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一般外汇生存规则

(2010-03-04 13:48:54)
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杂谈

THE 2% RULE

2%原则

Beginners are easily seduced by technical indicators, but successful traders know that money management is equally important. The two pillars of risk control are the 2% and the 6% Rules. The 2% Rule states that you may never risk more than 2% of your account equity on any single trade. People often misunderstand this rule and wonder why a person with a $100,000 account may only buy $2,000 worth of a stock. You may buy a lot more, but you are not allowed to risk more than $2,000. If you know your entry price, stop level, and permitted risk, it is easy to calculate the maximum number of shares you may buy or sell short. Let’s say you’re buying a $12 stock with a $10 stop. Since you’re risking $2 per share and your maximum permitted risk is $2,000, you may buy up to 1,000 shares. You can buy a smaller position if you wish, but never go over the 2% limit.

新手很容易被技术指标诱惑,但是成功的交易者知道资金管理同样重要。风险控制包括2%原则和6%原则。2%的原则要求你永远不要在任何一笔交易中亏损总资金的2%。人们总是误解这个原则,想不透为何100000美元的账户只能买2000美元的股票。你可以多买,但是你的风险不能超过2000美元。如果你知道进场价、止损点和可以接受的亏损,那么就能很容易地算出最多要买卖的股票份数。比如说你要买入价格为12美元的股票,止损点是10美元。因为你要冒的风险是每份股票2美元,你最大可以接受的亏损是2000美元,那么你最多只能买1000股。如果你愿意,你可以买再小点的仓位,但是永远不要超过2%的限制。

THE 6% RULE

6%原则

The 6% Rule limits the risk in your account as a whole by stating you may never expose over 6% of your account equity to the risk of loss. For example, if you trade a $100,000 account and risk $1,000 on every trade, you may not have more than 6 open trades at any given time. Suppose you lose money on two trades - now you are not permitted to have more than four open trades. You’ve already lost 2% and have only 4% open risk available for the rest of the month. This rule allows you to have more trades when you’re on a roll, but slows you down when you are starting to lose money.

6%的原则要求你永远不要把账户总资金的6%亏掉。比如,如果你的账户有100000美元,每笔交易的风险是1000美元,那么你在任何时刻的交易不能超过6笔。假如你有两笔交易亏损了——那么现在你的交易不能超过4笔。你已经亏损了2%,本月剩下来的日子只有4%可以去冒险。这个原则同意你连续多次交易,但是一旦你亏钱了,它就会减慢你的速度。

A good trade begins with a money management question: Does the 6% Rule allow me to trade? Do I have enough available risk in my account? If the answer is yes, you can analyze the stock using your method. Then, if you find an attractive trade, just before putting it on, return to money management and ask: Based on the 2% Rule, how many shares may I buy or sell short?

一笔好的交易以这样的资金管理问题开始:6%原则同意我交易吗?我的账户有足够的资金冒险吗?如果答案是“是”,你可以用你的方法分析股票。然后,你发现交易有吸引力,在交易前再回到资金管理并问自己:根据2%原则,我可以买入或做空多少股呢?

TRIPLE SCREEN

三重滤网

Between these two money management questions lies the vast field of market analysis. These interviews will expose you to a variety of analytic methods. My own approach is based on the Triple Screen trading system that I developed in the 1980s and continue to improve to this day. Since every market can be analyzed in several timeframes, Triple Screen insists that you begin by defining your favorite timeframe. Once you know what it is, do not look at it! You must first go to the timeframe one order of magnitude higher, make your strategic decision there, and return to your favorite timeframe only to make a tactical decision - where to buy or sell, going in the direction given by the longer time-frame. Since my favorite timeframe tends to be the daily, I use weekly charts to make my strategic decisions, and return to dailies to implement them. The weekly and daily charts are my first two screens. The third screen is the entry method, for which you can use either an intraday chart or simply place a standing order using a daily chart.

这两个资金管理的问题后面还有一个很大的市场分析。这些面谈会告诉你很多种分析方法。我自己的方法是根据我在80年代发明的三重滤网交易系统,并一直更新到现在。由于可以用不同的时间框架来分析市场,三重滤网要求你先定义自己最喜欢的时间框架。一旦你知道了,先不要看!你必须先走到上一层时间框架,在那里做交易策略,再回到你喜欢的时间框架做战术决定——在哪里买卖,并顺着大时间框架的方向。因为我最喜欢的时间框架是日线,我就用周线图做策略决定,然后回到日线图实施它们。周线图和日线图是我最喜欢的两个图。第三重滤网是进场的方法,你可以利用日内图或利用日线图提前下单。

Fundamentals drive long-term economic trends, and I like to know something about them, but the bulk of my work is in technical analysis. I tend to stay away from classical charting because it is too subjective; I prefer to use computerized indicators.

基本面驱动长期的经济趋势,我也想知道,但是我主要的工作是技术分析。我一般会远离经典的图表,因为那太主观了。我喜欢用电脑指标。

In choosing technical tools I believe that less is more, just as in many other areas of life. Many programs for technical analysis have 200 or more indicators. All of them juggle the same few bits of data - open, high, low, close, volume, and, for futures, open interest. My rule of “five bullets to a clip” limits the number of indicators to the number of bullets in a century-old army rifle. You will see my favorite five on the charts - two moving averages, an envelope, MACD Lines with MACD-Histogram, and the Force Index. Let us take a quick look at each of these indicators, as well as a system that combines two of them - the Impulse system.

关于选择技术工具方面,我相信越少越好,生活中的很多道理是一样的。很多软件的技术分析指标有200个,或更多。它们都是利用这些数据——开盘价、最高价、最低价、收盘价、成交量还有期货的持仓量。我的“1个弹夹5颗子弹”的原则限制了指标的数量就是老步枪的子弹数。我可以在图标上看见我最喜欢的5个指标——2条均线、1条包络线、MACD线、MACD柱和力量指数。让我们快速看看这些指标,系统把其中两个变成了——动力系统。

MOVING AVERAGES

均线

Each price is a consensus of value at the moment of a trade. A moving average (MA) reflects an average consensus of value in its time window. If price is a snapshot, a moving average is a composite photograph. It provides two important messages to traders. First, its slope identifies the direction of change in the public’s mood. A rising moving average reflects growing optimism (bullish), while a falling MA reflects growing pessimism (bearish).

交易时,每个价格就是对价值的一致认同。一条均线用自己的时间框架反应了平均的一致认同。如果价格是快照,那么均线就是合成的快照。它给交易者提供了两个重要的信息。首先,它的坡度确认了大众情绪的方向变化。上涨的均线反应了逐渐乐观(看涨),同时下跌的均线反应了逐渐悲观(看跌)。

Another important role of the MA is differentiating between what I call “value trades” and “greater fool theory” trades. If you buy near the moving average, you’re buying value. A person who buys well above the moving average is in effect saying - “I’m a fool, I’m overpaying, but I hope to meet a greater fool down the road.” There are very few fools in the financial markets, and a person who keeps buying above value is not likely to win in the long run. He may get lucky once in a while, but buying near value is a much more sensible strategy. I like using two exponential moving averages (EMAs) on my charts, one showing a longer-, another a shorter-term, consensus of value. I call the area between them “the value zone.”

均线的另外一个重要角色是他区分了“价值交易”和“最大的傻瓜理论”交易。如果你在均线附近买入,你在买入价值。一个人如果在均线以上买入,等于在说:“我是傻瓜,我愿意出高价,但我希望一路上能碰到一个最大傻瓜。”在金融市场很少有傻瓜,一个人总是在价值之上买入,长期取胜的可能性不大。偶尔他运气好,但是在价值附近买入是更合理的策略。我喜欢用2条EMA,一条是长期对价值的一致认同,另一条是短期对价值的一致认同。我把这两条线之间的区域称作“价值区域”。

There are several types of moving averages, but I always use exponential ones. EMAs are more sensitive to incoming prices and less sensitive to old prices. I only use EMAs on my charts, although several people interviewed for this book were perfectly comfortable with simple MAs.

均线有很多种,但我总是用EMA。EMA总是对新价格敏感,对老价格不敏感。我只使用EMA,本书中我面谈的几个人特别喜欢简单的均线MA。

ENVELOPES OR CHANNELS

包络线或通道

One of the very few scientifically proven facts about the markets is that prices oscillate above and below value. You could say that markets are manic-depressive - rising too high and falling too low, only to swing back.

有一个经过科学证明的市场事实是,价格围绕价值上下振荡。你可以说市场既狂躁,又压抑——既涨的太高,又跌的太低,仅仅是为了振荡回来。

There are several types of channels, and my favorite is a straight envelope - the lines above and below the EMA, both parallel to it. A well-drawn channel fits like a good shirt, covering the body of prices, with only the most extreme prices - the neck and the wrists - sticking out. Amateurs love to buy breakouts, but professionals tend to look for buying opportunities near the lower channel line and shorting opportunities near the upper channel line.

有多种通道,我最喜欢的是直接包络线——两条线分别在EMA上下,都和EMA平行。合适的通道就像是合适的衬衫,包括了价格主体,只有最极端的价格——类似颈子和手——伸出来了。业余选手喜欢在突破时买入,但是专业人士喜欢在下通道线附近找机会做多,在上通道线附近找机会做空。

Some traders like to use standard deviation channels, often called Bollinger bands, which expand and contract in response to market volatility. They are only useful for options traders because volatility is a key factor in option pricing. If you trade stocks, futures, or forex, you are better off with straight envelopes.

有些交易者喜欢用标准背离通道,经常被称作布林通道,根据市场波动情况它会伸缩。它们仅仅对期权交易者有用,因为期权的价格波动很大。如果你交易股票、期货或外汇,你最好还是用直接包络线。

MACD LINES AND MACD-HISTOGRAM

MACD线和MACD柱

Moving Average Convergence-Divergence (MACD) is an indicator invented by Gerald Appel (Chapter 7). Its fast line represents the short-term consensus of value, and the slow line the long-term consensus. When the fast line rises above the slow line, it shows that bulls are dominant, and when the fast line is below the slow line, the bears are in charge. MACD-Histogram measures the power of bulls and bears by tracking the difference between the two MACD lines. When their spread increases, it shows that the dominant market group is becoming stronger - it is a good time to trade in that direction. Divergences between peaks and bottoms of MACD-Histogram and price may be the strongest signals in technical analysis.

MACD指标是杰拉尔德·阿佩尔发明的(第07章)。快线代表短期对价值的一致认同,慢线代表长期对价值的一致认同。当快线上涨在慢线之上,它表明多头占主导;当快线下跌在慢线之下,它表明空头在主导。MACD柱通过跟踪两条线来衡量多头和空头。当它们的差价增大,它表明主导市场的一方在变强——是好时机顺着这个方向交易。MACD柱和价格顶和底的背离是技术分析中最强的信号。

MACD-Lines and MACD-Histogram are derived from three exponential moving averages of closing prices. Gerald Appel used 12-day, 26-day, and 9-day MAs. Those settings - 12, 26, and 9 - have migrated into trading software and have become default settings in many packages. In writing my books, I used those settings to illustrate this indicator.

MACD线和MACD柱是3条收盘价均线的变形。杰拉尔德·阿佩尔使用12天EMA,26天EMA和9天MA。这些设置——12,26和9——已经被移植到交易软件中,并成为很多软件的默认设置了。为了写本书,我用这些设置来说明问题。

What settings should you use? Well, if you want to use the same ones as everyone else, use 12, 26, and 9, because the crowd is basically lazy and uses the default values. You can also choose settings that are a little faster or a little slower. It depends on whether you want to receive your signals a little ahead or a little behind the crowd. Think about it and experiment with the values, or use the defaults.

你应该用哪个设置?如果你想像别人一样用,就用12,26和9,因为大众基本上很懒,都用默认参数。你也可以改变设置让它快点或慢点。这取决与你是否想比大众先收到信号,还是晚收到信号。考虑一下并测试不同的参数,或者就用默认的。

FORCE INDEX

力量指数

Everybody watches prices, but it is volume that moves them. Volume reflects the intensity of traders’ commitment, the heat of their exuberance, and the depth of their fear. Instead of looking at a plain plot of volume, I use Force Index, which links volume with price changes. On one hand, divergences between Force Index and prices tell me when a trend is becoming weak and ready to reverse. On the other hand, new highs or lows of Force Index tell me that the trend in force is strong and likely to continue.

每个人都在看价格,但是是成交量在推动价格。成交量反应了交易者的意愿强度、热情的充沛程度和恐惧的程度。我不看平淡的成交量,我用力量指数,它把成交量和价格变动联系起来。一方面,力量指数和价格的背离告诉我趋势变弱了,开始反转。另一方面,力量指数的新高或新低告诉我趋势很强,可能要继续。

Prior to the computer age I used to calculate Force Index by hand and still remember how excited I felt by its signals, which no other trader had. I also remember my inner struggle whether to reveal this indicator in my first book. My friend Lou Taylor, to whom Trading for a Living is dedicated, encouraged me to write about it, and I am grateful for his advice. The indicator continues to work just fine since I published that book.

在电脑时代之前,我都是手工计算力量指数,我现在还记得那些信号带来的激动,其他交易者是无法体会的。我还记得在写第一本书时,内心一直在挣扎,无法抉择是否透露这个指标。我有一个朋友叫娄·泰勒,《以交易为生》就是献给他的,他鼓励我写出来,我很感谢他的建议。我的书出版以后,这个指标还在很好地为我工作。

THE IMPULSE SYSTEM

动力系统

This system identifies bullish and bearish phases in any market and timeframe by combining two indicators. The slope of the moving average identifies the inertia of the market, while the slope of MACD-Histogram identifies the push of the bulls or bears. The Impulse system gives a buy signal when both the EMA and MACD-Histogram rise, and a sell signal when both decline. The two indicators get in gear during especially bullish or bearish periods. Just as importantly, the Impulse shows when bulls or bears start slipping, and a trend starts growing weaker.

这个系统通过结合两个指标来确认任何时间框架内任何市场的多头和空头阶段。均线的坡度确认市场的惯性,MACD柱的坡度确认多头或空头的力量。当EMA和MACE柱同时上涨时,动力系统给出买入信号;当EMA和MACD柱同时下跌时,动力系统给出卖出信号。特别在非常看涨或看空的时候,这两个指标是一致的。同样重要的是,当多头或空头开始逃跑时,趋势开始变弱时,动力系统会表明的。

One of my campers, a brilliant programmer named John Bruns, programmed the Impulse system for several popular software packages, coloring each bar in accordance with the Impulse system. When the EMA and MACD-Histogram rise at the same time, the market is in gear to the upside and the bar is green. When both fall, bears are in control and the bar is red. When the two indicators point in opposite directions, the bar is blue.

我的一个学员是出色的程序员,他叫约翰·不伦,他为很多软件编了动力系统,动力系统会随着竹线变颜色。当EMA和MACD柱同时上涨时,市场和上涨同步,竹线是绿色的。当两个指标下跌时,空头在主导,竹线是红色的。当两个指标方向相反,竹线是蓝色的。

 

动力系统

EMA的坡度

MACD柱的坡度

交易信息

绿色

上涨

上涨

做多或观望;不能做空

红色

下跌

下跌

做空或观望;不能买入

蓝色

上涨

下跌

要么做多,要么做空

蓝色

下跌

上涨

要么做多,要么做空

At first I tried using the Impulse system as an automatic trading method, but discovered that it worked best as a censorship system. When the Impulse is green, you may buy or stand aside but absolutely no shorting is permitted. When the Impulse is red, you may go short or stand aside but buying is prohibited. I wait for the Impulse system to go “off green” before shorting and “off red” before buying.

一开始,我努力把动力系统当作我的自动交易系统,但是发现它只是一个检查系统。当动力系统是绿色时,你可以买入或观望,但绝对不要做空。当动力系统是红色的,你可以做空或观望,但不可以买入。我等着动力系统不是绿色时开始做空,不是红色时开始买入。

Some programs do not allow users to change the color of their bars on the basis of conditional formatting, but you can still identify green or red Impulse by noticing the slope of the EMA and MACD-Histogram. Coloring the bars is a convenience, and I am so used to it that I apply the Impulse to all my charts.

有些软件不能让用户根据情况变化改变竹线的颜色,但你仍然可以通过观察EMA和MACD柱的坡度确认绿色或红色。让竹线变色很方便,我太习惯用它了,所以我的图表上都有动力系统。

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