波动止损

大多数的交易者都会随着时间的推移根据趋势的方向移动止损位来锁定利润。除了移动平均线之外，另外一个非常受欢迎的是基于一系列真实波幅的追踪止损。主要分为以下几种：
• Welles Wilder 1978年在其《交易系统新概念》一书中最初引进的波动止损。
•  Alexander Elder在《走进我的交易室》中所介绍的基于最高价和最低价而不是收盘价的吊灯止损。
• 基于真实波幅的止损与上述类似，但是它另外采用了棘轮机制以防止上升趋势中止损位的下降或者下降趋势中止损位的上升。
• Chester Keltner 在《如何在商品交易中获利》（1960）一书中描述的肯特纳通道，根据移动平均线而不是收盘价来设置追踪止损。

波动止损的交易信号
根据交易信号平仓：
• 当价格向下穿过波动止损位时，多单平仓。
• 价格向上穿过波动止损位时，空单平仓。
尽管不常用，但是它也可以结合趋势过滤器来给出开仓信号。

示例
2008年下半年RJ CRB 商品指数的下降趋势以及3倍21日ATR，63日EMA作为趋势过滤器。
 
1. [S] 处做空：价格同时在波动止损位以及63日EMA下方。
2. [X] 处平仓：价格向上穿过波动止损。
3. [S] 处做空：价格向下穿过波动止损。
4. [X] 处平仓：价格向上穿过波动止损。
5. [S] 处做空：价格向下穿过波动止损。
6. [X] 处平仓：价格向上穿过波动止损。
当价格一直处于63日EMA下方时，不要开立多单；同样，价格位于63日EMA上方时则不宜做多。

设置
Welles Wilder 使用7日、3倍ATR。我们的默认设置是21日、3倍ATR。

波动止损的计算公式
Welles Wilder的波动止损系统依据的是收盘价，并采用止损反向交易的原则（类似于抛物线指标）。
1. 确认主要趋势方向。
2. 计算出重要的收盘价("SIC")：上升趋势中的最高收盘价或者下降趋势中的最低收盘价。
3. 计算出所选周期内的平均真实波幅("ATR")，也就是上述例子中的7日ATR。
4. 计算出3倍ATR。
5. 第一个止损位是根据第七日计算得出，并应用于第八日。
6. 上升趋势中，第一个止损位是SIC - 3 * ATR；下降趋势则为SIC + 3 * ATR 。
7. 每日都重复这个步骤，直到上升趋势中价格跌破止损位或者下降趋势中价格向上突破止损位。
8. 将SIC值设置为前一日的收盘价，随着趋势的反转，重新追随趋势方向交易。

波动止损的评价
在上升趋势中使用收盘价而不是最高价（或下降趋势中使用最低价）可以降低波动止损的波动性并产生较好的交易效果。但是，波动止损有两个显著的缺点：
1. 在上升趋势中，如果ATR值扩大，那么止损位则有可能下降；
2. 抛物线反转假设止损位的触发预示着趋势的转变。但是许多交易者都可以很容易的发现，很多时候止损位的触发并不代表趋势的反转——价格在击穿你的止损位后又恢复原来的上涨趋势，这将使你处于滞后状态。
ATR追踪止损解决了上述的第一个缺点，吊灯止损则避免了第二个缺点。而ATR通道同时解决了上述两个缺点。

Volatility Stops
Most traders adjust their stops over time in the direction of the trend in order to lock in profits. Apart from moving averages, one of the most popular techniques is trailing stops using a multiple of Average True Range. There are several variations:
• The original Volatility Stops, introduced by Welles Wilder in his 1978 book: New Concepts in Technical Trading Systems
• Chandelier exits introduced by Alexander Elder in Come Into My Trading Room (2002) trail the stops from Highs or Lows rather than Closing Price
• Average True Range Trailing Stops are similar to the above, but include a ratchet mechanism to prevent stops moving down during an up-trend or rising during a down-trend, as ATR increases
• Keltner Channels from Chester Keltner in How to Make Money in Commodities (1960) trails stops from a moving average instead of from Closing Price.
Volatility Stops Trading Signals
Signals are used for exits:
• Exit your long position (sell) when price crosses below the Volatility Stop.
• Exit your short position (buy) when price crosses above the Volatility Stop.
While not conventional, they can also be used to signal entries — in conjunction with a trend filter.
EXAMPLE
The RJ CRB Commodities Index late 2008 down-trend is displayed with Volatility Stop (3 x 21-day ATR) and 63-day exponential moving average used as a trend filter.
1. Go short [S] when price is below the Volatility Stop and closes below the 63-day exponential moving average
2. Exit [X] when price crosses above the Volatility Stop
3. Go short [S] when price crosses below the Volatility Stop
4. Exit [X] when price crosses above
5. Go short [S] when price crosses below
6. Exit [X] when price crosses above the Volatility Stop
No long trades are entered while price is below the 63-day exponential moving average, nor short trades while above.
Setup
Welles Wilder used 7-day Average True Range and a multiple of 3. We have set the default, however, to a smoother 21-day Average True Range but retain the multiple of 3.
See Indicator Panel for directions on how to set up an indicator — and Edit Indicator Settings to change the settings.
Volatility Stops Formula
Welles Wilder's system uses Closing Price and incorporates a stop-and-reverse feature (as with his Parabolic SAR).
1. Determine the initial trend direction
2. Calculate the Significant Close ("SIC"): the highest close reached in an up-trend or the lowest close in a down-trend
3. Calculate Average True Range ("ATR") for the selected period (7 days in this example)
4. Multiply ATR by the Multiple (3.0 in this example)
5. The first stop is calculated in day 7 and plotted for day 8
6. If an up-trend, the first stop is SIC - 3 * ATR, otherwise SIC + 3 * ATR for a down-trend
7. Repeat each day until price closes below the stop (or above in a down-trend)
8. Set SIC equal to the latest Close, reverse the trend and continue.
Volatility Stops Evaluation
Using Closing Price rather than highs in an up-trend (or lows in a down-trend) may reduce the volatility of the system and could produce better results but there are two apparent weaknesses:
1. Stops may move lower during an up-trend if Average True Range widens; and
2. SAR assumes that the trend has changed every time that your stop is hit. Most traders will find that there stops are regularly hit without the trend changing — price merely retraces through your stops and then resumes the up-trend, leaving you lagging behind.
Average True Range Trailing Stops addresses the first weakness, Chandelier exits caters for the second, whileAverage True Range Bands addresses both.

本文翻译由兄弟财经提供

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