平缓市场的头寸策略

 Alan Farley  2015年11月20日

趋势市场使交易员和投资者能持有更大的仓位以获得更高的利润。在指数和基金被定义良好的支撑和阻止界定时则恰恰相反。在这种情况下更小的仓位在利用更少的机会同时能更好的控制风险。

保证金交易在趋势市场中最好，为家庭账户增加杠杆资金。风险方程支持这种激进的方式并允许把止损设置在远离当前价格的位置。在平缓市场中由于变动率低应该放弃杠杆，价格经常重叠在买卖压力之间。这时的价格图表看起来参差不及和不可预测，除了接近支撑和阻止的位置几乎没有清晰的入场点。

一半到四分之一的典型趋势交易在这种情况下都会有效。交易区间获利的机会则会降低，也会降低盈亏率。同时，在获利交易中的获利点数要平均低于趋势交易，降低平均获利。更小的仓位能降低亏损。

降低仓位大小

市场总是在趋势和区间之间不断震荡。趋势跟踪策略利用市场的移动而波段交易策略在平缓市场中表现最好。波段交易大多数时间都是使用一个部分入场点，在支撑附近做多并在阻止附近做空。这样就能在支撑和阻止对面或者当中间障碍时获得客观的利润。

防守

降低小仓位的交易频率60%-90%能增加盈利。在平缓市场选择性至关重要，这需要在上升和下降趋势中不必做的次级入场点筛选。这一程序能过滤掉那些获利可怜的交易机会。过滤也会解决在更广泛的条件下指数技术线上升而直到消息则相反时入场点的问题。

在平缓市场中减少持有时间将提高收益：风险也一样，判断小规模交易买卖周期的入场和退出时机。相对强弱振荡器在这时将会非常有效，它将在周期从买入到卖出时发出信号，反之亦然。这些交叉趋势在平缓市场中比趋势市场中多，减少持有时间将会非常有效。

资金也是仓位

平缓市场提醒交易员和投资者资金也是一个仓位。大多数人把这些上升和下降区间之间的时间当作脱离常规，但是横向市场控制大部分的价格运动。事实上，据估计传统指数和基金在区间的时间低于20%，平缓整盘和其他情况占了80%多。高资金策略在这个长时间的波涛汹涌的市场是非常重要的。持观望态度的交易员应该追踪市场等待机会出现。那些高利润交易通常建立在重大转折点上，通常在交易趋势结束和新趋势开始时发出信号。利用这些机会几次就能比花费几周进行边际交易获得更大的利润。

总结

平缓市场减少利润并减少交易和投资策略的信心。通过减少50%-75%的交易规模和60%-90%的交易频率并减少持有时间适应这些不利条件。

Position Sizing In Flat Market 

By Alan Farley | Updated November 20, 2015 

Trending markets allow traders and investors to carry larger positions in hopes of booking substantial profits. The opposite is true in flat markets when indices and funds are caught between well-defined support and resistance boundaries. Smaller positions manage risk more effectively in these conditions while taking advantage of less frequent opportunities.

Margin works best in trending markets, adding leveraged funds and tapping into family accounts. The reward: risk equation supports this aggressive approach while allowing stops to be placed well away from the advancing price. Leverage should be abandoned in flat markets due to low rate of change (RoC) in which price bars overlap frequently between bursts of buying and selling pressures. Patterns carved out in these periods look jagged and unpredictable, with few easy entry points, except at the edges of support and resistance. 

Lowering Position Size

Markets oscillate continuously between trends and ranges always. Trend-following strategies take advantage of moving markets while swing trading strategies work best in flat markets. Swing trading utilizes a single tranche entry most of the time, going long near range support or short near range resistance. An opportune profit is then grabbed at the other end of the range, or when interim barriers slow or stall momentum.

One half to one quarter the size of a typical trend trade makes sense in these conditions. Trading ranges lower the odds for profit, in turn lowering the win: loss ratio. At the same time, the average number of points gained in a winning trade will be lower than in a trending market, reducing the average win. Smaller positions acknowledge the higher odds for a loss while containing the average loss size.

Playing Defense

Lowering trade frequency by 60% to 90% increases the benefit of smaller position sizing. Selectivity becomes paramount in flat markets, requiring secondary entry filters not used in strong uptrends or downtrends. This gating process improves results by passing on opportunities with poor reward: risk or easily-observed obstacles between range boundaries. Filters also address broader conditions, focusing on entries when index technicals line up while standing aside if directional messages aren’t crystal clear.

Reducing the holding period in flat markets improves reward: risk as well, timing entry and exit to small-scale buy and sell cycles. Relative strength oscillators including Stochastics and Wilder’s RSI are useful in this regard, signaling the need to act when the cycle flips from buy to sell, or vice versa. These crossovers tend to more frequently in flat markets than trending markets, favoring shorter holding periods.

Cash Is A Position Too

Flat markets remind traders and investors that cash is a position too. The majority looks at these conflicted periods as aberrations between uptrends and downtrends but sideways markets control the majority of price action on all instruments. In fact, it’s estimated that a typical index or fund trends for 20% or less of the time, while caught in flat range bound conditions the other 80%. A high cash strategy marks a vital element in surviving these long periods of choppy action.

Sidelined traders should stalk the market and wait for the big game to appear. These high-profit trades tend to set up at major turning points, often signaling the end of a trading range and the start of a new trend impulse, high or lower. Taking advantage of these higher scale opportunities can produce bigger profits in a few sessions than weeks spent throwing money at marginal trades.

The Bottom Line

Flat markets undermine profits and lower confidence in trading and investment strategies. Adjust to these adverse conditions by reducing position size by 50% to 75%, lowering trade frequency 60% to 90% and shortening holding period to hours to days, rather than weeks or months.

本文翻译由兄弟财经提供

文章来源：http://www.investopedia.com/articles/active-trading/110415/position-sizing-flat-market.asp