波動止損

大多數的交易者都會隨著時間的推移根據趨勢的方向移動止損位來鎖定利潤。除了移動平均線之外，另外一個非常受歡迎的是基於一系列真實波幅的追蹤止損。主要分為以下幾種：
• Welles Wilder 1978年在其《交易系統新概念》一書中最初引進的波動止損。
•  Alexander Elder在《走進我的交易室》中所介紹的基於最高價和最低價而不是收盤價的吊燈止損。
• 基於真實波幅的止損與上述類似，但是它另外採用了棘輪機制以防止上升趨勢中止損位的下降或者下降趨勢中止損位的上升。
• Chester Keltner 在《如何在商品交易中獲利》（1960）一書中描述的肯特納通道，根據移動平均線而不是收盤價來設置追蹤止損。

波動止損的交易信號
根據交易信號平倉：
• 當價格向下穿過波動止損位時，多單平倉。
• 價格向上穿過波動止損位時，空單平倉。
盡管不常用，但是它也可以結合趨勢過濾器來給出開倉信號。

示例
2008年下半年RJ CRB 商品指數的下降趨勢以及3倍21日ATR，63日EMA作為趨勢過濾器。
 
1. [S] 處做空：價格同時在波動止損位以及63日EMA下方。
2. [X] 處平倉：價格向上穿過波動止損。
3. [S] 處做空：價格向下穿過波動止損。
4. [X] 處平倉：價格向上穿過波動止損。
5. [S] 處做空：價格向下穿過波動止損。
6. [X] 處平倉：價格向上穿過波動止損。
當價格一直處於63日EMA下方時，不要開立多單；同樣，價格位於63日EMA上方時則不宜做多。

設置
Welles Wilder 使用7日、3倍ATR。我們的默認設置是21日、3倍ATR。

波動止損的計算公式
Welles Wilder的波動止損系統依據的是收盤價，並採用止損反向交易的原則（類似於抛物線指標）。
1. 確認主要趨勢方向。
2. 計算出重要的收盤價("SIC")：上升趨勢中的最高收盤價或者下降趨勢中的最低收盤價。
3. 計算出所選週期内的平均真實波幅("ATR")，也就是上述例子中的7日ATR。
4. 計算出3倍ATR。
5. 第一個止損位是根據第七日計算得出，並應用於第八日。
6. 上升趨勢中，第一個止損位是SIC - 3 * ATR；下降趨勢則為SIC + 3 * ATR 。
7. 每日都重複這個步驟，直到上升趨勢中價格跌破止損位或者下降趨勢中價格向上突破止損位。
8. 將SIC值設置為前一日的收盤價，隨著趨勢的反轉，重新追隨趨勢方向交易。

波動止損的評價
在上升趨勢中使用收盤價而不是最高價（或下降趨勢中使用最低價）可以降低波動止損的波動性並產生較好的交易效果。但是，波動止損有兩個顯著的缺點：
1. 在上升趨勢中，如果ATR值擴大，那麼止損位則有可能下降；
2. 抛物線反轉假設止損位的觸發預示著趨勢的轉變。但是許多交易者都可以很容易的發現，很多時候止損位的觸發並不代表趨勢的反轉——價格在擊穿你的止損位後又恢複原來的上漲趨勢，這將使你處於滞後狀態。
ATR追蹤止損解決了上述的第一個缺點，吊燈止損則避免了第二個缺點。而ATR通道同時解決了上述兩個缺點。

Volatility Stops
Most traders adjust their stops over time in the direction of the trend in order to lock in profits. Apart from moving averages, one of the most popular techniques is trailing stops using a multiple of Average True Range. There are several variations:
• The original Volatility Stops, introduced by Welles Wilder in his 1978 book: New Concepts in Technical Trading Systems
• Chandelier exits introduced by Alexander Elder in Come Into My Trading Room (2002) trail the stops from Highs or Lows rather than Closing Price
• Average True Range Trailing Stops are similar to the above, but include a ratchet mechanism to prevent stops moving down during an up-trend or rising during a down-trend, as ATR increases
• Keltner Channels from Chester Keltner in How to Make Money in Commodities (1960) trails stops from a moving average instead of from Closing Price.
Volatility Stops Trading Signals
Signals are used for exits:
• Exit your long position (sell) when price crosses below the Volatility Stop.
• Exit your short position (buy) when price crosses above the Volatility Stop.
While not conventional, they can also be used to signal entries — in conjunction with a trend filter.
EXAMPLE
The RJ CRB Commodities Index late 2008 down-trend is displayed with Volatility Stop (3 x 21-day ATR) and 63-day exponential moving average used as a trend filter.
1. Go short [S] when price is below the Volatility Stop and closes below the 63-day exponential moving average
2. Exit [X] when price crosses above the Volatility Stop
3. Go short [S] when price crosses below the Volatility Stop
4. Exit [X] when price crosses above
5. Go short [S] when price crosses below
6. Exit [X] when price crosses above the Volatility Stop
No long trades are entered while price is below the 63-day exponential moving average, nor short trades while above.
Setup
Welles Wilder used 7-day Average True Range and a multiple of 3. We have set the default, however, to a smoother 21-day Average True Range but retain the multiple of 3.
See Indicator Panel for directions on how to set up an indicator — and Edit Indicator Settings to change the settings.
Volatility Stops Formula
Welles Wilder's system uses Closing Price and incorporates a stop-and-reverse feature (as with his Parabolic SAR).
1. Determine the initial trend direction
2. Calculate the Significant Close ("SIC"): the highest close reached in an up-trend or the lowest close in a down-trend
3. Calculate Average True Range ("ATR") for the selected period (7 days in this example)
4. Multiply ATR by the Multiple (3.0 in this example)
5. The first stop is calculated in day 7 and plotted for day 8
6. If an up-trend, the first stop is SIC - 3 * ATR, otherwise SIC + 3 * ATR for a down-trend
7. Repeat each day until price closes below the stop (or above in a down-trend)
8. Set SIC equal to the latest Close, reverse the trend and continue.
Volatility Stops Evaluation
Using Closing Price rather than highs in an up-trend (or lows in a down-trend) may reduce the volatility of the system and could produce better results but there are two apparent weaknesses:
1. Stops may move lower during an up-trend if Average True Range widens; and
2. SAR assumes that the trend has changed every time that your stop is hit. Most traders will find that there stops are regularly hit without the trend changing — price merely retraces through your stops and then resumes the up-trend, leaving you lagging behind.
Average True Range Trailing Stops addresses the first weakness, Chandelier exits caters for the second, whileAverage True Range Bands addresses both.

本文翻譯由兄弟財經提供

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