真實波動幅度均值 (Average True Range, ATR）在美國威爾德（Welles Wilder JR.）1978年出版的《技術交易系統新概念》一書中首次介紹。Wilder根據ATR開發了基於趨勢的震蕩止損，隨後演變為真實波動幅度追蹤止損，但是這些有兩大弱點：
• 在上升趨勢中，如果ATR值擴大，那麼止損會向下移動。我對這點很不滿意：止損應該按照趨勢方向移動。
• 停損點轉向機制假定你的多頭頭寸被止損後便開立空頭頭寸，反之亦然。而經常發生的情況是，交易者在趨勢中被過早的止損，並想按照之前的方向繼續建立頭寸。
平均真實波動帶（Average True Range Bands）解決了上述兩個弱點。止損只會隨著趨勢方向移動，並且當價格越過止損水平線時不假設趨勢改變。
平均真實波動帶信號
平倉信號：
• 當價格穿過平均真實波動帶的下方後，多頭頭寸平倉。
• 當價格穿過平均真實波動帶的上方後，空頭頭寸平倉。
當與趨勢過濾指標結合後，平均真實波動帶可以突破性的被用於確定開倉信號。對立的兩條線相交也可以用來保護你的盈利。
示例：
RJ CRB商品指數在2008年下半年的下降趨勢以及平均真實波動帶指標（31日，3ATR，收盤價），以及用作趨勢過濾指標的63日指數移動平均線。
1. 在[S] 處做空：價格收於63指數日移動平均線以及平均真實波動帶下方。
2. 在[X]處平倉：收盤價位於平均真實波動帶上方。
3. 在 [S]處做空：收盤價位於平均真實波動帶下方。
4. 在[X]處平倉：收盤價位於平均真實波動帶上方。
5. 在 [S]處做空：收盤價位於平均真實波動帶下方。
6. 在[X]處平倉：收盤價位於平均真實波動帶上方。
當價格位於63日指數移動平均線下方時不建議做多，同樣，價格位於63日指數移動平均線上方不建議做空。
平均真實波動帶參數設置
有下列兩種選擇：
• 收盤價：平均真實波動帶基於收盤價；
• 最高價和最低價：平均真實波動帶基於最高價和最低價。
ATR默認的時間週期是21日，3倍ATR值。短期交易的正常範圍是2，長線交易的正常範圍是5.低於3倍ATR通常會產生錯誤信號。
平均真實波動帶公式
下面是一個簡要的介紹：
• ATR是根據Wilder 公式計算得出。
• 波動帶是根據ATR的日收盤價加上/減去3倍ATR值得出。
• 對於基於最高價和最低價的ATR值，日最低價加上3倍ATR值，最高價減去3倍ATR值。
• 棘輪原理確保上升趨勢中，波動帶的上邊緣只會向上移動；下降趨勢中，波動帶的上邊緣只向下移動。
• 提前一天繪出（比如，第二天的止損價會根據當日的收盤價決定。）
Average True Range (ATR) Bands
Average True Range was introduced by J. Welles Wilder in his 1978 book New Concepts In Technical Trading Systems. ATR is explained in greater detail at Average True Range. Wilder developed trend-following Volatility Stops based on average true range, which subsequently evolved into Average True Range Trailing Stops, but these have two major weaknesses:
• Stops move downwards during an up-trend if Average True Range widens.
I am uncomfortable with this: stops should only move in the direction of the trend.
• The Stop-and-Reverse mechanism assumes that you switch to a short position when stopped out of a long position, and vice versa. All too frequently, traders are stopped out early when following a trend and wish to re-enter in the same direction as their previous trade.
Average True Range Bands address both these weaknesses. Stops only move in the direction of the trend and do not assume that the trend has reversed when price crosses the stop level.
Average True Range Band Signals
Signals are used for exits:
• Exit a long position when price crosses below the lower Average True Range Band.
• Exit a short position when price crosses above the upper Average True Range Band.
While unconventional, the bands can be used to signal entries — when used in conjunction with a trend filter. A cross of the opposite band can also be used as a signal to protect your profits.
EXAMPLE
The RJ CRB Commodities Index late 2008 down-trend is displayed with Average True Range Bands (21 days, 3xATR, Closing Price) and 63-day exponential moving average used as a trend filter.
1. Go short [S] when price closes below the 63-day exponential moving average and the lower band
2. Exit [X] when price closes above the upper band
3. Go short [S] when price closes below the lower band
4. Exit [X] when price closes above the upper band
5. Go short [S] when price closes below the lower band
6. Exit [X] when price closes above the upper band
No long positions are taken when price is below the 63-day exponential moving average, nor short positions when above the 63-day exponential moving average.
ATR Bands Setup
There are two options available:
• Closing Price: ATR Bands are plotted around the closing price.
• HighLow: Bands are plotted in relation to high and low prices, like Chandelier Exits.
The ATR time period default is 21 days, with multiples set at a default of 3 x ATR. The normal range is 2, for very short-term, to 5 for long-term trades. Multiples below 3 are prone to whipsaws.
See Indicator Panel for directions on how to set up an indicator.
Average True Range Bands Formula
Here is a brief outline:
• Average True Range is calculated in accordance with J. Welles Wilder's formula.
• The bands are calculated by adding/subtracting a multiple of Average True Range to the daily closing price.
• For the HighLow option, the multiple of ATR is added to the daily Low, and subtracted from the daily High.
• A ratchet mechanism ensures that the lower band only moves up in an up-trend and the upper band only moves down in a down-trend.
• Plots are projected one day forward (e.g. the stop caculated from today's closing price is plotted for tomorrow)
本文翻譯由兄弟財經提供
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