or more. For intermediate term systems, use the lowest or highest price of between 5 to 20 days. For short-term systems, the lowest or highest price of between 1 to 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 if there is a sustained trend. However this method will also give back the largest amount of open profits when the stop is eventually triggered. Using a shorter channel 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 accumulate as nicely as the longer channel, and often causes us to be prematurely stopped out of a large trend. However, we have noticed that a very short channel length of between 1 to 3 bars is still highly effective in trailing a profitable trade in a runaway trend. The best type of channel exit to use in a runaway trend is a very short channel, for example 3 bars in length. We have observed that this exit in a strong trend often keeps us in a trade until we are close to the end of 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 that there is a conflict of exit objectives here. A longer channel length will capture more profit but give back a large proportion of that profit; a shorter channel 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 large profits, as well as protect these profits closely? A very effective exit technique calls for a long-term channel to be implemented at the beginning of the trade with the length of the channel gradually shortened as larger profits are accumulated. Once the trade is significantly profitable, or in a strongly trending move, the goal is to have a very short channel that gives back very little 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 of a long trade, after setting our previously described money management stop to avoid any catastrophic losses, we will trail a stop at the lowest low of the last 20 days. This 20-day channel stop is usually far enough from the trade to avoid needless whipsaws and keep us in the trade long enough to begin accumulating some worthwhile profits. At some pre-determined level of profitability, which can be based on a multiple of the average true-range or some specific dollar amount of open profit, the channel length can be shortened to take us out of the trade at the lowest low of 10 days. If we are fortunate enough to reach another higher level of profitability, like 5 average true ranges of profit or some other large dollar amount, we can shorten the channel further so that we will exit at the lowest low of 5 days. At the highest level of profitability, perhaps a very rare occurrence, we might even be able to place our exit stop at the previous day’s low to protect the great profit we have accumulated. As you can see, this strategy allows plenty of room for profits to accumulate at the beginning of a trade and then tightens up the stops as profits are accumulated. The larger the profits, the tighter our exit stop. 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 to discuss: this is to contract (or expand) the traditional channels using the height of the channel, or some multiple of the average true range. How this might 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 distance between the highest 20-day high and the lowest 20-day low. Then you contract the channel by increasing the lowest low value and decreasing the highest high value previously obtained to determine the exit points. For instance, in a long trade, you could increase the lowest low price by 5% of the channel height or 5% of the average true range, and use that adjusted price as your exit stop. This creates a slightly tighter stop than the conventional channel. More importantly, it allows you to execute your trade before the multitude of stops that 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 of entry and exit stops to be placed at previous lowest low and highest high prices. This can cause a significant amount of slippage when attempting to implement these techniques in your own trading. The method of adjusting the actual lowest low or highest high price by a percentage of the overall channel height or the average true range is one possible way to move your stops away from the stops placed by the general public and thereby achieve better executions 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 and Terence Tan
跟踪止损——吊灯止损策略
In Bulletin #34 we discussed the Channel Exit which trails a stop based on previous LOW points. In this Bulletin we will discuss a stop placement strategy that 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 the trade or the highest close of the trade. The distance from the high point to the 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 or in 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 three Average 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 higher highs are reached. The Chandelier name seems appropriate and should help us to remember the logic of this very effective exit. Just as a chandelier hangs down from the ceiling of a room, the Chandelier Exit hangs down from the high point or 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） |
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