百分比追踪止损

百分比追踪止损是一个简单的趋势交易系统：它可以根据趋势方向不断的上调/下调止损位置。百分比追踪止损的原理与Welles Wilder的抛物线指标或者是基于ATR的追踪止损类似，都是“止损并反向交易机制”。

交易信号
它可以发出平仓信号。
• 当价格向下穿过百分比追踪止损时，多单平仓。
• 当价格向上穿过百分比追踪止损时，空单平仓。

示例
2008年下半年的RJ CRB 商品指数的下降趋势，以及百分比追踪止损（10%，收盘价），以及63日指数移动平均数作为趋势过滤器。

 
1. [S] 处价格收盘价位于63日移动平均线以及10%追踪止损下方，做空。
2. [X] 处价格收于追踪止损上方，平仓。

设置
百分比追踪止损的默认设置是10%以及收盘价。同时，也可以将最高价或者最低价设置为参数。

计算公式
百分比追踪止损通常使用的是收盘价：
1. 上升趋势中，收盘价减去10%并将结果设置为接下来一日的止损位。
2. 如果价格收于追踪止损下方，那么收盘价加上10%——用来跟踪空单趋势。
3. 否则，持续将收盘价减去10%，直到价格反转并收于追踪止损下方。
4. 百分比追踪止损同样使用棘轮机制，因此多单时，止损位置不会随着趋势的上升而下降；空单时同样也不会上升。
如果你使用最高价或者最低价作为参数，那么上升趋势中，追踪止损是根据每日的最高价计算而来；下降趋势中，追踪止损是根据每日最低价计算得出。

评价
波动性大的股票对应的百分比值也更大。并且，下降趋势的波动通常比上升趋势大，也需要较大的百分比追踪止损。

Percentage Trailing Stops
Percentage Trailing Stops is a simple trend-following system that trails a stop loss above/below the current price, depending on trend direction. The system uses a stop-and-reverse mechanism similar to Welles Wilder's Parabolic SAR or Average True Range Trailing Stops.
Percentage Trailing Stop Signals
The signals are used for exits.
• Exit your long position when price crosses below the Percentage Trailing Stop line.
• Exit your short position when price crosses above the Percentage Trailing Stop line.
EXAMPLE
The RJ CRB Commodities Index late 2008 down-trend is displayed with Percentage Trailing Stop (10%, Closing Price) and 63-day exponential moving average used as a trend filter.
1. Go short [S] when price closes below the 63-day moving average and the trailing stop
2. Exit [X] when price crosses above the ATR stop
Percentage Trailing Stops Setup
The default is set as 10 percent.
Closing Price is set as the default option. The alternative is High/Low (see Formula below).
See Indicator Panel for directions on how to set up an indicator — and Edit Indicator Settings to change the settings.
Percentage Trailing Stops Formula
Trailing stops are normally calculated using closing prices:
1. In an up-trend, subtract 10 percent from the Closing Price and plot the result as the stop for the following day
2. If price closes below trailing stop, add 10 percent to the Closing Price — to track a Short trade
3. Otherwise, continue subtracting 10 percent from Closing Price each day until price reverses below the trailing stop
4. There is also built in a ratchet mechanism so that ATR stops do not move lower during a Long trade nor rise during a Short trade.
If you select the High/Low option, the trailing stop is calculated using the daily High in an up-trend — and the daily Low in a down-trend.
Percentage Trailing Stops Evaluation
More volatile stocks require larger percentages. Down-trends are also more volatile than up-trends and may need wider percentage stops.

文章翻译由兄弟财经提供

文章来源：http://www.incrediblecharts.com/indicators/percentage_trailing_stops.php