移動平均線（最高價、最低價以及開盤價)

移動平均下系統通常基於收盤價，但也有例外：基於最高價、最低價以及開盤價的移動平均線。

時間框架
移動平均線系統通常使用每日的最高價、最低價以及開盤價。但是，它同樣也可以用於小時圖、週線圖甚至是月線圖。基於開盤價的移動平均系統使用率很少，本文主要談論基於每日最高價和最低價的移動平均系統。

交易信號
短期的上升趨勢
• 價格收於MA（最高價）上方時做多。
• 價格收於MA（最低價）下方時平倉。
短期的下降趨勢：
• 價格收於MA（最低價）下方時做空。
• 價格收於MA（最高價） 上方時平倉。

示例

13週的MA（收盤價）用來跟蹤上圖的雅虎股票的價格趨勢（沒有顯示出來）。10日的MA（最高價）以及8日MA（最低價）。
• [2] 處進場：價格收於MA（最高價）上方。
• [4] 處平倉：價格收於MA（最低價）下方。
如果我們使用10日MA（收盤價），結合同樣的價格過濾器：
• 那麼，將會在[1] 處當價格收於MA上方時更早的進場。
• 更早的平倉：價格在[3] 處收於移動平均線下方。
• 接下來，我們在[5]  處進場，並在[6] 處掃損。
別的趨勢過濾器以及收盤價可以進一步的使我們的交易系統完美。

評價
該系統相對於別的MA系統在避免掃損方面有較好的表現，因為它的交易通道較大；同時，相應的它的波動性也較大。然而，該均線系統也有本身的弱點：
• 不同週期MA相交時，它的進場信號發出較晚。
• 較遲的平倉信號，尤其是趨勢突破後的爆發階段。
價格迅速攀升

雅虎公司股票在1998年底至1999年初大幅攀升，並走出了一個陡峭的上升趨勢。我們的長期趨勢很好的讓我們追隨該趨勢，但是它直到$31.50 [x]（基於正常收盤價的MA）或是到$28.90 [x2]（基於8月最低點MA）的位置才發出平倉信號，這一點讓我們很失望。
如果你想著如何增加一個趨勢過濾器以防止在[x2]位置平倉，那麼放棄它。沒有一個過濾器可以讓你免於在該處平倉。

在價格快速上升時期，不可以依賴長期的MA作為平倉信號。
滞後的進場和平倉
趨勢交易中，你的目標可以是以下兩種：
• 如果短線交易，那麼在趨勢回調中進場並在次級趨勢消失前平倉；
• 如果是長線交易，在趨勢開始時進場，止損的設置距離要排除回調的影響，並在趨勢結束前平倉。

如果在短期交易過程中，我們等待價格回調後穿過MA，那麼除了趨勢非常強勁的情況下，我們將會失去大約一半的上升盈利空間。如果我們用MA（最高價）作為買入信號以及MA（最低價）作為賣出信號，那麼結果將會更糟糕。

示例
交易方法1
• 價格突破MA(最高價)後的第一次回調（或稱作鞏固）之後，我們在[1] 處進場：價格走出新高。
價格收盤價低於MA（最低價）時，即 在[2]處平倉。對比一下盈利情況 $2.20（扣除滑點和佣金之前）以及價格的波動範圍$14.27 (39.79 - 25.52)。

交易方法 2
• [A] 處當價格收於MA（最高價）上方，並且走出新高時進場。
• [B] 價格（不一定是收盤價）向下穿過MA（最低價）時平倉。
在扣除佣金和滑點之前，你的盈利增大為$5.30。
交易方法3
如果我們利用基於收盤價的傳統MA交易：
• 價格收於MA（收盤價）上方後的首次回調，收盤價高於前期高點，在[a] 處進場。
• [b] 處價格收於MA（收盤價）下方，平倉。
盈利增加到$7.42 (36.46 - 29.04)。這只是個例，同時，也不排除交易方法3產生錯誤的進場信號或者是在趨勢未結束時提前平倉。但是，以我之見，傳統MA（收盤價）表現好於MA（最高價）和MA（最低價）。

交易規則
指數移動平均數或者簡單移動平均數的計算是依據最高價或最低價，而不是收盤價。短期MA通常基於最低價而不是最高價：為了快速產生平倉信號。如果做空，則使用MA（最高價）：快速產生平倉信號。

Moving Average High, Low & Open
A new variation on the moving average system is to calculate moving averages on the Highs, Lows or Opens, rather than on the Close.
Time Frames
Daily Highs, Lows or Opens are normally used, but the same concept may work just as well on hourly, weekly or even monthly bars. Opens are used less frequently and the discussion below focuses on Highs & Lows.
Trading Signals
Short-term
In an up-trend:
• Enter when price closes above the moving average (High)
• Exit when price closes below the moving average (Low)
In a down-trend:
• Short when price closes below the moving average (Low)
• Exit when price closes above the moving average (High)
EXAMPLE
A 13-week moving average of closing prices (not shown) has been used to identify the up-trend on Yahoo (above). The stock is then plotted with a 10-day moving average of daily Highs and an 8-day moving average of daily Lows.
• Enter at [2] when price closes above the moving average (High).
• Exit at [4] when price closes below the moving average (Low).
If we had used a normal 10-day moving average of closing prices, with the same closing price filter:
• Earlier entry at [1] when price closes above the moving average.
• Earlier exit at [3] when price closes below the moving average.
• Then we are whipsawed, with an entry at [5] and exit at [6].
Other filters, besides closing price, may be used to further refine the system.
Evaluation
The system does better than many other moving average systems in eliminating whipsaws, because of the width of the bands; and higher volatility results in wider bands. However, this remains a moving averagesystem with all the attendant weaknesses:
• Late entries at moving average crossovers; and
• Late exits, especially when the trend spikes up/down into a blow-off.
Blow-offs
In the above chart Yahoo staged a blow-off, in late 1998/early 1999, when it accelerated into a steep up-trend. Our long-term moving averages, so good at keeping us in the trend, now let us down badly, giving exit signals between $31.50 [x], based on a normal closing price moving average, and $28.90 [x2], based on the 8-monthmoving average of monthly lows.

If you are thinking about adding a filter, to avoid being taken out of the trend at [x2]; forget it. No filter can save you from this:
Long-term MAs cannot be relied upon for exit signals during a blow-off.
Late Entries and Exits
Your aim, when trend-trading, should either be:
• If trading short-term, to enter on corrections and exit when the subsequent primary trend move expires; or
• If long-term, to enter at the start of the trend; ride out the corrections; and exit when the trend expires.
If, when trading short-term, we wait for price to cross the moving average after a correction, in any but the strongest trends, we will lose about half of the entire up-swing. If we use moving average (High) for our buy signals and moving average (Low) for sell signals, the problem is even worse.
EXAMPLE
System 1
• On the first pull-back (or consolidation pattern) after price breaks above the moving average (High), enter [1] when price closes above the previous high and then takes out the high.
• Exit when price closes below moving average (Low) and then takes out the low at [2].
Compare your profit of $2.20 (before brokerage and slippage) to the swing range of $14.27 (39.79 - 25.52).
System 2
• Enter [A] when price closes above moving average (High) and then takes out that day's high.
• Exit [B] when price falls (but not necessarily closes) below the moving average (Low).
Your profit increases to $5.30 before brokerage and slippage.
System 3
If we use the conventional moving average, based on closing price:
• On the first pull-back after price closes above the moving average, if price closes above the previous high, enter [a] when it takes out that day's high.
• Exit [b] when price closes below the moving average and then takes out that low.
Profit increases to $7.42 (36.46 - 29.04). This is a single example and there may be times that system 3 makes a false start or exits too early in the trend, but, from what I have seen, the conventional method at least holds its own against systems based on Highs and Lows.
Setup
Look for Moving Averages (High) and Moving Averages (Low) in the left column of the Indicator Panel.
Edit Indicator Settings explains how to alter the default settings.
Formula
Exponential or simple moving averages are calculated using either the High or Low instead of closing price. The Low is often calculated with a shorter moving average than the High: to deliver quicker exit signals. If trading short, reverse the time periods; so that the High is shorter than the Low.

本文翻譯由兄弟財經提供

文章來源：http://www.incrediblecharts.com/indicators/ma_high_low.php