平滑變動率(SROC)

平滑變動率（S－ROC）是舒茲曼（Fred G•Schutzman）於1991年4月發表在《期貨雜志》中。作為一個振蕩指標，SROC的作用類似於動能指標以及價格變化率指標，但是SROC指標避免了它們的一些缺陷：
• 變動率指標經過平滑之後波動性減少，給出相對較少的錯誤訊號。
• EMA保證SROC僅會對新數據反應一次。
平滑變動率首先計算13日EMA（收盤價），接下來計算EMA的21日變化率。

交易信號
交易規則與動能指標、價格變動率指標類似。

趨勢市場
第一步，利用趨勢指標確認市場走勢。SROC指標上升趨勢中通常在0軸上方，下降趨勢中則傾向於在0軸下方。
只跟隨市場趨勢交易。
• 上升趨勢中，如果SROC位於0軸下方且呈上升趨勢時，做多。
• 下降趨勢中，如果SROC在0軸上方，並且走勢向下時做空。
如果交易信號產生時同時出現背離，那麼該交易信號將更加可靠。利用趨勢過濾器作為平倉信號也可以利用追蹤買入止損和賣出止損作為開倉或平倉信號。

示例
澳大利亞證券交易所(ASX)股票，   21日EMA ，   平滑變動率。

 
1. [S] 處當SROC位於0軸上方走勢向下時做空。等待EMA走勢向下。[X] 處當價格收於EMA上方平倉。
2. [S] 處當SROC再次位於0軸上方且走勢向下、出現看跌背離，做空。等待EMA走勢向下。[X] 處當價格收於EMA上方平倉。
3. SROC 在0軸下方向上反轉。此時不宜採取行動：EMA方向仍然向下。
4. [L] 處當SROC從0軸下上升，看漲背離完成，且EMA上升時做多。
5. SROC在0從上方下降但是EMA持續上升。[S] 處當價格最終收於EMA下方時，多單平倉並做空。

設置
SROC的默認設置是：13日EMA以及21日價格比率。

Smoothed Rate of Change
Smoothed Rate of Change was first introduced by Fred G Schutzman inFutures magazine, April 1991. The oscillator performs a similar function to the Momentum and Rate Of Change indicators but avoids some of the weaknesses:
• Because of the smoothing the indicator is less erratic and gives fewer false signals;
• The exponential moving average ensures that the indicator only "barks" once. See Momentum for more detail.
Smoothed Rate of Change (SROC) first calculates a 13-day exponential moving average of closing price. Then calculate a 21-day Rate of Change of the exponential moving average.
Trading Signals
Trading rules are similar to Momentum and Rate Of Change.
Trending Markets
First, identify the trend direction using a trend indicator. Smoothed Rate of Change tends to stay above zero during an up-trend and below zero during a down-trend.
Only take signals in the direction of the trend.
• In an up-trend, go long if SROC turns upwards when below zero.
• In a down-trend, go short if SROC turns downward when above zero.
Divergences add strength to buy and sell signals.
Exit using a trend indicator.
Use trailing buy and sell stops to time your entry and exit.
 
EXAMPLE
Australian Stock Exchange Limited (ASX) is shown with    21-day exponential moving average (EMA) and   Smoothed Rate of Change.
1. Go short [S] when SROC turns down while above zero. Wait for the EMA to turn downwards. Exit the trade [X] when price closes above the EMA.
2. Go short [S] when SROC again turns down while above zero, completing a bearish divergence. Wait for the EMA to turn downwards. Exit the short trade [X] when price closes above the EMA.
3. SROC turns up while below zero. No action is taken as the EMA continues to slope downwards.
4. Go long [L] when SROC turns up while below zero, completing a bullish divergence. Wait for the EMA to turn upwards.
5. SROC turns down while above zero but the EMA continues to rise. Exit the long trade and go short at [S] when price eventually closes below the EMA.
Setup
See Indicator Panel for directions on how to set up an indicator. The default settings for Smoothed Rate of Change are:
• 13-day exponential moving average; and
• 21-day rate of change.
To alter the default settings - Edit Indicator Settings.

本文翻譯由兄弟財經提供

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