安全區域止損

安全區域止損
交易者會隨著時間的推移根據趨勢方向調整止損，以此來鎖定利潤。作為MA以及真波幅（ATR）的另外一個選擇， Alexander Elder在《走進我的交易室》一書中引進了安全區域止損。
Elder 博士開發安全區域是為了過濾趨勢市場的“噪音”，並試圖避免倉位因為這些“噪音”而止損。他使用22日EMA來識別趨勢，但是我更喜歡較的63日EMA。Elder接下來以類似於Welles Wilder的趨勢定向運動系統的方法，即使用2~3之間的一個乘數來確認追蹤止損。

安全區域止損的交易信號
安全區域止損最初是為了尋找趨勢交易的出場時機。利用EMA來追蹤趨勢，並根據多單或者空單來選擇安全區域。
• 當價格向下穿過安全區域止損，多單平倉。
• 當價格穿過安全區域上方，空單平倉。
安全區域止損不能像停損反向交易系統一樣產生進場信號。

示例
2008年下半年RJ CRB 商品指數的下降趨勢以及安全區域止損（做空，22日，3倍）、63日EMA作為趨勢過濾器。以價格走出5日的低點並且位於MA下方（或者走出5日高點切位於MA上方）作為入場信號。

 
1 [S] 處做空——價格位於安全區域止損以及63日EMA下方。
2 [X] 處平倉——價格收於安全區域止損上方。
3 [S] 處做空——價格走出5日低點，並且位於63日EMA 下方。
4 [X] 處平倉——價格收於安全區域止損上方。
當價格位於63日MA下方不建議做多，價格位於63日MA上方則不建議做空。

安全區域止損設定
安全區域止損的預設設定是22日，以及2.5倍。長線交易者或許傾向於使用3.5~4倍。

安全區域止損公式

識別趨勢
首先，通過將收盤價與EMA進行對比來確認趨勢。
• 如果收盤價在所選週期內在MA上方，這表明趨勢（MA方向）向上。
• 如果收盤價位於MA下方，說明趨勢下降。

定向運動
第二個要素是定向運動。這與定向運動系統的DI+ 、 DI-的計算方式類似。
+DM = 今日最高價 - 昨日最高價 (當價格上升)
  -DM = 昨日最低價 - 今日最低價（當價格下降）
區別在於，你可以在一天里同時得到+DM 和-DM o。如果第二日高點高於前日高點，第二日低點低於前日低點，那麼兩項結果都將為正數，反之，兩項結果則都為零。

定向運動的天數
計算出所選區域內+DM 的天數以及-DM 的天數。Elder定向運動的安全區域止損週期與MA一致，但是我們也沒有找出二者週期不可以不同的原因所在。

當趨勢上升
計算出-DM平均值：
選定週期內 -DM 的和 / 出現-DM 的天數
接下來計算今日的止損水平：
今日的止損=昨日的最低點 -  2.5*-DM 平均值
為了防止止損延遲，使用過去3日內止損的最大值。

當趨勢下降
計算出 +DM 平均值：
選定週期內 +DM的和 / 出現+DM的天數
接下來計算今日的止損水平：
今日的止損=昨日的最高點 + 2.5*+DM平均值
為了防止止損水平升高，使用過去3日止損的最小值。
註意：上述例子中我們使用2.5倍，但是介於2~4之間的任一倍數都是可以的。

安全區域止損評價
安全區域止損有一系列的優點：
• 上升趨勢中，止損很難向下移動（或者下降趨勢中很難向下移動）；
• 安全區域並沒有在你觸發止損時假設趨勢已經改變；
• 安全區域使用定向移動系統而不是ATR作為趨勢波動性的衡量指標。這是一個很優秀的概念。在進行趨勢交易過程中，它試圖隔離一些逆趨勢波動的風險，並清除一些與波動不相關的因素（與大趨勢相同的波動）。一個逃跑趨勢（爆發）或許對逆趨勢運動表現出較少的關心，這時安全止損區域會變得較為狹窄。
潛在的弱點:
• 在趨勢的開始或者選定週期內趨勢反轉時，安全區域止損沒有充分的區分逆趨勢波動以及順勢波動。無論趨勢上升還是下降，所有的-DM 以及+ DM 都平等對待，因此不能就價格的逆趨勢運動給出正確的反映。
• 相對短週期所計算出的價格定向運動或許不能充分反映價格的逆趨勢運動。
• 安全區域止損依賴於EMA來鑒別趨勢方向，導致了一定的延遲。然而，除此之外交易者沒有MA的替代指標可以使用。
除此之外，安全區域止損是一個很好的交易系統。

Safezone Stops
Traders adjust their stops over time in the direction of the trend in order to lock in profits. As an alternative to Moving Average and Average True Range trailing stop systems, Alexander Elder introduces SafeZone Stops in Come Into My Trading Room (2002).
Dr Elder designed SafeZone to eliminate the "noise" component of a trend and hopefully avoid having stops shaken out by that noise. He uses a 22-day Exponential Moving Average to define the trend, but I prefer a longer (63-day) exponential moving average. Elder then calculates directional movement in a similar fashion to Welles Wilder'sDirectional Movement System and applies a multiple of between 2 and 3 to determine the trailing stop.
Safezone Trading Signals
Safezone stops are primarily used to time exits from a trending market. Use the exponential moving average to determine the trend and select the Safezone long or short option.
• Exit long positions when price crosses below the Safezone stop.
• Exit short positions when price crosses above the Safezone stop.
Safezone cannot be used to signal entries as with some stop-and-reverse systems.
EXAMPLE
The RJ CRB Commodities Index late 2008 down-trend is displayed with Safezone (short, 22-day, multiple of 3) 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 Safezone and closes below the 63-day exponential moving average
2 Exit [X] when price crosses above the Safezone Line
3 Go short [S] when price makes a new 5-day low while below the 63-day MA
4 Exit [X] when price crosses above
5 Go short [S] when price makes a new 5-day low while below the 63-day MA
6 Exit [X] when price crosses above
7 Go short [S] when price makes a new 5-day low while below the 63-day MA
8 Exit [X] when price crosses above the Safezone Line
No long trades are entered while price is below the 63-day exponential moving average, nor short trades while above.
Safezone Setup
Default settings for Safezone are a 22-day period and a multiple of 2.5 times. Longer term traders may opt for wider multiples of 3.5 or 4.0.
See Indicator Panel for directions on how to set up an indicator — and Edit Indicator Settings to change the settings.
Safezone Formula
Define the Trend
First compare Closing Price to an exponential moving average to define the trend.
• If Closing Price is above the moving average for the selected period, that means that the trend (and the MA slope) is upward.
• If Closing Price is below the moving average, the trend is downward.
Directional Movement
The second element is Directional Movement. This is calculated in a similar fashion to DI+ and DI- in theDirectional Movement System:
+DM = Today's High - Yesterday's High (when price moves upward)
-DM  = Yesterday's Low - Today's Low (when price moves downward)
The difference is that you can have both +DM and -DM on the same day. If there is an outside day then both calculations will be positive. For an inside day both calculations are zero.
Directional Movement Days
Calculate the number of days with +DM in the selected period; and the number of -DM days. Elder uses the same selected period for Directional Movement as he does for the moving average, but there appears to be no reason why this could not be varied.
When the Trend is UP
Calculate -DM Average:
Sum of -DM for the period / Number of -DM days
Then calculate the Stop Level for today:
Today's Stop = Yesterday's Low - 2.5 * -DM Average
To delay/prevent the stop from being lowered, use the maximum of the last 3 days' stops.
When the Trend is DOWN
Calculate +DM Average:
Sum of +DM for the period / Number of +DM days
Then calculate the Stop Level for today:
Today's Stop = Yesterday's High + 2.5 * +DM Average
To delay/prevent the stop from being raised, take the minimum of the last 3 days' stops.
Note: We use a multiple of 2.5 in the above example, but any multiple between 2 and 4 is acceptable.
Safezone Evaluation
SafeZone has a number of strengths:
• Stops are less likely to move lower during an up-trend (or higher during a down-trend);
• SafeZone does not assume that the trend has changed every time that your stops are hit; and
• SafeZone uses Directional Movement rather than ATR as a measure of volatility. This is an excellent concept. It attempts to isolate counter- trend movement as the risk factor when following a trend and removes the other irrelevant component of volatility (movement in the direction of the prevailing trend). A runaway trend (or blow-off) may show little or no counter-trend movement, meaning that stops move tighter as the trend accelerates into a blow-off.
Potential weaknesses:
• SafeZone fails to adequately distinguish between counter-trend movement and movement in the direction of the prevailing trend — at the start of a trend or if the trend reverses within the selected time period. All -DM and + DM is treated equally, whether the trend is up or down, giving an incorrect reflection of counter-trend movement.
• The relatively short time period over which directional movement is calculated may not adequately reflect potential counter-trend movement.
• SafeZone relies on an exponential moving average to indicate trend direction, introducing some lag. There is nothing, however, to stop the trader from substituting another trend indicator in place of the moving average.
Overall, a clever system.

本人翻譯由兄弟財經提供

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