续《走进我的交易室》1

续《走进我的交易室》

【 原创: 微笑欲语 2008-12-03 15:52 只看楼主(-1) 浏览/回复4371/31 】

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续《走进我的交易室》

The Chandelier Exit

吊灯止损

When a trend speeds up, you may want to shift gears and ride it instead of trading swings. Catching swings calls for tight stops, but a longer-term position demands more breathing room. The Chandelier Exit is designed to protect such positions.

当趋势加速时，你也许希望能换挡，继续持有，而不是上下交易。上下交易需要很紧的止损，当长期趋势则需要呼吸空间。吊灯止损就是为这样的仓位设计的。

When buyers place stops, they usually count back from the lows and put stops below recent important bottoms. When traders go short, they usually count back from the highs and place stops above the recent peaks. The Chandelier Exit takes a different approach. When traders are long, it hangs their stops from the highest peak reached by that trend, like a chandelier hangs from the tallest point in the room. As prices move up, the Chandelier Exit, suspended from the highest point of that trend, also rises. It tracks volatility as well as prices, as its distance from the peak grows with the rise in volatility. We will review Chandelier Exits for uptrends, but you may reverse these rules and apply them to downtrends.

当买家下止损单时，通常他们回到最近的低位，在最近的重要底部下面下止损。当交易者做空时，通常他们回到最近的高位，在最近的顶峰上面下止损。吊灯止损采用不同的方法。当交易者做多时，止损从最高点挂到趋势上，就像吊灯挂在房间的最高点。当价格上涨，吊灯止损，掉在趋势的最高点，也上涨。当它随着价格上涨时，它跟踪波动。我们认为吊灯止损是上涨的，但是下跌时反之。

There is no telling how high a trend may go, and a Chandelier will rise until prices peel off from the ceiling and hit that stop. This method, along with several others, was presented by Chuck LeBeau in our Traders’ Camp in January 2000 in the Caribbean and again in March 2001 in the Pacific.

没有说趋势要走到哪里，吊灯止损会上涨，直到价格到顶，碰到止损。这个方法和其它几个方法是我们交易者训练营的查克·勒博2000年1月在加勒比海提出的，2001年3月在太平洋又提出一次。

The Chandelier Exit draws on the concept of Average True Range, described by Welles Wilder in 1966. The True Range is the greatest of the three figures - the distance between today’s high and low, or today’s high and yesterday’s close, or today’s low and yesterday’s close. The True Range reflects overnight volatility by comparing today’s and yesterday’s prices.

吊灯止损借用了威尔斯·韦尔德在1966年描述的真实波动幅度均值。真实波动幅度是3个数字里面最伟大的——今天最高点和最低点的距离，或是今天的最高点和昨天收盘价的距离，或是今天最低价和昨天收盘价的距离。真实波动幅度反映了今天和昨天的波动。

The True Range is included in many software packages. The Average True Range (ATR) is obtained by averaging True Range over a period of time. How long a period? You can begin by looking back a month, but a modern computerized trader can easily test different lookback periods for Average True Range.

很多软件里面都有真实波动幅度。真实波动幅度是计算一段时间真实波动幅度的平均值得到的。多长时间是一段时间？你可以从一个月开始，但是有电脑的交易者可以轻松地测试不同的时间段。

The Chandelier Exit subtracts the Average True Range, multiplied by a coefficient, from the highest point reached by the trend. Its formula is:

吊灯止损利用了真实波动幅度的理论，乘以一个系数，从最高点到趋势，公式为：

Chandelier = HP - coef · ATR

where

Chandelier = the Chandelier Exit

HP = the highest point for a selected number of days

Coef = the coefficient, selected by the trader

ATR = Average True Range for a selected number of days

吊灯=HP-系数·ATR

吊灯=吊灯止损

Coef=系数，交易者自己选择

ATR=一段时间的真实波动幅度

If an uptrend is boiling and daily ranges are wide, then stops fall a little farther away. If the uptrend is quiet and calm with more narrow ranges, the stops inch a little closer.

如果上涨趋势很振荡，日波动幅度很宽，那么止损就会比较远。如果上涨趋势很平静，日波动很窄，那么止损比较接近。

In Windows on Wallstreet software, the formula for the Chandelier Exit is:

在“华尔街”软件里，吊灯止损的公式为：

Hhv(hi, 22) - 3 · ATR(22)

Hhv(hi, 22) is the highest high reached in the past 22 days and ATR(22) is the Average True Range for the past 22 days. Try to test other parameters in the markets you like to trade.

Hhv(hi, 22)是过去22天最高价，ATR(22)是过去22天真实波动幅度均值。尽量在你喜欢的市场测试更多参数。

This formula multiplies the Average True Range by three before subtracting it from the high of the past 22 trading days. A serious trader is passionate about his research. Such a person will immediately notice that this formula contains three variables - the length of the lookback period for the highest high, the length of the lookback period for the True Range, and the coefficient for multiplying Average True Range. It probably doesn’t pay to fiddle with the first variable, as the highest high in a runaway uptrend is likely to be close to the right edge and most lookback periods catch it. The Average True Range is only slightly more sensitive to the length of its lookback period. A more fertile ground for experimenting is the ATR coefficient. If everyone has their stops at 3 ATRs below the peak, wouldn’t you like to see what happens if you set your stop at 3.5 or 2.5?

真实波动幅度均值先乘以3，再被22天最高价减去。一个认真的交易者会对自己的研究痴迷。这样的人会立刻发现这个公式包含了3个变量——包含最高价的一段时间的天数，一段时间的真实波动幅度，一个系数。第一个变量可以不管，因为上涨时的最高点应该很接近现在，如何天数都可以。真实波动幅度均线对时间的天数有点敏感。真实波动幅度均线的系数也要多次测试。如果每个人的系数都是3倍，那么如果你设置为3.5或2.5倍会如何呢，你想知道吗？

The Chandelier Exit can be used to trail profits on short positions in runaway downtrends. There the formula becomes:

吊灯止损可以在下跌趋势中跟踪空头仓位的利润。这是公式：

Llv(lo, 22) + 3 · ATR(22)

Llv(lo, 22) is the lowest low reached in the past 22 days and ATR(22) is the True Range for the past 22 days.

Llv(lo, 22)是过去22天的最低价，ATR(22)是过去22天的真实波动幅度均值。

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【 · 原创: 微笑欲语 2008-12-03 15:53只看该作者(-1)】

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Figure 6.10 The Chandelier Exit

图6.10 吊灯止损

In an uptrend, the Chandelier Exit hangs from its uppermost point, 3 Average True Ranges below the extreme. It does a good job of helping catch the bulk of the uptrend, stopping traders out and protecting profits at points A, B, and C. Notice that as volatility increases the Chandelier gives a stock a little wider stop, receding from prices.

在上涨趋势中，吊灯止损从最高点吊下来，离极限价格的距离是3倍的真实波动幅度均值。它能帮助抓到大波动，止损，在A，B，C点保护利润。请注意当波动激烈时，吊灯的止损变宽了，在价格下面。

At the right edge of the chart, the Chandelier Exit has taken profits just as the decline got under way. Wait until your system gives you a new buy signal, and when it does, hang a new Chandelier on that trend.

在图的右边，当价格下跌时，吊灯止损已经兑现了利润。继续等待，直到你的系统给出新的信号，那时再用新的吊灯止损。

Experienced traders sometimes joke that bear markets have no support and bull markets no resistance. A runaway trend can overshoot all rational expectations. The Chandelier deals with that by tying its stops to the price extreme as well as volatility.

有经验的交易者有时开玩笑说，下跌时没有支撑，上涨时没有压力。一个超大趋势会超出所有人的理性思考。吊灯止损就可以处理，它在价格下面放止损。

The negative side of Chandelier Exits is that they give up a great deal of profit. Three Average True Ranges can amount to a lot of money in a volatile market. A beginning trader is better off taking his profits at the channel wall. A more advanced trader whose market is hitting its channel wall while showing great strength is more likely to switch to a Chandelier Exit. If he holds a large position, he may take partial profits at the channel wall and carry the rest using the Chandelier. The Chandelier Exit may act a backup exit strategy for experienced traders.

吊灯止损的缺点是容易放弃大量利润。在波动的市场，3倍的真实波动幅度均值可是很多钱啊。新手最好在通道枪兑现利润。有经验的交易者如果发现价格碰到了通道边缘，然而还有很强的力量，那么可以转到吊灯止损。如果他的仓位很大，他可以在通道边缘附近兑现部分利润，剩下来的仓位等吊灯止损。对于有经验的交易者，吊灯止损可以作为备用出场策略。

Gamblers lose fortunes trying to nail tops and bottoms. A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top-and bottom-fishing to people on an ego trip. The Chandelier Exit helps take care of that chunk.

赌徒在寻找顶和底的过程中亏了很多钱。优秀的交易者很现实，他只想抓住大趋势的一部分，把寻找顶和底的工作让给其他人。吊灯止损就能帮忙找到这一部分。

CHOOSING WHAT TO TRADE

选择交易什么

Open a newspaper, and thousands of listings leap at you from the pages - stocks, mutual funds, futures, options, bonds, currencies. Your data provider may offer a menu of 20,000 items or more. Were you to download and review all of them, spending just two seconds on each, that process would take 11 hours.

打开报纸，几千个数据展现在你面前——股票，共同基金，期货，期权，债券，外汇。你的数据服务商提供的产品会超过20000个。如果你下载研究它们，每个产品看2秒钟，这个过程需要11个小时。

Beginners worry about missing opportunities and try to look at as many markets as possible. They often ask for advice on scanning software. They want to sift through thousands of stocks for something like a bullish divergence in MACD-Histogram. First of all, divergences, so visible to the naked eye, are notoriously hard to program. The best programmer I know tells me he’s done it - it is the pinnacle of his success - using the most expensive software. Even if a beginner could get hold of his program, that expense would be wasted because he wouldn’t know what to do with the stocks he found in that search. He wouldn’t know how to trade them correctly. A beginner is better off focusing on a handful of markets, learning all about them, and trading them with care and attention.

新手害怕错过机会，总想观察所有的市场。他们在扫描波动软件时，到处找建议。他们在几千个股票里面找东西，比如MACD柱的看涨背离。首先，用肉眼眼看见很容易，编程就很难。最优秀的编程高手告诉我他成功了——是他成功的顶峰——是使用最昂贵的软件。如果新手能得到他的软件，费用也会被浪费，因为他不知道如何处理软件发现的股票。他不知道如何正确地交易。新手最好是关注一些市场，全部学习，然后专心交易。

You are better off limiting yourself to as many markets as you can realistically follow each day. Professionals study their markets daily to detect transitions from sleepy trading ranges to new trends. The best time to profit from a trend is before it becomes overpriced and volatile.

你最好把市场的数量限制在你每天能观察的数量上。专业人士每天观察市场，以发现从横盘到趋势的转机。最好的兑现利润的机会是超买和波动时。

Markets that make headlines tend to be overpriced and volatile. If you read an article on the front page of a financial newspaper about a bull market in biotech stocks or see a report on the evening news about the high price of coffee, those trends are probably nearer the end than the beginning, and buying biotech stocks or coffee futures is probably very dangerous.

上报纸头条的商品一般都是超买的，波动大的。如果你看财经报纸，在首页看到一个生物科技公司股票大涨，或一个晚间新闻说咖啡的价格涨的高，这些趋势基本上已经到了末期了，此时买入生物科技股票或咖啡期货一般是危险的。

To understand a person or a group, it pays to know what they want and what they fear. Journalists and editors most fear making a mistake that will make them look foolish. They report trends only after anyone can see them because that way there is no mistake. Even if they knew how to catch trends early, which they don’t, they wouldn’t dare print their findings for fear of being wrong and appearing ignorant. Traders aren’t afraid of mistakes as long as they use money management, but journalists cannot afford such risks. By the time they write up a trend, it has been going on for a while, volatility is high, risk management is difficult, and a major reversal is probably in the cards.

要了解一个人或一个集团，需要知道他们想什么，怕什么。记者和编辑害怕犯错，让他们看起来很傻。当所有人都看见一个趋势时，他们才会报道这个趋势，这样他们不会犯错。他们不知道趋势，即使他们知道如何提前抓住趋势，他们也不敢印刷，他们害怕犯错，害怕被人说是无知。交易者只要使用资金管理，是不害怕犯错的，但是记者无法承受这个风险。当他们开始报道趋势时，趋势早就开始了，波动厉害，很难控制风险，很有可能要反转。

Should you trade stocks or futures, currencies or options? Options are rough for beginners, who should learn to trade the underlying securities first, whether stocks or futures. People outside the United States are often drawn to currencies, forgetting that those are truly global markets, and when you trade them, you go against banks that have traders in all time zones. The choice between stocks or futures is seldom made on a rational basis. Trading stocks seems more respectable, while futures have more of a swashbuckling reputation. Futures get their wild image from their enormous leverage. If you scrupulously observe money management rules, they become much safer and less nerve-racking.

你应该交易哪个，股票，期货，外汇，期权？期权对新手来说很难，他应该交易对应的证券，股票或期货。美国以外的人喜欢外汇，外汇是真正的全球市场，当你交易时，你在和银行交手，银行在全球都有操盘手。股票看起来很好，期货有恃强凌弱的名声。期货靠杠杆出名。如果你很懂资金管理，期货就会变得安全和从容的。

Stocks

股票

Stocks tend to move more slowly than futures, thus reducing risks for beginners, especially those who avoid margin. It is one of the mysteries of markets that cash traders are more likely to win, and margin traders to lose. Why? Interest rates on margin loans are a serious expense, raising a barrier to winning, but there’s more. People who buy stocks for cash tend to feel more relaxed, buying as much or as little as they want. Margin traders are more likely to feel stressed. An anxious trader is a troubled trader. It is better to buy only what you can afford, polish your skills, and the money will follow.

股票一般比期货动的慢，这样就降低了新手的风险，尤其是对于不使用保证金的人。市场的神秘就是用现金交易的人一般会赢，用保证金交易的会输。为什么？保证金借款利息很高，成为赢钱的障碍，但还有其它原因。人们用现金买股票一般很轻松，想买多少就买多少。用保证金的交易者一般压力大。紧张的交易者是有麻烦的交易者。最好是有多少钱买多少，加强技术，钱就来了。

The sheer number of stocks drives people to distraction. Beginners throw their arms in the air and beg for a list of stocks to follow. A disciplined trader makes several choices that help him concentrate. He begins by selecting an industry group or groups and then zeros in on individual stocks.

股票让人们充满想象。新手双手向天祈祷给他一些消息股。有纪律的交易者通过几个选择以使自己聚焦。他先选择一些工业股或股票池，然后单独研究。

A beginner should start with one or two groups, an intermediate trader can go up to four or five, and an expert knows how many he can handle. Chances are, he sticks to the few groups he knows well. Begin by choosing a group that you think has a great future or one in which you have a personal interest. For example, you may decide to concentrate on biotechnology because of its promise or the hospitality industry because that’s where you work.

新手应该选择1，2个股票池，好点的交易者可以选择4，5个股票池，专业人士知道他可以处理多少个。最好是，选择自己熟悉的行业。选择你认为有前途的行业，或者是你喜欢的行业。比如，你也许想关注于生物科技，或者是酒店行业，因为你在这个行业工作。

Select a broad rather than a narrow group. For example, if you decide to track autos, look not just at car manufacturers, but also at companies that make auto parts, tires, etc. The disadvantage of focusing on a single group is that you miss spectacular moves in others, but there are several advantages. You learn which stocks tend to lead or follow. When leaders start to move, they give you an advance signal to trade the laggards. You can use relative strength, that is, buy the strongest stocks when the group moves up and short the weakest on the way down. You can create an index that includes all the stocks you follow in your industry group, and then analyze that index. This analytic tool is not available to any other trader. If you use fundamental analysis, then having your finger on the pulse of a single industry, such as software, puts you miles ahead of competitors who trade Microsoft today and McDonald’s tomorrow.

选择一个范围广的行业，而不是窄的行业。比如，如果你选择汽车行业，不要仅仅研究汽车工业，还要研究生产汽车零件，轮胎的行业等。只关注一个行业的劣势就是你会错过其它行业的大波动，还有其它的劣势。你可以研究那些股票是领头羊，那些是跟着涨的，然后再研究指数。没有人有这样的分析工具。如果是使用基本面分析，研究专门的行业，比如软件业，这样就比那些今天交易微软，明天交易麦当劳的对手强多了。

A broadly defined industry group may include over a hundred stocks, but an intelligent beginner should not follow more than a dozen. We can divide all stocks into blue chips and speculative “cats and dogs.” Blue chips are the stocks of large, well-established companies, held by many institutions and followed by many researchers. They have a fairly well-established consensus of value around which they more or less gently oscillate. If you design a system for catching their swings several times each year, the potential gains can be very attractive. Don’t ignore the big Dow-type stocks. Their orderly swings from the moving average to the channel wall create good trading opportunities.

一个宽广的行业也许包括100多个股票，但是聪明的新手知道只要跟踪十几个。我们可以把股票分为蓝筹股和低价股。蓝筹股就是大公司，著名公司的股票，很多机构和研究者都持有。它们的价值好，振荡小。如果你能设计一个系统，一年抓住几次波动，这样的收益也很吸引人。不要忘记了道琼斯指数里面的股票。它们在通道里有序的波动形成了很好的交易机会。

The so-called cats and dogs may spend months, if not years, flat at the bottom, in a speculative doghouse, until a fundamental change, or even a rumor of change, propels them to a breakout and a new uptrend. Other cats and dogs may go nowhere or expire. Those stocks offer much higher percentage gains than blue chips, but the risks are greater and you must spend a great deal of time waiting for them to move. It makes sense to trade a large portion of your account in blue chips, while keeping a smaller portion in longer-term speculative positions.

低价股需要几个月，如果不是几年的话，在底部横盘。如果没有基本面的变化，或者是谣言的变化，是没人推动它们突破形成新趋势的。其它的低价股也不知道走哪里去了，或者就退市了。这样的股票产生的收益比蓝筹股高，但是风险也大，你需要大量的时间等待它们的动作。理性的做法是用大部分钱做蓝筹股，用小部分钱做投机股。

What if you’ve paid your dues, learned to trade a few stocks in a few groups, and now want to forage in wider pastures? After all, technical patterns and signals are not all that different in various markets. What if you want to scan a larger number of stocks for MACD divergences, Impulse breakouts, or other patterns that you learned to recognize, trust, and trade?

如果你已经花了一些钱，研究并交易了一些股票，现在想扩大寻找范围，会如何？总体而言，技术模式和信号在不同市场不是完全不同。如果你想用你学过的MACD背离，突破或其它模式来分析大量股票，会如何？

Go on the Internet and find a website that gives you the 100 most active stocks on the NASDAQ (and if you do not know how to find such a website, you haven’t got what it takes to trade them). Keep an eye on any stock that floats by you. A newspaper article mentions several companies - look up their stocks. People at a party talk about stocks - jot them down, drop them into your system, and see how they look on your screen. Many tips call for an exercise of contrary thinking. In summer 2001, Lucent (LU) was in the news with another earnings disappointment, having slid from 80 to 6. The journalists were aghast, but that stock has completed its bear market, traced an attractive bullish divergence, and was poised for a rally. A rise from 6 to 9 is a 50% increase. Stocks that people tout at parties are often good candidates for shorting. By the time outsiders become interested, the rise tends to be over. The idea is to maintain your curiosity and use tips not on their face value but only as invitations to look at this or that stock. I find that my yield, the percentage of tips that I end up trading in either direction, is about 5% - I end up trading one out of 20. I have a friend, a brilliant trader, who often calls me asking to take a look at this or that stock. My yield on her tips is 10% - she is the best.

上网，网上有网站告诉你纳斯达克的100只最活跃的股票（如果你不会找，那么你就没有交易的基础）。仔细研究股票。报纸提到了几家公司——看看它们的股票。聚会时人们谈到了几个股票——找到它们，放入你的系统，看看它们的表现如何。有些提示告诉我们要逆向思考。2001年夏天，新闻说朗讯的收益下降，价格从80跌到6。记者都吓坏了，但是股票已经完成了下跌，跟踪到了看涨背离，准备上涨。从6涨到9就等于涨了50%。人们在聚会是推荐的股票一般是做空的备选股。当外面的人都产生兴趣时，上涨一般快结束了。要保持好奇，但不要被股票的表面价值影响，要多看看，合理利用消息。根据我的经验，我利用消息的比例是5%——20个消息，我只会交易一个。我有一个朋友，总是打电话给我，叫我看这个股票，看那个股票。她提供的消息，我采用的比例是10%——她是最好的。

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预期盈利：50.0%



　　潜涨26

发起者：潜涨潮

预期盈利：50.0%



　　 中线短波201502-2

发起者：bb夕缘

预期盈利：25.0%

【 · 原创: 微笑欲语 2008-12-03 15:54只看该作者(-1)】

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The Turnover Ratio The Turnover Ratio (TRO) predicts expected volatility of any stock by comparing its average daily volume with the available float. This formula was brought to my attention by Roger Perry of The RightLine Report (www.rightline.net):

周转率 周转率通过比较日均成交量和股票数来预测股票的波动。这个公式是“正确线报告”的罗杰？佩里提出的：

TRO = monthly volume divided by the available float

周转率=月成交量除以股票数

Volume for the past month is easy to calculate. The available float refers to the total float, or number of shares issued, minus the holdings of institutions and insiders. Those groups tend to hold positions more tightly than private traders, who are more likely to sell if the price is right. All of the above figures are widely available from financial databases.

过去一个月的成交量很好计算。股票数指总数，已经发行的数量，要减去机构和内部人持有的数量。这些人比个人交易者还要紧紧地持有股票，个人交易者只要价格合适就卖了。以上所有数据都容易得到。

You can calculate the average monthly volume by multiplying the daily volume by 22, the number of trading days in a month. Using the daily volume makes the TRO more responsive to changes in volume as a stock rolls into or out of favor with traders.

一个月的交易日有22天，你可以通过乘以22天成交量的方法来计算月均成交量。使用日成交量是周转率更能面对成交量的变化，因为股票总是在变。

TRO shows how many times the float trades in a month. For example, if a stock’s monthly volume is 200 million shares and its available float 100 million, its TRO is 2. If monthly volume of another stock is also 200 million, but its available float is 50 million, its TRO is 4.

周转率说明一个月内股票被交易了几次。比如，如果一只股票的月成交量是2亿股，它的数量是1亿股，那么周转率是2。如果另外一只股票的月成交量是2亿股，但数量是5000万股，它的周转率是4。

If the average volume is much lower than the float, that stock has a low turnover rate and an onrush of buyers is unlikely to move the price much. However, if the volume is high relative to the float, then a lot of people compete for few available shares, and a sudden rush of buyers can move the price dramatically.

如果成交量均值比股票数低很多，那只股票的周转很低，如果买家突然出手，很可能把股价推高很多。如果成交量比股票数高很多，那么是很多人在争购很少的数量，此时买家的突然出手能让价格涨的更厉害。

High-TRO stocks tend to be more volatile. Whoever wants to buy them has to pay a premium to pry them out of the hands of relatively few holders. When a selling wave hits the markets, the stocks with high TROs tend to go down harder because they do not have a large pool of institutional holders looking to pick up extra shares at a discount. All other factors being equal, the stock with a higher TRO will make a bigger percentage move.

周转率高的股票一般波动也大。任何想买的人都要从少数持有者那里拼命抢购。当有卖单袭击市场时，高周转率的股票会跌的更厉害，因为大机构持有者是不会打折买股票的。在其它因素一样的情况下，高周转率的股票波动就大。

For example, at the time of this writing, the monthly volume in GE was 355.9 million, with the available float of 9,809 million, resulting in a turnover ratio of 4%. The figures for JNPR were 387.2 million, 155.6 million, and 249%. No wonder; GE is a slow-moving blue chip, whereas JNPR is a high-flyer. Check these numbers once a month, as they keep changing. Stock splits reduce TROs by increasing the float. One split too many in DELL has oversaturated the market to the point where the stock has become unattractive for day-traders.

比如，在我写这段话的时候，通用电子的月成交量是3.559亿，股票数是98.09亿，周转率是4%。JNPR的数字分别为3.872亿，1.556亿，249%。难怪通用电子是运动缓慢的蓝筹，而JNPR是高飞一族。每个月检查一次数据，它们一直在变。股票在拆分时数量增加了，所以会降低周转率。戴尔电脑就是因为拆分次数太多，造成市场过饱和，交易者不再喜欢戴尔股票了。

Blue chips, such as General Electric and IBM, are widely held by institutions and individuals. Their daily volume, no matter how high, is but a tiny percentage of their float. New unseasoned stocks often have very small floats, but when they catch the public’s eye, their daily volumes go sky-high, lifting the TRO.

蓝筹股，比如通用电子和IBM，被机构和个人大量持有。不管它们的日成交量多么高，也只是流通股的一小部分。新的不稳定的股票，通常流通股很少，但是一旦被大众看中，它们的日成交量会很高，提高了周转率。

You can keep close tabs on the TROs of stocks you track. Whenever the market is active and running, switch into high-TRO stocks. Whenever the market goes into a choppy stage, switch to low-TRO stocks and trade their swings. TRO can help you switch between aggressive and defensive positions.

你可以关注你的股票的周转率。无论何时，只要市场活跃，就转到高周转率的股票。无论何时市场变成振荡了，换到低周转率的股票，波段交易。周转率能帮助你在激进和保守的仓位间转换。

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【 · 原创: 微笑欲语 2008-12-03 15:55只看该作者(-1)】

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Trading Swings or Trends Whenever you glance at a chart, your eye is immediately drawn to major rallies and declines. Big moves attract us with their promise of a killing. Exactly who gets killed is a question that seldom crosses beginners’ minds. The trouble with major rallies and declines is that they are clearly visible in the middle of the chart, but the closer you get to the right edge, the murkier they become.

波动交易或趋势交易 无论何时当你看图表时，你的眼睛很快看出上涨和下跌。大波动以绝杀吸引我们。新手从来不会去想到底谁被杀了。在图表中的大波动看起来很清晰，但是问题是，你离它越近，它越模糊。

Big uptrends are punctuated by drops, while downtrends are interrupted by rallies. Emotionally, it is extremely hard to hold a position through a countertrend move. As profits melt away, we begin to wonder whether this is a temporary interruption or a full-blown reversal. There is a strong temptation to grab what little money is left and run. Shorter swings are easier to catch because price targets are closer and stops are tighter.

大涨中也有下跌，大跌中也有上涨。从感情上说，当趋势相反时，很难持有仓位。当利润越来越少时，我们开始怀疑了，这到底是暂时的回吐，还是真正的反转。人们很容易抓住剩下来的一点钱逃跑。短期的波动则比较容易抓住，因为价格目标和止损都很近。

Should you trade long-term trends or short-term swings? Be sure to decide before you put on a trade; it is easier to be objective when no money is at risk. Different stocks have different personalities, which is why trend traders and swing traders tend to follow different stocks.

你是应该做长期趋势，还是做短期波动？要保证在交易之前做好决定，在没有投资现金之前是比较容易保持客观的。不同的股票有不同的个性，这就是为什么趋势交易者和波段交易者选择不同的股票。

Traders have three choices. Trend traders identify major trends which run for months. Swing traders catch short-term swings between optimism and pessimism, which last from a few days to a few weeks. Day-traders enter and exit during the same trading session, with trades lasting only minutes or hours.

交易者有3个选择。趋势交易者确认可以走几个月的趋势。波段交易者在悲观和乐观之间抓住短期波动，时间可以持续几天到几周。日内交易者同时也会交易，持有时间从几分钟到几小时。

Successful trend trades that catch large moves bring in more money per trade. Other advantages include having more time to decide when to enter or exit, not being tied to the screen, and having the emotional satisfaction of calling major moves. Trend trading does, however, have its drawbacks. The stops are farther from the market - when they get hit, you lose more. Also, you have to sit through long periods of inactivity, which many people find hard to tolerate, and you miss many short-term trading opportunities.

成功的趋势交易者单笔交易能抓住大波动，赚很多钱。其它优势包括有更多的时间决定进场点，出场点，不用死盯屏幕，情绪上感到满足。然而，趋势交易也有不足之处。止损离价格太远了——一旦被止损，亏损就很大。同时，你必须坐等很长时间，很多人都受不了，你错过了很多短期的交易机会。

Swing traders have more opportunities than trend traders, gaining more experience from frequent trades. The dollar risk is lower thanks to closer stops, and quick rewards provide emotional satisfaction. Swing trading also has its drawbacks. Expenses for commissions and slippage are higher, due to more frequent trading. You must work every day, actively managing trades. Also, you are likely to miss major moves - you can’t catch big fish on a small hook.

波段交易者比趋势交易者有很多机会，通过频繁交易能积累很多经验。因为止损很近，所以风险低，快速的回报能带来精神上的满足。波段交易也有不足之处。佣金和滑点的费用很高，因为交易太频繁了。你必须每天工作，积极地管理好交易。同样，你会错过大波动——你不能用小钩子钓大鱼。

Trend trading - buying and holding in a major bull market - works best with the type of stocks that Peter Lynch calls 10-baggers, those that go up by a factor of 10. They are usually newer, cheaper, less seasoned issues. An Internet or a biotech company with a hot new invention, a new patent, or a new idea is more likely to go up by a huge percentage than the stock of an old established firm. A small company may bet its future on a single idea or product, and its stock will soar if the public buys that bet or stay in the doghouse if it doesn’t. Had a large multinational company come up with the same invention, its stock would have barely budged because one more product makes little difference for a huge firm.

趋势交易——上涨时买入并持有——彼得？林奇所谓的10垒打，涨10倍的股票就适合这样交易。它们通常很新，很便宜，比较稳定。互联网或生物科技公司的新发明，新专利或新思想，很可能引起大涨，而比较老的公司则不太可能出现这个现象。一个小公司可能在一个想法或产品上下赌注，如果大众领情买入，就会飙涨；如果大众不领情，就只能爬在地上。如果大型的跨国公司发明了新东西，股价很少动，因为对于大公司来说，单一的产品不会造成很大的不同。

The lure of big trends makes stocks of small companies in promising new industries attractive to trend traders. Swing traders should select their candidates from among the most actively traded stocks on major exchanges. Look for large-cap stocks which swing within broad, well-defined channels.

对于趋势交易者来说，有前景的小公司是有吸引力的。波段交易会则应该选择大型交易所里面的活跃股票。寻找大块头，交易区间宽广，容易使用通道的股票。

Once you choose a stock, don’t assume it will continue to behave the same way forever. Companies change, and you must stay on top of your picks. For example, DELL, started by Michael Dell in his college dorm room, used to be a tiny public company, but grew into one of the largest computer firms in the world. A friend of mine bought $50,000 worth of Dell in the early 1990s and cashed out three years later at $2.3 million, but DELL’s days of spiking through the roof and doubling twice a year are gone. Instead, this widely held stock has become a vehicle for swing traders, and not a very active one at that.

一旦你选择了一只股票，不要以为它永远这样。公司在变化，你的选择也要变化。比如戴尔电脑，麦克？戴尔在大学宿舍创立了这个公司，过去是小公司，但是它成长为全世界最大的电脑公司之一。我的一个朋友在90年代买了50000元的戴尔，3年后兑现为230万，但是那种直飞云天，一年2倍的日子过去了。相反，这种大家都持有的股票成为波段交易者的工具，波动不是很激烈。

A beginning trader is better off learning to catch swings, because profit targets and stops are clearer, feedback comes faster, and money management is easier. The choice between trend trading and swing trading is partly objective and partly subjective. Should you trade trends or swings? My impression, after meeting thousands of traders and investors, is that the elite tend to trade the big moves and ride major trends, but people who can do it successfully are few and far between. There are many more traders who make money - sometimes very serious money - by trading swings. The principles of Triple Screen work for both, even though the entries and especially the exits are different.

新手最好先学习抓波段，因为利润目标和止损都很清晰，回报快，资金管理简单。选择趋势交易或波段交易，部分主观，部分客观。你应该交易趋势还是波段？根据我和几千个交易者，投资者沟通的经验，精英一般交易大波动，但是能做到这点的人很少。还有很多交易者都能赚钱——有时能赚很多钱——通过波段交易。三重滤网对2者都有用，只是进场点，尤其是出场点不同。

TREND TRADING Trend trading means holding your positions for a long time, sometimes for months. It requires holding while your stocks react against the main trend. Bull and bear markets are driven by shifts in the fundamentals, such as new technologies and discoveries in the case of stocks, weather patterns in the case of agricultural markets, political shifts in the case of currencies, and so on. Fundamental factors are behind bull and bear markets, but prices move only in response to actions by traders and investors. When your fundamental information forecasts a major move, you need to analyze the charts to see whether the technicals confirm the fundamentals.

趋势交易 意味着长期持有仓位，有时是几个月。当价格相反于主趋势时也要持有。上涨和下跌是因为基本面在变化，比如股票市场的新科技，新发明，农业市场的天气变化，外汇市场的政治变化等等。基本面因素躲在上涨和下跌的市场后面，但是价格对交易者和投资者的行动直接起反映。当基本面信息预测到大波动时，你要分析图表，看看技术是否确认了基本面。

A market doesn’t send you an invitation before it takes off. When a trend first climbs out of the cellar, few people pay attention. Amateurs are fast asleep, while professionals monitor their markets and scan for breakouts and divergences. Active markets get into the news because the lows and especially the highs attract journalists. One of the key differences between the pros and the outsiders is that the pros always track their markets, while amateurs wake up and look at charts only after a market hits the news. By that time the train has already left the station. The ABC Rating System, described on page 255, can help you handle the challenge of tracking stocks through inactive periods.

市场是不会在起飞前给你发邀请函的。当市场开始走出低谷时，只有很少的人能注意到。业余选手还在睡觉，而专业人士还在忙着找突破和背离。活跃的市场对新闻反映快，因为记者喜欢在最低点，尤其是最高点报道。专业人士和场外人的关键区别是，专业人士一直在跟踪市场，然而业余选手是等到了消息再醒过来看图表。此时火车已经离站了。ABC评分系统能帮助你在不活跃的时候跟踪股票。

A new breakout is easy to recognize but hard to trade and even harder to hold. As a trend speeds up, more and more people pray for a pullback. The stronger the trend, the less likely it is to accommodate bargain hunters. It takes a lot of patience and confidence to hold a position in a trend. Traders tend to be active men with the attitude of “don’t just sit there, do something.” Learning to be passive comes hard to them. One reason women tend to trade better is that they are more likely to be patient.

新的突破很容易被识别出来，但是很难交易，持有更难。当趋势加速时，越来越多的人祈祷回调。趋势越强，它越不可能和别人讨价还价。在趋势中需要很大的耐心和自信以持有仓位。交易者一般都有这个倾向“不要坐在那里，做点什么。”对他们来说，被动是很难的。女性能交易的比较好的一个原因就是她们有耐心。

How can you teach yourself to trade trends? You may begin by studying historical charts, but remember, there is no substitute for experience. The idea is to learn by doing. Start by putting on positions so small that you can be relaxed and not tie your mind into a knot. Trade only a few hundred shares or a single futures contract while you’re learning.

你如何学会趋势交易？你可以开始学习历史图表，但记住，经验是无法替代的。行动比学习重要。一开始可以交易自己很放心的小仓位。在学习阶段只交易几百股或一份期货合约。

To apply Triple Screen to trend trading, monitor long-term charts for breakouts or look for well-established moves, identified by a weekly EMA. When the weeklies tell you to be bullish or bearish, return to the dailies and use oscillators to find entry points. Put on long positions in up-trends when prices touch their rising daily EMA and keep adding on pullbacks. You can also add when daily oscillators, such as MACD-Histogram or Force Index, give buy signals, especially when they coincide with pullbacks. Reverse the procedure in downtrends. When the weekly trend is down and daily oscillators rally and reach overbought levels, they signal to sell short, especially when they coincide with rallies to the EMA.

在趋势交易时使用三重滤网，监视长期图表寻找突破，或通过周均线的确认寻找波动。当周线图告诉你上涨或下跌时，回到日线图，用振荡指标找进场点。在上涨趋势中，当价格碰到上涨的日均线时建仓，在回调时不断加仓。你也可以增加日线的振荡指标，比如MACD柱，或力量指数，当它们在回调冲突时，你能得到买入信号。下跌时则相反。当周线图上趋势是下跌，日线图上振荡指标上涨并到达超买水平，信号是做空，尤其是它们和均线冲突时。

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【 · 原创: 微笑欲语 2008-12-03 15:55只看该作者(-1)】

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The idea is to position yourself in the direction of the market tide and use the waves that go against that tide to build up your initial position. As a beginner, learn to trade a single small position, but once you start making money, the size of your positions and the number of additions become a function of money management.

顺着市场的浪潮交易，在回滚的浪潮建仓。作为新手，学习交易小仓位，一旦你开始用现金交易，仓位的大小和加仓的大小都成为资金管理的功能。

Once you recognize a new trend, get in! New trends, springing out of trading ranges, are notoriously fast, with few or no pullbacks. If you think you have identified a new trend, hop aboard. You can reduce your risk by trading a smaller size, but do not wait for a deep pullback. Those may come later, and you will be able to add to your position. Jumping aboard a new trend feels counterintuitive, but being in the market makes you more alert to its behavior. The great George Soros was only half-joking when he said, “Buy first, investigate later.”

一旦你认出了新趋势，上车！横盘时出现的新趋势非常快，很少回调，甚至不回调。如果你认为你确认了新趋势，上车。你可以通过小仓位来减少风险，但不要等到大回调。大回调也许会迟点来，那时你要加仓。跳进新趋势有点违反直觉，但是身在市场更要警惕。伟大的乔治？索罗斯半开玩笑地说：“先买，再研究。”

Place your initial stop at the breakout level, where the new trend erupted from the range. A rocket that takes off from its launching pad has no business sinking back to the ground. Do not hurry to move your initial stop. Wait for a reaction and then a new move before moving your stop to the bottom of that reaction. The SafeZone stops, which work so well for swings, are much too tight for big trends. While riding a tide, you must expect the waves to swing against you and still hold your position.

止损下在突破处，新趋势突破横盘的地方。火箭脱离发射塔以后，没有必要再回到地面。不要急着移动止损。等回调，回调以上还会上涨，在回调的底部止损。安全区域止损，对波段交易作用大，对于趋势交易来说，则太紧了。当你趋势交易时，在回调时要继续持有仓位。

Trend trading means retaining your initial position through thick and thin. You are fishing for very big fish, and you need plenty of room. One of the reasons so few people make big money from big trends is that they become anxious and hyperactive and forget to hang on. Trends are unlike swings, where you must take profits and run fast. Stay with the trend unless weekly trend-following indicators go flat or reverse.

趋势交易意味着保持你的仓位从开始的多变少。你在钓大鱼，你需要更多的空间。只有很少的人能在大趋势赚大钱的一个原因是大部分人太急，太活跃，忘了坚持持有。趋势不像波段，做波段就要兑现利润逃跑。趋势交易时，要坚持持有，直到周线图上的指标开始走平或反转。

Amateurs often outsmart themselves by trying to pick the end of a trend - a notoriously hard task. As Peter Lynch aptly put it, trying to catch a bottom is like trying to catch a falling knife - you invariably grab it in the wrong spot. Trends tend to overshoot rational expectations. News, daily chart patterns, and other distractions try to throw you off the saddle. Hang on! Consider trading a core position and supplementary positions. You may put on a core position with a wide stop and no definite profit target, while swinging in and out of additional positions - buying on declines to the EMA or selling on rallies to the upper channel line. Consider using two different accounts for easier record keeping.

业余选手常常自作聪明地去找顶或底——超级难的工作。彼得？林奇说，抄底等于接往下掉的刀——一般都接错了。趋势一般都会超过理性的期望。新闻，日线图模式，其它分心的事物都会把你扔出车厢。坚持住！仓位分为关键仓位和补充仓位。你的关键仓位的止损要宽，不要止赢，补充仓位可以进进出出——回调到均线买入，反弹到通道上线卖出。最好用2个不同的账户交易，这样方便做交易记录。

SWING TRADING Markets spend most of their time going nowhere. They rally a few days, pause, decline a few days, and rally again. Small swings - weekly, daily, or hourly - are more common than big trends. By the end of the month the market may be higher or lower, but it has traveled up and down several times. Newcomers get shaken out, while professionals enjoy the short rides.

波段交易 大部分时间市场是没有方向的。它们涨几天，暂停，跌几天。小的波动——周线的，日线的，或小时线的——比大趋势常见多了。也许在月底时市场涨了一点，或跌了一点，但是它已经波动几次了。新手被洗出来了，而专业人士已经做了几个来回了。

Markets’ tendency to swing above and below value has been statistically confirmed by several researchers. Swing trading means buying normalcy and selling mania (buy near the rising moving average, sell near the upper channel line) or shorting normalcy and covering depression (sell short near the falling moving average and cover at the lower channel line). The best swing-trading candidates are among the most active stocks and blue chips that tend to rock, more or less regularly, within their channels. Cats and dogs are best left for trend trading. To draw a list of candidates, start with the 20 most active stocks and a handful of famous blue chips, and choose the ones with the widest channels and the most regular swings.

几个学者已经通过数据统计得到了这个结论，价格总是围绕价值上下波动。波段交易意味着在平静时买，在疯狂时卖（在上涨的均线附近买入，在通道上线卖出），或者是在平静时做空，在绝望时回补（在下跌的均线附近做空，在通道下线回补）。做波段交易最好的市场是最活跃的股票和在通道内波动的蓝筹股。低价股留着做趋势。要选择交易市场的话，先选20个最活跃的股票，以及一些很出名的蓝筹股，要选择通道最宽，波动最有规律的。

Be sure to select only those candidates whose daily channels are wide enough for a C-level trader to take at least a point out of a trade. A C trader is someone who normally takes 10% or more out of a channel. The only way you can prove you are a B or even an A trader is by trading at that level for at least six months. Even A traders are better off with broad channels because profits are fatter. Beginners have no choice but to use the “1 point for a C trader” rule. This translates into 10-point channels. Technical signals may look delicious, but if a channel is narrower than 10 points, click on to the next stock.

记得所选的市场日线通道要足够宽，C水平的交易者至少能赚1个点。C水平的交易者一般会赚到通道的10%。如果你想证明你是B，或者是A水平的交易者，你起码要连续半年维持在这个水平才算。即使是A水平的交易会则，最好也要选宽通道，因为利润多。新手的选择余地不大，只好使用“C水平交易者赚1个点”的原则。这是针对10点的通道来说的。也许技术信号看起来不错，但如果通道宽度小于10点，还是选择下一个股票吧。

Some stocks give better technical signals than others. Look for a handful of regular performers; you need six or seven, certainly no more than 10. Tracking just a handful of issues allows you to keep up your daily homework without running ragged or falling behind. Learn the personalities of your stocks, rate yourself on every trade, and once you become a steady B trader, increase your trading size.

有些股票的技术信号比其它股票好。可以寻找几个波动规则的股票，6，7个，不要超过10个。跟踪几个股票能让你做好每天的功课，不会让你分散注意力，不会落后。了解你的股票的个性，给每笔交易打分，一旦你成为B水平的交易者，就提高你的仓位。

When the weekly trend is up, wait for daily oscillators to become oversold while prices decline toward the EMA. When the weekly trend is down, look for sell signals from daily oscillators while prices rally toward the EMA. If an oscillator falls to a new multi-month low while prices are moving toward the EMA, it shows that bears are extra strong and it is better to put off buying until the following bottom. The reverse applies to shorting.

当周线图上趋势上涨时，等待日线图上的振荡指标变成超卖，同时价格下跌到均线。当周线图上趋势下跌时，等待日线图上的振荡发出卖出信号，同时价格上涨到均线。如果振荡指标跌到了最近几个月的新低，同时价格靠近均线，它表明空头太强，最好推迟买入，知道下一个底的到来。做空时同理。

In a weekly uptrend, the bottoms of daily charts tend to be very sharp affairs. The best time to buy is when the market stabs below its daily EMA. The best time to short is when the market stabs above it. To place an order near the EMA, estimate its level for tomorrow. The math is simple. You know where the EMA was yesterday and where it closed today. If it has risen, say, by half a point, expect tomorrow’s rise also to be half a point and add that to today’s EMA.

周线图上上涨，日线图上的底部则很难处理。最好的买入时机是价格跌到均线以下。最好的做空时机是价格涨到均线以上。在均线附近下单，估计明天就是这个价位。数学很简单。如果你知道昨天均线的位置，就知道今天的位置。如果均线上涨，比如涨了0.5点，预测明天也会涨0.5点，把它加到均线值上。

Take a look at how your stock has behaved since the latest trend began. If the trend is up, look at the previous declines. If the stock has returned to the EMA three times and penetrated it by an average of a point and a half, place a buy order approximately a point below the moving average, a little more shallow than the previous declines. Estimate the EMA for tomorrow and adjust your buy orders daily. Electronic brokers do not become irritated when you change orders each day!

从股票的最近一次趋势开始研究它是如何动作的。如果趋势上涨，看看它以前的下跌。如果股票3次回到均线，平均穿过1.5点，在均线下1个点下单买入，要比之前的下跌浅一点点。每天估计第二天的均线值，每天下单。如果你每天改变订单，电子经纪人是不会生气的！

Swing trading, like fishing, demands a great deal of attention and patience. You need to do your homework daily, calculate the estimated EMA for tomorrow, and place orders. You also must calculate your profit targets and stops.

波段交易就像钓鱼，需要很多专注和耐心。你需要每天做功课，计算第二天均线值，下单。你还要计算利润目标和止损点。

After entering a swing trade, place a protective stop, using the SafeZone method. Swing trading is a high-wire act, requiring a safety net. Stops and money management are essential for your survival and success.

一旦进行了波段交易，要下保护性止损单，使用安全区域止损方法。波段交易就是高空表演，需要安全网。止损和资金管理是你生存和成功的关键。

Take profits near the channel line. The exact level depends on the strength of the swing. If MACD-Histogram and Force Index are making new highs, the market is strong, and you can wait for the channel line to be hit. If they act weak, grab your first profit while it’s still there. What if a strong swing overshoots the channel line? An experienced trader may shift his tactics and hold a little longer, perhaps until the day when the market fails to reach a new extreme. A beginner must train himself to take profits near the channel wall because he does not have the skills to switch on the fly. Being able to take a limited profit without kicking yourself for missing a big part of a move is a sign of emotional maturity. It is liberating to accept what you asked for and not worry about the rest. Profit targets help you create a structure in an unstructured environment. Measure your performance as the percentage of the channel width. You must grade yourself to know where you stand.

在通道上线附近兑现利润。具体的位置则需要看波动的力量。如果MACD柱和力量指数都创造了新高，市场很强，你可以等价格碰到通道上线。如果它们的表现弱，尽快兑现利润。如果波动很强，冲破了通道上线，如何？有经验的交易者会改变战术，多持有一段时间，也许持有到第二天市场不再创造新高为止。新手必须训练自己的通道边缘附近兑现利润，因为他没有本事去飞。有能力取得稳定的收益，还不会错过大波动，这是成熟的标志。你可以自由地取得你想要的，不用管其它的。利润目标可以帮助你构造一个你没有的环境。用通道宽度百分比的方法计算自己的成绩。你必须给自己打分，这样才知道你的水平。

Early in your trading career, it is safer to concentrate on swings. As your level of expertise rises, allocate a portion of your capital to trading trends. Major trends offer spectacular profit opportunities - the big money is in big moves. You owe it to yourself to learn to trade them. Concentrate on quality, and money will follow.

在你交易生涯的早期，比较安全的方法是专注于波段。当你的水平和经验增加时，分配部分的资金去做趋势交易。大趋势会提供惊人的利润机会——大钱在大趋势中。你要自己学会如何交易。专注于质量，钱就会流进来。

Options

期权

The number of shares in any company is fixed, but options are created out of thin air by writers responding to buyers’ demand. An option buyer hopes that the price will get to his target fast enough, and the writer sells him that hope. Most hopes never get fulfilled, but people keep hoping and buying options. Fund managers, floor traders, and exchange members sell hope by the truckload to amateurs who buy calls in bull markets and puts in bear markets.

公司的股份是固定的，但是发行期权的人可以根据买家的需要制造更多的期权。期权买家希望价格能尽快到达目标，发行期权的人则卖给他这个希望。大部分希望都不会实现，但是人们继续保有希望，就继续买期权。基金经理，场内交易者，交易所会员都把希望卖给业余选手，业余选手在上涨时买看涨期权，在下跌时买看跌期权。

A call gives its holder a right, but not an obligation, to buy a certain quantity of a specified security at a specified price at a specified time. It is a bet on a price increase. A put is a right, but not an obligation, to sell a certain quantity of a specified security at a specified price at a specified time. It is a bet on a price drop.

看涨期权给持有人一个权利，但不是义务，在规定的时间，规定的价格，买入规定数量的证券。它是赌价格上涨。看跌期权给持有人一个权利，但不是义务，在规定的时间，规定的价格，卖出规定数量的证券。它是赌价格下跌。

Each option has an exercise price (also called strike price). If a stock fails to reach that price before the exercise date, the option expires worthless and the buyer loses what he paid; meanwhile, the writer keeps his loot, the polite name of which is option premium. To profit from buying or shorting stocks, you must pick the right stock and the right direction. An option buyer’s job is much harder because in addition to that he must bet on how fast the stock will get to his level.

期权都有一个执行价格（也叫行权价）。如果在行权日到达前股票没有到达行权价，期权就作废了，买家花的钱就没了。同时，发行期权的人继续保留他收到的钱，美其名曰期权费。通过买入或做空股票赚钱，你必须选择正确的股票和正确的方向。期权买家的工作很艰难，因为不但要赌对方向，还要赌对股票何时到达行权价。

An option is at-the-money when the current price of the underlying security equals the exercise price.

只有价格到达行权价才有钱赚。

A call is out-of-the-money when the current price of the underlying security is below the exercise price. A put is out-of-the-money when the current price of the underlying is above the exercise price. The farther out-of-the-money, the cheaper the option.

如果市价低于行权价，看涨期权不值钱。如果市价高于行权价，看跌期权不值钱。越是不值钱，期权就越便宜。

A call is in-the-money when the current price of the underlying security is above the exercise price. A put is in-the-money when the current price of the underlying is below the exercise price.

当市价高于行权价，看涨期权就值钱。当市价低于行权价，看跌期权就值钱。

An option can be at-the-money, out-of-the-money, or in-the-money at different times in its life, as the price of the underlying security changes. The price of every option has two components: intrinsic value and time value.

一个期权在存续期间可以值钱，可以不值钱，也可以有时值钱，因为证券的价格在变。每个期权都有2个因素：内在价值和时间价值。

An option’s intrinsic value is above zero only when it’s in-the-money. If the exercise price of a call is $80, and the underlying security rises to $83, the intrinsic value is $3. If the security is at or below $80, the intrinsic value of that call is zero.

当期权值钱时，它的内在价值才大于0。如果一个看涨期权的行权价是80，标的证券涨到了83，它的内在价值就是3。如果证券低于80，内在价值就是0。

The other component of each option’s price is time value. If the stock trades at $74 and people pay $2 for an $80 call, the entire $2 represents time value. If the stock rises to $83, and the price of the call jumps to $4, $3 of that is intrinsic value ($83 - $80), while $1 is time value (the hope that this stock will rise even higher during the life of that option).

期权的另外一个因素是价格的时间价值。如果股票的价格是74元，人们花2元买行权价为80元的看涨期权，这2元代表了时间价值。如果股票涨到了83元，看涨期权的价格涨到了4元，3元就是内在价值（83-80），1元是时间价值（希望在存续期内，股票会涨的更高）。

Option price depends on several factors:

期权价格受几个因素影响：

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The farther out-of-the-money, the cheaper the option - the underlying security must travel a longer distance to make it worth anything before it expires.

期权越不值钱，就越便宜——标的证券要在期权作废前跑很长的距离。

The closer the expiration day, the cheaper the option - it has less time to fulfill the hope. The speed with which an option loses value is called time decay, which becomes steeper as the expiration nears.

离到期日越近，期权越便宜——没有时间完成任务了。期权失去价值的速度叫时间衰减，越接近到期日，衰减越快。

The less volatile the underlying security, the cheaper the option, because the chance of that security making a large move is lower.

标的证券的波动性越小，期权越便宜，因为证券大波动的机会就小了。

Other factors influencing the price of an option include the current level of interest rates and the dividend rate of the underlying stock.

其它影响期权价格的因素还包括利率，证券的分红情况。

When a stock trades at 100, a 110 call is worth more that a 120 call because that stock is more likely to rise to 110 than to 120. A stock is more likely to rise to 110 in five months than in two, making a longer call more valuable. Finally, if two stocks are selling for 100, but one has moved 50 so far this year while the other has moved only 30, then a 110 call for the more volatile stock is likely to be priced higher.

股票的市价是100，行权价为110的看涨期权比行权价为120的看涨期权要值钱，因为股票价格很可能到110，到120的机会小。一只股票在5个月涨到110的概率比2个月大，这样长期的看涨期权就值钱。最后，如果2只股票的市价都是100，但是一只今年波动了50，而另一只只波动了30，那么行权价为110标的股票波动性大的看涨期权价格高。

Different factors of option pricing may clash and partially cancel each other out. For example, if a market drops sharply, reducing the value of calls, the increase in volatility will lift option values, and the calls may lose less value than expected. There are several mathematical models, such as Black-Scholes, widely described in options literature, to determine what is called a fair value of an option.

不同的因素之间也许会互相抵消一部分。比如，如果市场下跌厉害，降低了看涨期权的价值，波动行的增加提升了期权的价值，那么也许看涨期权的价值比预期跌的少。有几个数学模型，比如很多期权书都谈到的“黑色休闲”，就决定了什么是公平的价值。

The simplest option strategy is to buy them. That’s what beginners do, especially buying calls when they cannot afford to buy stocks. They miss the fact that options are more complex than stocks and someone who can’t make money in stocks is doomed in options. A more sophisticated strategy involves writing, or selling, options. A writer may be either covered or naked.

最简单的期权策略就是买入。新手就这么做，如果买不起股票，他们就买看涨期权。

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Covered writers own the underlying securities. For example, a fund may hold IBM stock and sell calls against them, figuring that if the stock does not reach its exercise price and the options expire worthless, they’ll pocket the extra income. If IBM rises to the exercise price and their option is called, they’ll sell their stock at a profit, use the money to buy another, and sell calls against it. Covered writing was very profitable in the early years of exchange-traded options. By now the field is very crowded, and the returns have shrunk. Naked writing, to be reviewed later involves selling options without owning the underlying securities, with writers backing up what they sell only with cash in their accounts.

发行持有标的期权的人拥有标的证券。比如，一个基金持有IBM股票，并卖出关于这个股票的看涨期权，希望股票的价格不到到达行权价，这样期权就作废了，他们就有了额外收入。如果IBM涨到了行权价，他们就卖出股票获得利润，用这个钱买其它的股票，再卖其它股票的看涨期权。在早年的交易所交易中，这种发行持有标的期权的办法很赚钱。现在做这个的人太多了，回报没那么多了。发行不持有标的期权，我们后面会谈，这个方法是在不持有标的证券的前提下卖期权，发行人仅仅用账户的钱做保证。

The above was a brief summary of option terms. To learn more, please turn to the literature on options, listed at the end of this chapter. Just watch out for the books that promise a “simple strategy for tripling your money in a year, working 15 minutes a day, with no math.” People who make money in options tend to be mathematically savvy and highly capitalized, the exact opposite of an average wide-eyed gambler who hopes to make a quick buck from his $5,000 stake. Let us now review options strategies for buying and writing.

以上是对期权的短暂总结。如果想多学点，请去看关于期权的书，本章结尾会列出来。但是要警惕这样的承诺“简单的策略能保证1年3倍，1年工作15分钟，不必数学好。”在期权市场赚钱的人一般数学很好，资金充足。只有天真的赌徒才希望用5000元赚快钱。我们来总结买期权和发行期权的策略。

Buying Options - The Major Reversal Tactic It is harder to make money buying options than stocks. You face all the usual problems, such as choosing the right stock, identifying its trend, and selecting entry and exit points. In addition, you must worry how fast your stock will get where you expect it to go. If you buy a rising stock and it takes five months instead of three to reach its target, you still have a winning trade. Do the same with options, and they’ll expire worthless. If you decide to buy more time by getting longer-term options, you’ll lose money in a different way, because those options are more expensive and move more slowly. All options keep losing time value. Poor beginners who buy them as a substitute for stocks rush in where the pros fear to tread!

买期权——重要的反转战术 买期权赚钱比买股票赚钱难。你要面对不寻常的问题，必须选择正确的股票，确认它的趋势，选择进场点，出场点。另外，你还要研究股票以多快的速度才能到达你的目标。如果你买了一只上涨的股票，它用了5个月，不是3个月涨到了你的目标，你是赚钱的。同样的方法用在期权上，它们却到期作废了。如果你想买到期日很长的期权，你可能在多种情况下亏钱，因为这样的期权很贵，动作很慢。所有的期权都在损失时间价值。可怜的新手为了替换股票跳进了专业人士都怕的市场。

Professionals tend to buy options only on special occasions, when they expect a major reversal, especially to the downside. If you expect not a little downtrend in a stock but a massive crash, buying a put may be a good idea. When a long-term trend begins to turn, especially near the top, it creates massive turbulence, like an ocean liner changing its course. A stock may collapse today and soar tomorrow, only to collapse again. When volatility goes through the roof, even well-heeled traders have trouble placing stops. A stop belongs outside the zone of market noise, but where do you put it when the noise level rises to a roar? Options allow you to sidestep this problem, at a price which can only be covered by a major move.

专业人士仅在特殊情况下买期权，当他们期待主要反转的时候，尤其是下跌的时候买入。如果你不是期待股票的小跌，而是崩跌，那么买看跌期权是好主意。当长期趋势开始下跌时，尤其是顶部附近的下跌，它会产生很大的振荡，就像是海岸线改变了路线。股票也许会今天崩跌，明天飙涨，然后又崩跌。当波动穿破屋顶时，即使是有能力的交易者也不知道如何设置止损了。止损是市场噪音外的东西，但是在噪音冲天的市场该怎么办呢？期权能让你避免这个问题，在主趋势只能回补的价格下手。

Prices tend to fall twice as fast as they rise. Greed, the dominant emotion of uptrends, is a happy and lasting feeling. Fear, the dominant emotion of downtrends, is sharper and more violent. Professionals are more likely to buy puts because of shorter exposure to time decay. When you expect a major downside reversal, buying a put can be a sensible trade. The same principles apply to calls, but uptrends are better traded with stocks.

价格在下跌时的跌幅一般是上涨时的2倍。上涨时的主要情绪是贪婪。下跌时的主要情绪是恐惧，更厉害，更剧烈。专业人士喜欢买看跌期权，因为时间损耗短。当你期待主趋势反转时，买看跌期权是合理的。看涨期权也是同样的原理，但上涨的趋势还是买股票好。

A trader who expects a downswing must decide which put to buy. The best choice is counterintuitive and different from what most people get.

期待下跌的交易者要决定买什么样的看跌期权。最好是和直觉不同的，和别人不一样的。

Estimate how low you expect a stock to collapse. A put is worth buying only if you expect a waterfall decline.

要估计股票会跌到哪里。只有在崩跌时看跌期权才值得买。

Avoid puts with more than two months of life. Buying puts makes sense only when you expect a sharp decline. If you anticipate a drawn-out downtrend, it is better to sell short the underlying security.

要避免买存续期超过2个月的看跌期权。只有在期待崩跌时买入看跌期权才有意义。如果你希望会长期下跌，那么最好是做空标的证券。

Look for cheap puts whose price reflects no hope. Move your finger down the column of put strikes. The lower you go, the cheaper the puts. At first, each time you drop to the next strike price, a put is 25% or even 35% cheaper than the previous level. Eventually you come to the strike level at which you would only save a tiny fraction of price. This shows that all hope has been squeezed out of that put, and it is priced like a cheap lottery ticket. That is the one you want!

寻找便宜的看跌期权，它们的价格反映了没有希望。顺着看跌期权向下找。越往下越便宜。首先，行权价越低一个层次，就意味着看跌期权比上一层次要便宜25%——35%。最后一个层次价格最便宜。这表明所有的希望都被挤没了，这个价格和买彩票差不多。你就要这样的！

Buying a very cheap, far-out-of-the-money put is counterintuitive. It is so far-out-of-the-money and has so little life left in it that it seems likely to expire worthless. You can’t place a stop on it, so if you’re wrong, the entire premium will go up in smoke. Why not buy a put closer to the money?

买一个便宜的，不值钱的看跌期权是违反只觉的。不值钱的，没有多少生命的看起来要到期作废了。你不能止损，如果你错了，所有的钱就化成烟了。为什么不买值钱的看跌期权？

The only time to buy a put is when you’re shooting for an exceptional gain from a major reversal. In an ordinary downtrend it’s better to short stocks. Cheap far-out-of-the-money puts provide the most bang for the buck. Aim for a 10-fold gain or better, rather than the usual 2:1 or 3:1 ratio. Returns like these allow you to be wrong on a string of trades, yet come out ahead in the end. Catching one major reversal will make up for a string of losses and leave you very profitable.

买看跌期权的唯一机会是当你寻找从主要的反转赚钱时买入。在普通的下跌中，最好做空股票。不值钱的看跌期权能赚大钱。目标是10倍，或更多，不是通常的2倍或3倍。想取得这样的回报，你可以连续多次犯错，但最终结果要赚钱。抓住一次重大反转会弥补一连串的亏损，并赚很多利润。

The best options trade I ever made was during the October 1989 minicrash in the stock market. On Thursday the market closed weak, with new lows exceeding the new highs for the first time in over a year, which gave me a long-awaited sell signal. On Friday morning, while at a trade show in Chicago, I bought OEX puts at 3/8. On Friday afternoon the bottom fell out of the market. On Monday the market opened sharply lower and my puts, purchased just a few trading hours ago at less than half a point, were bid at 17.

我最好的期权交易发生在1989年10月股市的小崩盘。周四收盘弱，整年中第一次出现新低比新高低，给出了我一直等待的卖出信号。周五早上，当时在芝加哥看交易展，我用3/ 8的价格买了OEX的看跌期权。周五下午形成了新底。周一早上市场严重低开，我的看跌期权已经涨到17了。

Why don’t more people use this tactic? First, it requires a great deal of patience, as opportunities are very infrequent. It offers very little entertainment value. Most people cannot stomach the idea of being wrong three, four, or five times in a row, even if they are likely to make money in the end. This is why so few traders play one of the greatest games in the options market.

为什么大部分人不使用这个战术？首先，需要极大的耐心，因为机会太少了。它可不是给你娱乐的。大部分无法忍受连续3，4或5次亏损，即使最终会赚钱。所以很少有人玩这个伟大的期权游戏。

Writing Options Beginners, gamblers, and undercapitalized traders make up the majority of option buyers. Just think of all the money lost by those hapless folks in their eagerness to get rich quick. Have you sent a few dollars down the options hole? Who got all that money? Brokers, of course, but mostly options writers. Well-capitalized professionals tend to write options rather than buy them. Covered writers sell options against securities they own. Naked writers sell options without owning the underlying securities.

发行期权 新手，赌徒和资金少的交易者构成了期权买家的大部分。想象那些急着赚钱，却不幸亏钱的人吧。你有没有把一些钱投入期权的黑洞？谁赚了所有的钱？当然是经纪商，但大部分是发行期权的人。资金雄厚的专业人士一般是发行期权，而不是买期权。有标的证券期权发行人卖出针对他们拥有的证券的期权。无标的证券期权发行人没有证券也卖出期权。

A stock or a future can do one of three things: rise, fall, or stay flat. When you buy a call, you can profit only if the market rises, but lose if it goes down or stays flat, and sometimes even if it rises but not fast enough. When you buy a put, you win only if the market falls fast enough. An options buyer makes money only if the market goes his way, but loses if it goes against him or stays flat. A buyer has one chance to win out of three, but the odds are two out of three for an option writer. No wonder the pros prefer writing options.

股票或期货可以做3件事：上涨，下跌或横盘。如果你买入看涨期权，你有在市场上涨时赚到利润；如果它下跌或横盘，你就亏损；有时候它在涨，但涨的不快也亏损。如果你买入看跌期权，只有市场跌的足够快你才能赢。只有市场按照他想的方向走，期权买家才能赚钱；如果市场方向和想的相反，或横盘，就要亏钱。买家赢家的概率是三分之一，但是期权发行人的机会是三分之二。难怪专业人士都喜欢发行期权。

Large funds tend to use computerized models to buy stocks and write covered calls against them. If a stock stays below the strike price, they pocket the premium and write a new call with a new expiration date. If a stock rises high enough to be called, they deliver it, collect the money, invest in another stock, and write calls against it. Covered writing is a mathematically demanding, capital-intensive business. Most serious players spread their costs, including staff and equipment, across a large capital base. A small trader doesn’t have much of an edge in this expensive enterprise.

大基金一般用电脑模型帮助买股票，并发行针对它们的期权。如果股票在行权价以下，他们就赚了卖期权的钱，还可以发行到期日更远的新期权。如果股票涨到了行权价，他们就把股票卖出去，得到了利润，然后再投资另一只股票，再针对这只股票发行期权。发行有标的证券的期权需要数学好，资金充足。大部分热真的玩家要花巨大成本，包括员工和设备。小交易者没有优势搞这么昂贵的生意。

Naked writers sell options without owning the underlying securities, similar to shorting. A naked writer collects his premium at the outset of the trade but his risk is unlimited if the position goes against him and he fails to get out. If you own a stock, sell a call, and that stock gets called, you have something to deliver. If you sell a naked call and the stock rises to its exercise price, the option buyer can demand delivery, whether you own that stock or not. Imagine selling calls on a stock that becomes a takeover play and opens $50 higher the next morning - you still have to deliver. It can hurt.

无标的证券期权的发行人卖出期权，但自己并不拥有相对的证券，类似于做空。无标的证券期权的发行人最初通过交易赚期权的钱，但是如果在情况不利时不能逃跑，他的风险是无限大的。如果你有一只股票，你卖出看涨期权，股票涨到了行权价，你可以卖股票。如果你卖出无标的证券看涨期权，股票涨到了行权价，不管你有没有股票，期权买家都可以要求得到股票。想象一下，如果买家要求得到股票，而第二天股票开盘就涨了50元——你还是要给他股票。这太痛苦了。

Limited reward with unlimited risk scares most traders away from naked writing, but the reality and perception are usually quite different in the markets. Writing naked options seems very dangerous, but most of the time a far-out-of-the-money option with a short time to the expiration is very likely to expire worthless, to the benefit of the writer. Its chance of reaching the exercise price and causing a loss to a writer is very low. The risk/reward ratio in naked writing is a lot better than it looks, and there are techniques for reducing the impact of a rare adverse move.

发行无标的证券期权是有限的回报，无限的风险，所以吓坏了大多数交易者。发行无标的证券期权看起来很危险，大多数时间没有价值的，很快就要到期的期权一般都会到期作废，但是发行人有钱赚。它到达行权价的概率太低，所以发行人亏损的概率也很低。无标的证券期权的风险回报比比看起来的要好，有一些技术可以防止很少出现的反转造成的冲击。

Savvy naked writers tend to sell out-of-the-money calls and puts at levels that a stock or a commodity is unlikely to reach during the option’s life. They sell distant hopes. Good writers track market volatility to find how far a stock is likely to move, based on its recent conduct, and sell options outside that range. If a stock took a year to rise from 60 to 130, the pros are going to fall all over themselves trying to serve some greenhorn who wants to buy 170 calls that will expire in a few weeks. The chance of that stock rising 40 points before the option expiration is exceedingly low. A gullible amateur wants to buy hope, and the pros are delighted to sell it to him. This game goes into high gear during the week or two prior to option expiration, when the floor mints money out of thin air, selling naked puts and calls that have almost no chance of reaching their exercise price.

聪明的无标的证券期权发行人一般喜欢卖不值钱的看涨期权，行权价定在股票和期货都不太可能到达的水平。他们卖出长远的希望。聪明的发行人会跟踪市场的波动，看看股票最多波动到哪里，然后他在这个范围之外卖出期权。如果股票花了一年时间从60涨到130，这时专业人士会想法设法满足新手的要求，买入行权价为170元，几周就到期的期权。股票在几周内涨40点的概率超级低。爱上当的新手要买希望，专业人士很高兴地卖给他们希望。在期权到期前的1，2周，卖出的无标的证券期权几乎没有可能到达行权价，但此时却制造了大把的利润，把游戏推向高潮。

Cautious writers may close their positions without waiting for the expiration date. If you write a call at 90 cents and it goes down to 10, it may make sense to buy it back and unwind your position. You’ve already earned the bulk of profit, so why expose yourself to continued risk? It is cheaper to pay another commission, book your profits, and look for another writing opportunity.

谨慎的发行人在到期日之前就平仓了。如果你发行了行权价是90分的看涨期权，它跌到了10分，你应该买回来，对冲自己的仓位。你已经赚了很多利润，为何要把自己暴露给风险？付佣金，兑现利润，找下次发行的机会，这样比较便宜。

Becoming a naked writer requires absolute iron discipline. The size of your writes and the number of positions must be strictly determined by money management rules. If you sell a naked call and the stock rallies above its exercise price, it exposes you to the risk of ruin. You must decide in advance at what level you will cut and run, taking a relatively small loss. A naked seller cannot afford to sit when a stock moves against him. Amateurs hang on and wait for the underlying security to turn around. They wait for the wasting time value to get them off the hook. The longer you wait for a miracle, the deeper the steel hook of the market lodges in your intestines. Stay away from naked writing if you have the slightest problem with discipline!

成为无标的证券期权发行人需要铁的纪律。你发行的价格，数量大小都要严格遵照资金管理的原则。如果你卖出无标的证券看涨期权，股票涨到了行权价，你的风险可能是毁灭性的。你要提前决定何时止损逃跑，这样的亏损相对小些。无标的证券期权发行人不能坐等股票对自己不利。业余选手坐在那里，等股票反转。他们浪费时间，等解套。你等待奇迹的时间越长，市场套你越深。如果你不能遵守纪律，就不要发行无标的证券期权！

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【 · 原创: 微笑欲语 2008-12-03 15:56只看该作者(-1)】

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WRITER’S CHOICE All options buyers know this sad sequence: you’re right on the direction of the market, right on the stock, but still lose money on the option. Time is the enemy of options buyers. Buyers lose when the underlying security takes longer than expected to get to the level at which they can collect on their bet. As the expiration date nears, an option becomes worth less, and less, and less.

发行人的选择 所有的期权买家都知道这个悲惨的结果：你的方向对的，股票对的，但还是要在期权上亏钱。时间是期权买家的敌人。如果股票花了很长时间才到达行权价，买家也是亏钱。当到期日接近时，期权就快没有价值了，价值越来越少。

What if we reverse this process and write rather than buy options? Now time will work in our favor because each passing day will reduce the likelihood of that option having any value before it expires.

如果反过来，我们不买，我们发行期权，会如何？这样我们就占便宜了，因为随着时间的推移，期权到期作废的概率比较大。

The first time you write an option, and do it right, you’ll experience the delicious sensation of time working in your favor. The option loses some of its time value each day, making the premium you’ve collected safer and safer. When the market goes nowhere, you still make money, as time value evaporates with each passing day.

你第一次发行期权时要做对，你会体验到时间帮你工作的激动。期权每天丧失时间价值，让你得到的期权费一天比一天安全。当市场乱走时，你照样赚钱，因为时间价值每天都在蒸发。

If living well is the best revenge, then taking a factor that kills most options buyers – time - and making it work for you is a gratifying experience.

如果好好或者就是最好的报复，那么就要利用杀死大部分期权买家的因素——时间——让它为你工作是一个很好的经验。

We must not forget that an option is a hope, and it is better to sell empty hopes which are unlikely to be fulfilled. Take three steps before writing a call or a put. First, analyze the underlying security, decide which way it’s moving, and estimate its price target. Second, decide whether to write a put or a call. Third, choose the strike price and the expiration date for the option you’ll write. If any one of these steps seems unclear, stand aside, do not force a decision, and look for another opportunity.

我们不要忘了期权就是希望，最好是卖没有希望的希望。在发行期权前要做3步。第一步，分析相关证券，决定它的方向，估计它的目标。第二步，决定发行看涨期权或看跌期权。第三步，选择到期日和行权价。如果任何一点搞不清楚，就不要搞了，寻找下次机会。

One of the key factors in pricing options is the volatility of the underlying security. A tool included in most trading software, called Bollinger bands, can help you rate volatility. Those standard deviation bands are centered around a moving average but unlike envelopes, whose walls are parallel, they expand and contract as volatility changes. Bollinger bands become narrow when markets are sleepy and wide when they grow wild. Flat, narrow bands indicate a sleepy market where options are cheap and it is better to buy them rather than sell. When Bollinger bands go to a wide spread, they mark an overheated market where options tend to be overpriced, creating an opportunity for writers. Here are the steps to follow:

给期权定价的一个关键因素是标的证券的波动性。在很多波动软件里面都有布林通道，它能帮助你计算波动性。在均线附近的标准背离通道不像包络线，它们的墙是平行的，他们随着波动性扩张。当市场平静时布林通道变窄；当市场疯狂时通道变宽。

Analyze a security against which you want to write options. Use Triple Screen to decide whether a stock, future, or an index is trending or nontrending. Use weekly and daily charts, trend-following indicators, and oscillators to identify trends, detect reversals, and set up price targets.

分析你要发行期权的标的证券。用三重滤网分析是否股票，期货或股指期货有趋势。用周线图，日线图，趋势跟踪指标，振荡指标确认趋势，发现反转，设定价格目标。

Select the type of option to write. If your analysis is bearish, consider writing calls. If bullish, consider writing puts. When the trend is up, sell the hope that it will turn down, and when it’s down, sell the hope it’ll turn up. Do not write options when markets are flat and Bollinger bands are tight because premiums are low, and a breakout from a trading range can hurt you.

选择期权类型。如果你分析是下跌，考虑发行看涨期权。如果是上涨，考虑发行看跌期权。当趋势上涨时，卖出下跌的希望；当趋势下跌时，卖出上涨的希望。当市场横盘，布林通道很窄时不要发行期权，因为收益低，横盘突破会伤害你。

Estimate how far, with a generous safety margin, the market would have to move in order to change its trend, and write an option beyond that zone. Write an option with a strike price the market is unlikely to reach before the expiration. Suppose a stock is at 80, having risen from 50 in the past year and is now rising half a point per week, with 8 weeks left to option expiration. The trend is up, and selling a 70 put under those circumstances means selling an option that is likely to expire worthless.

分析市场会走多远，何时会反转，在这个范围之外发行期权。发行期权要保证在到期是之前市场到行权价的可能性低。假如股票是80，过去一年从50涨起来的，现在每周涨0.5点，8周后期权就到期。趋势上涨，在这种情况下卖出行权价为70的看跌期权意味着卖出的期权可能到期作废。

The temptation to sell naked options close to the money and get fatter premiums is dangerous, because a slight countertrend move can push your position underwater. Look at the number of weeks remaining to the expiration, calculate the distance the market is likely to travel based on its recent behavior, and write an option outside that range.

想卖出无标的证券期权，赚大钱的想法是危险的，因为轻微的反转就能把你的仓位拉下水。看看还有几周到期，根据市场最近的表现计算它要跑多远，然后在这范围之外发行期权。

Write options with no more than two months to the expiration. The shorter the time, the fewer surprises. The erosion of time value accelerates in the last few weeks of option life. When you write options close to the expiration, you benefit from faster time decay. You can get more money for options with longer life, but do not get greedy. The goal of a writer is not to make a killing on any single trade but to grind out a steady income.

在2个月内到期时发行期权。时间越短，意外越少。在期权的最后几周时间内时间价值会加速贬值。当你发行的期权接近于到期日，你就能享受时间价值快速贬值的好处。时间长的期权赚的钱多，但不要太贪婪。发行期权的目的不是每笔交易大赚，而是稳定的收益。

LIMITING RISK A trader can keep writing naked calls or puts, but do it long enough, and some day he will get caught on the wrong side of a powerful move. Profits of several years can be wiped out in a single day.

控制风险 交易者可以经常发行无标的证券期权，但是如果做的时间久了，总有一天要被强大的反向波动陷害。几年的利润可能一天就没有了。

For example, whenever there is a great bull market, the pros look at selling puts like a license to print money. The contrarians, the alarmists, and “the end is nigh” crowd keep buying puts for years and losing money, but suddenly there is a crash and buyers have their day in the sun. The pros who have been feeding off them for years face their day of reckoning - the quick ones survive, while the slow ones are carried out feet first.

比如，只要有上涨的大波动，专业人士觉得卖看跌期权就像是在印钞票。持相反观点的人，持批评态度的人，持快到头了的人，常年来一直买入看跌期权，一直亏钱，但是突然崩盘了，买家终于迎来了阳光灿烂的日子。常年来，靠他们赚钱的专业人士迎来了审判日——动作快的可以生存，但是要等动作慢的先走。

A trader can grow fat and greedy writing naked options, selling useless contracts created out of thin air and pocketing profits. A smug feeling of self-satisfaction blinds people to reality. Naked positions in options need to be protected by stops and money management rules.

无标的证券期权发行人可以赚很多钱，还变得贪婪，不断凭空卖出没有价值的期权赚钱。被自满蒙蔽了现实。发行无标的证券期权也要止损，也要资金管理的原则。

Use a mental stop-loss on the underlying security. Set a stop on the underlying stock, future, or index and not on the price of your option. Buy back that option if the underlying security reaches your stop level. For example, if you sell a naked 80 call on a stock trading at 70, place your stop at 77. Get out of your naked option position before it gets into the money by crossing its exercise price.

思想止损。为相对的股票，期货或股指期货止损，不是给期权止损。如果相对的证券到了止损点，你要买回期权。比如，如果你卖出无标的证券看涨期权，行权价是80，股票价现在是70，止损点放在77。当价格到达行权价之前，你要把期权平仓。

Your stop is like an ejection seat on an aircraft. If you write an out-of-the-money option and the market starts moving into the money, there is no point in sticking around, waiting to see what happens next. You are wrong, and you’re losing - push the eject button before the damage turns deadly. If you sold an option for 1.50, by the time it hits your at-the-money stop level it may double in price to 3. If you use stops, you’ll be nowhere near the “unlimited loss” that makes people afraid to write options.

止损就想是飞机上的弹射椅。如果你发行了无标的证券期权，结果市场要到达行权价了，你没有理由继续等待。你已经错了，你亏损了——在致命的亏损发生前按弹射椅的按钮吧。如果你在1.50卖出期权，当价格到达你的止损点时，它可能已经涨到3了。如果你止损，你就不会最终亏损，也就不会害怕继续发行期权。

Set your profit-taking zone - consider buying back your naked option. When you write a call or a put, you sell a wasting asset. When the underlying security moves far from the exercise price but there is still time left to the expiration, the price of that option may reach its rock bottom. It loses value only in tiny dribs and drabs. The loser who bought that option still has a bit of a chance that the market may reverse in his favor. He continues to hold that call or put like a lottery ticket, and once in a rare while his ticket may win.

设置你的利润目标——考虑买回你的无标的证券期权。当你法相期权时，你卖出的是没有价值的资产。当标的证券从离行权价很远的地方开始运动，还要很长时间才能到期，期权的价格也许会到底了。它不值钱时就会失去价值了。买了期权的输家还是有一点点机会等市场发转的。他继续持有期权，就像拿着彩票一样，偶尔一次他的期权会赢。

Why hold an open position in an option that has already given you most of its value? You have little to gain, while remaining exposed to the risk of an adverse move. Consider buying back that option to close out your profitable trade.

如果期权已经给你好处了，为什么还要持有？你的收益很少，还要面对反转的风险。要考虑买回期权，以兑现利润。

Open an insurance account. A naked seller needs insurance against a catastrophic reversal. You may write a put and the market crashes the next day, or you write a call and suddenly there is a takeover. You hope this never happens, but trade long enough and eventually everything will happen! That’s why you need insurance. Nobody will write it for you, so you’ll have to self-insure.

开保险账户。无标的证券期权发行人需要为防止灾难式反转做保险。也许你今天发行了看跌期权，市场第二天就崩溃了；或者你发行了看涨期权，突然就有人要求得到股票。你不希望这样的事会发生，但只要你长期交易，最终任何事都会发生！这就是你需要保险的原因。没有人会为你发行保险，所以你要自己保险。

Open a money market account, and every time you close out a naked writing position, throw a percentage of your profit, 10 percent or more, into that account. Do not use it for trading. Have it sit there, in a money market fund, for as long as you write options. Your insurance account grows with each new profit, ready to cover a catastrophic loss or to be taken out in cash when you stop writing options!

开一个银行账户，每次你发行无标的证券期权赚钱后，都拿一部分利润存起来，存10%或更多。交易时不要动用。就让它留在银行账号，直到你不再做期权为止。随着你每笔交易赚钱，你的银行账户就会长大，就会应付你的灾难性亏损，也可以在你不做期权后拿出来用。

Option writers get hurt in one of three ways. Beginners overtrade and write too many options, breaking money management rules. Intermediate-level traders get hurt when they fail to run fast enough when their options move against them. Experienced traders can get blown out if they do not have a reserve against a major adverse move. The longer you trade, the greater your risk of a catastrophic event. Having an insurance account confirms your position as a professional option writer.

发行期权的人有3个受伤的方式。新手过度交易，发行了太多的期权，打破了资金管理原则。水平高一点的交易者，当仓位不利时，逃跑的太慢了。有经验的交易者如果长期平安无事，那么哪天反转太厉害，就被炸飞了。你交易的时间越长，发生灾难事件的概率就越大。还是有个银行保险账号好，能保证你是专业的期权发行人。

WHERE DO I GO FROM HERE? Every options trader should own Lawrence McMillan’s Options as a Strategic Investment and use it as a handbook. Most professional traders read Sheldon Natenberg’s Option Volatility and Pricing Strategies. Harvey Friedentag’s Options: Investing without Fear has a nice angle on covered writing.

能告诉我如何开始吗？每个期权交易者都应该有劳伦斯？麦克米伦的《选择权投资策略》（张轶注：台湾译名）作为手册。大部分专业交易者都读过谢尔登？纳坦恩伯格的《选择权：价格波动率与定价理论》（张轶注：台湾译名）。哈维？佛里登泰格的《股票选择权入门》（张轶注：台湾译名）对发行无标的证券期权有独到见解。

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【 · 原创: 微笑欲语 2008-12-03 15:57只看该作者(-1)】

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Futures

期货

Futures used to have such a bad reputation that several states tried to outlaw them a century ago. They used to have Sunday sermons against futures in parts of the agricultural belt. None of that prevented futures from evolving into a potent economic force.

过去期货的名声太差了，100年前有一些州要禁止期货。在一些农业产区，过去人们利用周日布道时反对期货。但都没有阻止期货成为现在经济的重要力量。

Futures markets have prospered because they serve two groups that have a great deal of money. On the one hand, futures permit major commercial producers and consumers to hedge price risks, giving them a fantastic competitive advantage. On the other hand, futures offer speculators a gambling palace with more choices than all the casinos in Nevada. Between the hedgers and the speculators, on a ground richly soaked with blood and money, are professional futures traders. They help move the wheels of commerce and take a fee for their services. A sign of their profitability is the fact that many of those public servants pass their craft to their sons and now occasionally even to their daughters.

期货市场能发展是因为它为两大有钱团体服务。一方面，期货允许商业生产者和消费者对冲价格风险，给他们巨大的竞争优势。另一方面，期货为投机者提供了最好的赌博天堂，机会很多，比内华达州的赌场还要多。在对冲者和投机者之间，有一帮吸血鬼，他们是期货专业交易者。他们帮助推动经济大轮的运动，同时为自己的服务收费。这些人民公仆能赚大钱的现象就是他们把这门手艺传给了儿子，有时还传给女儿。

Hedging means opening a futures position that is the opposite of one’s position in the actual commodity. It removes the price risk from holding a cash commodity or planning to buy such a commodity in the future. Hedgers transfer price risks to commodity speculators. This allows them to concentrate on their core businesses, offer better consumer pricing, and obtain a long-term competitive advantage over their unhedged competitors.

对冲就是针对自己的实物仓位在期货市场方向建仓。如果自己持有实物，或者将来要买实物，这样就去除了价格风险。对冲者把风险转嫁给商品投机者。这就让他们能专注于自己的核心业务，提供更好的商业价格，比他们没有对冲的竞争对手更有竞争优势。

For example, I have two friends, brokers in Moscow, who teach sugar importers how to hedge (Russia has become the world’s biggest importer of sugar since the breakup of the Soviet Union). Their clients are big players in the food industry, who know up to a year in advance how much sugar they’re going to need. Now they can buy sugar futures in London or New York when prices are low enough. They are going to need their trainloads of sugar many months from now, but meanwhile they hold sugar futures, which they plan to sell when they buy their cash position. In effect, they are short cash, long futures. If sugar prices go up and they have to pay more than expected, they will offset that loss by making roughly the same profit on their futures positions.

Their unhedged competitors are in effect flipping a coin. If sugar prices fall, they’ll buy on the cheap and reap a windfall, but if they rise, they’ll be hung out to dry. The importers who are hedged can concentrate on running their core business instead of watching the price ticker.

比如，我有2个朋友是莫斯科的经纪人，他们教白糖进口商如何对冲（俄罗斯自从苏联解体以后成为世界最大的白糖进口商）。他们的客户是食品工业的巨头，它们能提前一年知道自己要多少糖。现在，当价格很低时，他们可以在伦敦或纽约买白糖期货。这些糖用火车运载需要几个月，当他们有现金仓位时，他们可以卖出期货。实际上，他们在做空现金，做多期货。如果白糖的价格上涨，涨的比他们想象的多，他们会通过期货仓位的调整来弥补亏损。他们的竞争对手如果没有做对冲，只好扔硬币了。如果白糖下跌，他们就会低价买入，发顺风财；但是如果白糖上涨，他们就渴死了。进口商使用对冲就可以把精力放在自己的生意上面，而不是天天担心价格波动。

Producers of commodities also benefit from hedging. An agribusiness can presell its wheat, coffee, or cotton when prices are high enough to guarantee profits. They sell short as many futures contracts as it takes to cover their prospective crop. From that point on, they have no price risk. If prices go down, they’ll make up their losses on cash commodities by profits on futures. If prices go up, they’ll lose money on their short positions in futures but make it back selling the actual commodities. Producers give up a chance of a windfall but insulate themselves from the risk of lower prices. Survivors thrive on stability. That why the Exxons, the Coca-Colas, and the Nabiscos are among the major players in the commodity markets. Hedgers are the ultimate insiders, and a good hedging department not only buys price insurance, but serves as a profit center.

商品生产商可以通过对冲收益。农业生产商可以在价格很高时提前卖出小麦，咖啡，或棉花，以保证利润。他们增产时就会尽力做空期货。从这个角度说，他们没有价格风险。如果价格下跌，期货的利润会弥补现金仓位。如果价格上涨，他们做空期货是亏钱的，但是他们的实物就可以赚到钱。生产商放弃了赚横财的机会，但是也避免了自己的产品价格下跌的风险。幸存者靠稳定生存。这就是为什么埃克森，可口可乐，纳贝斯克是最大的商品市场玩家。对冲者是永远的场内交易者，优秀的对冲部门不但要为价格买保险，还要为利润做贡献。

Speculators step in to assume market risks, lured by the glitter of profits. Hedgers, with their inside information, are not fully confident about future prices, while crowds of cheerful outsiders plunk down money to bet on price direction. It reminds me how, years ago, I walked into a liquor store with a scientist friend to buy some wine for dinner. This was soon after the state of New Jersey introduced a lottery to pay for education. There was a huge line at the counter, as lottery tickets in those days were sold only in liquor stores. When my friend, who owned a house in New Jersey, saw what was happening, he doubled up laughing, “You mean these people are lining up to keep my taxes down?!” That’s pretty much what most speculators do in futures.

投机者被利润吸引，而进场承担风险。对冲者，根据自己内部的信息，一般不会对期货价格有信心，然而兴高采烈的场外大众拿很多钱来赌方向。这让我想起几年钱，我和一个科学家朋友去卖酒的地方为晚餐买点酒。这事发生在新泽西州采取了买彩票上学的措施之后。当时柜台前排队的人巨多，因为当时只有卖酒的地方才可以卖彩票。我的朋友在新泽西有房子，看到了这样的事后，他笑着说：“这么多人来排队是为了帮我减税吗？！”大部分期货投机者就是给别人送钱的。

The two largest groups of speculators are farmers and engineers. Farmers produce commodities, while engineers love to apply scientific methods to the market game. Many small farmers enter futures markets as hedgers but catch the bug and start speculating. There’s nothing wrong with that, as long as they know what they are doing. It never ceases to amaze me how many farmers end up trading stock index futures. As long as they trade corn, cattle, or soybeans, their feel for the fundamentals gives them an edge over city slickers. But what’s their edge in the S&P 500? Faster reflexes than the rest of us? Gimme a break!

投机者的2大阵营是农民和工程师。农民生产商品，然而工程师喜欢用科学方法来玩市场游戏。很多小农民进入期货市场是为了做对冲，但是他们被吸引，开始做投机。如果他们知道自己在干什么，这并没什么错。让我吃惊的是，很多农民在交易股指期货。如果他们坚持交易玉米，牛，大豆，他们有生产经验，懂基本面，应该可以比城里人有优势。但是对于标准普尔500，他们有什么优势？能比我们还强？别扯淡了！

There is one profound difference between futures and stocks, making the futures game extremely fast, furious, exciting, and deadly. The futures markets are turbocharged by a simple but potent device of low margin requirements.

期货和股票有一个重大的不同点，让期货游戏更快，更激烈，更激动，更致命。期货市场的高杠杆是简单有力的设备。

United States securities law demands that in the stock market you pay at least half the cash value of your position. Your broker can give you a margin loan for the other half. If you have $30,000 in your account, you may buy $60,000 worth of stocks, and no more. The law was passed after the Crash of 1929 when people realized that low margins led to excessive speculation, which contributed to the viciousness of declines. Prior to 1929, speculators could buy stocks on a 10% margin, which worked great in bull markets but wiped them out in bear markets.

美国证券法规定，在股市，你至少付仓位一半的钱。你的经纪人可以为你的另一半钱提供保证金贷款。如果你的账户有30000，你想买价值60000甚至更贵的股票，你可以用保证金。在1929年股市大崩盘以后这个法律被通过了。当时人们意识到高杠杆导致过度投机，会导致可怕的崩跌。在1929年以前，投机者可以用10%的保证金买股票，在牛市作用巨大，在熊市就要被洗出局了。

Margins of only three to five percent are common in the futures markets. Here you can bet big with little money. If you have $30,000, you can control $1,000,000 worth of merchandise, be it pork bellies or gold. If you catch a 1% move in your market, you’ll make $10,000, or over 30% profit on your account. A few trades like that, and you’ve made it. A small trader looks at these numbers and thinks he’s found the secret to getting rich quick. There is only one problem. Before that market rises 1% it may dip 2%. It may be a meaningless blip, but at the bottom the amateur’s equity will be nearly wiped out, and his broker will sell him out on a margin call. He’ll go bust even though his price forecast was correct.

在期货市场，只用3%——5%的保证金很正常。你可以用小钱大赌。如果你有30000元，你可以控制价值1000000元的商品，不管是猪肉，还是黄金。如果你抓住了市场的1%，你就赚了10000，或者是你账户30%的利润。如果这样交易几次，你就成功了。小交易者看着这些数字，它认为发现了致富的秘诀。还有一个问题。在上涨1%之前可能要下跌2%。也许这只是没有任何含义的小跌，但是业余选手的资金机会被洗光了，他的经纪人会催他补交保证金。即使他的预测正确，它也会出局。

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【 · 原创: 微笑欲语 2008-12-03 15:57只看该作者(-1)】

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The mortality rate among futures traders is over 90 percent, even though brokerage houses try to hide statistics. Easy margins attract gamblers and adrenaline addicts who quickly go up in smoke. There is nothing wrong with trading futures that money management won’t cure. Futures are very tradable, as long as you observe money management rules and do not go crazy with an easy margin. You have to be more than disciplined - to trade commodities you must be colder than a freezer. If you cannot follow money management rules, better go to Las Vegas. The entertainment value is just as high and the outcome is the same, but the drinks are free and the floor show more glitzy.

虽然期货经纪公司总是隐瞒统计数字，期货交易者的阵亡率还是超过了90%。高杠杆吸引了赌徒和追求刺激的人，他们很快就花成了烟。资金管理可以处理好期货交易的错误之处。只要你使用好资金管理原则，不滥用高杠杆，期货是很好交易的。你要非常有纪律——要交易期货，你必须比冰箱还要冷酷。如果你不能遵守资金管理原则，还是去拉斯维加斯吧。既然结果一样，拉斯维加斯的娱乐价值更高，饮料也是免费的，场内的表演也很炫目。

Precisely because they require a high degree of discipline and excellent money management skills, futures markets are hard for beginners. A new trader is better off learning to trade slower-moving stocks, but later on, futures definitely deserve a look.

因为需要极高的纪律性和优秀的资金管理技巧，期货市场对新手来说就很难。新手最好还是交易运动缓慢的股票，但是到了以后，期货绝对值得你去看看。

If you know how to trade and want to make a quick fortune, futures are the place to be. You may put on small initial positions, fenced in by strict money management rules, but then you can pyramid them to the hilt as a trade moves in your favor and you keep moving stops beyond breakeven and adding new contracts.

如果你知道如何交易，想赚快钱，期货是个好地方。你可以建很小的仓位，用严格的资金管理原则保护它，如果市场对你有利，你可以金字塔加仓，你可以在赚钱的前提下移动止损。

There are only a few dozen futures, making the choice of which to trade much easier than among the thousands of stocks. Be sure to focus on markets in your own time zone. It is shocking how many beginners, especially outside the United States, want to trade currencies. Few of them stop to think that this is a 24-hour market, operating around the clock, in which an individual trader has many disadvantages. You may brilliantly analyze a currency and forecast a move, but that move is just as likely to take place in another time zone while you are sleeping. Try to select markets that trade in your time zone that are open when you are awake and closed when you’re asleep.

市场只有几十个期货市场，与几千只股票相比，比较好选。记住要选你所在时区的市场。很多新手，尤其是美国以外的，想交易外汇，这是很吃惊的。他们很少想到这是24小时的市场，个人交易者的劣势太多了。你也许成功地分析了外汇，预测到了波动，当时它在你睡觉的时候发生了。尽力选择你所在时区的市场，你醒着时，它是开盘的，你睡着时，它是收盘的。

It is a good idea to make your first steps in those markets where you know something about the fundamentals. If you are a cattle rancher, a house builder, or a loan officer, then cattle, lumber, or interest rate futures are logical starting points, if you can afford to trade them. If you have no particular interests, your choice is limited only by your account size. It is important to make your first steps in relatively inexpensive markets. All markets have a certain amount of random noise, or quick countertrend moves. The high dollar value of random moves in expensive markets can be deadly.

最好是一开始交易你比较了解基本面的市场。如果你是养牛的，建房子的，放贷款的，那么牛，木材，利率期货就是合理的下手点。如果你没什么特殊的爱好，那么你就选择你所在时区的市场。最好一开始做便宜的市场。每个市场都有随机噪音，或快速回调。昂贵市场高价的随即波动可能是致命的。

Take yourself through a simple exercise. Create a spreadsheet on your computer and write down the names of several futures markets that interest you in column A. Write the value of their price units in column B. Corn trades in cents, and the value of a cent is $50; S&P trades in points, and the value of a point is $250, so those values go into column B. Write the latest closing price in column C. Now complete the exercise by creating column D which multiplies B by C and shows how much each contract is worth. How much more expensive is the richest contract compared to the cheapest contract? Five times? Ten? Twenty? Thirty? Do the exercise and find out.

你要简单练习一下。在你的电脑上做一个电子表格，在A栏记下几个你喜欢的期货名字。在B栏写下他们的单价。玉米的价格用分表示，1分代表50元。标准普尔股指期货用点表示，1点是250元，B栏就这样表示价值。在C栏写下最近的收盘价。最后在D栏计算B栏和C栏的相乘的结果，看看一份合约价值多少。最贵的合约比最便宜的合约贵多少？5倍？10倍？20倍？30倍？自己做练习以找到答案。

Beginners are drawn to the S&P 500 futures, but few have accounts large enough for proper money management in this expensive market. In North America, corn, sugar, and, in a slow year, copper are good markets for beginners, allowing you to learn in your own time zone. They are liquid, reasonably volatile, and not too expensive.

新手喜欢做标注普尔500股指期货，但是在这个昂贵的市场，很少人的账户有足够的资金做好资金管理。在北美，玉米，白糖，铜都适合新手，方便你在自己的时区学习。它们流动性好，波动合理，也不贵。

Some very good books, listed on page , have been written about futures. Most technical analysis tools were originally developed for futures and only later migrated to the stock market. Let us review a few aspects of futures that make them different from stocks.

一些好书，都谈了期货。很多技术分析工具本来是为期货发明的，后来才移植到股票。让我们来看看一些期货和股票不同的方面。

CONTANGO AND INVERSION All futures markets offer contracts for several delivery months at the same time. For example, you can buy or sell wheat for delivery in September or December of this year, March of next year, and so on. Normally, the nearby months are less expensive than the faraway months, and that relationship is called a contango market.

溢价和反转 所有的期货市场都提供不同交割期的合约。比如，你可以买卖9月交割的小麦，或买卖今年12月交割，明年3月交割的小麦，等等。通常，近期合约比远期合约便宜，这个关系叫溢价市场。

Higher prices for longer-term contracts reflect the so-called cost of carry, that is, the cost of financing, storing, and insuring a commodity. A futures buyer plunks down his 3% margin and controls a contract without having to bring the rest of the money until the settlement date. Meanwhile the seller has to store, finance, and insure the merchandise.

长期合约的价格高，反映了运输成本，也就是商品的财务成本，仓储成本和保险成本。期货买家用3%的保证金控制了合约，在交割期之前并不需要交其它的费用。同时，卖家需要支付仓储，财务，保险等费用。

The differences between delivery months are called premiums. Hedgers and floor traders closely watch premiums because they reflect the degree of tightness in the market. When the supply shrinks or the demand rises, people start paying up for the nearby months. The premium for the faraway months begins to shrink. As the demand grows, the front months become pricier than faraway months - the market becomes inverted! This is one of the strongest fundamental signs of a bull market. There is a real shortage out there, and people are paying extra to get their stuff sooner rather than later.

交割月之间的不同叫溢价。对冲者和场内交易者都关注溢价，因为它们反映了市场的紧张程度。当供应减少，需求上涨时，人们开始加钱买近期合约。远期的溢价开始下跌。当需求上涨，近期合约比远期合约贵——市场反转了！这是上涨市场基本面的强烈信号。有真实的库存在那里，人们愿意花高价快点得到它，而不是慢点得到。

Whenever you look at the commodity page of a financial newspaper, move your finger down the column of closing prices and look for inversions. They signal bull markets, and that’s when you want to use technical analysis to look for buying opportunities.

无论何时你看财经报纸上的商品期货，顺着收盘价那栏往下看，以寻找反转。他们是上涨的信号，你想用技术分析找买点的方法就是这个方法。

Serious hedgers do not wait for inversions. They monitor premiums and get their signals from their narrowing or widening. A good speculator can rattle off the latest prices, but a good hedger will quote you the latest premiums of faraway contracts over the nearby ones.

认真的对冲者不会等反转。它们通过溢价的高低变化来找到信号。优秀的投机者能背出市场的最新价，但是优秀的对冲者能背出最新的远期合约比近期合约溢价多少。

As you scan futures markets for inversions, keep in mind that there is one area in which inversion is the norm. Interest rate futures are always inverted because those who hold cash positions keep collecting interest instead of paying finance and storage charges.

当你扫描期货市场找反转时，记住，在有些地方出现反转是正常的。利率期货经常反转，因为持有现金的人总是收利息，他不用支付财务和仓储费用。

SPREADS Hedgers tend to dominate the short side of the markets and most speculators are perpetual bulls, but floor traders love to trade spreads. Spreading means buying one delivery month and selling another in the same market, or going long one market and short a related one.

价差 对冲者一般控制空头市场，大部分投机者则推动上涨，但场内交易者喜欢交易价差。价差意味着买入一个交割月，卖出另外一个；或者是在一个市场做多，在另外一个相关市场做空。

Futures are the basic building blocks of the economy, essential for society’s daily functioning. Economic necessities tightly link commodity markets and delivery months. If the price of corn, a major animal feed, starts to rise faster than the price of wheat, at some point ranchers will start using wheat rather than corn. They’ll reduce their purchases of corn while buying more wheat, pushing their spread back towards the norm. A savvy commodity trader knows his normal spreads by heart. Spread traders bet against deviations and for a return to normalcy. In this situation, a spreader will short corn and buy wheat, instead of taking a directional trade in either market.

期货是经济的基石，对社会每天的运转很重要。经济紧密地把商品市场和交割月联系起来。玉米是主要的动物食物，如果玉米开始涨的比小麦快，到了一定地步，农场主只要改喂小麦，而不是玉米。他们降低对玉米的购买，开始买更多的小麦，把它们的价差推回正常状态。聪明的商品交易者在心里就知道正常的价差是多少。价差交易者就是赌不正常的价差，让它回到正常。这样的话，价差交易者就会做空玉米，并做多小麦，而不是参与这2个市场的方向交易。

Spread trades are much safer than directional trades, with even lower margin requirements. Amateurs do not understand spreads and have little interest in these reliable but slow-moving trades. There are several books on spreads but not a single good one at the time of this writing, a sign of how well professionals have sewn up this area of knowledge and kept the amateurs out. There is a handful of niches in the markets where professionals are making fortunes without the benefit of a single good how-to book. It looks almost as if the insiders have posted a sign for the outsiders to keep out.

价差交易比方向交易安全多了，需要的保证金也低。业余选手不懂价差，对这种可靠但比较慢的交易没兴趣。市场上有很多关于价差的书，但是都写的不好，这说明专业人士在这个领域很封闭，把业余选手都赶出去了。这个市场的好处很多，所以专业人士赚了很多钱，完全没有必要靠写书赚钱。这看起来好像是内部人士贴了一个告示，外人莫入。

COMMITMENTS OF TRADERS The Commodity Futures Trading Commission collects reports from brokers on the positions of traders and releases their summaries to the public. Those COT (commitments of traders) reports are among the best sources of information on what the smart money is doing in the futures markets. COT reports reveal positions of three groups: hedgers, big traders, and small traders. How do they know who is who? Hedgers identify themselves to brokers because that entitles them to several advantages, such as lower margin rates. Big traders are identified by holding the number of contracts above “reporting requirements,” set by the government. Whoever is not a hedger or a big trader is a small trader.

持仓量 期货交易委员会会从经纪商那里得到报告，内容是交易者的仓位，然后公布给大众。持仓量报告是最好的信息，它告诉我们聪明的钱在哪里。持仓量报告显示了3个人群的仓位：对冲者，大户，散户。他们是如何知道谁是谁的？对冲者向经纪商表明身份因为有几个好处，比如保证金低。大户则是因为他们的仓位大，达到了报告的要求，政府要求披露。既不是对冲者，又不是大户，那么就是散户。

In the old days, big traders used to be the smart money. Today, the markets are bigger, the reporting requirements much higher, and big traders are likely to be commodity funds, most of them not much smarter than the run-of-the-mill trader. Hedgers are today’s smart money but understanding their positions isn’t as easy as it seems.

过去，大户就是聪明的钱。现在，市场变大了，报告要求披露的仓位也更大，大户一般成了商品基金，他们大多比一般交易者聪明很多。现在对冲者是聪明钱，但是很难去琢磨他们的仓位。

For example, a COT report may show that in a certain market, hedgers hold 70% of shorts. A beginner who thinks this is bearish may be completely off the mark without knowing that normally hedgers hold 90% of shorts in that market, making the 70% stance wildly bullish. Savvy COT analysts compare current positions to historical norms and look for situations where hedgers, or the smart money, and small traders, many of whom are gamblers and losers, are dead set against each other. If one group is heavily short while the other is just as heavily long, which one would you like to join? If you find that in a certain market the smart money is overwhelmingly on one side, while the small specs are mobbing the other, it is time to use technical analysis to look for entries on the side of hedgers.

比如，持仓量报告显示对冲者持有70%的空头仓位。新手可能觉得这是空头市场，但是却不知道在正常的空头市场对冲者持有90%的空头仓位，70%应该是看多了。聪明的持仓量分析者会对比历史正常仓位，寻找机构，对冲者，聪明的钱，散户，他们中间有很多赌徒和输家，他们互相攻击。如果一个人群强烈做空，另外一个人群强烈做多，你应该加入那边？如果你发现在市场中聪明钱全部聚集在一边，然而小钱都聚集在另一边，这时你要用技术分析找进场点。

SUPPLY AND DEMAND MARKETS In futures, there are two types of bull and bear markets: supply-driven and demand-driven. Supply-driven markets tend to be fast and furious, whereas demand-driven markets tend to be quiet and slow. Why? Think of any commodity, say coffee, which grows in Africa and South America.

供应和需求 在期货中，有2种上涨和下跌：供应推动的和需求推动的。供应推动的市场一般快，激烈，然而需求推动的市场一般慢，安静。为什么？想想任何商品，比如咖啡，产地在非洲和南非。

Changes in demand come slowly, thanks to the conservatism of human nature. The demand for coffee can go up only if drinking becomes more popular, with a second espresso machine in every little bar. The demand can fall only if coffee drinking becomes less popular, which may happen in a deteriorating economy or in response to a health fad. Demand-driven markets move at a leisurely pace.

需求变化慢，感谢保守主义。只有当喝咖啡变得流行起来，每个咖啡店的咖啡机增加了，需求才会上涨。当经济下滑，人们注重健康时，喝咖啡就不再流行了，这是需求就下降了。需求推动的市场波动悠闲。

Now imagine that a major coffee growing area is hit by a hurricane or a freeze. Suddenly the world supply of coffee is rumored to be reduced by 10% and prices shoot through the roof, cutting off marginal consumers and rising to the point where supply and demand are in balance. Supply-driven markets are very volatile. Imagine torrential rains in the cocoa-producing areas of Africa, or a new OPEC policy sharply curtailing oil supply, or a general strike in a leading copper-mining country. When the supply of a commodity is reduced and rumors of further damage swirl, the trend shoots up, reallocating tight supplies to those best able to afford them.

想在想象咖啡主产地被飓风或霜冻袭击了。突然，全球的咖啡供应少了10%，价格冲上了屋顶，上涨到一个供需平衡。供应推动的市场波动很大。想象一下可可产地非洲的急雨，石油输出国组织突然宣布限制石油供应，一个将军袭击了一个主要产铜国家。当商品供应突然减少时，更严重的谣言就来了，趋势就猛涨，重新分配供应。

Every futures trader must be aware of key supply factors in his market and keep an eye on them, such as the weather during the critical growing and harvesting months in agricultural commodities. Trend traders in the futures markets tend to look for supply-driven markets, while swing traders do better in demand-driven markets.

每个期货交易者必须明白市场的供应因素，要盯紧点，比如农作物产区成长期，收割月的天气。期货市场的趋势骄傲以这一般寻找供应推动的市场，然而波段交易者在需求推动的市场中表现良好。

[第10楼]

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【 · 原创: 微笑欲语 2008-12-03 15:57只看该作者(-1)】

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The United States grain markets often have price spikes during the spring and summer planting and growing seasons as dry spells, floods, and pests threaten supplies. Traders say that a farmer loses his crop three times before harvesting it. Once the harvest is in and the supply is known, demand drives the markets. Demand-driven markets have narrower channels, making profit targets smaller. Channels have to be redrawn and trading tactics adjusted as seasons change. A lazy trader wonders why his tools stopped working. A smart trader gets out a new set of tools for the season and puts old ones in storage until the next year.

在美国的谷物市场，春夏播种，生长时，只要干旱，洪水，害虫影响了供应，期货价格就往上刺出，像钉子一样。交易者说农民在收割前就把自己的作物亏损了3次。一旦收割期到了，供应明确了，需求就会推动市场。需求推动的市场通道很窄，利润目标很小。在季节变化时，要重新调节通道的参数和交易战术。懒惰的交易者搞不懂为何他的工具不工作了。聪明的交易者为季节变化准备了新工具，老工具明年再用。

FLOOR AND CEILING The fundamental analysis of futures is more straight- forward than that of stocks. Most analysts monitor supplies since demand changes very slowly. What is the planted acreage? What are the warehouse stocks? What is the weather forecast for the growing areas? Fundamentals put a floor underneath most, though not all, commodities. They also have a natural ceiling above which they almost never rise.

地板价和天花板价 期货的基本面分析师比股票直接。大部分分析师都是观察供应，因为需求变的慢。种了多少亩？仓库在哪里？成长期的天气如何？基本派给大多数商品定了地板价。他们还有一个永远涨不到的天花板价。

The floor depends on the cost of production. When the market price of a commodity, be it gold or sugar, falls below that level, miners stop digging and farmers stop planting. Some third-world governments, desperate for dollars and trying to avoid social unrest, may subsidize production, paying locals in worthless currency and dumping the product on the world market. Still, if enough producers go broke and quit, the supply will shrink and prices will rise to draw in new suppliers. If you take 20-year charts of most commodities, you’ll see that the same price areas have served as a floor year after year. Curiously enough, those levels have held without being adjusted for inflation.

地板价依赖于生产成本。当商品的价格跌到了成本以下，不管是黄金，还是白糖，工人就不挖矿了，农民就不种植了。一些第三世界国家的政府，他们需要美元，为了防止社会动荡，他们会用廉价的本国货币补贴生产，把产品倾销到世界市场。然而，当足够的生产商破产或退出后，供应就下降了，价格又会上涨，吸引新的供应商加入。如果你看大部分商品的20年图，你会发现同样的价格年复一年地充当地板价。奇怪的是，即使通货膨胀了，这些水平也不随之改变。

The ceiling depends on the cost of substitution. If the price of a commodity rises, major industrial consumers will start switching away from it. If soybean meal, a major animal feed, becomes too expensive, the demand will switch to fishmeal; if sugar becomes too costly, the demand will switch to other sweeteners.

天花板价依赖于替代物的成本。如果一个商品的价格上涨，主要工业用户就会换到其它商品上。大豆是动物的饲料，如果它变得很贵，需求就会转向鱼饲料。如果糖变得太贵，需求就会转向其它甜东西。

Why don’t more people trade against those levels? Why don’t they buy near the floor and short near the ceiling, profiting from what is similar to shooting fish in a barrel? First of all, the floor and the ceiling are not set in stone, and markets may briefly violate them. Even more importantly, human psychology works against those trades. Most speculators find it impossible to sell short a market that is boiling near the high or go long a market after it has crashed.

为什么大部分人不根据这个水平反向交易？为什么他们不在地板价买入，在天花板价做空，这和从桶里钓鱼一样简单啊？首先，地板价和天花板价并不是固定的，市场的波动会改变它们。更重要的是，人类心理拒绝这样的交易。大部分投机者发现在高点附近很难做空，在市场崩跌后也不敢做多。

SEASONALS Most commodities fluctuate through the seasons. For example, grains tend to be cheapest soon after the harvest, when the supply is plentiful and the demand pretty well known. The spring planting season, when the coming weather is uncertain, is the most likely time for price spikes. Freezing spells in the northern parts of the United States are bullish for heating oil futures. Orange juice futures used to have wild runups during the frosts in Florida, but have become much more sedate with the growth of orange production in Brazil in the Southern Hemisphere.

天气 大部分商品在不同的天气波动。比如，当供应充足，需求明确时，一般收割后的谷物是最便宜的。春天天气不确定，价格会上涨。美国北方的寒冷造成取暖油的上涨。佛罗里达霜冻时橙汁期货猛涨，当南半球巴西的橙子成长时期货就平静了。

For some, seasonal trading degenerates into calendar trading. Spinning past data to find that a certain market should be bought during the first week of March and sold on the last week of August is a misuse of technology. It is easy to find what worked in the past, but any pattern that has no justification in the fundamentals or mass psychology probably is due to market noise. Seasonal trades take advantage of annual swings, but you have to be careful. They shift from year to year, and seasonal trades must be put through the filter of technical analysis.

对于一些人，季节交易变成了日历交易。看看数据会发现在3月的第一周要买入，8月的最后一周要卖出，这是对技术的误用。看过去很容易知道什么方法有效，但是基本面无法分析的模式或大众心里是要制造噪音的。季节性交易比每年做波段强，但是你要小心。它们每年都在变化，季节性交易也要通过技术分析的过滤。

OPEN INTEREST All exchanges report trading volumes, but futures exchanges also report open interest, that is, the number of contracts outstanding on any given day, reported a day later. In the stock market the number of outstanding shares doesn’t change, unless a company issues more or repurchases existing ones. In the futures markets, a new contract is created whenever a new buyer and a new seller come together. If both of them get out of their positions, a contract disappears. Open interest goes up and down each day, and its changes provide important clues to the commitments of bulls and bears.

未平仓合约 所有的交易所都报告成交量，但一些交易所也有未平仓合约报告，也就是第二天还没有平仓的合约。在股市持仓量是不变的，除非公司发行了很多股票，或自己回购了股票。在期货市场，当买家和卖家走到一起时，才有新合约的产生。如果双方都平仓，合约就消失了。每天的未平仓合约都在变化，它的变化暗示了多头和空头的持仓量。

Every futures contract has a buyer and a seller, a winner and a loser. Rising open interest shows more winners are coming into that market. Just as important, it shows more losers are coming in, because without their money there would be nothing for winners to win. An uptrend in open interest reflects a rising level of commitment on all sides and indicates that a trend is likely to continue. A downtrend in the open interest shows that winners are taking away their chips, while losers are accepting losses and quitting the game. Falling open interest shows that the trend is becoming weaker, which is a valuable piece of information when you need to decide whether to stay or take profits.

每份期货合约都有一个买家和一个卖家，一个赢家和一个输家。上涨的未平仓合约表明有很多赢家进场。同样重要地，它表明更多的输家进场，因为没有输家的钱，赢家就赢不到钱。上涨趋势的未平仓合约反映了双方的持仓量，表明趋势要继续。下得趋势的未平仓合约表明赢家拿走了筹码，输家接受了亏损，开始退出游戏。下跌的未平仓合约表明趋势变弱了，当你决定是否要兑现利润时，这个是有价值的信息。

SHORTING Few traders active today were in stocks in 1929, but the after- shocks of that year’s crash still impact us. The government responded to the hue and cry of the hurt and angry public. Among its many acts was an attempt to root out evil short sellers, accused of driving stocks down. It promulgated the uptick rule, which allows shorting a stock only after it has ticked up. The bad bears can no longer hammer down innocent stocks with their sell orders. They may only sell short stocks that are rising. How about a parallel law to outlaw buying stocks that have ticked up and permitting people to buy only after a downtick, to prevent excessive bullishness?

做空 1929年交易股票的人，很少有人今天还在活跃交易，但是当年的崩跌还在冲击我们。政府对受伤愤怒的大众做了反应。其中一些法律就是想尽力去除邪恶的空头，怪他们把股票砸下去的。政府颁布了上涨做空法律，只有在股票上涨后才可以做空。这样坏蛋空头就再也不能把无辜的股票往下砸了。他们只能做空上涨的股票。有没有平行的法律啊，股票上涨了就不准再涨，只有等股票跌了才能涨，这样可以防止疯狂的多头？

The uptick rule is an example of a bad law passed in response to mass hysteria. It is short-sighted because during bear moves it is the short sellers who break declines with their profit taking. There is no uptick rule in the futures markets. A futures trader is much more likely to be comfortable shorting than a stock trader.

上涨做空法律是在大众疯狂时通过的糟糕法律。这个法律没有远见，因为它不知道在下跌时，只有空头兑现利润时才会终止下跌。在期货市场没有上涨做空法律。期货交易者可以很舒服地做空。

In stocks, most people are long and very few are short. Exchanges report short interest each month, which almost never rises into double digits. In futures, short interest is always 100% - there is a short contract for every long because if someone is buying a contract for future delivery, someone else has to sell them a contract for future delivery, that is, go short. You have to feel comfortable shorting if you want to trade futures.

在股市，大部分人都是做多，很少人做空。交易所每月公布未平仓空头报告，这个数字从来没有涨到过2位数字。在期货市场，未平仓空头经常是100%——每个多头合约都有一个空头合约，因为一个人买入合约等交割，另外一个人就要卖给它合约并交割，那就是做空。如果你做