百分比追蹤止損

百分比追蹤止損是一個簡單的趨勢交易系統：它可以根據趨勢方向不斷的上調/下調止損位置。百分比追蹤止損的原理與Welles Wilder的抛物線指標或者是基於ATR的追蹤止損類似，都是“止損並反向交易機制”。

交易信號
它可以發出平倉信號。
• 當價格向下穿過百分比追蹤止損時，多單平倉。
• 當價格向上穿過百分比追蹤止損時，空單平倉。

示例
2008年下半年的RJ CRB 商品指數的下降趨勢，以及百分比追蹤止損（10%，收盤價），以及63日指數移動平均數作為趨勢過濾器。

 
1. [S] 處價格收盤價位於63日移動平均線以及10%追蹤止損下方，做空。
2. [X] 處價格收於追蹤止損上方，平倉。

設定
百分比追蹤止損的預設設定是10%以及收盤價。同時，也可以將最高價或者最低價設定為參數。

計算公式
百分比追蹤止損通常使用的是收盤價：
1. 上升趨勢中，收盤價減去10%並將結果設定為接下來一日的止損位。
2. 如果價格收於追蹤止損下方，那麼收盤價加上10%——用來跟蹤空單趨勢。
3. 否則，持續將收盤價減去10%，直到價格反轉並收於追蹤止損下方。
4. 百分比追蹤止損同樣使用棘輪機制，因此多單時，止損位置不會隨著趨勢的上升而下降；空單時同樣也不會上升。
如果你使用最高價或者最低價作為參數，那麼上升趨勢中，追蹤止損是根據每日的最高價計算而來；下降趨勢中，追蹤止損是根據每日最低價計算得出。

評價
波動性大的股票對應的百分比值也更大。並且，下降趨勢的波動通常比上升趨勢大，也需要較大的百分比追蹤止損。

Percentage Trailing Stops
Percentage Trailing Stops is a simple trend-following system that trails a stop loss above/below the current price, depending on trend direction. The system uses a stop-and-reverse mechanism similar to Welles Wilder's Parabolic SAR or Average True Range Trailing Stops.
Percentage Trailing Stop Signals
The signals are used for exits.
• Exit your long position when price crosses below the Percentage Trailing Stop line.
• Exit your short position when price crosses above the Percentage Trailing Stop line.
EXAMPLE
The RJ CRB Commodities Index late 2008 down-trend is displayed with Percentage Trailing Stop (10%, Closing Price) and 63-day exponential moving average used as a trend filter.
1. Go short [S] when price closes below the 63-day moving average and the trailing stop
2. Exit [X] when price crosses above the ATR stop
Percentage Trailing Stops Setup
The default is set as 10 percent.
Closing Price is set as the default option. The alternative is High/Low (see Formula below).
See Indicator Panel for directions on how to set up an indicator — and Edit Indicator Settings to change the settings.
Percentage Trailing Stops Formula
Trailing stops are normally calculated using closing prices:
1. In an up-trend, subtract 10 percent from the Closing Price and plot the result as the stop for the following day
2. If price closes below trailing stop, add 10 percent to the Closing Price — to track a Short trade
3. Otherwise, continue subtracting 10 percent from Closing Price each day until price reverses below the trailing stop
4. There is also built in a ratchet mechanism so that ATR stops do not move lower during a Long trade nor rise during a Short trade.
If you select the High/Low option, the trailing stop is calculated using the daily High in an up-trend — and the daily Low in a down-trend.
Percentage Trailing Stops Evaluation
More volatile stocks require larger percentages. Down-trends are also more volatile than up-trends and may need wider percentage stops.

文章翻譯由兄弟財經提供

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