平緩市場的頭寸策略

 Alan Farley  2015年11月20日

趨勢市場使交易員和投資者能持有更大的倉位以獲得更高的利潤。在指數和基金被定義良好的支撐和阻止界定時則恰恰相反。在這種情況下更小的倉位在利用更少的機會同時能更好的控制風險。

保證金交易在趨勢市場中最好，為家庭帳戶增加槓桿資金。風險方程支援這種激進的方式並允許把止損設定在遠離當前價格的位置。在平緩市場中由於變動率低應該放棄槓桿，價格經常重疊在買賣壓力之間。這時的價格圖表看起來參差不及和不可預測，除了接近支撐和阻止的位置幾乎沒有清晰的入場點。

一半到四分之一的典型趨勢交易在這種情況下都會有效。交易區間獲利的機會則會降低，也會降低盈虧率。同時，在獲利交易中的獲利點數要平均低於趨勢交易，降低平均獲利。更小的倉位能降低虧損。

降低倉位大小

市場總是在趨勢和區間之間不斷震盪。趨勢跟蹤策略利用市場的移動而波段交易策略在平緩市場中表現最好。波段交易大多數時間都是使用一個部分入場點，在支撐附近做多並在阻止附近做空。這樣就能在支撐和阻止對面或者當中間障礙時獲得客觀的利潤。

防守

降低小倉位的交易頻率60%-90%能增加盈利。在平緩市場選擇性至關重要，這需要在上升和下降趨勢中不必做的次級入場點篩選。這一程序能過濾掉那些獲利可憐的交易機會。過濾也會解決在更廣泛的條件下指數技術線上升而直到訊息則相反時入場點的問題。

在平緩市場中減少持有時間將提高收益：風險也一樣，判斷小規模交易買賣週期的入場和退出時機。相對強弱振蕩器在這時將會非常有效，它將在週期從買入到賣出時發出信號，反之亦然。這些交叉趨勢在平緩市場中比趨勢市場中多，減少持有時間將會非常有效。

資金也是倉位

平緩市場提醒交易員和投資者資金也是一個倉位。大多數人把這些上升和下降區間之間的時間當作脫離常規，但是橫向市場控制大部分的價格運動。事實上，據估計傳統指數和基金在區間的時間低於20%，平緩整盤和其他情況占了80%多。高資金策略在這個長時間的波濤洶湧的市場是非常重要的。持觀望態度的交易員應該追蹤市場等待機會出現。那些高利潤交易通常建立在重大轉折點上，通常在交易趨勢結束和新趨勢開始時發出信號。利用這些機會幾次就能比花費幾週進行邊際交易獲得更大的利潤。

總結

平緩市場減少利潤並減少交易和投資策略的信心。通過減少50%-75%的交易規模和60%-90%的交易頻率並減少持有時間適應這些不利條件。

Position Sizing In Flat Market 

By Alan Farley | Updated November 20, 2015 

Trending markets allow traders and investors to carry larger positions in hopes of booking substantial profits. The opposite is true in flat markets when indices and funds are caught between well-defined support and resistance boundaries. Smaller positions manage risk more effectively in these conditions while taking advantage of less frequent opportunities.

Margin works best in trending markets, adding leveraged funds and tapping into family accounts. The reward: risk equation supports this aggressive approach while allowing stops to be placed well away from the advancing price. Leverage should be abandoned in flat markets due to low rate of change (RoC) in which price bars overlap frequently between bursts of buying and selling pressures. Patterns carved out in these periods look jagged and unpredictable, with few easy entry points, except at the edges of support and resistance. 

Lowering Position Size

Markets oscillate continuously between trends and ranges always. Trend-following strategies take advantage of moving markets while swing trading strategies work best in flat markets. Swing trading utilizes a single tranche entry most of the time, going long near range support or short near range resistance. An opportune profit is then grabbed at the other end of the range, or when interim barriers slow or stall momentum.

One half to one quarter the size of a typical trend trade makes sense in these conditions. Trading ranges lower the odds for profit, in turn lowering the win: loss ratio. At the same time, the average number of points gained in a winning trade will be lower than in a trending market, reducing the average win. Smaller positions acknowledge the higher odds for a loss while containing the average loss size.

Playing Defense

Lowering trade frequency by 60% to 90% increases the benefit of smaller position sizing. Selectivity becomes paramount in flat markets, requiring secondary entry filters not used in strong uptrends or downtrends. This gating process improves results by passing on opportunities with poor reward: risk or easily-observed obstacles between range boundaries. Filters also address broader conditions, focusing on entries when index technicals line up while standing aside if directional messages aren’t crystal clear.

Reducing the holding period in flat markets improves reward: risk as well, timing entry and exit to small-scale buy and sell cycles. Relative strength oscillators including Stochastics and Wilder’s RSI are useful in this regard, signaling the need to act when the cycle flips from buy to sell, or vice versa. These crossovers tend to more frequently in flat markets than trending markets, favoring shorter holding periods.

Cash Is A Position Too

Flat markets remind traders and investors that cash is a position too. The majority looks at these conflicted periods as aberrations between uptrends and downtrends but sideways markets control the majority of price action on all instruments. In fact, it’s estimated that a typical index or fund trends for 20% or less of the time, while caught in flat range bound conditions the other 80%. A high cash strategy marks a vital element in surviving these long periods of choppy action.

Sidelined traders should stalk the market and wait for the big game to appear. These high-profit trades tend to set up at major turning points, often signaling the end of a trading range and the start of a new trend impulse, high or lower. Taking advantage of these higher scale opportunities can produce bigger profits in a few sessions than weeks spent throwing money at marginal trades.

The Bottom Line

Flat markets undermine profits and lower confidence in trading and investment strategies. Adjust to these adverse conditions by reducing position size by 50% to 75%, lowering trade frequency 60% to 90% and shortening holding period to hours to days, rather than weeks or months.

本文翻譯由兄弟財經提供

文章來源：http://www.investopedia.com/articles/active-trading/110415/position-sizing-flat-market.asp