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开盘区间突破交易系统

2011-08-07  hqsc88

开盘区间突破交易系统-托比.卡布尔88年完成Z

(2011-04-09 14:03:10)
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杂谈

分类: 程序化交易系统
    Trading_With_Short_Term_Price_Patterns Opening_Range_Breakout
      

INGOpening range breakout is one of the most important indicators of daily market direction that a trader can utilize.

开盘区间突破是一个可以用来判断每天市场方向的重要工具。

An opening range breakout (ORB) is a trade taken at a predetermined amount above or below the
opening range. When the predetermined amount (the "stretch") is computed, a buy stop is placed that amount above the high of the opening range and a sell stop is placed the same amount below the low of the opening range. The first stop that is traded is the position and the other stop is a protective stop.

开盘区间突破(记做ORB)是通过在开盘区间的上下加减预定的数值范围进行交易。当预定的数值范围被确定,这个买点就被放置在开盘区间的最高处或放在最低处的同等数值。一个作为进场点,另一个作为止损点。

The stretch is determined by looking at the previous 10 days and averaging the differences between the open for each day and the closest extreme to the open on each day.

这一数值是通过查看前面10天日内最高价或者最低价与开盘价价差的平均值而等到的。

In a market with a strong bias in one direction or just after a clear supply or demand indication, a trade in only one direction is taken. This is called an Opening Range Breakout Preference (ORBP). The only order entered is the stop in the direction of the entry. The protective stop is entered only after the trade has been entered.

当市场有强烈的方向,且方向明确后,供求关系已经明显,那么顺着这个方向交易是唯一的选择。这叫做开盘区间突破偏好现象(记做ORBP。此时,唯一需要做的就是顺势进场,而进场后要设立止损点。

If the market trades to the stretch in the opposite direction first, the preference is nullified and the resting order is cancelled. This requires you to monitor the market during the session. Intraday market monitoring is not a sacrifice by any means and enhances the system.

如果市场沿着市场反方向运行,那么这个ORBP是无效的,最好休息停止这次交易。这就要求在盘中监控市场的动向了。仔细看盘可不是种浪费,它是能提高交易系统效率的好办法。

Opening range breakout is effective after an inside day that has a smaller daily range than the previous four days (IDnr4 in Figure 1 ) and after any day that has a daily range less than the previous six days (NR7) whether an inside day or not.

ORB这一现象发生在IDnr4或者NR7之后常常是有效的。IDnr4是指振幅(最高价与最低价的差)小于前面4天的孕线形态。NR7是指振幅小于前面6天的形态。

"Hook" days also tend to precede big moves in one direction. A hook day is any day that opens
above/below the previous days' high/low then proceeds to reverse the previous day's close but does so with a daily range less than the previous day.

“陷阱”形态也往往有这一现象。“陷阱”是指某天的开盘价高于/低于前面几天的最高/最低点然后反昨日的方向收盘但振幅小于前昨日的形态。

March copper in Figure 1 displays examples of all these patterns. Inside days with the narrowest range in four days (IDnr4) occur at points c, e, g, i, n, o and t. Days with ranges smaller than those of the previous six days (NR7) occur at points a, d, f, g, h, j, m, n, p and s. Hook days occur at points b, q and r. Notice the proximity of some of the next day's openings to one of the extremes for that day and the general tendency of the close of the same day to be at the opposite extreme.

图一中三月期铜的图表展示了上面形态的几个例子。IDnr4是图中c,e,g,i,n,o,t.NR7是图中a,d,f,g,h,j,m,n,p,s.陷阱形态是b,q和r。请注意其后那些开盘价和收盘价在日内区间两极的日子。

OPENING <wbr><wbr>RANGE <wbr><wbr>BREAKOUT <wbr><wbr>by <wbr><wbr>Toby <wbr><wbr>Crabel

 

未译完,待续.........................................

The earlier in the session the entry is taken the better chances for success.

盘中进场信号发生的越早,成功的机会越大。

The ORBP provides an effective trade entry at times of a clear bias in one direction. In particular, a running market provides a very clear bias. On any inside day, the ORBP should be taken. Inside days act as springboards for an immediate continuation in the direction of the run. In Figure 2, the July soybean oil chart displays a running market between numbers 1 and 2. Within that run, inside days at points a thru e all resulted in successful opening range breakout trades with the open on or near the low of the session in each case. Direction is not as predictable at inside days f, g and h, but the opening range breakout the
following day in each case provides an excellent entry.

ORBP在一个明确的方向上提供了有效的进场信号,特别是当乖离明显的时候。在很多孕线形态出现时,ORBP应该被运用。孕线被当作大趋势运行方向中一个 快速跳板。图2中,7月豆油期货显示点1和点2的方向性趋势运行。运行中,A到E的几乎所有孕线形态导致了成功的开盘价格在日内最低点的开盘区间突破。在 点F,G和H中方向是不定的,但转天的ORB提供了漂亮的进场信号。

OPENING <wbr><wbr>RANGE <wbr><wbr>BREAKOUT <wbr><wbr>2 <wbr><wbr>【中英文对照】

 

A gap in the direction of the run is a strong indication of continuation and an ORBP can be taken in the direction of the gap with an overnight position held if a big day follows. October sugar in Figure 3 shows three gaps (points a, b, c) within a very defined upward run. Note the tendency for the open to act as the low of the day in each case. If a breakout to the downside had occurred in these cases no trades would have been taken. Logically, any of the patterns mentioned for use with the ORB can be utilized in an ORBP when the bias is clear.

顺势的跳空显示了趋势,而且如果接下来是大区间日,在跳空方向上利用ORBP建立的仓位可以持有过夜。图三中,10月期糖显示了三个明显上升趋势的跳空缺 口(点A,B,C)。注意这些以开盘价作为日内低点的倾向。如果是反向的突破那么就不要交易了。从逻辑上讲,很多ORB想台都可以在乖离明显的情况下得以 利用。

OPENING <wbr><wbr>RANGE <wbr><wbr>BREAKOUT <wbr><wbr>2 <wbr><wbr>【中英文对照】

 

Upthrusts/springs, reversal gaps or any sharp reversal should be followed up with an ORBP in the direction of the reversal for at least two days afterward if it confirms the intermediate trend. The November soybean chart (Figure 4) displays upthrusts at points 1, 3 and 5 and springs at points 2, 4, and 6. Note the openings the days after the springs and the marked tendency for them to occur near one extreme of the day. The upthrusts were not as successful since a clear upward bias did exist. Again, ORB is most effective after an inside day or a day whose range is less than any of the previous six days (NR7).

Upthrusts/springs形态,如果是趋势中迹,反向跳空或者凌厉的逆转之后,应该在两天后有ORBP现象发生。图4中,11月大豆期货图表显 示了点1.3.5的Upthrusts形态,和点2.4.6的springs形态。注意springs形态后开盘在振幅的一端,而Upthrusts形态 没有明显的乖离现象发生。看来ORB现象还是在IDnr4和NR7形态后最有效。

OPENING <wbr><wbr>RANGE <wbr><wbr>BREAKOUT <wbr><wbr>2 <wbr><wbr>【中英文对照】

 

未译完,待续................

In general, the earlier in the session the entry is taken the better the chances for success. In fact, the ideal is an entry within the first 10 minutes of the session. In that case, an immediate continuation in the direction of the breakout is likely. When you get a large price movement in one direction within the first 15 minutes of the session (early entry), the protective stop can be moved to break-even very quickly and the trade is free.

一般来说,盘中进场信号越早成功的机会越大。事实上,盘中前10分钟是理想的进场信号。在这种情况下,突破方向的持续是可能的。当你在开盘后15分钟顺势进行交易,应该运用移动保护止损点来保护仓位快进快出。

The more time that passes between the open and trade entry, the lower the probability of success. Adjust the size of your position downward as the day goes on. The worst entry is just before the close when time is running out and it is difficult to realize a profit. The objective of these entry techniques is to establish a position for a two- to three-day run, but this is successful only if a substantial profit is realized by the end of the first session.

开盘价运行到进场进场信号所花的时间越长,成功的可能就越低。随着时间要降低仓位。最糟糕的进场信号是那些发生在收盘前的,他们很难有时间去实现当日赢利了。这一进场信号的目标是2-3天,但只有在进场当天已经获得比较大的利润的前提下才有可能实现。

After the trade is entered the clock starts ticking. The ideal trade will show a profit almost
instantaneously. The longer it takes to move away from the point of entry, the more vulnerable the position. In general, stops should be moved to a break-even within one hour after entry. A market that displays greater tendency to trend should be given less time than an hour.

这种早早进场的方法,理想情况是进场后马上就有利润。价格移动所花费的时间越长,交易越容易失败,一般进场后一个小时就已经获利了,有趋势的市场应该在前一个小时表现出他的趋势。

For example, the S&P usually takes no more than five to 10 minutes before a clear getaway occurs. When judging the market action after entry, compare it to examples of ideal, early entries with immediate profit and persistent followthrough thereafter. Action that varies from the ideal is suspect.

例如标普期指通常5-10分钟就有一个明确的信号发生。进场信号后判断市场,比较它和理想状态在瞬时赢利和持续性上的差别。不同于理想情况的价格行为都是可疑的。

The ORB can be utilized as a general indicator of bias every day. Whichever side of the stretch is traded first will indicate bias in that direction for the next two to three hours of the session. This information alone will keep you out of trouble, if nothing else.

ORB可以作为判断每天方向的一个指标,向哪一方向出现扩张现象,在接下来的2-3小时就很可能持续这个方向运动。若无其他事情发生,这个信息可以让你远离麻烦了。

Multiple contracts can be used when entering on an ORB or ORBP. This allows for some profit taking as the move continues to guarantee at least some profit in the case of a pullback to the break-even stop. A trailing stop is also very effective.

很多合约品种都可以使用ORB和ORBP判断。利用跟踪止赢策略来保持在回调中处于盈亏平衡的状态。尾盘出场策略也是很有效的。

If you miss the ORB and early entry occurred, any 3/8 to 1/2 retracement of the established range can be used as an entry point with stops beyond the 5/8 level. This technique can be utilized twice, but becomes treacherous on the third retracement.

如果你错过了ORB和早盘进场信号,3/8-1/2的回调也可以进场,同时配合5/8处的止损保护点。此方法可以用两次,第三次就比较危险了。

In summary, the open is a primary market indicator. Without an understanding of its importance and the market action around it, it is difficult to come to correct conclusions about market direction. On certain days the open acts as an ideal point of entry upon breakout. On any day that such a breakout occurs within the first 10 minutes of trade, the information is overwhelmingly in favor of a continuation of that move. It a trade does not use these entry techniques systematically they should at least be utilized as a general indicator of bias.

综上,开盘价是市场一个重要指标。不理解它的重要性和其周围时段的价格行为,很难对市场方向进行准确研判。在特定的日子里开盘价是很好的突破切入点。在任 何开盘后10分钟产生突破现象的日子里,很多时候都会持续运行在这个方向上。这项技术不被作为进场点技术至少也可以用于判断价格运行方向。

 

未译完,待续...........................

 

Early entry is defined as a large price movement in one direction within the first five minutes after the open of the daily session. A study of early entry is essentially a study of price action, and the type of price action that takes place on early entry shows that participants are urgent about entering the market. It is a distinct recognition of either a profitable or dangerous situation.

早间进场信号是指开盘后5分钟第一个较大的价格移动。早间进场信号的研究主要是对价格行为及其类型的研究,发生早间进场信号说明有一些市场参与者迫切的进入市场,它是一种对赢利机会或是风险的独特识别。

It should be noted that directional moves of this nature are relatively rare and may occur only 10% of the time. Most days (70% to 80%), prices exhibit rotation or choppy action and the first five to 10 minutes of trading are sluggish and directionless without a clear movement away from the opening range.

应该指出,这种自然的定向移动现象是比较少见的,10天里大概也就有1天。大部分日子里(70%-80%是时候)价格在开盘后5-10分钟里是盘旋震荡的,它漫无方向的缓缓离开开盘范围。

The early entry price action is ideal when using an opening range breakout for entry. An opening range breakout is a trade taken at a predetermined amount above or below the opening range. The open should act as one extreme of this range.

当使用开盘区间突破的方法进场时早盘发生价格定向移动是理想的。开盘区间突破是通过开盘区间上下加减预定的数值范围进行交易。开盘价应该作为当日振幅范围的一端。

I have observed two types of early entry. The characteristics of Type 1 (Figures 1 and 2) are as follows:The first five minute time period has a larger range than normal. ("Normal" is roughly defined as the average of the preceding 10 days' first five-minute ranges.)

我观察到了两种类型的早间进场信号。第一种的特点如下:(图一和图二)开盘后第一个5分钟有比正常情况更大的振幅。(“正常情况”是指大概以往10天开盘后前5分钟振幅的平均值)OPENING <wbr><wbr>RANGE <wbr><wbr>BREAKOUT <wbr><wbr>4 <wbr><wbr>【中英文对照】  OPENING <wbr><wbr>RANGE <wbr><wbr>BREAKOUT <wbr><wbr>4 <wbr><wbr>【中英文对照】

The opening of the day is on one extreme of the five-minute bar and the close of the five-minute bar is on the opposite extreme. The second five minutes shows an equal thrust in the direction of the first five-minute period.

开盘价位于当日第一个五分钟线的一端而且这个五分钟线收在另一端。第二个五分钟显示出顺延第一个五分钟方向上等量的推动力。

The Type 2 early. entry is extremely powerful and is characterized by an excessively large range in the first five minutes, quite possibly bigger than the previous 20 days ' first five-minute periods (Figures 3 and 4).

第二类早间进场信号是极其强有力的且范围极大的前5分钟振幅,几乎要大于前面20天的早间前5分钟的振幅(图3图4)

OPENING <wbr><wbr>RANGE <wbr><wbr>BREAKOUT <wbr><wbr>4 <wbr><wbr>【中英文对照】OPENING <wbr><wbr>RANGE <wbr><wbr>BREAKOUT <wbr><wbr>4 <wbr><wbr>【中英文对照】

An equal thrust in the next time period is difficult to manage, but a general drift in the direction of the first five minutes is likely with an acceleration after further accumulation has occurred.

这样在第二个五分钟内出现等量的推动力就显得强人所难了,但很可能经过一定盘整震荡孕育出加速。

 

 

未译完,待续...............................

One possible trading scheme is to use an opening range breakout entry technique each day, anticipating early entry. If ideal action does not occur within the first five to 10 minutes, cancel orders. In a defined trend or running market, use early entry to verify the existing trend and then use any pullbacks of 3/8 to 1/2 of the existing daily range for another entry.
An open that occurs outside the previous day's high or low, in most cases, sets up an intraday upthrust or spring. These are top and bottom reversal patterns and tests show that on a move back into the previous day's range by two ticks, the market has a 67% chance of continuing into yesterday's range and closing beyond that point. This is excellent advance information and, when it moves as far as the early entry extreme price, it shifts the momentum for the entire day's trade and, quite possibly, several days' trading if a reversal pattern forms on the daily chart.

期待早间进场信号,每天使用开盘区间突破的技术是可行的交易策略。如果开盘后5-10分钟内没有理想的价格行为发生,则取消交易计划。在趋势中的市场,使 用早间进场信号验证趋势,然后3/8到1/2的回调用于再次进场。,在大多数情况下,一个高开或低开,建立了盘中的扩张与延伸。有很多顶和底的形态被测试 表明,价格运动超过前日振幅两个点(译者:作者这里的两个点不是指2%,是指TICK两个委托跳动,今后的点也都是这个,请勿混淆),市场有67%的可能 在这一方向上维持前日的振幅到收盘。这可有了一个进一步的好消息,当它位移渐渐远离早间进场信号的价格时,势头很可能演变为一整天的趋势。若日线图上反转 形态确立,则很可能持续几天的小行情。

 

未译完,待续.......................

Early entry failure

早间进场信号的失败

Of course, there are times when, even with a defined thrust, the market will not follow through and, in fact, will sometimes reverse completely. This is defined as early entry failure (Figures 5 and 6) and is associated with a momentum increase in the opposite direction of early entry.

当然。有些时候,即使貌似方向明确,市场也未必落实,事实上,有些时候甚至完全相反,这是失败的早间进场信号,即日趋势与早间进场信号方向相反的情况(图5和图6)。

Momentum can be assessed by the range of the time unit (i.e., a 5-, 15-, 30-minute bar chart). An increased range relative to the previous time unit(s) shows an increase in momentum. Ideally, this should not happen and when it does, it usually indicates an early entry failure is occurring.

趋势靠各个时间周期的线图来识别。(5分15分30分钟等等)相对于前面时间扩张的震幅显示了动量的增加。理想情况下,这不该发生,通常表明早间进场信号失败。

As a rule, no countermove 5-minute bar should have a range larger than the first 5-minute bar. All such larger bars should confirm early entry. In fact, any 5-minute bar against early entry that is relatively large compared to previous bars which confirmed early entry will imply a shift in momentum and possibly early entry failure.

所以,作为一条规则:不能出现比开盘后五分钟K线振幅大的反方向K线。所有大振幅的K线必须确认早间进场信号。事实上,任何与早间进场信号振幅相反的大K线,都可能预示着转变的势头,并可能促使早间进场信号失败。

Neutral or confirming price action is crucial just after the early entry indication. When entry is taken on a pullback, narrow range bars should have been present on the retracement. A countermove with a momentum increase (i.e., larger bars) is a warning that failure is occurring.

早间进场信号价格行为的确认极其重要。当采取回调进场法,回调应该都是小振幅的。大振幅的回调往往预示着失败信号的发生。

OPENING <wbr><wbr>RANGE <wbr><wbr>BREAKOUT <wbr><wbr>6 <wbr><wbr>【中英文对照】OPENING <wbr><wbr>RANGE <wbr><wbr>BREAKOUT <wbr><wbr>6 <wbr><wbr>【中英文对照】

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