吊燈止損策略 (Chandelier Exits)

Alexander Elder在其2002年出版的《走進我的交易室》一書中引進了Chuck Le Beau 的吊燈止損策略。該策略是從上升趨勢中的價格高點懸挂下來幾倍的ATR（平均真實波動範圍）值，或者是下降趨勢中價格低點加上幾倍的ATR值。下面這些策略都使用了ATR值，它們有各自的優缺點：

• Welles Wilder's的《技術交易系統的新概念》（1978），一書中介紹的波動止損；
• ZTR追蹤止損；
• Chester Keltner的《如何從商品期貨交易中獲利》 (1960) ，介紹的肯特納通道 (Keltner Channel) 。

Dr Elder開發的安全區域止損（Safe Zone Stops）是基於定向運動（Directional Movement）指標，而不是ATR值。

吊燈止損策略的交易信號

吊燈止損策略主要作用是充當趨勢市場中的止損機制。

•當價格向下穿越吊燈線時，多頭頭寸平倉；
•當價格向上穿過吊燈線時，空頭頭寸平倉；
吊燈止損策略不能像別的波動指標一樣用於開倉，它總會過早的開倉平倉。

示例：

RJ CRB商品指數，2008年下半年的下降趨勢以及吊燈止損策略（短期，22日，3ATR）以及63日指數移動平均線作為趨勢過濾器。當價格走出5日的新低、位於均線下方或者走出5日的新高、位於均線上方時，開倉信號產生。

1. [S] 處做空：價格在吊燈止損線下方並且收盤價也位於63日指數移動平均線下方。
2. [X] 處平倉：價格向上穿過吊燈止損。
3. [S] 處做空：價格走出5日新低，並且位於63日指數移動平均線下方。
4. [X] 處平倉：價格向上穿過吊燈止損線。
5. [S] 處做空：價格走出5日新低，並且位於63日指數移動平均線下方。
6. [X] 處平倉：價格向上穿過吊燈止損線。

吊燈止損線設定

吊燈止損策略的預設設定是22日、3ATR。你可以更改其基本設定。

吊燈止損的公式

吊燈止損從所交易時間段內的價格最高點減去幾倍減去平均真實範圍（“ATR”）。下面，利用預設設定舉例：

過去22日價格的最高點—過去22日3 ATR

在下降趨勢中，該趨勢反過來：

過去22日價格的最低點+過去22日3 ATR

• 為了得到上升趨勢中最近的價格最高點，時間週期必須足夠長：時間週期過短，對應的止損位相對較低；時間週期過長，最高價位則有可能從之前的下降趨勢中得出。
• 很重要的一點是，上升和下降趨勢所使用的時間週期應該不同；衆所週知，下降趨勢所經歷的時間通常較短，因此，對應的吊燈止損的時間週期也應較短。
• 3 ATR或許會有所差異，但是大多數的投資者的設定在2.5~3.5之間。

吊燈止損的評估

我對上升趨勢中止損的位置下降很擔心。吊燈止損有可能會遇到以下狀況：

1. ATR值上升；或者
2.所選的時間週期內價格沒有達到新高（比如前面列子中說的22日）。

Welles Wilder's 的波動止損很好的避免了第二種情況，但是它用的是收盤價而不是最高價和最低價。另一方面，ATR追蹤止損（Average True Range Trailing Stops）提供最高價/最低價以及收盤價，並使用棘輪機制來防止上升趨勢中止損價位下降或者是下降趨勢中止損價位的上升。

Chandelier Exits
Alexander Elder introduced Chuck LeBeau's Chandelier Exits trend-following system in his 2002 book Come Into My Trading Room. The system dangles a multiple of Average True Range from Highs during an up-trend and adds them to Lows during a down-trend. There are several similar systems that use ATR, each with their own strengths and weaknesses:
• Welles Wilder's original Volatility Stops, from his book New Concepts in Technical Trading Systems (1978);
• Average True Range Trailing Stops; and
• Keltner Channels from Chester Keltner in How to Make Money in Commodities (1960).
Dr Elder also developed SafeZone Stops based on Directional Movement rather than Average True Range.
Chandelier Trading Signals
Chandelier Exits are primarily used as a stop loss mechanism to time exits from a trending market.
• Exit long positions when price crosses below the Chandelier line
• Exit short positions when price crosses above the Chandelier line
Chandeliers cannot be used for entries like some other volatility systems as they would be prone to whipsaw in and out of a trade.
EXAMPLE
The RJ CRB Commodities Index late 2008 down-trend is displayed with Chandelier Exit (short, 22 days and 3 x ATR) and 63-day exponential moving average used as a trend filter. Entries are taken when price makes a new 5-day low while below the moving average (or 5-day high when above the MA).
 
1. Go short [S] when price is below the Chandelier Exit and closes below the 63-day exponential moving average
2. Exit [X] when price crosses above the Chandelier Exit
3. Go short [S] when price makes a new 5-day low while below the 63-day exponential moving average
4. Exit [X] when price crosses above the Chandelier Exit
5. Go short [S] when price makes a new 5-day low while below the 63-day exponential moving average
6. Exit [X] when price crosses above the Chandelier Exit
Chandelier Setup
The default settings for Chandelier exits are a 22-day period and a multiple of 3.0 times Average True Range.
See Indicator Panel for directions on how to set up an indicator — and Edit Indicator Settings to change the settings.
Chandelier Formula
Chandelier Exits subtract a multiple of Average True Range ("ATR") from the highest high for the selected period. Using the default settings as an example:
Highest High in last 22 days - 3 * ATR for 22 days
In a down-trend the formula is reversed:
Lowest Low in last 22 days + 3 * ATR for 22 days
• The time period must be long enough to capture the highest point of the recent up-trend: too short and the stops move downward; too long and the high may be taken from a previous down-trend.
• It is not essential to use the same period for up and down trends; down-trends are notoriously faster than up-trends and may benefit from a shorter time period.
• The multiple of 3 may be varied, but most traders settle between 2.5 and 3.5.
Chandelier Evaluation
I am uneasy with stops moving lower during an up-trend. This may occur with Chandelier Exits when:
1. Average True Range increases, or
2. No new high is made during the selected time frame (22-days in the earlier example).
Welles Wilder's Volatility Stops formula eliminates the second issue, but uses Closing Price rather than Highs and Lows. Average True Range Trailing Stops, on the other hand, offer both High/Low and Closing Price options and use a ratchet mechanism to prevent stops from falling during an up-trend or rising during a down-trend.

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