一种新的止损策略-ATR棘轮法（A new stop loss strategy -- -ATR ratchet method）

一种新的止损策略-ATR棘轮法（A new stop loss strategy -- -ATR ratchet method） 一种新的止损策略-ATR棘轮法(A new stop loss strategy -- -ATR ratchet method) 一个新的退出战略，由Chuck LeBeau药渣译ATR棘轮 一种新的止损策略——ATR棘轮法 基本思想很简单。我们首先选择一个合乎逻辑的起点，然后将ATR的每日单位添加到起始点，产生一个尾随止损点，该止损点的持续移动率较高，同时也能适应波动性的变化。这种策略相对于原来的基于抛物线的出口的好处是，当使用ATR棘轮，我们有更多的起点和加速度的控制。我们还发现，基于ATR的出口对波动的变化有一个快速和适当的反应，这将使我们能够锁定比大多数传统的尾随出口更多的利润。 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。 下面是战略的一个例子:在交易达到至少一个ATR或更多的利润目标之后，我们选择最近的低点(例如最近十天的最低点)。然后我们在交易中每天增加一些ATR的小单位(例如0.05 ATR)。如果我们一直在贸易15天我们将乘0.05艺术15天并将结果0.75艺术的出发点。经过20天的贸易我们现在就加入1艺术(05次20)在最近十天的最低价。ATR棘轮在逻辑上非常简单，但是你会很快发现有很多运动部件执行了许多有趣的有用的功能，远远超出我们的预期。 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). If we've been holding positions for 15 days, then we multiply the 0.05ATR by 15 days and then add the product 0.75ATR to the starting price. 20 days later, we will add 1.0ATR (0.05 times 20 days) to the lowest possible price for the last ten days. The ATR ratchet is logically simple, but you'll soon find that there are many moving points that can perform some interesting and useful functions, much more than we thought. We particularly like this strategy because, unlike the Parabolic, the ATR Ratchet can easily be implemented any time we want during the trade. We can start implementing the stop the very first day of the trade or we can wait until some specific event prompts us to implement a profit-taking exit. I would suggest waiting to use the exit until some minimum level of profitability has been reached because as you, will see, this stop has a way of moving up very rapidly under favorable market conditions. We particularly like the strategy, because unlike the parabolic steering indicator, the ATR ratchet can easily be used at any time during our trading. We can start using the stop loss strategy on the first day of trading, or we can use the winning strategy after some favorable events. I suggest using the stop loss strategy when the profit is achieved, because, as you have seen, this stop will move up rapidly in a favorable market environment. The ATR Ratchet begins very quietly and moves up steadily each day because we are adding one small unit of ATR for each bar in the trade. However the starting point from which the stop is being calculated (the 10 day low in our example also up on a) moves regular basis as long as the market is headed in the right direction. So now we have a constantly increasing number of units of ATR being added to a constantly rising ten day low. Each time the 10-day low increases our ATR Ratchet moves higher so we typically have a small but steady increase in the daily stop followed by much larger jumps as the low moves higher. It 10 day is important to emphasize that we are constantly adding our daily acceleration to an upward moving starting point tha T, produces, a, unique, acceleration, feature, for, this, exit., have, a, rising, stop, that, We, is, being, accelerated, by,, both, time, dual, and, addition, price., In, ATR棘轮通常会增加额外的加速，以应对交易中波动性的增加。 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。 由于范围扩展而产生的加速度是ATR棘轮的一个重要特征。由于市场 往往在趋势加速时现出更大的范围，ATR在我们的最佳利润运行过 程中往往会迅速扩张。在快速移动的市场，你通常会发现很多差距和 大范围的酒吧。因为我们将多个ATR单元加入到我们的起始点，所以 基本ATR的任何增大都会使止损突然产生一个很大的跳跃，使它更接 近于交易的高点。如果我们进行了四十天的交易，ATR的任何增加都 会对累计每日加速产生四十倍的影响。这正是我们希望它做的。我们 发现，当一个市场盈利良好时，ATR棘轮快速上升，并在锁定利润方 面做了出色的工作。 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。 That's just what we want. We find that when the market gives us a big profit, the ATR ratchet stops will move up surprisingly fast, so that we can lock the floating profit well. Keep in mind that this exit strategy is a new one (even to us) so our experience and observations about it are still very limited. However I am going to discuss a few observations about the variables that might help you to understand and apply this exit successfully. Keep in mind (that is, for us) this stop loss strategy is new because our experience and conclusions are limited. However, I'm still going to discuss the observations of some variables, which may help you understand and successfully apply this stop loss strategy. Starting Price: One of the nice features about the ATR Ratchet is that we can start it any place we want. For example we can start it at some significant low point just as the Parabolic does. Or we can start it at a swing low, a support level, and a channel low or at our entry point minus some ATR unit. If we wait until the trade is fairly profitable we could start it at the entry point or even somewhere above our entry point. The possible starting points are unlimited use your imagination and your; logic to find a starting point that makes sense for your time frame and for what you want your system to accomplish. Our idea of starting the Ratchet from the x day low makes it move up faster than a fixed starting point (as in the Parabolic b) Ecause the starting point rises repeatedly in a strong market. If you prefer, you could just as easily start the Ratchet at something like below the entry price 2 ATRs and then the starting point would remain fixed. In this case the Ratchet would move up only as the result of accumulating additional time in the trade and as the result of possible expansions of the ATR itself. Starting price: a very good feature of the ATR ratchet is that we can set the starting price anywhere we like. For example, we can just as the parabolic like in some important low starting price, we also can swing at the bottom, or a support level, and a channel bottom, or lower than the starting price set a certain number of entry point ATR place. If we wait for the book to generate a substantial amount of profit, We can set the starting price even higher than the entrance point. A viable entry point is infinite, and it takes your imagination and logical reasoning to find the right starting price for your trading system that suits your time frame. Starting with a fixed price (as in the parabolic), we have recently set up X day low starting price, which makes our ATR ratchet stop rising faster, because in a stronger market, starting price we will continue to move up. If you love, you can also put the starting price ATR ratchet in a fixed place, such as in the 2ATR below the entry point where, in this case, although the starting price does not move up, but with the extension of time positions of the ATR ratchet stop will move, in addition ATR value will become larger the ATR ratchet stop up. When to Start: We can very easily initiate the exit strategy based on time rather than price or combine the two ideas. For example, we can start the exit only after the trade has been open for at least and is profitable by 10 days more than one ATR. My general impression at this point is that it is best to implement the ATR Ratchet only after a fairly large profit objective has been reached. The ATR Ratchet looks like a very good profit taking exit but I suspect it will kick you out of a trade much too soon if you start it before the trade is profitable. When to start the ATR ratchet: we can start the ATR ratchet policy by time, not by price, because the former is simple. Or we can start thinking of timing and pricing to start the ATR ratchet policy. For example, whether or not to start the ATR ratchet depends on whether the two conditions are met at the same time: 1) at least 10 days (based on time factors); 2) floating profits, at least 1ATR. Overall, the best time to start the ATR ratchet is after achieving a huge profit target. The ATR ratchet seems to be a very good protection for profitable stop loss strategies. But I suspect that if you start the ATR ratchet before the transaction reaches a floating profit, you will be kicked out of the market too early. I don't understand why the ATR ratchet strategy was kicked out of the market before it was profitable, and when the big profits came in, the strategy wouldn't be kicked out of the market too soon Although the original author did not say so, but the implied meaning) As I mentioned, one of the things I like best about the ATR Ratchet is its flexibility and adaptability. Here is another idea on how to start it. We can start it after fifteen bars but we don't necessarily have to add fifteen ratchets. 编码的逻辑是在交易15栏后开始棘轮，但在交易中减去十的单位， 乘以ATR，或者在ATR单位乘以之前，将交易中的天数除以某个常数。 这个程序将减少齿数，尤其是在交易初期当出口首次实现。玩ATR棘 轮，看看你能想出什么创意点子。 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这种思路可以ATR。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。 每日棘轮量:经过测试，我们第一次做研究时所选择的每日棘轮量，对于我们预期的应用来说是太大了。大的棘轮数量(ATR的百分比)把止损推得太快以至于我们想要交易的时间段。经过一些试验和错误，我们发现棘轮量在0.05或0.10附近(20天平均真实范围内的5%或10%)乘以贸易已经打开的条数将使止损比你预期的快得多。 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。 作为这种策略的一个变种，一旦利润非常高，最初的小棘轮总是可以在交易中增加。我们可以从一个小棘轮开始，然后在大量的利润后，我们可以使用更大的每日棘轮增量。有各种各样的有趣的可能性。(不知道如何) 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。增量增加，增值，增额 ATR长度:正如我们在ATR以前的应用中所了解到的，我们用来平均范围的长度是非常重要的。如果我们希望ATR能对范围的大小的短期变化作出高度反应，我们应该用短长度的平均值(4或5条)。如果我们想要一个平滑的ATR，对一到两天的异常波动反应较少，我们应该使用较长的平均值(20到50条)。在ATR的大部分工作中，我平 均使用20天，除非我有充分的理由使它或多或少敏感。 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。 总结:我们只是从表面上理解了ATR棘轮作为获利工具的可能性和变化。我们特别喜欢它提供的灵活性，我们怀疑每个交易者都会使用稍微不同的变化。正如你所看到的，有许多重要的变量需要修改。一定要编码棘轮，所以当你第一次学习和试验它时，它会被绘制在图表上。 ATR棘轮是充满惊喜的，图表上的情节会很快告诉你它不同寻常的特性。 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)。 补锅匠随随便便的修理，小修小补;摆弄一定要让我们知道，如果你有什么令人兴奋的想法如何应用它。好运和良好的交易。 译者补充:原文中多次提到抛物线SAR(韦尔达技术指标)，以下是译者转摘的相关知识。抛物线(停止和反向)，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。: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(高温)，或下跌波 段的最低价(极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 =低;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， The daily price is used at a certain rate (i.e., the AF value) of the extremum gap to catch the current price. Can effectively grasp the band market. Therefore, the reversal point can be considered as a buy or sell signal. The use of SAR is very simple, and the moving average of the documentary moving average is the same. It's featured when we don't have to wait until the closing time. Because with the closing price index was calculated on the basis, so traders must bear before closing price risk. The SAR can decide whether to open the position or not. And where is the risk of its use? That is, the risk of stopping loss is too large at the beginning... If you use SAR for the first time in a week or so, I think you have very little chance of getting a good night's sleep. At this point, SAR is marked at a high or low price, and may be a lot of distance from the present price, especially for futures positions. Then AF must be the minimum state at this time (the inversion must start at 0.02). So, for about a week or so, your position is exposed to a larger risk of stop loss. SAR is the hardest way to get in! The parabolic (SAR) the disadvantages of 1. operational parabolic (SAR) is that "the acceleration factor in the formula" (Acceleration Factor), it can not be cleverly adapted to different commodities or stocks, must be made use to try and try to find the best accelerating factor in the fluctuation of beat (AF numerical). Generally used acceleration factor (AF) values range from 0.02 to 0.20 and increase or decrease at 0.02 values (e.g., 0.02, 0.04, 0.06, etc.). 2., in the consolidation market, the parabolic steering index (SAR) is very high frequency of steering, will lead to signal followers in the high buy, low sales situation caused losses. As a result, the parabolic index (SAR) must not be used when a consolidation market is encountered. When to Start: We can very easily initiate the exit strategy based on time rather than price or combine the two ideas. For example, we can start the exit only after the trade has been open for at least and is profitable by 10 days more than one ATR. My general impression at this point is that it is best to implement the ATR Ratchet only after a fairly large profit objective has been reached. The ATR Ratchet looks like a very good profit taking exit but I suspect it will kick you out of a trade much too soon if you start it before the trade is profitable. As I mentioned, one of the things I like best about the ATR Ratchet is its flexibility and adaptability. Here is another idea on how to start it. We can start it after fifteen bars but we don't necessarily have to add fifteen ratchets. 编码的逻辑是在交易15栏后开始棘轮，但在交易中减去十的单位，乘以ATR，或者在ATR单位乘以之前，将交易中的天数除以某个常数。这个程序将减少齿数，尤其是在交易初期当出口首次实现。玩ATR棘轮，看看你能想出什么创意点子。 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)。