安全区域止损法

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1、安全区域止损法（中英文对照）Once in a trade, where should you put your stop? This is one of the hardest questions in technical analysis. After answering it, youll face an even harder one- when and where to move that stop with the passage of time. Put a stop too close and itll get whacked by some meaningless intra

2、day swing. Put it too far, and youll have very skimpy protection.一旦进场了，你应该在哪里止损？这是技术分析最难回答的问题。就算回答了，你 还要面对更难的问题随着时间的推移，止损要如何移动？如果止损太近了，市 场没有意义的波动也会把它扫掉。如果止损放的太远了，保护又不够。The Parabolic System, described in Trading for a Living, tried to tackle this problem by moving stops closer to the market each day,

3、 accelerating whenever a stock or a commodity reached a new extreme. The trouble with Parabolic was that it kept moving even if the market stayed flat and often got hit by meaningless noise.我在以交易为生中谈过抛物线系统，想通过每天移动止损的方式解决这个问题， 当股票或商品期货到达极限价格时更好用。抛物线的问题是，即使市场是横盘，或 者是无意义的波动，系统也总是在动，容易被扫止损。The concept o

4、f signal and noise states that the trend is the signal and the nontrending motion is the noise. A stock or a future may be in an uptrend or a downtrend, but the noise of its random chop can obscure its signal. Trading at the right edge is hard because the noise level is high. I developed SafeZone to

5、 trail prices with stops tight enough to protect capital but remote enough to keep clear of most random fluctuations.信号的意思是说趋势就是信号，噪音的意思是说没有方向的波动叫噪音。股票或期 货也许上涨或下跌，但是随机的噪音会让趋势变得模糊。正确交易很难，因为噪音 太大。我发明的安全区域能跟踪价格，用止损保护资金，还能远离大部分随机波动。Engineers design filters to suppress noise and allow the signal to come

6、through. If the trend is the signal, then the countertrend motion is the noise. When the trend is up, we can define noise as that part of each days range that protrudes below the previous days low. When the trend is down, we can define noise as that part of each days range that protrudes above the p

7、revious days high. SafeZone measures market noise and places stops at a multiple of noise level away from the market.工程师发明了滤网在过滤噪音，让信号通过。如果趋势就是信号，那么逆势的波动 就是噪音。当趋势上涨时，每天波动超过前一天最低点就是噪音。当趋势下跌，每 天波动超过前一天最高点就是噪音。安全区域计算噪音，让止损点远离噪音。We may use the slope of a 22-day EMA to define the trend. You need to choos

8、e the length of the lookback period for measuring noise level. It has to be long enough to track recent behavior but short enough to be relevant for current trading. A period of 10 to 20 days works well, or we can make our lookback period 100 days or so if we want to average long-term market behavio

9、r. 你也许使用22日均线的坡度来确定趋势。你需要选择时间参数来计算噪音。既要足 够长，以计算最近的行为；又要足够短，以和近期的交易同步。1020天都可以， 或者用100天，那么我们就是想计算长期的市场行为。If the trend is up, mark all downside penetrations during the look-back period, add their depths, and divide the sum by the number of penetrations. This gives you the Average Downside Penetration

10、for the selected lookback period. It reflects the average level of noise in the current uptrend. Placing your stop any closer would be self-defeating. We want to place our stops farther away from the market than the average level of noise. Multiply the Average Downside Penetration by a coefficient,

11、starting with two, but experiment with higher numbers. Subtract the result from yesterdays low, and place your stop there. If todays low is lower than yesterdays, do not move your stop lower since we are only allowed to raise stops on long positions, not lower them.如果趋势上涨，记下那些下跌时穿过均线的，加上深度，然后再除以穿过的天

12、数。 这样，在选择的天数内，就得到了平均下跌穿过。它反映了平均的噪音水平。如果 止损太近，就害了自己。我们要把止损放在比平均噪音远的地方。给平均下跌穿透 乘以一个系数，从2开始，但你可以测试更大的数字。结果再减去昨天的最低点，你 的止损单就下在这里。如果今天的最低点比昨天低，不要移动止损，因为做多时只 会向上移动止损，不会向下移动止损。Reverse these rules in downtrends. When a 22-day EMA identifies a downtrend, count all the upside penetrations during the lookback

13、period and find the Average Upside Penetration. Multiply it by a coefficient, starting with two. When you go short, place a stop twice the Average Upside Penetration above the previous days high. Lower your stop whenever the market makes a lower high, but never raise it.趋势下跌时则反之。当22日均线确认了下跌，在22天内，记下

14、向上穿过，算出平均 上涨穿过。乘以系数，从2开始。当你做空时，在昨天最高点的基础上用2倍的平均 上涨穿过止损。当市场创次高时，向下移动止损，不要向上移动。I anticipate that SafeZone will be programmed into many software packages, allowing traders to control both the lookback period and the multiplication factor. Until then, you will have to do your own programming or else tra

15、ck SafeZone manually (see Table 6.1). Be sure to calculate it separately for uptrends and downtrends.我希望安全区域能被编进很多软件里面，让交易者控制好很多因素。目前，你要自 己编程序，或者手工跟踪安全区域(看表6.1)。要分别为上涨和下跌计算。Here are the rules for calculating SafeZone using an Excel spreadsheet. Once you understand how it works, try to program SafeZo

16、ne into your technical analysis software and superimpose its signals on the chart. Compare the numbers from the spreadsheet and the trading software. They should be identical; otherwise, you have a programming error. Comparing results from two software packages helps overcome pesky programming probl

17、ems.这是是用电子表格计算安全区域的方法。一旦你明白了原理，尽量把它编进你的技 术分析软件，在图表上加上信号。对比电子表格的数据和软件的数据。他们应该一 致，否则，你的编程有错误。对比2个软件能帮助找到令人头痛的编程问题。Rules for Longs in Uptrends When the trend is up, we calculate SafeZone on the basis of the lows because their pattern determines stop placement.上涨时做多的原则当趋势上涨，我们根据最低点计算安全区域，因为它们的模式决 定了止损的位

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22、IH.CM0AJAA041.211 12朋r n rX亠4fl 371s1D511957117.32LO5G2II 5.70117D5IM .01D.553411.07115.13115.1307.870y1.12121.旳110.0227O5G311 fl.9 5117.10117.4005.140A1.25114.91115.1307.AA04j12-1121.95ri*j.j7Table 6.1 SafeZ one Stops 一 Spreadsheet表6.1 安全区域止损电子表格1. Obtain at least a month of data for your stock or

23、future in high-low-close format, as shown in Table 6.1 (lows are in column C with the first record in row 3).2. Test whether todays low is lower than yesterdays. Go to cell E4, enter the formula =IF(C3C4,C3-C4,0) and copy it down the length of that column. It measures the depth of the downside penet

24、ration below the previous days range, and if there is none, it shows zero.3. Choose the lookback period and summarize all downside penetrations during that time. Begin with 10 days and later experiment with other values. Go to cell F13, enter the formula =SUM(E4:E13), and copy it down the length of

25、that column. It will summarize the extent of all downside penetrations for the past 10 days.4. Mark each bar that penetrates below the previous bar. Go to cell G4, enter the formula =IF(C4C4,C3-C4,0),顺着这栏向下复制。它计算下跌穿过昨天最低点的深度，女口 果没有，就显示0。选择一个日期参数，计算这些天向下穿过的总和。先从10天开始，以后再测试其它 数字。到表格F13，输入公SUM(E4:E13)，

26、顺着本栏向下复制。它会计算最近10 天来向下穿过的程度总和。记下向下穿过前一天的所有竹线。至U表格G4,输入公式=IF(C4vC3,1,0)，顺着本栏 向下复制。如果向下穿过了，就是1；如果没有穿过，就是0。计算本例中向下穿过的次数。到表格H13,输入公式=F13/H13,顺着本栏向下复制。 它显示平均每天穿过值，也就是市场的正常噪音。给平均下跌穿过值乘以一个系数，结果值就是放在昨天最低点下面的止损。这个系 数从2开始，现在用3,用昨天的最低值减去这个结果就是今天的止损点。到表格J14, 输入公式=C13-2113,顺着本栏向下复制。它会以平均下跌穿过2倍的值在昨天的 最低点下面止损。如果今天

27、的最低点比昨天最低点还低2倍的平均下跌穿过，我们就 出场。修改公式，不要让它向上止损。如果公式叫我们向下移动止损，我们就停留在昨天的水平。到表格K16,输入公式=MAX(J14:J16),顺着本栏向下复制。它会防止连 续3天向下移动止损。如果这样，要么是继续上涨，要么是止损被扫掉了。Rules for Shorts in Downtrends When the trend is down, we calculate SafeZone on the basis of the highs because their pattern determines stop placement.下跌时做空的原

28、则当趋势下跌时,我们根据最高价计算安全区域,因为它们的模式 决定了止损位置。1. Obtain at least a month of data for your stock or future in high-low-close format, as shown in Table 6.1 (highs are in column B with the first record in row 3).2. Test whether today s high is higher than yesterdays. Go to cell L4, enter the formula =IF(B4)B3,

29、B4-B3,0), and copy it down the length of that column. It measures the height of the upside penetration above the previous days range, and if there is none, it shows zero.3. Choose the lookback period for summarizing upside penetrations. Begin with 10 days and experiment with higher values. Go to cel

30、l M13, enter the formula =SUM(L4:L13), and copy it down the length of that column. It will summarize the extent of all upside penetrations for the past 10 days.4. Mark each bar that penetrates above the previous bar. Go to cell N4, enter the formula =IF(B4B3,1,0), and copy it down the length of that

31、 column. It will mark each upside penetration with 1 and no penetration with 0.5. Count the number of upside penetrations during the lookback period, in this case 10 days. Go to cell O13, enter the formula =SUM(N4:N13), and copy it down the length of that column. It will show how many times in the p

32、ast 10 days the highs have been violated.6. Find the Average Upside Penetration by dividing the sum of all upside penetrations during the lookback period by their number. Go to cell P13, enter the formula =M13/O13, and copy it down the length of that column. It shows the Average Upside Penetration,

33、the normal level of upside noise in that market.7. Place the stop for your short position today at a multiple of yesterdays Average Upside Penetration above yesterdays high. Multiply yesterdays Average Upside Penetration by a selected coefficient, starting at 2 but testing as high as 3, and add the

34、result to yesterdays high to obtain todays stop. Go to cell Q14, enter the formula =B13+2 P13, and copy it dow n the len gth of that colu mn .It will place a stop two Average Upside Penetrations above yesterdays high. If todays high shoots above yesterdays high by twice the normal amount, it hits ou

35、r stop and we bail out.8. Refine the formula to prevent it from raising the stop during a downtrend. If the above formula tells us to raise our stop, we simply leave it at the previous days level. Go to cell R16, enter the formula =MIN(Q14:Q16), and copy it down the length of that column. It will pr

36、event the stop from rising for three days, by whichtime either the downtrend resumes or the stop is hit. 至少得到股票或期货的一个 月的数据，用最高价，最低价，收盘价的格式。请看表6.1 (第3行B栏是最高价)。测试是否今天的最高价比昨天的最高价高。到表格L4，输入公式 =IF(B4)B3,B4-B3,0),顺着本栏向下复制。它计算今天最高价超过昨天最高价的值, 如果没有，就显示0。选择天数，以计算上涨穿过的总和，从10天开始，以后可以测试更长的天数。到表 格M13,输入公式=SUM(L4:

37、L13),顺着本栏向下复制。它会计算上涨穿过的所有总 和。记下所有上涨穿过前一天的竹线。到表格N4,输入公式=IF(B4B3,1,0)，顺着本栏 向下复制。如果穿过了，就显示1；如果没穿过，就显示0。记下本例10天中，上涨穿过的天数。到表格013，输入公式=SUM(N4:N13)，顺着 本栏向下复制。它会显示过去10天来穿过了多少次。用上涨穿过的总和除以天数，就得到了平均上涨穿过。到表格 P13，输入公式 =M13/O13,顺着本栏向下复制。它显示了平均上涨穿过，是市场正常的上涨噪音。在昨天的最高价上加上平均上涨穿过，就是止损点。把平均上涨穿过乘以一个系数， 比如2，但是从3开始测试，把结果加

38、在昨天的最高价上，就是今天的止损点。到表 格Q14,输入公式=B13+2 P13,顺着本栏向下复制。它会在昨天的最高价上加上 2倍平均上涨穿过，就是止损。如果今天的最高价是昨天最高价以上的2倍平均上涨 穿过，我们的止损单就被执行出场了。修改公式，防止它在下跌的市场向上移动止损。如果公式叫我们向上移动止损，我 们就不动。到表格R16,输入公式=MIN(Q14:Q16),顺着本栏向下复制。它会防止 连续3天向上移动止损，此时，要么继续下跌，要么止损被激活。CBAI卩I旳刖貲700057 5055 00500047 M500JACOBS ENGR GROUP JECFigure 6.8 SafeZo

39、ne Stops - Uptrend 图6.8 安全区域止损上涨趋势1blllLtt/yM00To use SafeZone with your favorite stock or future during an uptrend, begin by multiplying the average downside penetration by the factor of three, and subtracting that from the low of the latest bar. Putting your stop closer than the average level of n

40、oise means asking for trouble, and even twice the average level is often too close. Once your system identifies an uptrend, SafeZone starts following prices, getting you out before the trend reverses. You can see that SafeZone stop was hit at points A, B, C, and D, catching the bulk of the uptrend a

41、nd avoiding downdrafts.在你喜欢的股票或期货上涨时使用安全区域，开始把平均下跌穿过乘以3，然后用最 新的竹线最低价减去这个值。在噪音附近下止损单是自找麻烦， 一般2倍的平均下 跌穿过太近了。一旦你的系统确认了上涨，安全区域开始跟踪价格，在趋势反转前 让你提前出场。你能看见安全区域止损碰到了A, B, C, D点，抓住了大部分的上 涨，避免了下跌。The right edge of the chart illustrates why it is a good idea never to hold a stock below its SafeZone level. JEC i

42、s in a free fall, wiping out the profits of a month in just two days - a trader using SafeZone cashed out early in the decline.在图的右边说明了为什么不要在安全区域以下持有是好主意。JEC公司下跌了，2 天时间把1个月的利润洗没了 使用安全区域的交易者在下跌开始的时候就兑现 利润了。SafeZone offers an original approach to placing stops. It monitors changes in prices and adapts

43、 stops to the current levels of activity. It places stops at individually tailored distances rather than at obvious support and resistance levels.安全区域提供了原始的下止损单的方法。它监视价格的变化，在此水平下止损。 它 不会在明显的支撑区和压力区止损，而是在一般人不注意的位置止损。SafeZone works on the way down just as well as on the way up. Here we count each upsi

44、de penetration of the previous days range during a selected time window and average that data to find the Average Upside Penetration. We multiply it by a coefficient, starting with 3, and add that to the high of each bar.在上涨和下跌时安全区域同样适用。方法是，找到一段时间以来的上涨穿过前一天 的距离，取得平均数，就是平均上涨穿过。再乘以系数，从3开始，然后加到竹线的 最高点。

45、Like all systems and indicators in this book, SafeZone is not a mechanical gadget to replace independent thought. You have to establish the lookback period, the window of time during which SafeZone is calculated. Do not go back beyond the last important turning point. If the market has reversed from

46、 down to up two weeks ago, then SafeZone for the current long trades should not look back more than 10 trading days.就像本书中的其它系统和指标一样，安全区域不能代替独立思考。你必须建立天数这个参数，也就是安全区域计算的时间段。不要超过了最近的重要反转点。如果市场在2周前从下跌反转到上涨，那么安全区域所用的天数不能超过10天。Figure 6.9 SafeZone Stops - Downtrend图6.9 安全区域止损下跌趋势Once your system identifies

47、 a downtrend, SafeZone helps you ride your short position all the way down, covering before a rally starts eating into your profits. Notice how SafeZone rode the decline in FCEL, constantly lowering its stop, until taken out by a rally at point A.一旦你的系统确认了下跌趋势，安全区域帮助你一路做空，在上涨开始吃掉你的利 润前回补。请注意安全区域是如何在

48、FCEL工作的，不断向下移动止损，直到在A点 被反弹扫掉。At the right edge of the chart, the downtrend continues, with SafeZone protecting a short position. It is safe to hold shorts with a close stop.在图的右边，继续下跌，而安全区域在保护空头仓位。做空时有止损紧跟着是安全 的。Another important decision is choosing the coefficient for the SafeZone stop. Usually, a

49、 coefficient between two and three provides a margin of safety, but you must research it on your own market data. Once you have done your homework and tweaked this indicator, it will become your own private tool in the battle for survival and success in the markets. You can add it to almost any trading system, including Triple Screen.另外一个重要决定就是安全区域止损的系数。通常 23能保证安全，但是你必须 用自己的数据做研究。一旦你自己做了功课，调整了指标，它就会成为你的私人工 具，在生存和成功的市场中帮你战斗。你可以把它加到任何系统中，包括三重滤网。