ATR棘轮法-一种新的止损策略

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1、ANewExitStrategy-TheATRRatchetByChuckLcBcau药渣译-•种新的止损策略——ATR棘轮法Thebasicideaisquitesimple.WefirstpickalogicalstartingpointandthenadddailyunitsofATRtothestartingpointtoproduceatrailingstopthatmovesconsistentlyhigherwhilealsoadaptingtochangesinvolatility.Theadvantageofthisstrategyovertheorigi

2、nalParabolicbasedexitisthatwhenusingtheATRRatchetwehavemuchmorecontrolofthestartingpointandtheacceleration・WealsofoundthattheATRbasedexithasafastandappropriatereactiontochangesinvolatilitythatwillenableustolockinmoreprofitthanmostconventionaltrailingexits.基本思想是非常简单的，我们先选定一个合理的起始价格，然后每天加某一倍

3、数的ATR,得到一个跟踪止损点。rtr该方法生成的止损点不仅能随着时间的增加不断上移而同时也能适应市场波动性增减。与我们以前采用的由抛物转向指标得到的止损点相比，其优点在于：使用ATR棘轮，我们能更自山的选择起始价格和增减速隊此外我们还发现基于ATR的止损点能更快更准确的反映波动性变化，从而使我们能比传统的跟踪止损法锁定更多的利润。Hereisanexampleofthestrategy:AfterthetradehasreachedaprofittargetofatleastoneATRormore,wepickarecentlowpoint(suchasthelowes

4、tlowofthelasttendays).ThenweaddsomesmalldailyunitofATR(0.05ATRforexample)tothatlowpointforeachdayinthetrade.Ifwehavebeeninthetradefor15dayswewouldmultiply0.05ATRsby15daysandaddtheresulting0.75ATRstothestartingpoint.After20daysinthetradewcwouldnowbeadding1.0ATRs(.05times20)tothelowestlowoft

5、helasttendays.TheATRRatchetisverysimpleinitslogicbutyouwillquicklydiscoverthattherearelotsofmovingpartsthatperformalotofinterestingandusefulfunctions;muchmorethanweexpected・下面是一个应用该策略的例子：当我们1ATR以上的盈利冃标实现时，我们选择一个近期低点(比如授近卜天的最低价)作为起始价格，然后根据我们持仓天数每天将授低价增加零点儿倍的ATR(比如0.05ATR)。如1果我们已经持有仓位15犬了，那么

6、我们把0.05ATR乘以15天,然后将其乘积0.75ATR加到起始价位上。20天后,我们将把1.0ATR(0.05乘以20天)加到最近I•天的最低价上。ATR棘轮法在逻辑上是很简单的，但是你马上就能发现冇许多运动点能完成一些有趣且有用的功能，比我们想彖的要多得多。Weparticularlylikethisstrategybecause,unliketheParabolic,theATRRatchetcaneasilybeimplementedanytimewewantduringthetrade・Wecanstartimplementingthestoptheveryfi

7、rstdayofthetradeorwecanwaituntilsomespecificeventpromptsustoimplementaprofit-takingexit.Iwouldsuggestwaitingtousetheexituntilsomeminimumlevelofprofitabilityhasbeenreachedbecause,asyouwillsee,thisstophasawayofmovingupveryrapidlyunderfavorablemarketconditions・我们