谈交易策略克罗中英对照20周年纪念版

KrollonFuturesTradingStanley©StanleyKroll, TonandHarryKrollWithloveand―..inhumanaffairsthesourceofsuccessareevertobefoundinthefountainsofquickresolveandswiftstroke;anditseemstobealawinflexibleandinexorablethathewhowillnotriskcannotwin.‖JohnPaulJones,InJohnTrain‘sexcellentbook,TheMoneyMasters,hewritesaboutthecareersandprofessionalmethodsofninegreatinvestors.Amongthemareseveralstarswhosenamesarewellknowntoallofus-WarrenBuffet,BenjaminGraham,T.RowePrice,LarryTisch,andJohnTempleton.There,amongthis―rdrrs‘Row‖ofinvestors,youwillalsofindthenameofStanleyKroll.Traindescribesthecommoditiesbusiness,whereStanleymadehismoney,asanissilecasino.‖Ifthisisso,Krollhashadsomegoodrunsatthegamingtable,andtheyclearlyarenoaccidentormereluck.专业技能。其中几位——沃伦·巴菲特，本杰明·格雷厄姆，T·洛威·普Inthe1970s,Stanleyhadathree-yearrunduringwhichhebuilt$18,000ofhisownmoneyinto$1million.Andheperformedwithequallyspectacularskillforhispartners.It‘sbesttoleavetheothertalesofStanley‘sexploitstoreadersofTrain‘sbook.Sufficeittosaythattheyareimpressivedisysofgutsand他为他的也赚到了相同的。斯坦利其它的演出，读者可以从Iamnota―oiisman‖myself.ItrytosticktothepathsthatIunderstandbetter,primarilyequitiesanddebtinstruments.Forme,readingKrollonFuturesTradingStrategywasaneducation.ThethingthatmostimpressesmeaboutthebookisthatvirtuallyallthemajortenetsofKroll‘sadvicearerootedinaconstantregardfordisciplineandcommonsense.Inshort,thebestpartsofhisadvicesharetheunderpinningsofanygoodinvestmentstrategy-watchthemarketscarefully,docopiousresearch,andkeepalevelhead.AsStanleypointsout,haplesstradersact―nthebasisofemotioninsteadofdiscipline,sentimentinsteadoflogic,andsubjectivityinsteadofobjectivity.‖坦利，不幸的者“根据情绪而非纪律，依据感觉而非逻辑，以而非Stanley‘stradingphilosophydrawsmostofitsimportantprinciplesfromacentralcorethatiskeytoalmostallinvesting-identifythemajorongoingtrendofeachmarketandtradeinthedirectionofthedominanttrend.Mostreallysavvyinvestorsknowthatthisisasmuchakeyofmakingmoneyinequitiesasitisincommodities.OneofthereasonsthatStanleyishighlyregardedandhasdonesowellisthathisfeetaregroundedinconcreteandnotinclay.WhenyoumeetStanley,asIhavemanytimes,youareimmediayimpressedbyhowlittlethisexpertoncommoditiesclaimstoknow.Thisisoneofthegreateststrengthsofmostrealexperts.Theydon‘tgetoverlyconfidentorpretendomniscience.Bettertoconstantlyassumethatyoudon‘tknowenoughandconstantlyinvestigateyourassumptionsandnumbers;hence,anotherimportantKrolltenet-yintherealworld.Asheputsit,―eneedforadisciplinedandobjectiveapproachtofuturestradingisarecurringthemeinthisbook.‖Realistically,itisthethemeofthebook.reports,andtradegossip.Althoughhehadgottenontotheright(short)sideofthemarketattimes,heinvariablypanicked(hecalledit―fiveposturing‖)andclosedouthisgoodpositionsatnearlyeverycountertrendrallythatcamealong.Hesomehow―adtohangontohislosingtradesduringthisperiod,whichconsiderablyworsenedhisalreadydismalperformance.Hisstateofmindduringourmeetingmatchedhisgloomytrackrecord.198511到的坐是他场惨遭洗盘，造成一连串损失的经历——他竟然看不出来那是个很合理的下跌趋到和候他会抓对市场趋势（下跌，却始终受到惊吓（，总是在之后。Havinggottenhisgrimconfessionoffhischest,heasked,rathertestily,whatmytradingsystemhaddoneinbeansovertheperiod.―tsbeenshortsinceJune11,‖wasmyresponse.―Je11?What‘ssogreataboutthat,‖hemanagedtogrumble,mentallycalculatingthetimeintervalasbeingjustfivehavingbeingcontinuouslyshortofsoybeansforthepast17months,theprofitinthepositionexceeded$10,000percontract.Regrettably,thissortofconversationhasbeenrepeatedcountlesstimesoverthepast30years,leadingmetotheinescapableconclusionthateachtrader‘sworstenemyisneitherthemarketnortheotheryers.Itishe,himself…aidedandabettedbyhismisguidedhopesandfears,hislackofdisciplinetotradewiththetrendandtoallowprofitstorunwhilelimitinglossesonbadpositions,hisboredomandinertia,hisapparentneedforacio,‖andhislackofconfidenceinhisown(frequentlycorrect)ysisandtradingdecisions.30年来，这类谈话一直重复不断，我得下结论说，任何一位交感到无聊，坏习惯，冲动，对自己（经常是正确的）分析和决策缺乏信Someoneoncesaidthatthesurestwaytomakeasmallfortuneinfuturestradingistostartwithalargefortune. y,thereisconsiderableinthatbitofcynicallogic.Clearly,thelosersoutnumberthewinnersbyasubstantialmargin.Sowhatisitthatcontinuestoattractanincreasingnumberofinvestorstothisgame?Forme,itistheknowledge-confirmedbynearly30yearsof alexperience-thatthefuturesmarketisclearlythebestwayforaninvestortohavetheopportunitytoparlayamodestinitialstakeintoasubstantialfortune.Foratradefirmorfinancialinstitutionthefuturesmarketspresentameansoflayingoff(hedging)financialrisksand,infact,havingthepotentialtomakeaprofitondealingsthatwouldotherwisebeasureloss.Countlessfamilyfortunesandinternationalmercantileempireshadtheirhumblebeginningsincannyandprofitablecommoditydealings.我近30年来的经验，我认为市场显然对投资者而言，就是一开始就有Butsurelyittakesfarmorethandesireandwishfulthinkingfortheoperatortobreakintothewinnerscircle.Tobesuccessful,aninvestormustbepracticalandobjective,pragmaticanddisciplined,and,aboveall,independentandconfidentinhisysisandmarketstrategy.One ,whichhasconsistentlyguidedmeduringscoresoftradingns,comesfromJesseLivermore,perhapsthemostsuccessfullonemarketoperatorduringthefirsthalfofthiscentury:―Threisonlyonesideofthemarket,anditisnotthebullsideorbearside,buttherightside.‖于杰西·利弗莫尔，他或许是本世纪头50最成功的独立者。他表示：I‘vespentmyentireprofessionalcareerasapractitionerinquestofspeculativeprofits.ButIstillconsidermyselfbothstudentandpractitionerfor,inreality,youneverstoplearningaboutmarkets,pricetrends,andtradingstrategy.Afteralltheseyears,I‘mstillconcernedwiththequestforprofits-no,forsubstantialprofits-fromthemarkets.Consideringthetremendousfinancialrisksinvolved,theemotionalstrain,andthefeelingsofloneliness,isolation,self-doubt,and,atyoushouldn‘tbecontentwithmerelymaking―prois‖Substantialprofitsmustbeyourgoal.易者，毕竟在现实里，你必须坚持研究市场、价格趋势和策略。经历这些年，Thatiswhatthisbookisallabout.It‘saboutthestrategyandthetacticsofseekingsubstantialprofitsfromthemarkets.It‘saboutgettingaboardasignificanttrendnearitsinceptionandridingittoasneartoitsconclusionashumanlypossible.Itisaboutmakingmoreonyourwinningtradesandlosinglessonyourlosers.Itisaboutpyramidingyourwinningpositionstoizeprofitswhilekeelossesundercontrol.书内容也包括教你如何在赚钱的赚得，在亏钱的亏得更少。本书也Itismybelief,confirmedintherealworldoftensofthousandsoftradesmadebyhundredsoftraders,thatviablemoneymanagementstrategyandtacticsareasimportanttoanoverallprofitableoperationasafirst-classtradingsystemor理策略和战术，与一流的系统或技术一样重要。And,althoughIwouldideallyprefertohaveboth,myprioritywouldbeforthebestinstrategyandtactics.Youwilldobetter,inmyoption,withfirst-classstrategyandtacticsandamediocretradingsystemthanthereverse.AsignificantportionofthisbookwillbeconcernedwithelaboratingonthatpremisebecauseIconsiderfirst-classstrategyandtacticsasthelinchpinofanysuccessfultradingn.Onefinalwordbeforeyouembarkonthisbook.Readersmaywritetome,incareofthepublisher,aboutanyaspectsofthisbooktheywouldliketodiscussfurther.Iwillrespondtothebestofmyabilityandtimeavailability.一步和读者讨论任何问题。我会尽已所能并抓紧时间回复。（张轶注：克1999年了。）

StanleyIwouldliketoexpressmysincereToCommodityResearchBureau,Inc.,andGeraldBecker,publisher,forpermissiontoreprintchartsandtablesfromtheirveryfinepublications.ToSeymourGaylin,productioneditor,andtoWandaHardy,senioradministrativeassistant,forsupplyingmewithcountlessbackcopiesofcharts.感谢商品研究局和人杰拉德·贝克，他们同意我复印已经的精美图表。ToJakeBernstein,publisherofMBHCommodityAdvisors,Inc.,forpermissiontoreprinthisexcellentseasonalcharts.感谢杰克·伯恩斯坦，他是MBH商品顾问公司的人，他同意我复印那漂亮ToDarrellJobman,editor-in-chiefofFuturemagazine,forpermissiontoreprint,inChapter18,portionsofanarticleIwroteforthemagazine.一篇文章，用在本书第18章。ToEdwardDobson,ofTradersPressInc.,forpermissiontoreprintAndespeciallytomyeditor,DickLuecke,who,intheprocessofeditingmycopy,providedwithfirst-class―crs‖inthecraftofbookwriting.MuchofthecontentofthisbookhasbeendrawnfromthebiweeklycolumnoncommoditiesthatIhavewrittenforFinancialWorldmagazinefornearlyfiveyears.IwouldliketogratefulacknowledgeFinancialWorld‘scooperationinallowingmuchofthatmaterialtobeusedhere.本书很多内容来自我为《金融世界》写的专栏，这个专栏两周写一次，我差5年。我非常感谢《金融世界》的支持，让我可以在本书中使用这 第一部分策略和战 CHAPTERONEWhatIsTradingStrategyandWhyIsIt 第01章什么叫做策略？为什么那么重要 CHAPTERTWOAGoodTechnicalSystemIsJustHalfWhatYou 第02章好的技术系统只是成功的一 CHAPTERTHREEKISS(KeepItSimple 第03章务求简 CHAPTERFOURWinnersand 第04章赢家和输 Part ysisandProjectionofPrice 第二部分价格趋势的分析和研 ChapterFiveTheToolsofthe 第05章工 第06章当基本面分析和技术面分析 CHAPTERSEVENFocusontheLong-Term 第07章把注意力集中在长期趋势 第08章趋势是你的朋 CHAPTERNINEWhyIstheSpeculator(Almost)Always 第09章为什么投机者（几乎）老是做多 第三部分时 CHAPTERTENTheThreeMostImportantSpeculativeAttributes:DISCIPLINE,DISCIPLINE,and 第10章三个最重要的投机素质：纪律、纪律和纪 CHAPTERELEVENMarketActionInvariablyDiscountsthe CHAPTERTWELVEEveryoneHasa 第12章每个人都有一套系 第13章顺势/逆势——双重方 第14章周而复始的季节性波 CHAPTERFIFTEENKeepWhatShowstheBestProfit:CloseOuttheBiggest 第15章持有利润最多的仓位；平掉亏损最多的仓 PARTFOUROnConductingaTrading 第四部分实 CHAPTERSIXTEENTheManTheyCalledJ. 第16章杰西·利弗莫尔这个 CHAPTERSEVENTEENTheMarketIsNeitherGoodNor 第17章市场无好坏之 第18章你一定要控制风险，限制亏 CHAPTERNINETEENTheThrillofCatchingtheMega- 第19章逮到超级行情的激 附言市场不坑 附录各种长期月线图表（省略 PARTONEStrategyandTacticsinFuturesTradingCHAPTERONEWhatIsTradingStrategyandWhyIsItDuringmyboyhoodinthe1940s,oneofthegreatattractionsofeachSaturdayafternoonwasgoingtothemovies,youngerbrotherintow,with75centsinmypockettocoveradmissionsandgoodies.Inthatsimplebygoneworld,theSaturdayafternoonserialprovidedafullmeasureoffantasyandexcitementandkeptuscomingbackeachweekformoreofthesame.Well,it‘s40yearslater,andtheSaturdayafternoonserialsaregone.Inowhaveformyweeklyexcitementtheongoing―rl‖ofcommodityspeculation.Itisthekeytofantasyandriches.Itisforever―obe ,‖andyersbreathasighofreliefeacheveningandwonderwhattriumphordisasterwillbefallthemtomorrow.Wetradersaretheyersinthisongoingdrama.Whatwehavelostininnocence,wehavegainedinexperience,inintensity,andinacontinuallyreneweddeterminationtocomeoutasoneofthefortunatefewtomakeakillinginthemarket.Westrivetoemergewithskinandpurseintact,ifnotenhanced,andtorideoffintothesunsetoffastcars,oldhouses,orlargeboats,andwitha aluniverseofpeoplewhosincerelycareabouteachoneanother.转眼间，40年过去了，星期六下午的已成尘封往事。但是个星期还是有不同的乐子，那就是不断上演的商品投机好戏。这是开启梦想和大门的钥样的祸福降临到自己身上。在这演不完的戏剧中，我们这些者就是演是大型游船，同时希望每一个人都能彼此相互。Butfirstthingsfirst-westillhavetobeatthemarket,don‘twe?Forstarters,wemustfocusonthefactthatwearespeculators,notgamblers.Westudyeachmarketsituation,bothhistoricalandcurrentpriceaction,concentratingoneitherthetechnicalorfundamentalmarketfactors,orabalanceofthetwo.Wethenmustformulateastrategythat passescontingenciesforbothprofitableandadversepositions-andallthismustbedonebeforeenteringthemarket.Furthermore-andthisshouldbeparamount-wedonottradefortheactions,theexcitement,ortoentertainfriendswithwildandwoollyanecdotes.Weacceptthehighrisksforjustonereason:tomakeabigscore.之前就做好。此外——这一点极为重要——我们不能为了冲动而，不能为了刺激而，不能为了弄些稀奇古怪的事取悦别人而。我们之所以愿意冒那Backin1967Ireceivedthefollowingletterquotedinpartbelow:1967年，我接到，摘录其中一段如下：ANewYorkfriendsentmeyourWorldSugarMarketLetterofOctober17,whichIfoundinterestingandsubsequentlyquiteprofitable…ThequotationfromJesseLivermoreremindedmeofmylatelamentedfather,whenIaskedhimasaboyhowyoumademoneyonthefuturesmarket.Hisanswer,―ouhavetobeboldandyouhavetoberight.‖Ithensaid,Wtifyouareboldandwrong?‖andhesaid,―oujustgodownwiththeship.‖思，结果也是赚钱的„„这里的杰西·利弗莫尔的话，让起刚不久Hedidjustthat,unfortunaMycontinuingdialoguewithcommodityspeculatorsandhedgersvia correspondence,in ,andeveninternationalexhasbeenanenjoyableandrewardingaspectofmycareerandoneIhavealwaystakenseriously.Inreflectingonthesemyriadcontacts,onerecurringthemeseemstosurface.Eventheleastsuccessfultradersoccasionallyexperiencethebigprofitsthatarethereinthemarket-elusiveandtoughtocapture,butthere.And,ifyoucanavoidtheconsiderablehazardofthebigwipeout,youwilltakehomethebigprofits.Buthowdoyouavoidthedisaster,thebigwipeout,thatisalltoocommonintheworldofthecommoditytrader?Or,asexpressedmorepoignantlyintheletterabove,howdoyouavoidgoingdownwiththeship?Eversincepeoplegottogetherandbarteredstonetablets,spearsandhatchets,orsomethingtoeat,therehavebeenwinnersandlosersinthecommoditygame.Yet,despitetheobviousprofitpotentialandthehighleverage(Commoditypositionscanbeputonwithas6percentorlessofthecontractvalue.),mostspeculators-includingmanyprofessionals-enduplosers.Manyloseinabigway.自从人类在一起，互相交换石板、长矛、短斧和食物以来，商品的游戏中，就有赢家和输家之分。而且，虽然现代的商品有很明显的获利潜力，也，大部分投机者，包括很多专业者最后都成了输家，而且不少人输的很多。Asidefromthesmallnumberofprofessionalflooroperators,whoscalpinbigvolumefromtheexchangefloorsandpaynegligibleclearingfees,thetraderswhomakebigmoneyonanysortofconsistentbasisarethelonger-termpositiontraders.Theytendtobetrendfollowers.除了少数在现场的专业者，他们在大厅做短线（张轶注：scalp指利用互联网或电脑的报价延迟，多次，故意或在很短时间内重仓进出，并且量很大，但所付手续费微不足道，这些人不算。能够持续不断赚大钱的者，是那些建立长期仓位的人。他们往往是顺势者。Ihavebeenfortunatetohavebeenontherightsideofsomebigpositionsandbigprofits,someofthemheldforasmuchas8or10months.Insummarizingcircle,thefollowingconstitutestheessenceofabasicstrategy:Participateonlyinmarketsthatexhibitstrongtrend-adheringcharacteristicsorthatyourysisindicatesaredevelointoatrendingformation.Identifythemajorongoingtrendofeachmarketandtradeinthedirectionofthisdominanttrendorstandaside(seeFigure1-1).只有在市场展现趋势特性，或者你的分析显示市场正在酝酿形成趋势，趋势，否则就不要进场（见图1-1FIGURE1-1December1986Corn:AClear-Cut,MajorBearTheprimaryelementoftradingstrategyistoidentifythemajortrendofeachmarketandtotradeinthedirectionofthattrend.Yourwith-the-trendpositioncouldresultinabigmove,sotrytostayaboardfortheride.Assumingyoucancontrollossesonadversepositions,youonlyneedafewgoodmoveslikethisyeartoreapbigprofits.Assumingthatyouaretradinginthedirectionofthetrend,initiateyourpositiononeitherasignificantbreakoutfromthepreviousorsidewaystrendoronareactiontotheongoingmajortrend.Thatis,inamajordowntrend,sellonminorralliesintooverhead orona45to55percentrally(orthirdtofifthdayoftherally)fromtherecentreactionbottom.Inamajoruptrend,buyontechnicalreactionsintosupportorona45to55percentreaction(orthethirdtofifthdayofthereaction)fromtherecentrallyhigh.Inthisregard,itisimperativetonotethat,ifyoumisreadorchoosetoignorethetrendandarebuyingagainstamajordowntrendorsellingagainstamajoruptrend,youarelikelytospillconsiderableamountsofredink.2.假如你正要顺势，建仓点有3个：第一个是趋势的新突破点，第二个是横45%——55%（35天时）买入。在下跌主35天）卖出。除此，要是你判断趋势错误，或者决定置3.Yourwith-the-trendpositioncouldresultinabig,favorablemove,soremainaboardfortheride.Resistthemanytemptationstotrademinorswingsandtoscalpagainst-the-trendpositions,unlessyouareveryexperiencedatngsoandyouusecloseandconsistentstops.过，你要很多，不要一见到小波动，就想做短线，不要逆势。4.Oncethepositionisgoingyourwayandthefavorabletrendhasbeenconfirmedbymarketaction,youcanaddtotheposition(pyramid)ontechnicalreactionsasnotedin2(above).5.Maintainthepositionuntilyourobjectiveysisindicatesthatthetrendhasreversedorisreversing.Thencloseitoutandfast!Subsequentchapterswilldiscussthespecificanddetailedtacticsofexitingaposition.Briefly,youcandoitwithtrailingstops,onthebasisofacomputertrend-followingsystemthatsignalsa―l‖intrend,oronthefailuretoholdfollowinga45to55percentcounter-trendreaction.Ifsubsequentmarketactionslsyouthatthemajorongoingtrendisstillintactandthatyouhaveliquidatedprematurely,getbackaboard;butdoitcarefullyandobjectively,againinitiatingwith-the-trendpositionsontechnicalreactionsagainsttheminortrend.止损点；或者依据回调（反弹）45%到55%进场时，情况不对，赶紧平仓。如6.Butwhatifthemarketmovesadversely,notwithyou(likeit‘ssupposedtodo)?Firstofall,howdoyouknowthatit‘sabadposition?Themarginclerkoryourdailyequityrunwilllyouthisinnouncertainterms,evenifyourefusetoadmitittoyourself.DicksonWatts,thefamousturn-of-the-centurycottonspeculator,oncesaid,―nquicklyornotatall.‖Hemayhavehadsufficientmoneyorbeenenoughofamasochisttoincludethe―rnotatall‖portionofthisadmonition.Myadviceistotakehisadvice,minusthe―rnotatall.‖，那怎么办？首先，你怎么知道你的仓位不好？经纪公司催缴保证金的职员，或者你自己每天所做的记录，会很明确地告诉你亏钱了，即使你不承认都不守下去，要么就是他这个人喜欢被。我的建议是不妨听听他的话，但把后面Thenecessityofafirst-class,viablestrategyisself-evident.Itisnolessrelevantherethaninchesscompetition,tournamenttennis,marathonrunningorcorporatetakeovers.Thecommondenominatorliesinthefactthatsuccessorvictoryinvolvesbothtechnicalaswellasstrategicconsiderations.Withyersoftenequallyqualifiedandexperiencedinthetechnicalaspectsoftheirtradeorendeavor,whatdistinguishesthewinnerfromtheloseristheconsistentanddisciplinedapplicationoffirst-classstrategyandviabletactics.Thecorrectutilizationofgoodstrategyisespeciallyimportantinfuturestrading.Indeed,weallknowthebasicrules,don‘twe?Takethetraderswhohaveneverhadawinningyearnomatterhowlongthey‘vebeenatit(unfortunay,I‘mdescribingthemajorityofspeculators).Yetthey‘vesurelyheardandcanprobablyreciteverbatimsomeofthesegoodolds-―hetrendisyourfriend,‖―tyourlossesshortandletyourprofitsrun,‖―tefirstlossisthecheapest,‖andsoforth.Hereiswinningstrategyinitsmostbasicform.And,whileconsistentwinnersshareasingle-mindedadherencetothesebasicstrategies,consistentlosersarejustassingle-mindedintheiravoidanceandFinally,whileaconsistentviablestrategyisclearlythemain-stayofsuccessfuloperations,threeadditionaltraitsarerequired:discipline,discipline,anddiscipline.Thebalanceofthisbookisdevotedtopresentingandprovingthesethesis.AndIcanattestfrom al(andpainful)experiencethatwheneverIwascarelessorfoolishenoughtostrayfromthesetenets,Ilostmoney-sometimeslotsandlotsofmoney.ItshouldcomeasnogreatsurprisethatIgenerallymademoneywhenoperatingaccordingtothestrategiesandtacticssetforthhere.Theseareuniversalexperiences.最后，始终一贯的有效策略显然是成功的要件，另外还必须具备3个素质：原则时，我一定亏钱——有时亏很多钱。而根据前面所说的策略和战术时，CHAPTERTWOAGoodTechnicalSystemIsJustHalfWhatYouNeedAfewyearsago,Iaddressedagatheringofsome600investorsatatechnicaltradingseminarinNewOrleans.Itwasathree-daymeetingsponsoredbytheTechnicalysisGroup,alsoknownasCompu-Trac-anexcellentorganizationwhoseannualseminarisdesignedtohelpmembersacquireabetterunderstandingoftechnicaltradingtoolsandtoexaminethelateststudiesofmarketbehavior.Thetopicofmyaddressconcernedthestepsyouneedtofocusonafteryou‘vedevelopedoracquiredagoodtechnicaltradingsystem:viablemarketstrategyandtacticscombinedwithsoundmoneymanagement.几年前，我在新奥尔良一场技术研讨会上，对约600位投资者。这次战术，并加上优秀的管理。Itisthecombinationofthetwo-thetechnicaltradingsystemandthesoundstrategyandtactics-thatcanputyouintheranksoftheconsistentwinner.Andtheycankeepyoutheremostyears.Manytradersfeelthattheycanbeatthemarketswithagoodtechnicalsystemoragoodchartingapproach.Infact,agoodtechnicalsystem,orevenanaccuratetrendprojection,isonlyhalfofwhatisrequiredforsuccess.Itisnotenoughtoaccurayidentifyamarkettrendorthepriceobjectiveofagivenmove-andthatitselfistoughtodo.Youstillhavetoresorttoaviablestrategyinorderto izetheprofitsonyourwinningpositionsandminimizethelossesonyouradverseones.ThiswasbroughthometomeanumberofyearsagowhenIwasoperatingmyownclearingfirmat25BroadStreetinlowerManhattan.Imetwithsomeswhowereprofessionaltraderstoformulateastrategyforgarneringrealprofitsfromthemarketoverthecomingmonths.Theyoperatedasalittletradinggroupandhadbeenconsistentlylosingduetotheirshort-termfocus,theirlackofdisciplineintimingoftrades,andtheirtotaldisregardforanykindofconsistentorviablemarketstrategy.Afterreviewinganumberofmarketsandprojectingprobabletrendsandpriceobjective,Isuggestedcocoawasthentradingaroundthe12.00level,andIofferedthethesisthatwecouldseethemarketadvanceintothelow20.00s.Wewereunanimousinthat knowingwhatInowknow,shouldhavegottenmeverynervous).Wecommencedourbulloperationthatafternoon,witheachofuspickingupaninitiallongpositionaroundthe12.00mark.那时我碰到几个客户，他们都是专业者，一直在想办法拟定策略，希望从未来几个月里大捞一笔。他们的运作情况像是一个小型的团队。以前，由于专注于短线，时没有纪律，完全漠视前后一致或有效的策略，所以老是亏钱。那个下午我们就开始做多，每个人都在12.00附近建立了一个初步的多头仓。Wewereright.Overthecomingmonths,Cocoadidgetuptothe22.00level!AndImadesomemoneyonthedeal,althoughnotasmuchasIshouldhaveforbeingsoaccurateinmyysis.Whatofmycolleagues?Well,overthesix-monthperiod,theyactuallyendeduplosingnearly$200,000.Howcouldthathavehappened?Theystartedbuyingatthe12.00level,hadcorrectlyprojectedthepricetothelow20.00s,andhadsoldofftheirfinallongcontractsrightupatthatlevel.Sowhatwentwrong?20000012.00开始买入，而且价格果如所料地涨到20.00出头，他们都在这个价位平掉最后一份合约，那又是什么地方出了差Well,theystartedthenascautiousbuyers(Icouldn‘tfigurethatout,astheyhadplungedheavilyinnearlyalltheirotherlosingys)andkeptincreasingthesizeoftheirbuyordersasthemarketadvancedfrom12.00to15.00.Unfortunay,theirpositionresembledanupside-downpyramid,andattheveryfirsttechnicalreaction,theiraccountwentintoabigloss.Whenthemarginclerksenthisfamiliargreetings,theypanicked,dumtheirentireposition.Ifthatweren‘tdumbenough,theycommittedtheclassicblunder!Theywentshort,reasoningthattheywouldtakeadvantageofthedownswingtorecouptheirrecentheavylosses.Shortonatechnicalreactioninamajorbullthemarketinevitablyresumeditsadvance.Theytookabeatingontheshortpositionaswell.Thistypifiedtheirtradingduringtheensuingmonths.Bythetimethedustsettledandweallsoldoutourfinallongsaroundthe22.00level,theyhadcontributedsome$200,000intradinglossestotheother,notnecessarilysmarterbutmoredisciplinedandstrategicallysuperior,yers.原来他们一开始很谨慎（不通，其它亏钱的中，他们都是一头栽进的位像个倒金字塔，遇到第一次回调，他们的账户就出现很大的亏损。当经纪公司职员寄来那份熟悉的催缴保证金通知书时，他们大为，赶紧把整个仓位的情况一直是这样。等到尘埃落定，我们全都在22.00平掉最后的多头Clearly,theirstrategyandtacticsrepresentedtheperfectexampleofhownottotradethemarkets.Theyzigged(sold)whentheyshouldhavezagged(bought);theyzaggedwhentheyshouldhavedonenothingbutwatchthemarketandcounttheirprofits.Youcanalmostprofilegoodmarketstrategybydescribingtheexactoppositeofwhatthesehaplessprofessionaltradersdid.Thislittlecocoamisadventureisjustoneofthemoregraphicexamplesofthelengthstowhichfuturestraderswillgoinignoringthemostbasictenetsofgoodmarketstrategyandmoneymanagementonthewayto ingbiglosers.Mostspeculatorscreatethesedisastersunintentionally,buttheresultisstillthesame:biglosses.Sometimeago,Mr.A.phonedandcominedthatthetradingsystemhehadbeenusingatmy mendationwasn‘tworking.Hehadjusttakenabighitandwasdowntosome35percentofhisoriginalcapital.OnthefaceofIt,thisspokepoorlyforthetechnicalsystem.Hisdeclarationseemedextraordinarytome,sinceItoohadbeenfollowingthisparticularsystemandknewthatithadbeenperformingquitesatisfactorily.―wmuchcapitaldidyoustartwith,‖Iinquired,―adwhatwasthelargestpositionyou‘vehadsincegoingonthesystem?‖Hisreplywasarealshocker.Hehadstartedwith$25,000andhislargestpositionatanyonetimehadconsistedof15corn,10wheat,1sugar,1cocoa,2lumber,2hogs,and1Swiss,foratotalof32contracts.Ithenaskedifhehadreadandunderstoodthemanualthat paniedthesystem.Hesaidthathehad.Howthen,couldhehavebeensittingwith32contractswhenthemanualclearlyadvisedaumof6contractsforthe$25,000portfolio?Ialsoaskedhimwhyhewasincocoawhenthemanual $50,000astheminimumsizeaccountforcarryingcocoa.Butthemoststartlingaspectofallthiswashislumberposition,whichwasthebiggestlossinhisaccount.Lumberisn‘tevenonthesystem.前些时候，A先生来抱怨，说我推荐的系统一点都不管用。他刚刚在市他的回答令人。他一开始投入25000元，任何时候仓位都有15份玉米、10份小麦、1份糖、1份可可豆、2份木材、2份活猪和1份法郎，总共是32$3,000foragoodlong-termcomputerizedtradingsystem,onlytocompleyignoreboththetradingsignalsandthestrategies?Likemostspeculators,badtradinghabitsaredifficultto e.Badtradinghabits?Thishaplessgentlemanobviouslytradedonthebasisofemotioni