Importance of Exits
July 16,1999
First in a Series of Articles About Exits
Part one: Importance of Exits
The outcome of every trade is dependent on the exit. If we enter in a timely fashion and then exit poorly, the trade is likely to be a loss. If our entry happens to be poor but our exit is good we might still salvage a profit. The exits, not the entries, determine the outcome of our trades. This lesson about exits is easily demonstrated. Take any entry strategy and begin combining it with different exit strategies. You will quickly see that we can change the results dramatically by making only minor adjustments to the exits. In fact it becomes nearly impossible to tell if an entry is any good because the results are so exit dependent. Bad exits can make a good entry look bad and good exits can make a bad entry look good.
離市的重要性——第一篇讨論離市重要性的文章，1999－07－06
第一部分：離市的重要性
離市決定交易結果。如果我們入市很恰當，但離市很糟糕，那麼交易結果很可能是虧損。如果我們入市很糟糕，而離市很恰當，那麼我們仍有可能盈利。決定我們交易結果的是離市而不是入市。舉例說明這一點很容易。你可以使用任何一種入市策略，然後使用不同的離市策略，很快你就會發現離市策略的小幅調整將導致交易結果的巨大差別。事實上，我們很難判斷某種入市策略是否有益，因為交易結果是如此依賴於離市。糟糕的離市能使恰當的入市變得糟糕，恰當的離市能使糟糕的入市變得合適。
When testing the validity of an entry method it is best to begin by simply exiting the trades after a number of bars. If you do anything more creative than this simple exit you will find that you are really testing your exits, not your entries. If you change the exits while attempting to test an entry strategy the results will vary so much depending on the exits selected that you will find that you can not make any valid assumptions about the reliability of the entry. When combined with the right exit the entry strategy looks great. When combined with the wrong exit the same entry looks terrible.
當檢驗一種入市策略的有效性時，最好選用簡單的離市策略，比如進場一段時間後就出場。如果你試圖使用更複雜的離市策略，你會發現其實你是在檢驗你的離市策略，而不是在檢驗你的入市策略。在檢驗入市策略時，離市策略得改變會導致交易結果的巨大差異，這會使你很難判斷一種入市策略是否有效。使用正確的離市策略，會使入市策略看上去很好。而使用錯誤的離市策略，會使得入市策略變得很可怕。
The purpose of an entry is to get the trade started in the right direction. To test the effectiveness of an entry we simply measure what percentage of the time it gets our trade started in the right direction. For example if we have entry "A" that has 60% winning trades after five days it is better than an entry "B" that has only 45% winners after five days.
入市策略的目標是使交易向正確的方向建倉。為了檢驗一種入市策略的有效性，我們可以簡簡單單的計算該種策略建倉方向正確的幾率。比如入市策略 A在5天後有60%的正確率，而入市策略B只有45%，那麼策略A就比B好。
You will notice that we made no comparison of risk or profitability in picking the best entry. What if entry "A" lost money and entry "B" made money? Is entry "A" still better? The answer is "Yes" because the purpose of an entry is merely to get the trade started in the right direction. After that everything else is dependent on the exits. Entry "B" just happened to make more money because of the particular exit we selected for the test. We can easily adjust our exits and we will find that entry "A" will consistently make more money than entry "B" because it gets the trades started in the right direction more often. To maximize our profit we need to combine the right entry with the right exit.
你會發現我們在尋找有效的入市策略時沒有比較風險或盈利。要是入市策略 A虧損而入市策略B盈利，我們還能認為入市策略 A更好嗎？答案是“正是如此”，因為入市策略的目標僅僅是建立正確的交易方向。隨後所有的交易結果都取決於離市策略。入市策略 B盈利是因為我們在檢驗中選擇的離市策略碰巧使之盈利。我們能非常容易的調整我們的離市策略，使得入市策略A總是比入市策略B獲得更多的利潤，因為入市策略A建倉方向正確的幾率更高。為了最大化我們的盈利，我們不僅需要正確的入市策略 ，還需要正確的離市策略。
In our book, Computer Analysis of the Futures Market, we tell an amusing anecdote about a trader who seemed a bit loony because he used a Coke bottle with a broken radio antennae sticking out of it to receive trading advice from other planets. This advice, like most trading advice, was only related to the entries. When the voice from the Coke bottle told him to enter a trade he would come back to my desk and want to put the trade on right away saying something like: "They are buying soy beans on Mars, buy some beans for me".
我們在《期貨市場計算機分析》一書中講了一個有趣的故事，一位交易者看上去很傻，因為他在用一個破舊的收音機收聽來自外星球的交易建議。這種建議，就像大多數交易建議，僅僅是關於入市的。當收音機裡的聲音讓他開始交易時，他就會回到我的桌子旁邊，希望建立倉位，離開始嘴巴裡還似乎在說“火星人正在買豆子，所以幫我也買些豆子。”
The other traders sitting around the board room would overhear these frantic orders and became quite interested in this strange trading advice. Naturally they were quick to make fun of the trader when he was losing but they didnt have much to say when he was winning. The trader with the Coke bottle eventually learned that to avoid ridicule he had to take his losses quickly and hold on to his winners as long as possible. His trading steadily improved and he wound up being a surprisingly good trader. Obviously, his reliance on trading advice from other planets had nothing to do with his success. His entries were no better or worse than random but he had learned to be very good at his exits.
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