一种新的止损策略——ATR棘轮法(中英文对照）

    A New Exit Strategy - The ATR Ratchet By Chuck LeBeau

    一种新的止损策略——ATR棘轮法

    The basic idea is quite simple. We first pick a logical starting point and then add daily units of ATR to the starting point to produce a trailing stop that moves consistently higher while also adapting to changes in volatility. The advantage of this strategy over the original Parabolic based exit is that when using the ATR Ratchet we have much more control of the starting point and the acceleration. We also found that the ATR based exit has a fast and appropriate reaction to changes in volatility that will enable us to lock in more profit than most conventional trailing exits.

    基本思想是非常简单的，我们先选定一个合理的起始价格，然后每天加某一倍数的ATR，得到一个跟踪止损点。由该方法生成的止损点不仅能随着时间的增加不断上移而且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，我们能更自由的选择起始价格和增减速度。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。

    Here is an example of the strategy: After the trade has reached a profit target of at least one ATR or more, we pick a recent low point (such as the lowest low of the last ten days). Then we add some small daily unit of ATR (0.05 ATR for example) to that low point for each day in the trade. If we have been in the trade for 15 days we would multiply 0.05 ATRs by 15 days and add the resulting 0.75 ATRs to the starting point. After 20 days in the trade we would now be adding 1.0 ATRs (.05 times 20) to the lowest low of the last ten days. The ATR Ratchet is very simple in its logic but you will quickly discover that there are lots of moving parts that perform a lot of interesting and useful functions; much more than we expected.

    下面是一个应用该策略的例子：当我们1ATR以上的盈利目标实现时，我们选择一个近期低点（比如最近十天的最低价）作为起始价格，然后根据我们持仓天数每天将最低价增加零点几倍的ATR（比如0.05ATR）。如果我们已经持有仓位15天了，那么我们把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）加到最近十天的最低价上。ATR棘轮法在逻辑上是很简单的，但是你马上就能发现有许多运动点能完成一些有趣且有用的功能，比我们想象的要多得多。

    We particularly like this strategy because, unlike the Parabolic, the ATR Ratchet can easily be implemented any time we want during the trade. We can start implementing the stop the very first day of the trade or we can wait until some specific event prompts us to implement a profit-taking exit. I would suggest waiting to use the exit until some minimum level of profitability has been reached because, as you will see, this stop has a way of moving up very rapidly under favorable market conditions.

    我们尤其喜欢该策略，因为不象抛物转向指标，ATR棘轮能非常容易的在我们交易过程中的任何时候使用。我们可以在进入交易的第一天就开始使用这种止损策略，也可以等发生某些有利事件后再使用止赢策略。我建议等到实现盈利后再使用该止损策略，原因正如你我都看到的那样，这种止损点会在有利的市场环境中迅速向上移动。

    The ATR Ratchet begins very quietly and moves up steadily each day because we are adding one small unit of ATR for each bar in the trade. However the starting point from which the stop is being calculated (the 10 day low in our example) also moves up on a regular basis as long as the market is headed in the right direction. So now we have a constantly increasing number of units of ATR being added to a constantly rising ten day low. Each time the 10-day low increases our ATR Ratchet moves higher so we typically have a small but steady increase in the daily stop followed by much larger jumps as the 10 day low moves higher. It is important to emphasize that we are constantly adding our daily acceleration to an upward moving starting point that produces a unique dual acceleration feature for this exit. We have a rising stop that is being accelerated by both time and price. In addition, the ATR Ratchet will often add substantial additional acceleration in response to increases in volatility during the trade.

    ATR棘轮安静的转动着，每天都在向上移动，因为我们每天都在让其增加零点几倍的ATR。此外，我们用于计算止损点的起始价格（比如我们上边例举的最近十天最低价）会随着市场向上运动不断上移。因此随着时间的增加，我们在不断升高的最近十天最低价的基础上增加不断增长的累积ATR。每当10天低价上移，我们的ATR棘轮也跟着向上转动，我们的止损点也跟着每天稳步上移，如果十天低价急剧上移，我们的止损点也跟着向上跳跃。有必要强调一下，该策略是我们能不断的把每日价格变化速度反应在不断上移的起始价格上，从而形成该止损策略独一无二的双重加速因素。不断上移的止损点不仅能被时间因素加速，还能被价格加速。此外，波动性增加也会提高ATR棘轮止损点上移的速度。

    The acceleration due to range expansions is an important feature of the ATR Ratchet. Because markets often tend to show wider ranges as the trend accelerates the ATR will tend to expand very rapidly during our best profit runs. In a fast moving market you will typically find many gaps and large range bars. Because we are adding multiple units of ATR to our starting point, any increase in the size of the underlying ATR causes the stop to suddenly make a very large jump that brings it closer to the high point of the trade. If we have been in the trade for forty days any increase in the ATR will have a forty-fold impact on the cumulative daily acceleration. That is exactly what we want it to do. We found that when a market was making a good profit run the ATR Ratchet moved up surprisingly fast and did an excellent job of locking in open profits.

    波动性增加会使止损点上移速度增加，这是ATR棘轮策略的重要特征。在一个快速移动的市场中，你会看到许多缺口和长长的 K线图。市场趋势加速时市场波动性也会增加，因而在我们盈利迅速增加时，ATR也会迅速增加。由于我们要往起始价格中增加一定数量的ATR，所以ATR的每一次增加都会使止损点突然向上跳跃，止损点就变得更靠近入场后的最高价。如果我们已经持有仓位40天，那么ATR的任何增加都会对止损点产生40倍的影响。这正是我们想要的。我们发现，当市场给我们丰盛的盈利时，ATR棘轮止损点也会令人惊讶的迅速上移从而很好的为我们锁定浮动盈利。

    Keep in mind that this exit strategy is a new one (even to us) so our experience and observations about it are still very limited. However I am going to discuss a few observations about the variables that might help you to understand and apply this exit successfully.

    请记住（即是对我们来说）这种止损策略是新的策略，因为我们对它的经验和结论是很有限的。然而我还是打算讨论对一些变量的观察结论，或许这能帮你理解和成功的应用这种止损策略。

    Starting Price: One of the nice features about the ATR Ratchet is that we can start it any place we want. For example we can start it at some significant low point just as the Parabolic does. Or we can start it at a swing low, a support level, and a channel low or at our entry point minus some ATR unit. If we wait until the trade is fairly profitable we could start it at the entry point or even somewhere above our entry point. The possible starting points are unlimited; use your imagination and your logic to find a starting point that makes sense for your time frame and for what you want your system to accomplish. Our idea of starting the Ratchet from the x day low makes it move up faster than a fixed starting point (as in the Parabolic) because the starting point rises repeatedly in a strong market. If you prefer, you could just as easily start the Ratchet at something like 2 ATRs below the entry price and then the starting point would remain fixed. In this case the Ratchet would move up only as the result of accumulating additional time in the trade and as the result of possible expansions of the ATR itself.

    起始价格：ATR棘轮的一个非常好的特性是我们可以在任何我们中意的地方设置起始价格。例如我们可以象抛物转向指标一样在一些重要的低点设置起始价格，我们还可以在摆动区间的底部，或支撑水平，或某某通道得底部，或者低于入场点一定数量ATR的地方设置起始价格。如果我们等到账面产生数量可观的盈利后，我们可以把起始价格设置在甚至是高于入场点的地方。可行的入场点是无限的，充分发挥你的想象力和逻辑推理能力去寻找一个适合你时间框架的、对你的交易系统也是切实可行的起始价格。与固定的起始价格（比如抛物转向指标中）不同，我们把最近X天低点设置为起始价格，这使得我们的ATR棘轮止损点上升得更快，因为在不断走强的市场中，我们的起始价格也会不断上移。要是你喜欢，你也可以把ATR棘轮的起始价格固定在某一个地方，比如在低于入场点2ATR的地方，在这种情况下，虽然起始价格不会向上移动，但随着持仓时间的延长ATR棘轮止损点还是会上移的，另外ATR值变大也会使ATR棘轮止损点上移。

    When to Start: We can very easily initiate the exit strategy based on time rather than price or combine the two ideas. For example, we can start the exit only after the trade has been open for at least 10 days and is profitable by more than one ATR. My general impression at this point is that it is best to implement the ATR Ratchet only after a fairly large profit objective has been reached. The ATR Ratchet looks like a very good profit taking exit but I suspect it will kick you out of a trade much too soon if you start it before the trade is profitable.

    何时启动ATR棘轮：我们可以根据时间而不是根据价格来启动ATR棘轮策略，因为前者即其简单。或者我们也可以综合考虑时间与价格来启动ATR棘轮策略。例如，是否启动ATR棘轮取决于是否同时满足两个条件：1）至少已经持仓10天（基于时间因素）；2）浮动盈利至少1ATR。总体感觉，启动ATR棘轮的最佳时机是在实现巨大的盈利目标之后。ATR棘轮似乎是一个非常好的保护盈利的止损策略。但我怀疑如果你在交易实现浮动盈利前启动ATR棘轮，你会过早的被踢出市场。

    （译者注：我不明白为什么在实现盈利前启动ATR棘轮策略就会被过早踢出市场，而当实现巨大盈利后启动该策略就不会被过早踢出市场？虽然原作者没有明说，但隐含着这种意思）

    As I mentioned, one of the things I like best about the ATR Ratchet is its flexibility and adaptability. Here is another idea on how to start it. We can start it after fifteen bars but we don't necessarily have to add fifteen ratchets. The logic for the coding would be to start the Ratchet after 15 bars in the trade but multiply the ATR units by the number of bars in the trade minus ten or divide the number of days in the trade by some constant before multiplying the ATR units. This procedure will reduce the number of ratchets, particularly at the beginning of the trade when the exit is first implemented. Play around with the ATR Ratchet and see what creative ideas you can come up with.

    如上所述，ATR棘轮策略最讨我喜欢的地方之一是该策略的灵活性和适应能力。下面是另一个关于如何使用ATR棘轮策略的想法。我们可以在15根K线后启动ATR棘轮，但我们可以不用加上所有这15个棘轮步长（译者的理解：对应每一根K线ATR棘轮要相应向上移动一个棘轮步长。不知道对原文的这种理解是否正确），例如在编制计算程序代码时，我们将K线条数减去10，然后将所得的商乘以某一数量的ATR（译者注：一个棘轮步长等于某一数量的ATR，比如我们以前提到的0.05ATR），或者我们也可以把我们的持仓天数除以某一常数，然后将所得商乘以某一数量的ATR。这种思路可以减少棘轮步长的数目，尤其是在我们开仓后的前期阶段启动ATR棘轮策略时。好好琢磨ATR棘轮策略，或许你会有一些创造性的想法。

    Daily Ratchet Amount: After testing it the daily Ratchet amount we chose when we were first doing our research turned out to be much too large for our intended application. The large Ratchet amount (percentage of ATR) moved the stop up too fast for the time frame we wanted to trade. After some trial and error we found that a Ratchet amount in the neighborhood of 0.05 or 0.10 (5% or 10% of one 20-day average true range) multiplied by the number of bars the trade has been open will move the stop up much faster than you might expect.

    ATR棘轮每天移动量：我们刚开始研究使用的ATR棘轮每天移动量经测试表明太大了。对于我们的交易时间框架来说，太大的ATR棘轮每天移动量（百分之几的ATR）会让我们的止损点向上移动的过分快。经过一段时间的试验和失败后我们发现用我们的持仓天数乘以ATR棘轮每天移动量0.05~0.10ATR（5％至10％ATR(20天期)）能让止损点上移的速度比你想象的要快得多。

    As a variation on this strategy the very small initial Ratchet can always be increased later in the trade once the profits are very high. We could start with a small Ratchet and then after a large amount of profit we could use a larger daily Ratchet increment. There are all sorts of interesting possibilities.（不知道如何翻译）

    作为该策略的变通方法，我们可以在最初使用较小的ATR棘轮每天移动量，然后一旦我们获得很大的浮动盈利，我们就可以使用较大的ATR棘轮每天移动量。 increment 增加，增值，增额

    ATR Length: As we have learned in our previous uses of ATR, the length that we use to average the ranges can be very important. If we want the ATR to be highly responsive to short term variations in the size of the range we should use a short length for the average (4 or 5 bars). If we want a smoother ATR with less reaction to one or two days of unusual volatility we should use a longer average (20 to 50 bars). For most of my work with the ATR I use 20 days for the average unless I have a good reason to make it more or less sensitive.

    ATR周期长度：正如我们在以前使用ATR过程中发现的，我们用来计算ATR的时间周期长度是非常重要的。如果我们希望ATR能快速反应市场短期波动区间的变化，我们可以使用较短期的均值（比如4止5根K线）；如果我们希望一个更加平滑的ATR，不会对一两天的异常波动敏感，我们可以使用长期均值（20至50根K线）。我在工作中使用的ATR大部分是20天均值，除非我有充分理由希望ATR变得更敏感或更不敏感。

    Summary: We have just scratched the surface on our understanding of the possibilities and variations of the ATR Ratchet as a profit taking tool. We particularly like the flexibility it offers and we suspect that each trader will wind up using a slightly different variation. As you can see, there are many important variables to tinker with. Be sure to code the Ratchet so it gets plotted on a chart when your are first learning and experimenting with it. The ATR Ratchet is full of pleasant surprises and the plot on the chart will quickly teach you a great deal about its unusual characteristics.

    总结：ATR棘轮做为一种赢利工具，我们对其应用潜能及变通用法的理解才触及皮毛。我们尤其喜欢它带给我们的灵活性，我怀疑每个交易者都会想出略微不同的版本。正如你看到的，有许多重要的变量可以修修补补。（以下略）

    tinker 随随便便的修理，小修小补；摆弄 Be sure to let us know if you come up with any exciting ideas on how to apply it. Good luck and good trading.

    译者补充：原文中多次提到Parabolic SAR（韦尔达技术指标）,以下是译者转摘的相关知识。 Parabolic SAR (Stop and Reverse)，抛物转向指标，为一种设定止损点相当有效的韦尔达技术指标，基本原理是将我们股票或商品价格走势假设为抛物线运动。利用价格与指针交*判断趋势反转进行平仓与建立反向新仓。公式： 　　SAR（t） = SAR（t-1） + AF * ( EP – SAR（t-1）)1.一开始AF = 0.02，当一个新的极值出现时，AF每次便增加0.02，直到AF值为0.2为止便不再增加；若无新极值，则AF维持前一笔的值。2.EP是指该上涨波段的最高价(Extreme High)，或下跌波段的最低价(Extreme Low)。计算SARt时，以t-1以前的数据寻找EP，而不含t时的高低点。3.起始值SAR0的设定，首先要先决定一开始是上涨波段或下跌波段，如果，是上涨波段，最高价作为SAR0；反之，如果是下跌波段，则取最低价作为SAR0。而决定是上涨波段或下跌波段的方式，市场上常用的方式有数种，例如：以前n笔资料作为判断，如n=2，则拿第二笔资料的最高价与第一笔最高价相比较，如果第二笔高于第一笔，则视为上涨波段，此时SAR0=Low0；若否，则视为下跌波段，此时SAR0=High0。4.反转时，以前波EP作为SAR的起始值。利用抛物转向点(SAR)的转向去判断买卖策略，方法如下：－ 1. 当抛物转向点(SAR)由价位线之上转到当日价位线之下(由绿点转为红点)，代表市势逆转向好，可视作入货讯号。 2. 相反，当抛物转向点(SAR)由价位线之下转到价位线之上(由红点转为绿点)，则代表市况转淡，可视作沽货讯号。 SAR假设一开始持有多或空部位，当持有多部位时，不论当天价格走势如何，SAR指针每天都会不断上扬，以追赶价格。因此当SAR追上价格时，表示该波段的行情结束了并且发生反转，原持有部位应该在此时作停损操作。由于讯号明显，是相当好用的停损点指标。SAR的设计，是每天用与极值差距的某一比率(即AF值)来追赶目前价格。可以有效的掌握到波段行情。因此可以将反转点视为买进或卖出讯号。　　ＳＡＲ的使用其实很简单，跟单移动平均线的穿越、跌破交易法则是相同的。它的特色是在我们不必等到收盘再动作。一般指标因为皆以收盘价为计算基准，所以交易者必须承受收盘之前价格的风险。而ＳＡＲ是在盘中就可以决定平仓与否。而它的使用风险在那里呢？就是起始时的停损风险过大了些…在建立仓位约一周内，你如果初次使用ＳＡＲ，我想你睡好觉的机会是很少的。此时ＳＡＲ是标在价格的某一高或低价，也许跟目前价格有许多的距离，特别对期货仓位而言。然后ＡＦ此时又必然是最小的状态﹙反转必须由０．０２起算﹚。所以在约一周以上的时间，你的仓位曝露在比较大的止损风险。ＳＡＲ最难就在进场！抛物转向指标(SAR)的缺点 1. 运算抛物转向指标(SAR)的缺点是在于公式中的「加速因子」(Acceleration Factor)，它不能巧妙地适应于不同商品或股票，必需由运用者作出不断的尝试，才能在波动节拍中寻找最佳的加速因子(AF)数值。一般使用的加速因子(AF)数值的限度在0.02至0.20之间，以0.02值递增或递减(例如：0.02、0.04、0.06.....等等)。 2. 在处于盘整市时，抛物转向指标(SAR)转向频率非常高，会导致讯号追随者在高买低卖的情况下造成亏损。因此，在遇到盘整市时，抛物转向指标(SAR)绝不宜使用。

    When to Start: We can very easily initiate the exit strategy based on time rather than price or combine the two ideas. For example, we can start the exit only after the trade has been open for at least 10 days and is profitable by more than one ATR. My general impression at this point is that it is best to implement the ATR Ratchet only after a fairly large profit objective has been reached. The ATR Ratchet looks like a very good profit taking exit but I suspect it will kick you out of a trade much too soon if you start it before the trade is profitable.

    As I mentioned, one of the things I like best about the ATR Ratchet is its flexibility and adaptability. Here is another idea on how to start it. We can start it after fifteen bars but we don't necessarily have to add fifteen ratchets. The logic for the coding would be to start the Ratchet after 15 bars in the trade but multiply the ATR units by the number of bars in the trade minus ten or divide the number of days in the trade by some constant before multiplying the ATR units. This procedure will reduce the number of ratchets, particularly at the beginning of the trade when the exit is first implemented. Play around with the ATR Ratchet and see what creative ideas you can come up with.

    ATR棘轮的启动时机：

    我们能够很方便地优先采用基于时间而不是价格的参数（或者是时间和价格的参数组合）来启用上述的离市策略。例如，我们启用离市当且仅当一项交易开仓至少十个交易日之后并且获利超过一个ATR的幅度。总体的感觉，只有在交易达到了相当大规模的盈利目标之后才是ATR棘轮启动的最佳时机。这看起来是一种很好的获利平仓策略，但需注意的是如果在一次交易获利之前就启动棘轮有可能让你过早出局而丧失此次机会。

    如上所述，对我来说，ATR棘轮最引人入胜的一点在于它的适用性和灵活性。下面介绍如何启用棘轮策略的另一种思路。我们可以在15根条形图之后再启用ATR棘轮而不必计算这前期的15步运作过程。在编制程序代码时，我们可以设置在交易的第15根条形图之后再启用棘轮而用交易产生后的条形图数量减去10再乘以ATR的单位值，或者用交易产生后的天数先除以某一个常数后再乘以ATR的单位值。这种方法将简化棘轮的计算程序，尤其是在交易初期首次启用离市策略的时候。好好琢磨琢磨ATR棘轮，看看你能够由此产生一些什么样的创造性思维。