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Thread: Average True Range

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    Cool Average True Range

    Average True Range 真实波动幅度均值 1998/10/20 药渣 译



    Average True Range is an indespensable tool for designers of good trading systems. It is truly a workhorse among technical indicators. Every systems trader should be familiar with ATR and its many useful functions. It has numerous applications including use in setups, entries, stops and profit taking. It is even a valuable aid in money management.



    真实波动幅度均值(ATR)是优秀的交易系统设计者的一个不可缺少的工具,它称得上是技术指标中的一匹真正的劲马。每一位系统交易者都应当熟悉ATR及其具有的许多有用功能。其众多应用包括:参数设置,入市,止损,获利等,甚至是资金管理中的一个非常有价值的辅助工具。



    译者注:setups在上篇文章中我也碰到,我把它翻译为参数设置,不知道对不对。



    The following is a brief explanation of how ATR is calculated and a few simple examples of the many ways that ATR can be used to design profitable trading systems.



    ATR是如何计算的?下面我们会简单解释的;如何利用ART设计交易系统?我们随后也会用几个简单例子说明众多方法中的一些。



    How to calculate Average True Range (ATR).



    如何计算真实波动幅度均值(ATR)



    Range: This is simply the difference between the high point and the low point of any bar.
    True Range: This is the GREATEST of the following:
    1. The distance from today\'s high to today\'s low
    2. The distance from yesterday\'s close to today\'s high, or
    3. The distance from yesterday\'s close to today\'s low
    True range is different from range whenever there is a gap in prices from one bar to the next.
    Average True Range is simply the true range averaged over a number of bars of data.



    波动幅度:单根K线图最高点和最低点间的距离。(译者将原文用的是条形图改为我们熟悉的K线图)



    真实波动幅度:是以下三个波动幅度的最大值



    1. 当天最高点和最低点间的距离
    2. 前一天收盘价和当天最高价间的距离,或
    3. 前天收盘价和当天最低价间的距离



    当日K线图出现缺口时,真实波动幅度和单根K线的波动幅度是不同的。



    真实波动幅度均值就是真实波动幅度的平均值



    To make ATR adaptive to recent changes in volatility, use a short average (2 to 10 bars). To make the ATR reflective of \"normal\" volatility use 20 to 50 bars or more.



    为了让ATR反映近期波动性,可以使用短期ATR(2-10根K线图);为了让ATR反映长期波动性,可以使用20至50根K线或更多。



    Characteristics and benefits of ATR.



    ATR的特征及其益处



    ATR is a truly adaptive and universal measure of market price movement.
    Here is an example that might help illustrate the importance of these characteristics:



    ATR是一个评价市场价格运动的通用指标,而且是一个真正的自适应指标。
    下面这个例子能帮助解释这些特征的重要性



    If we were to measure the average price movement of Corn over a two day period and express this in dollars it might be a figure of about $500.00. If we were to measure the average price movement of a Yen contract it would probably be about $2,000 or more. If we were building a system where we wanted to use the set appropriate stop losses in Corn and Yen we would be looking at two very different stop levels because of the difference in the volatility (in dollars). We might want to use a $750 stop loss in Corn and a $3,000 stop loss in Yen. If we were building one system that would be applied identically to both of these markets it would be very difficult to have one stop expressed in dollars that would be applicable to both markets. The $750 Corn stop would be too close when trading Yen and the $3,000 Yen stop would be too far away when trading Corn.



    如果我们计算一下玉米在两天内的平均价格波动幅度,比如说是500美元;日元合约的平均价格波动幅度可能是2,000美元或更多。如果我们要建立一个交易系统分别为玉米或日元设置合适的止损水平,那么我们会看到这两者的止损水平是不同的,因为两者的波动性不同。我们可能在玉米上设定750美元的止损水平,而在日元合约上是3,000美元。如果我们要建立一个能同时适用于这两个市场的交易系统,我们很难在这两个市场上让用美元数量表示的止损水平相等。750美元的止损水平对玉米来说是合适的,但对日元来说可能太小了;3,000美元的止损水平对日元来说是合适的,但对玉米来说太大了。



    However, let\'s assume that, using the information in the example above, the ATR of Corn over a two day period is $500 and the ATR of Yen over the same period is $2,000. If we were to use a stop expressed as 1.5 ATRs we could use the same formula for both markets. The Corn stop would be $750 and the Yen stop would be $3,000.



    然而,我们不妨假定在上面的例子中,玉米在两天内的真实波动幅度均值(ATR)是500美元,日元在两天内的真实波动幅度均值(ATR)是2,000美元。如果我们把止损水平设置为1.5倍的ATR(即用ATR表示的止损水平),我们就能在这两个市场使用相同的标准(即1.5倍的ATR),玉米的止损水平会是750美元,日元的止损水平会是3000美元。



    Now lets assume that the market conditions change so that Corn becomes extremely volatile and moves $1,000 over a two day period and Yen gets very quiet and now moves only $1,000 over a two day period. If we were still using our stops as originally expressed in dollars we would still have a $750 stop in Corn (much too close now) and a $3,000 stop in Yen (much too far away now). However, our stop expressed in units of ATR would adapt to the changes and our new ATR stops of 1.5 ATRs would automatically change our stops to $1500 for Corn and $1500 for Yen. The ATR stops would automatically adjust to the changes in the market without any change in the original formula. Our new stop is 1.5 ATRs the same as always.



    现在让我们假定市场条件变了,玉米波动性变的很高,两天之内运动了1000美元;而日元变得很平静,两天之内只运动了1000美元。如果我们还使用以前的用美元数量表示的止损水平,即玉米的止损水平仍然定为750美元,日元的止损水平仍然定为3000美元,那么现在玉米的止损水平定的太近了,而日元的止损水平又定得太远了。然而,用ATR的某一倍数表示的止损水平能适应市场的变化,1.5倍ATR的止损水平将自动调整玉米和日元的止损水平分别为1500美元。用ATR表示的止损水平能自动适应市场的变化,同时不会改变原先的止损标准,新情况下的止损标准与以前的止损标准一样,同是1.5倍ATR。



    The value of having ATR as a universal and adaptive measure of market volatility can not be overstated. ATR is an invaluable tool in building systems that are robust (this means they are likely to work in the future) and that can be applied to many markets without modification. Using ATR you might be able to build a system for Corn that might actually work in Yen without the slightest modification. But perhaps more importantly, you can build a system using ATR that works well in Corn over your historical data and that is also likely to work just as well in the future even if the nature of the Corn data changes dramatically.



    ATR作为市场波动性指标具有的通用性和适应性的使用价值无论怎么肯定都不过分。ATR对于建立坚实的交易系统是非常有价值的(也就是说交易系统可能在未来同样有效),而且他们能不加修饰的用于多个市场。使用ATR你可以设计一个既适用于玉米市场,同样也可以在没有任何修改的情况下用于日元市场。但是,或许更重要的是,你可以建立一个系统,它不仅在玉米的历史数据测试中表现良好,它同样也很有可能在未来即使玉米市场变化很大的情况下仍然表现良好。



    Sample Applications of ATR as an entry tool:



    ATR作为一种入场工具的应用示例



    Entry Setups: (Remember, entry setups tell us when a possible trade is near.



    Entry triggers tell us to do the trade now.)



    入场背景:(记住,入场背景告诉我们不久将会出现交易机会,而入场触发器告诉我们现在入场交易)



    Range contraction setup: Many technicians have observed that big moves often emerge from quiet sideways markets. These quiet periods can be detected quite easily by comparing a short period ATR with a longer period ATR. For example if the 10 bar ATR is only .75 or less of the 50 period ATR it would indicate that the market has been unusually quiet lately. This can be a setup condition that tells us an important entry is near.



    波动区间收缩背景:许多技术派已经注意到大幅价格运动往往出现在价格平静的横盘整理之后。通过比较短期ATR和长期ATR可以非常容易的鉴别出价格平静的横盘整理区间,比如当10期ATR小于等于0.75倍50期ATR时,就表明近期市场不寻常的平静。这就是一个背景条件,表明关键的入场时机就在眼前。



    Range expansion setup: Many technicians believe that unusually high volatility means that a sustainable trend is underway. Range expansion periods are just the opposite of the range contraction periods. Range expansion periods can be measured by requiring that the 10 bar ATR be some amount greater than the 50 period ATR. For example the 10 bar ATR must be 1.25 or more times the 50 period ATR.



    波动区间扩张背景:许多技术派相信不同寻常的价格移动意味着一个幅度可观的趋势正在形成。波动区间扩张时期正好与波动区间收缩时期相反,这时我们要求10期ATR大于50期ATR,例如10期ATR大于等于50期ATR的1.25倍。

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    抛物转向指标(SAR)的缺点



    1. 运算抛物转向指标(SAR)的缺点是在于公式中的「加速因子」(Acceleration Factor),它不能巧妙地适应于不同商品或股票,必需由运用者作出不断的尝试,才能在波动节拍中寻找最佳的加速因子(AF)数值。一般使用的加速因子(AF)数值的限度在0.02至0.20之间,以0.02值递增或递减(例如:0.02、0.04、0.06.....等等)。



    2. 在处于盘整市时,抛物转向指标(SAR)转向频率非常高,会导致讯号追随者在高买低卖的情况下造成亏损。因此,在遇到盘整市时,抛物转向指标(SAR)绝不宜使用。




    When to Start: We can very easily initiate the exit strategy based on time rather than price or combine the two ideas. For example, we can start the exit only after the trade has been open for at least 10 days and is profitable by more than one ATR. My general impression at this point is that it is best to implement the ATR Ratchet only after a fairly large profit objective has been reached. The ATR Ratchet looks like a very good profit taking exit but I suspect it will kick you out of a trade much too soon if you start it before the trade is profitable.
    As I mentioned, one of the things I like best about the ATR Ratchet is its flexibility and adaptability. Here is another idea on how to start it. We can start it after fifteen bars but we don't necessarily have to add fifteen ratchets. The logic for the coding would be to start the Ratchet after 15 bars in the trade but multiply the ATR units by the number of bars in the trade minus ten or divide the number of days in the trade by some constant before multiplying the ATR units. This procedure will reduce the number of ratchets, particularly at the beginning of the trade when the exit is first implemented. Play around with the ATR Ratchet and see what creative ideas you can come up with.



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



    如上所述,对我来说,ATR棘轮最引人入胜的一点在于它的适用性和灵活性。下面介绍如何启用棘轮策略的另一种思路。我们可以在15根条形图之后再启用ATR棘轮而不必计算这前期的15步运作过程。在编制程序代码时,我们可以设置在交易的第15根条形图之后再启用棘轮而用交易产生后的条形图数量减去10再乘以ATR的单位值,或者用交易产生后的天数先除以某一个常数后再乘以ATR的单位值。这种方法将简化棘轮的计算程序,尤其是在交易初期首次启用离市策略的时候。好好琢磨琢磨ATR棘轮,看看你能够由此产生一些什么样的创造性思维。(这两段由lq1698译)



      
    Trailing Stops By Chuck LeBeau and Terence Tan
    跟踪止损 作者:Chuck LeBeau and Terence Tan




    Now that we have taken the necessary precautions to avoid catastrophic losses by using disciplined money management stops, it is appropriate to concentrate on strategies that are designed to accumulate and retain profits in the market. When properly implemented these strategies are intended to accomplish two important goals in trade management: they should allow profits to run, while at the same time they should protect open trade profits.




    既然我们已经认识到必须通过严格的资金管理止损策略等措施来防止灾难性损失,现在是到重点关心那些用来扩大和保护盈利的策略的时候了。正确执行这些策略是为了实现两个重要的投资管理目标:不仅能让已有的盈利继续扩大,同时还必须能保护已有的浮动盈利。



    While their application is extremely wide, we do not believe that trailing stops are appropriate in all trading circumstances. Most of the trailing exits we will describe are specifically designed to allow profits to run indefinitely. Therefore they are best used with trend following type systems. In counter-trend trading, more aggressive exits are more suitable. The “when you’ve got a profit, take it” philosophy works best when you are trading counter-trend, since the anticipated amount of profits is limited. However, to take quick profits in a trend is usually an exercise in frustration: we exit the market with a small profit only to watch the huge trend continue to move in our direction for days or months after our untimely exit. We therefore recommend using different exit strategies based on the underlying market condition. We will discuss the more aggressive exits later; for now we will concentrate on exits designed to accumulate large profits over time.




    尽管跟踪止损的应有范围极其广泛,丹我们相信跟踪止损不适用于所有的交易环境。我们提到的大多数跟踪止损是专门用来实现盈利继续扩大目的的,因此,这些策略用在趋势跟踪系统上最有效。在反趋势交易中,采用更具进攻性的止损策略更合适。“一旦有盈利,就把它放进口袋”的交易理念更适合于反趋势交易,因为期望收益是有限的。然而,如果你的交易是顺着趋势的,那么“立即将盈利放进口袋”的行为会让你有挫折感:我们以很小的盈利退出市场,然后眼睁睁的看着市场在随后的几天或者几个月内继续向着我们交易的方向走出一个很壮观的趋势。因为我们建议在不同的市场背景下使用不同的退出策略。以后我们会讨论更具进攻性的退出策略,现在我们重点讨论利用时间帮我们积累大幅盈利的退出策略。




    A thorough understanding of trailing stops is critical for trend-following traders. This is because trend following is typically associated with a lower percentage of profitable trades; which makes it particularly important to capture as much profit as possible when those large but infrequent trends occur. Typical trend followers make most of their profits by capturing only a few infrequent but very large trends, while managing to cut losses effectively during the more frequent sideways markets.




    彻底理解跟踪止损对于趋势跟随者来说是极其关键的,这是因为典型的趋势追随交易的成功几率都是比较低的,这使得在不常出现但规模很大的长期趋势中抓住尽可能多的盈利变得极其重要。典型的趋势跟随者,大部分盈利都来自于抓住不常出现的长期趋势,同时能在设法更频繁出现的横盘市中有效降低损失

    我们在本文以及后续一些列文章中讨论的各种跟踪止损方法都有一些相似的特征,理解这些特征是非常重要的,因为跟踪止损是交易系统的组成部分之一。有效的止损策略能帮我们最大限度的抓住盈利交易,因而能显著提高趋势跟随系统的净利润。通过使用跟踪止损,我们能明显提高平均回报对平均亏损的比率,然而跟踪止损策略也有缺点,它能让一些本来有中等盈利的交易变成亏损交易,因而有时会降低盈利交易的次数。此外,偶尔出现的浮动盈利的大幅缩减让交易者在心理上很难接受这种止损策略。看到大幅盈利变成很小的盈利或者看到盈利头寸变成亏损头寸,没有交易者会开心的。

    The Channel Exit
    通道止损策略


    最简单的趋势跟随策略是让止损点跟随着趋势前进的方向不断向前移动,可以用近期高点或近期低点的移动方向来判定趋势方向。例如,在上升趋势中止损点可以放在最近几根K线的最低点处;在下降趋势中止损点可以放在最近几根 K线的最高点处。用来判定最高点和最低点的K线条数取决于我们愿意给交易多少变化空间。我们用来越多的K线条数来确定止损点,我们给予交易的变化空间越大,相应的,在触发止损前盈利回撤的幅度也会越大。使用越近的高点或低点,止损被触发的速度也越快。

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    Atr没用过,对其的作用怎么也看不明白.

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    之有认真学习了,外汇知识太浅薄了

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