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真实波动幅度均值
- 作者： 来源： 日期：2006-04-30 点击：438
chandelier 枝形吊灯
Examples:
示例：
Exit at the highest high since entry minus 3 ATR on a stop.
止损点放在自我们入市交易后的最高价减去3ATR处。
Exit at the highest close since entry minus 2.5 ATR on a stop.
止损点放在自我们入市交易后的最高收盘价减去2.5ATR处。
Application: We like the Chandelier Exit as one of our exits for trend following systems. (The name is derived from the fact that the exit is hung downward from the ceiling of a market.)
应用：我们喜欢把吊灯止损法应用于趋势跟踪系统。（我们这么命名，是因为我们注意到该止损点很象是从市场的天花板上挂下来的。
This exit is extremely effective at letting profits run in the direction of a trend while still offering some protection against a major reversal in trend. In fact our research has shown that this exit is so effective that you can enter futures markets at random and if you use this exit the results over time will be profitable. (If you don\'t believe us just try it.) When used for long term trend following the best values for the ATR in most markets ranges somewhere between 2.5 and 4.0.
该止损法非常有利于让我们的盈利往趋势方向累积，同时还能保护我们免受趋势大幅反转的伤害。事实上，我们的研究表明该止损法是如此神奇有效以至于你可以随机进入期货市场，然后使用该止损法，长期来说其结果是盈利的（如果不信，可以试试看）。在长期趋势跟踪系统中，对大多数市场来说，最佳ATR值在2.5至4.0间。
THE YO YO EXIT: This exit is very similar to the Chandelier Exit except that the ATR stop is always pegged to the most recent close instead of the highest high. Since the closes move higher and lower, the stop also moves up and down (hence the Yo Yo name). Although this stop appears similar to the Chandelier Exit the logic is quite a bit different. The Yo Yo Exit is a classic volatility stop that is intended to recognize an abnormal adverse price fluctuation that occurs in one day. This abnormal volatility is often the result of a news event or some important technical reversal that is likely to signal the end of a trend. This logic makes the YO YO exit very effective and we seldom regret being stopped out whenever this exit is triggered.
YO YO止损法：该法非常类似于吊灯止损法，差别仅在于其ATR止损点总是盯牢上一个收盘价的，而不是盯牢最高价（或最高收盘价）。由于上一个收盘价不断的变高或变底，止损点也跟着上移或下移（因为我们把它叫做YO YO止损法）。尽管两種止损法表面上很像，但其逻辑还是相当有区别的。YO YO止损法是典型的波动性止损法，即用于辨别一个交易日内异常的不利的价格波动。这種异常波动往往是由于某一新闻事件，或是一種重要的技术性反转（是趋势结束的标志）。这種逻辑使得YO YO止损法非常有效，我们很少因为这種止损触发的退出交易而后悔。
We should caution you that the Yo Yo stop should never be our only loss protection because if the price moves slowly against our position the Yo Yo stop also moves away each day and, in theory, the stop may never be hit.
我们必须提醒你YO YO止损法绝不是我们唯一的亏损保护措施，因为如果价格是缓慢的向不利于我们仓位的方向移动，YO YO止损点也跟着一天天的往下移，永遠也不会触发止损点，这在理论上是可能的。
Combining the exits: The Yo Yo and the Chandelier exits work best when used together. The Chandelier Exit is typically set at 3 ATRs or more from a high point and never lowered; therefore it will protect us against any gradual reversal of trend. The Yo Yo exit is typically set at only 1.5 to 2.0 ATRs from the most recent close and will protect our position from unusual one day spikes in volatility. When used together the operative stop each day would be whichever of the two stops is closest.
综合两種止损方法：综合使用YO YO止损法和吊灯止损法更有效。吊灯止损点往往设在距离最高点（或最高收盘价）3ATR或更多的地方，在市场向不利于我们的方向移动时，该止损点是不变的，因此他将保护我们免受趋势逐渐逆转的伤害。YO YO止损点往往设在离上一个收盘价仅1.5或2ATR处，它可以保护我们免受异常的日内价格的剧烈波动。当两者同时使用时，每天的止损价会是两者中最先被触发的那个。
spike n 尖状物；曲线上的陡升线。
Money Management Advice: When using any stops based on multiples of ATR we should keep in mind that volatility can quickly expand to where our risk is greater than we intended. We do not want to unknowingly exceed the risk limitations dictated by our money management scheme so we should also have a \"worst case\" dollar based stop available or be prepared to reduce our position size quickly as the ATR values expand. When should we reduce our position size and when should we implement our fixed dollar stop?
资金管理建议：当使用任何一種基于ATR的止损点，我们必须记住波动性可以很快大到使我们承受得风险比我们计划要承受的大。我不想在不知不觉中超过资金管理限定的风险水平，因此我们必须有一个“在最坏情况下的”基于美元单位的止损水平，或者我们必须在ATR变大时迅速减少我们的头寸。什么时候我们该减少我们的头寸规模？什么时候该实行我们的固定的美元止损点？两者该如何取舍？
If we are on the right side of the volatility expansion it may not be wise to reduce our position size just as the trade is beginning to do what we hoped for. For this reason I prefer to implement the dollar based stop on profitable positions rather than reducing the size of winning positions prematurely. We obviously want to have big positions in our winners and small positions in our losers. Therefore it would make sense to reduce our position size only if the volatility is increasing in a trade that is going against us. Once extremely large profits have been achieved, positions can safely be reduced without sacrificing too much in the way of potential profits.
如果波动性扩张时我们在正确的方向，减少持仓规模是不明智的，因为市场正向我们希望的方向发展。基于这个原因，在有盈利潜能的仓位上我倾向于采用基于美元的止损点而不是采用过早的减少盈利仓位的规模。显然，我们想在盈利时持有大仓位，在损失时持有小仓位。因此在市场向不利于我们的方向发展，且波动性变大时，减少我们的头寸规模才是明智的。一旦获得巨大的盈利，仓位可以被安全的减少而不会牺牲太多的潜在赢利。
By now we hope you have begun to appreciate the value of ATR in designing systems. There are still more uses for ATR that we have yet to discuss (Keltner Bands for example). We hope to have additional articles about ATR sometime in the future. In the meantime we hope this series of articles has stimulated some creative thinking about the many uses of ATR. Lets us know if you come up with more creative ideas on how to apply this wonderful technical tool.
文章写到现在，我们希望你已经开始肯定ATR在交易系统设计中的作用。还有很多ATR用法有待讨论（比如Keltne带）。我们希望将来还能写一些关于ATR的文章，我们还希望这一系列文章能激起一些关于ATR用法的创造性想法。如果你有的话，请告诉我们你是如何创造性的应用这一伟大的技术分析工具。(完）
