安全区域止损法

安全区域止损法（中英文对照）Onceinatrade,whereshouldyouputyourstop?Thisisoneofthehardestquestionsintechnicalanalysis.Afteransweringit,you'llfaceanevenharderone-whenandwheretomovethatstopwiththepassageoftime.Putastoptoocloseandit'llgetwhackedbysomemeaninglessintradayswing.Putittoofar,andyou'llhaveveryskimpyprotection.一旦进场了，你应该在哪里止损？这是技术分析最难回答的问题。就算回答了，你还要面对更难的问题——随着时间的推移，止损要如何移动？如果止损太近了，市场没有意义的波动也会把它扫掉。如果止损放的太远了，保护又不够。TheParabolicSystem,describedinTradingforaLiving,triedtotacklethisproblembymovingstopsclosertothemarketeachday,acceleratingwheneverastockoracommodityreachedanewextreme.ThetroublewithParabolicwasthatitkeptmovingevenifthemarketstayedflatandoftengothitbymeaninglessnoise.我在《以交易为生》中谈过抛物线系统，想通过每天移动止损的方式解决这个问题，当股票或商品期货到达极限价格时更好用。抛物线的问题是，即使市场是横盘，或者是无意义的波动，系统也总是在动，容易被扫止损。Theconceptofsignalandnoisestatesthatthetrendisthesignalandthenontrendingmotionisthenoise.Astockorafuturemaybeinanuptrendoradowntrend,butthenoiseofitsrandomchopcanobscureitssignal.Tradingattherightedgeishardbecausethenoiselevelishigh.IdevelopedSafeZonetotrailpriceswithstopstightenoughtoprotectcapitalbutremoteenoughtokeepclearofmostrandomfluctuations.信号的意思是说趋势就是信号，噪音的意思是说没有方向的波动叫噪音。股票或期货也许上涨或下跌，但是随机的噪音会让趋势变得模糊。正确交易很难，因为噪音太大。我发明的安全区域能跟踪价格，用止损保护资金，还能远离大部分随机波动。Engineersdesignfilterstosuppressnoiseandallowthesignaltocomethrough.Ifthetrendisthesignal,thenthecountertrendmotionisthenoise.Whenthetrendisup,wecandefinenoiseasthatpartofeachday'srangethatprotrudesbelowthepreviousday'slow.Whenthetrendisdown,wecandefinenoiseasthatpartofeachday'srangethatprotrudesabovethepreviousday'shigh.SafeZonemeasuresmarketnoiseandplacesstopsatamultipleofnoiselevelawayfromthemarket.工程师发明了滤网在过滤噪音，让信号通过。如果趋势就是信号，那么逆势的波动就是噪音。当趋势上涨时，每天波动超过前一天最低点就是噪音。当趋势下跌，每天波动超过前一天最高点就是噪音。安全区域计算噪音，让止损点远离噪音。Wemayusetheslopeofa22-dayEMAtodefinethetrend.Youneedtochoosethelengthofthelookbackperiodformeasuringnoiselevel.Ithastobelongenoughtotrackrecentbehaviorbutshortenoughtoberelevantforcurrenttrading.Aperiodof10to20daysworkswell,orwecanmakeourlookbackperiod100daysorsoifwewanttoaveragelong-termmarketbehavior.你也许使用22日均线的坡度来确定趋势。你需要选择时间参数来计算噪音。既要足够长，以计算最近的行为；又要足够短，以和近期的交易同步。10——20天都可以，或者用100天，那么我们就是想计算长期的市场行为。Ifthetrendisup,markalldownsidepenetrationsduringthelook-backperiod,addtheirdepths,anddividethesumbythenumberofpenetrations.ThisgivesyoutheAverageDownsidePenetrationfortheselectedlookbackperiod.Itreflectstheaveragelevelofnoiseinthecurrentuptrend.Placingyourstopanycloserwouldbeself-defeating.Wewanttoplaceourstopsfartherawayfromthemarketthantheaveragelevelofnoise.MultiplytheAverageDownsidePenetrationbyacoefficient,startingwithtwo,butexperimentwithhighernumbers.Subtracttheresultfromyesterday'slow,andplaceyourstopthere.Iftoday'slowislowerthanyesterday's,donotmoveyourstoplowersinceweareonlyallowedtoraisestopsonlongpositions,notlowerthem.如果趋势上涨，记下那些下跌时穿过均线的，加上深度，然后再除以穿过的天数。这样，在选择的天数内，就得到了平均下跌穿过。它反映了平均的噪音水平。如果止损太近，就害了自己。我们要把止损放在比平均噪音远的地方。给平均下跌穿透乘以一个系数，从2开始，但你可以测试更大的数字。结果再减去昨天的最低点，你的止损单就下在这里。如果今天的最低点比昨天低，不要移动止损，因为做多时只会向上移动止损，不会向下移动止损。Reversetheserulesindowntrends.Whena22-dayEMAidentifiesadowntrend,countalltheupsidepenetrationsduringthelookbackperiodandfindtheAverageUpsidePenetration.Multiplyitbyacoefficient,startingwithtwo.Whenyougoshort,placeastoptwicetheAverageUpsidePenetrationabovethepreviousday'shigh.Loweryourstopwheneverthemarketmakesalowerhigh,butneverraiseit.趋势下跌时则反之。当22日均线确认了下跌，在22天内，记下向上穿过，算出平均上涨穿过。乘以系数，从2开始。当你做空时，在昨天最高点的基础上用2倍的平均上涨穿过止损。当市场创次高时，向下移动止损，不要向上移动。IanticipatethatSafeZonewillbeprogrammedintomanysoftwarepackages,allowingtraderstocontrolboththelookbackperiodandthemultiplicationfactor.Untilthen,youwillhavetodoyourownprogrammingorelsetrackSafeZonemanually(seeTable6.1).Besuretocalculateitseparatelyforuptrendsanddowntrends.我希望安全区域能被编进很多软件里面，让交易者控制好很多因素。目前，你要自己编程序，或者手工跟踪安全区域(看表6.1)。要分别为上涨和下跌计算。HerearetherulesforcalculatingSafeZoneusinganExcelspreadsheet.Onceyouunderstandhowitworks,trytoprogramSafeZoneintoyourtechnicalanalysissoftwareandsuperimposeitssignalsonthechart.Comparethenumbersfromthespreadsheetandthetradingsoftware.Theyshouldbeidentical;otherwise,youhaveaprogrammingerror.Comparingresultsfromtwosoftwarepackageshelpsovercomepeskyprogrammingproblems.这是是用电子表格计算安全区域的方法。一旦你明白了原理，尽量把它编进你的技术分析软件，在图表上加上信号。对比电子表格的数据和软件的数据。他们应该一致，否则，你的编程有错误。对比2个软件能帮助找到令人头痛的编程问题。RulesforLongsinUptrendsWhenthetrendisup,wecalculateSafeZoneonthebasisofthelowsbecausetheirpatterndeterminesstopplacement.上涨时做多的原则当趋势上涨，我们根据最低点计算安全区域，因为它们的模式决定了止损的位置。ABcDEFGH11KLMNoPR]IBMForupErendsFordtFwnlrcndi2DakHi&hL«avCloseDnReitSumP12II\mDnrtumbDrv皿号SWlSlopProLeeLtdUpRenSumRenVNUpnumbaygWitgSlopProLetltd33"11550110.30lbl.-174CMCO11乩龍11375ii-i.aj0005IIH.05111.轴112.002.071006加左4IM7511223I12.&70007I7114A5111.的IH.aiD.2S10.1I8llfi.70113.63113.7-1001肿I9EMI16.WTM.55116.200002I10(MflOI1.9D5UA.72115.bl001.15I1105filna.651143Qllfl.51000.6IT205^2ria.g-5113.7-1115.^01.15103I1305.03115.1011235113.701.394.911A1.2305J0s0翻1405/W1155611120115.B61」5各例11.211Q3.W0.765.661s0.7111仙1505.C'?11725115JOOI15.9DQ041.00ioa.7a1337.051勺o.?a11724116胁ca1177511550117.70C1j.gg04I.COIIj.Cl1El051074113J12llb.451705CTiia.ia115J01油0.23.914cja113.51113.51GA37.1fl1g0^011927117.281805/101IS.9011520115.200」41□.so113.35113310726.05150.67119-.7S118.921905rl1114.1511谕111,91■1.2-11各1.37113.6011書闖05.A50a0.7312024119.2720Oj.'M113.13111JCOI12.5S006137IQfl.11113M0d.700.67115.61115.612105/15114」：Il2.50llj.5fl00&1.3710S.25113M0.375.0710.72114.521H.522205.-16115J1C-I122CIlj.ac-D373fl1&1.23109.75109.751.65^.421052115.6D11^.522J05/17117D9I1S36115.0701.20109.74IA9.751297.711aO.-M117.63114.5224O5.qsII?创IH3Gnr.\a0仙041.21II0.M10.597.5*11g0.9-1119D2115.^25仍£1119.90117.55IH.CM0AJAA041.21112朋rnrX亠4fl371s1D511957117.€32LO5G2II5.70117D5IM.01D.553411.07115.13115.1307.870y1.12121.旳110.0227O5G311fl.95117.10117.4005.140A1.25114.91115.1307.AA04j12-1121.95ri*j.j7Table6.1SafeZoneStops一Spreadsheet表6.1安全区域止损——电子表格Obtainatleastamonthofdataforyourstockorfutureinhigh-low-closeformat,asshowninTable6.1(lowsareincolumnCwiththefirstrecordinrow3).Testwhethertoday'slowislowerthanyesterday's.GotocellE4,entertheformula=IF(C3>C4,C3-C4,0)andcopyitdownthelengthofthatcolumn.Itmeasuresthedepthofthedownsidepenetrationbelowthepreviousday'srange,andifthereisnone,itshowszero.Choosethelookbackperiodandsummarizealldownsidepenetrationsduringthattime.Beginwith10daysandlaterexperimentwithothervalues.GotocellF13,entertheformula=SUM(E4:E13),andcopyitdownthelengthofthatcolumn.Itwillsummarizetheextentofalldownsidepenetrationsforthepast10days.Markeachbarthatpenetratesbelowthepreviousbar.GotocellG4,entertheformula=IF(C4<C3,1,0)andcopyitdownthelengthofthatcolumn.Itwillmarkeachdownsidepenetrationwith1andnopenetrationwith0.Countthenumberofdownsidepenetrationsduringthelookbackperiod,inthiscase10days.GotocellH13,entertheformula=SUM(G4:G13),andcopyitdownthelengthofthatcolumn.Itwillshowhowmanytimesinthepast10daysthelowshavebeenviolated.FindtheAverageDownsidePenetrationbydividingthesumofalldownsidepenetrationsduringthelookbackperiodbytheirnumber.GotocellI13,entertheformula=F13/H13,andcopyitdownthelengthofthatcolumn.ItwillshowtheAverageDownsidePenetrationforeachday,thatis,thenormallevelofdownsidenoiseinthatmarket.Placeyourstopfortodayatamultipleofyesterday'sAverageDownsidePenetrationbelowyesterday'slow.Multiplyyesterday'sAverageDownsidePenetrationbyaselectedcoefficient,startingat2buttestingashighas3,andsubtracttheresultfromyester-day'slowtoobtaintoday'sstop.GotocellJ14,entertheformula=C13-2•113,andcopyitdownthelengthofthatcolumn.ItwillplaceastoptwoAverageDownsidePenetrationsbelowthelatestlow.Iftoday'slowpenetratesyesterday'slowbytwicethenormalrangeofnoise,webailout.Refinetheformulatopreventitfromloweringstopsinuptrends.Iftheaboveformulatellsustolowerourstop,wesimplyleaveitatthepreviousday'slevel.GotocellK16,entertheformula=MAX(J14:J16),andcopyitdownthelengthofthatcolumn.Itwillpreventthestopfromdecliningforthreedays,bywhichtimeeithertheuptrendresumesorthestopishit.至少得到股票或期货的一个月的数据，用最高价，最低价，收盘价的格式。请看表6.1(第3行B栏是最高价)。测试是否今天的最高价比昨天的最高价高。到表格L4，输入公式=IF(C3>C4,C3-C4,0),顺着这栏向下复制。它计算下跌穿过昨天最低点的深度，女口果没有，就显示0。选择一个日期参数，计算这些天向下穿过的总和。先从10天开始，以后再测试其它数字。到表格F13，输入公^SUM(E4:E13)，顺着本栏向下复制。它会计算最近10天来向下穿过的程度总和。记下向下穿过前一天的所有竹线。至U表格G4,输入公式=IF(C4vC3,1,0)，顺着本栏向下复制。如果向下穿过了，就是1；如果没有穿过，就是0。计算本例中向下穿过的次数。到表格H13,输入公式=F13/H13,顺着本栏向下复制。它显示平均每天穿过值，也就是市场的正常噪音。给平均下跌穿过值乘以一个系数，结果值就是放在昨天最低点下面的止损。这个系数从2开始，现在用3,用昨天的最低值减去这个结果就是今天的止损点。到表格J14,输入公式=C13-2・113,顺着本栏向下复制。它会以平均下跌穿过2倍的值在昨天的最低点下面止损。如果今天的最低点比昨天最低点还低2倍的平均下跌穿过，我们就出场。修改公式，不要让它向上止损。如果公式叫我们向下移动止损，我们就停留在昨天的水平。到表格K16,输入公式=MAX(J14:J16),顺着本栏向下复制。它会防止连续3天向下移动止损。如果这样，要么是继续上涨，要么是止损被扫掉了。RulesforShortsinDowntrendsWhenthetrendisdown,wecalculateSafeZoneonthebasisofthehighsbecausetheirpatterndeterminesstopplacement.下跌时做空的原则当趋势下跌时,我们根据最高价计算安全区域,因为它们的模式决定了止损位置。Obtainatleastamonthofdataforyourstockorfutureinhigh-low-closeformat,asshowninTable6.1(highsareincolumnBwiththefirstrecordinrow3).Testwhethertoday'shighishigherthanyesterday's.GotocellL4,entertheformula=IF(B4)B3,B4-B3,0),andcopyitdownthelengthofthatcolumn.Itmeasurestheheightoftheupsidepenetrationabovethepreviousday'srange,andifthereisnone,itshowszero.Choosethelookbackperiodforsummarizingupsidepenetrations.Beginwith10daysandexperimentwithhighervalues.GotocellM13,entertheformula=SUM(L4:L13),andcopyitdownthelengthofthatcolumn.Itwillsummarizetheextentofallupsidepenetrationsforthepast10days.Markeachbarthatpenetratesabovethepreviousbar.GotocellN4,entertheformula=IF(B4>B3,1,0),andcopyitdownthelengthofthatcolumn.Itwillmarkeachupsidepenetrationwith1andnopenetrationwith0.Countthenumberofupsidepenetrationsduringthelookbackperiod,inthiscase10days.GotocellO13,entertheformula=SUM(N4:N13),andcopyitdownthelengthofthatcolumn.Itwillshowhowmanytimesinthepast10daysthehighshavebeenviolated.FindtheAverageUpsidePenetrationbydividingthesumofallupsidepenetrationsduringthelookbackperiodbytheirnumber.GotocellP13,entertheformula=M13/O13,andcopyitdownthelengthofthatcolumn.ItshowstheAverageUpsidePenetration,thenormallevelofupsidenoiseinthatmarket.Placethestopforyourshortpositiontodayatamultipleofyesterday'sAverageUpsidePenetrationaboveyesterday'shigh.Multiplyyesterday'sAverageUpsidePenetrationbyaselectedcoefficient,startingat2buttestingashighas3,andaddtheresulttoyesterday'shightoobtaintoday'sstop.GotocellQ14,entertheformula=B13+2•P13,andcopyitdownthelengthofthatcolumn.ItwillplaceastoptwoAverageUpsidePenetrationsaboveyesterday'shigh.Iftoday'shighshootsaboveyesterday'shighbytwicethenormalamount,ithitsourstopandwebailout.Refinetheformulatopreventitfromraisingthestopduringadowntrend.Iftheaboveformulatellsustoraiseourstop,wesimplyleaveitatthepreviousday'slevel.GotocellR16,entertheformula=MIN(Q14:Q16),andcopyitdownthelengthofthatcolumn.Itwillpreventthestopfromrisingforthreedays,bywhich

timeeitherthedowntrendresumesorthestopishit.至少得到股票或期货的一个月的数据，用最高价，最低价，收盘价的格式。请看表6.1(第3行B栏是最高价)。测试是否今天的最高价比昨天的最高价高。到表格L4，输入公式=IF(B4)B3,B4-B3,0),顺着本栏向下复制。它计算今天最高价超过昨天最高价的值,如果没有，就显示0。选择天数，以计算上涨穿过的总和，从10天开始，以后可以测试更长的天数。到表格M13,输入公式=SUM(L4:L13),顺着本栏向下复制。它会计算上涨穿过的所有总和。记下所有上涨穿过前一天的竹线。到表格N4,输入公式=IF(B4>B3,1,0)，顺着本栏向下复制。如果穿过了，就显示1；如果没穿过，就显示0。记下本例10天中，上涨穿过的天数。到表格013，输入公式=SUM(N4:N13)，顺着本栏向下复制。它会显示过去10天来穿过了多少次。用上涨穿过的总和除以天数，就得到了平均上涨穿过。到表格P13，输入公式=M13/O13,顺着本栏向下复制。它显示了平均上涨穿过，是市场正常的上涨噪音。在昨天的最高价上加上平均上涨穿过，就是止损点。把平均上涨穿过乘以一个系数，比如2，但是从3开始测试，把结果加在昨天的最高价上，就是今天的止损点。到表格Q14,输入公式=B13+2・P13,顺着本栏向下复制。它会在昨天的最高价上加上2倍平均上涨穿过，就是止损。如果今天的最高价是昨天最高价以上的2倍平均上涨穿过，我们的止损单就被执行出场了。修改公式，防止它在下跌的市场向上移动止损。如果公式叫我们向上移动止损，我们就不动。到表格R16,输入公式=MIN(Q14:Q16),顺着本栏向下复制。它会防止连续3天向上移动止损，此时，要么继续下跌，要么止损被激活。CBAI卩I旳刖貲70005750^55005000^47M<500JACOBSENGRGROUPJECFigure6.8SafeZoneStops-UptrendCBAI卩I旳刖貲70005750^55005000^47M<500JACOBSENGRGROUPJECFigure6.8SafeZoneStops-Uptrend图6.8安全区域止损——上涨趋势1bl[llLtt\//\yM00TouseSafeZonewithyourfavoritestockorfutureduringanuptrend,beginbymultiplyingtheaveragedownsidepenetrationbythefactorofthree,andsubtractingthatfromthelowofthelatestbar.Puttingyourstopcloserthantheaveragelevelofnoisemeansaskingfortrouble,andeventwicetheaveragelevelisoftentooclose.Onceyoursystemidentifiesanuptrend,SafeZonestartsfollowingprices,gettingyououtbeforethetrendreverses.YoucanseethatSafeZonestopwashitatpointsA,B,C,andD,catchingthebulkoftheuptrendandavoidingdowndrafts.在你喜欢的股票或期货上涨时使用安全区域，开始把平均下跌穿过乘以3，然后用最新的竹线最低价减去这个值。在噪音附近下止损单是自找麻烦，一般2倍的平均下跌穿过太近了。一旦你的系统确认了上涨，安全区域开始跟踪价格，在趋势反转前让你提前出场。你能看见安全区域止损碰到了A,B,C,D点，抓住了大部分的上涨，避免了下跌。TherightedgeofthechartillustrateswhyitisagoodideanevertoholdastockbelowitsSafeZonelevel.JECisinafreefall,wipingouttheprofitsofamonthinjusttwodays-atraderusingSafeZonecashedoutearlyinthedecline.在图的右边说明了为什么不要在安全区域以下持有是好主意。JEC公司下跌了，2天时间把1个月的利润洗没了——使用安全区域的交易者在下跌开始的时候就兑现利润了。SafeZoneoffersanoriginalapproachtoplacingstops.Itmonitorschangesinpricesandadaptsstopstothecurrentlevelsofactivity.Itplacesstopsatindividuallytailoreddistancesratherthanatobvioussupportandresistancelevels.安全区域提供了原始的下止损单的方法。它监视价格的变化，在此水平下止损。它不会在明显的支撑区和压力区止损，而是在一般人不注意的位置止损。SafeZoneworksonthewaydownjustaswellasonthewayup.Herewecounteachupsidepenetrationofthepreviousday'srangeduringaselectedtimewindowandaveragethatdatatofindtheAverageUpsidePenetration.Wemultiplyitbyacoefficient,startingwith3,andaddthattothehighofeachbar.在上涨和下跌时安全区域同样适用。方法是，找到一段时间以来的上涨穿过前一天的距离，取得平均数，就是平均上涨穿过。再乘