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Thread: 加装滤波器的交易策略

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    Default 加装滤波器的交易策略

    一个交易系统的调整可以说是多方位的,灵活多变的,加装滤波器(Filter)就是其中的一种。滤波器的理论来源于美国分析家Arthur A.Merrill于1977年发表的滤波摆动分析方法。该方法主要通过滤波过程保留价格波动,并去除一些价格波动噪音,在一段时期内使买卖信号更加有效。

    在交易系统中加装滤波器的实际操作其实很简单,只需在其所选的指标公式中,将原确定的买卖信号所用的线值按一定比例扩展成新的信号用的线值。如移动平均线指标,当汇价上穿某一周期的移动平均线时,这时的汇价运动方向有两种,一是继续向上形成有效突破;另一种是破线后没站稳又返回均线下方的假突破。为了减少这种情况的发生,就可以在此交易系统中安装滤波器,如在原线值乘以1.03,下线是除以1.03,并在此基础上增设两条新的滤波均线。当汇价波动到原信号价位时,只当作警戒预备信号;如汇价继续上穿上方的滤波线时,则当作有效买入信号。同理,向下穿越下方的滤波线时,则是有效的卖出信号。

    如果是震荡类型的,就有所不同。如在布林通道(BOLL)指标的交易系统中加装滤波器,买卖方向正好与前者相反,即当汇价上穿通道上轨的所加滤波线时,则发出卖出信号;而当汇价下穿通道下轨的所加滤波线时,则是有效的买入信号。而且所加的原型对象是两条线(上轨和下轨),而不是针对一条均线来加的。

    在确定滤波尺寸时,注意不能使用脱离实际的主观标准,过分加宽滤波线。而应在汇价历史波动的有效范围内,确定一个客观统计标准来衡量。乘以1.03相当于在原标准基础上加大3%的尺度。当然,具体的尺寸空间大小可以灵活控制和调整,以使交易系统达到稳定和有效。

    是否安装滤波器的都是最佳的交易系统呢?我们并不认为如此。因为该技术的滤波尺寸是相对固定的,而市场经常处于均衡状态和失衡状态周期性交替的态势。在此情况下,滤波尺寸如果没有及时作出相应调整,也是徒劳无益的,用不好甚至可能适得其反,加大亏损的力度。

    实践证明,相当多的情况下,加装滤波器对盈利能力的提升作用不够明显,但在方向选择确认(特别是买入信号)时,成效还是显著的。所以,当交易系统加装滤波器时,若不能及时调整,一般投资者最好在卖出条件设置上要灵活多变,也可用别的信号来代替,并一定要有止损止盈的辅助策略,有条件地开启诸如易金宝的账户自动监控功能等。

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    Default

    如果真能滤掉所有杂波,那么Arthur A.Merrill就是世界上最富有的人

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