A New Exit Strategy - The ATR Ratchet By Chuck LeBeau

    一種新的止損策略——ATR棘輪法

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

    基本思想是非常簡單的，我們先選定一個合理的起始價格，然后每天加某一倍數(shù)的ATR，得到一個跟蹤止損點(diǎn)。由該方法生成的止損點(diǎn)不僅能隨著時間的增加不斷上移而且同時也能適應(yīng)市場波動性增減。與我們以前采用的由拋物轉(zhuǎn)向指標(biāo)得到的止損點(diǎn)相比，其優(yōu)點(diǎn)在于：使用ATR棘輪，我們能更自由的選擇起始價格和增減速度。此外我們還發(fā)現(xiàn)基于ATR的止損點(diǎn)能更快更準(zhǔn)確的反映波動性變化，從而使我們能比傳統(tǒng)的跟蹤止損法鎖定更多的利潤。

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

    下面是一個應(yīng)用該策略的例子：當(dāng)我們1ATR以上的盈利目標(biāo)實(shí)現(xiàn)時，我們選擇一個近期低點(diǎn)（比如最近十天的最低價）作為起始價格，然后根據(jù)我們持倉天數(shù)每天將最低價增加零點(diǎn)幾倍的ATR（比如0.05ATR）。如果我們已經(jīng)持有倉位15天了，那么我們把0.05ATR乘以15天，然后將其乘積0.75ATR加到起始價位上。20天后，我們將把1.0ATR（0.05乘以20天）加到最近十天的最低價上。ATR棘輪法在邏輯上是很簡單的，但是你馬上就能發(fā)現(xiàn)有許多運(yùn)動點(diǎn)能完成一些有趣且有用的功能，比我們想象的要多得多。

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

    我們尤其喜歡該策略，因?yàn)椴幌髵佄镛D(zhuǎn)向指標(biāo)，ATR棘輪能非常容易的在我們交易過程中的任何時候使用。我們可以在進(jìn)入交易的第一天就開始使用這種止損策略，也可以等發(fā)生某些有利事件后再使用止贏策略。我建議等到實(shí)現(xiàn)盈利后再使用該止損策略，原因正如你我都看到的那樣，這種止損點(diǎn)會在有利的市場環(huán)境中迅速向上移動。

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

    ATR棘輪安靜的轉(zhuǎn)動著，每天都在向上移動，因?yàn)槲覀兠刻於荚谧屍湓黾恿泓c(diǎn)幾倍的ATR。此外，我們用于計(jì)算止損點(diǎn)的起始價格（比如我們上邊例舉的最近十天最低價）會隨著市場向上運(yùn)動不斷上移。因此隨著時間的增加，我們在不斷升高的最近十天最低價的基礎(chǔ)上增加不斷增長的累積ATR。每當(dāng)10天低價上移，我們的ATR棘輪也跟著向上轉(zhuǎn)動，我們的止損點(diǎn)也跟著每天穩(wěn)步上移，如果十天低價急劇上移，我們的止損點(diǎn)也跟著向上跳躍。有必要強(qiáng)調(diào)一下，該策略是我們能不斷的把每日價格變化速度反應(yīng)在不斷上移的起始價格上，從而形成該止損策略獨(dú)一無二的雙重加速因素。不斷上移的止損點(diǎn)不僅能被時間因素加速，還能被價格加速。此外，波動性增加也會提高ATR棘輪止損點(diǎn)上移的速度。

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

    波動性增加會使止損點(diǎn)上移速度增加，這是ATR棘輪策略的重要特征。在一個快速移動的市場中，你會看到許多缺口和長長的 K線圖。市場趨勢加速時市場波動性也會增加，因而在我們盈利迅速增加時，ATR也會迅速增加。由于我們要往起始價格中增加一定數(shù)量的ATR，所以ATR的每一次增加都會使止損點(diǎn)突然向上跳躍，止損點(diǎn)就變得更靠近入場后的最高價。如果我們已經(jīng)持有倉位40天，那么ATR的任何增加都會對止損點(diǎn)產(chǎn)生40倍的影響。這正是我們想要的。我們發(fā)現(xiàn)，當(dāng)市場給我們豐盛的盈利時，ATR棘輪止損點(diǎn)也會令人驚訝的迅速上移從而很好的為我們鎖定浮動盈利。

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

    請記?。词菍ξ覀儊碚f）這種止損策略是新的策略，因?yàn)槲覀儗λ慕?jīng)驗(yàn)和結(jié)論是很有限的。然而我還是打算討論對一些變量的觀察結(jié)論，或許這能幫你理解和成功的應(yīng)用這種止損策略。

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

    起始價格：ATR棘輪的一個非常好的特性是我們可以在任何我們中意的地方設(shè)置起始價格。例如我們可以象拋物轉(zhuǎn)向指標(biāo)一樣在一些重要的低點(diǎn)設(shè)置起始價格，我們還可以在擺動區(qū)間的底部，或支撐水平，或某某通道得底部，或者低于入場點(diǎn)一定數(shù)量ATR的地方設(shè)置起始價格。如果我們等到賬面產(chǎn)生數(shù)量可觀的盈利后，我們可以把起始價格設(shè)置在甚至是高于入場點(diǎn)的地方。可行的入場點(diǎn)是無限的，充分發(fā)揮你的想象力和邏輯推理能力去尋找一個適合你時間框架的、對你的交易系統(tǒng)也是切實(shí)可行的起始價格。與固定的起始價格（比如拋物轉(zhuǎn)向指標(biāo)中）不同，我們把最近X天低點(diǎn)設(shè)置為起始價格，這使得我們的ATR棘輪止損點(diǎn)上升得更快，因?yàn)樵诓粩嘧邚?qiáng)的市場中，我們的起始價格也會不斷上移。要是你喜歡，你也可以把ATR棘輪的起始價格固定在某一個地方，比如在低于入場點(diǎn)2ATR的地方，在這種情況下，雖然起始價格不會向上移動，但隨著持倉時間的延長ATR棘輪止損點(diǎn)還是會上移的，另外ATR值變大也會使ATR棘輪止損點(diǎn)上移。

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

    何時啟動ATR棘輪：我們可以根據(jù)時間而不是根據(jù)價格來啟動ATR棘輪策略，因?yàn)榍罢呒雌浜唵巍；蛘呶覀円部梢跃C合考慮時間與價格來啟動ATR棘輪策略。例如，是否啟動ATR棘輪取決于是否同時滿足兩個條件：1）至少已經(jīng)持倉10天（基于時間因素）；2）浮動盈利至少1ATR?？傮w感覺，啟動ATR棘輪的最佳時機(jī)是在實(shí)現(xiàn)巨大的盈利目標(biāo)之后。ATR棘輪似乎是一個非常好的保護(hù)盈利的止損策略。但我懷疑如果你在交易實(shí)現(xiàn)浮動盈利前啟動ATR棘輪，你會過早的被踢出市場。

    （譯者注：我不明白為什么在實(shí)現(xiàn)盈利前啟動ATR棘輪策略就會被過早踢出市場，而當(dāng)實(shí)現(xiàn)巨大盈利后啟動該策略就不會被過早踢出市場？雖然原作者沒有明說，但隱含著這種意思）

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

    如上所述，ATR棘輪策略最討我喜歡的地方之一是該策略的靈活性和適應(yīng)能力。下面是另一個關(guān)于如何使用ATR棘輪策略的想法。我們可以在15根K線后啟動ATR棘輪，但我們可以不用加上所有這15個棘輪步長（譯者的理解：對應(yīng)每一根K線ATR棘輪要相應(yīng)向上移動一個棘輪步長。不知道對原文的這種理解是否正確），例如在編制計(jì)算程序代碼時，我們將K線條數(shù)減去10，然后將所得的商乘以某一數(shù)量的ATR（譯者注：一個棘輪步長等于某一數(shù)量的ATR，比如我們以前提到的0.05ATR），或者我們也可以把我們的持倉天數(shù)除以某一常數(shù)，然后將所得商乘以某一數(shù)量的ATR。這種思路可以減少棘輪步長的數(shù)目，尤其是在我們開倉后的前期階段啟動ATR棘輪策略時。好好琢磨ATR棘輪策略，或許你會有一些創(chuàng)造性的想法。

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

    ATR棘輪每天移動量：我們剛開始研究使用的ATR棘輪每天移動量經(jīng)測試表明太大了。對于我們的交易時間框架來說，太大的ATR棘輪每天移動量（百分之幾的ATR）會讓我們的止損點(diǎn)向上移動的過分快。經(jīng)過一段時間的試驗(yàn)和失敗后我們發(fā)現(xiàn)用我們的持倉天數(shù)乘以ATR棘輪每天移動量0.05~0.10ATR（5％至10％ATR(20天期)）能讓止損點(diǎn)上移的速度比你想象的要快得多。

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

    作為該策略的變通方法，我們可以在最初使用較小的ATR棘輪每天移動量，然后一旦我們獲得很大的浮動盈利，我們就可以使用較大的ATR棘輪每天移動量。 increment 增加，增值，增額

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

    ATR周期長度：正如我們在以前使用ATR過程中發(fā)現(xiàn)的，我們用來計(jì)算ATR的時間周期長度是非常重要的。如果我們希望ATR能快速反應(yīng)市場短期波動區(qū)間的變化，我們可以使用較短期的均值（比如4止5根K線）；如果我們希望一個更加平滑的ATR，不會對一兩天的異常波動敏感，我們可以使用長期均值（20至50根K線）。我在工作中使用的ATR大部分是20天均值，除非我有充分理由希望ATR變得更敏感或更不敏感。

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

    總結(jié)：ATR棘輪做為一種贏利工具，我們對其應(yīng)用潛能及變通用法的理解才觸及皮毛。我們尤其喜歡它帶給我們的靈活性，我懷疑每個交易者都會想出略微不同的版本。正如你看到的，有許多重要的變量可以修修補(bǔ)補(bǔ)。（以下略）

    tinker 隨隨便便的修理，小修小補(bǔ)；擺弄 Be sure to let us know if you come up with any exciting ideas on how to apply it. Good luck and good trading.

    譯者補(bǔ)充：原文中多次提到Parabolic SAR（韋爾達(dá)技術(shù)指標(biāo)）,以下是譯者轉(zhuǎn)摘的相關(guān)知識。 Parabolic SAR (Stop and Reverse)，拋物轉(zhuǎn)向指標(biāo)，為一種設(shè)定止損點(diǎn)相當(dāng)有效的韋爾達(dá)技術(shù)指標(biāo)，基本原理是將我們股票或商品價格走勢假設(shè)為拋物線運(yùn)動。利用價格與指針交*判斷趨勢反轉(zhuǎn)進(jìn)行平倉與建立反向新倉。公式： 　　SAR（t） = SAR（t-1） + AF * ( EP – SAR（t-1）)1.一開始AF = 0.02，當(dāng)一個新的極值出現(xiàn)時，AF每次便增加0.02，直到AF值為0.2為止便不再增加；若無新極值，則AF維持前一筆的值。2.EP是指該上漲波段的最高價(Extreme High)，或下跌波段的最低價(Extreme Low)。計(jì)算SARt時，以t-1以前的數(shù)據(jù)尋找EP，而不含t時的高低點(diǎn)。3.起始值SAR0的設(shè)定，首先要先決定一開始是上漲波段或下跌波段，如果，是上漲波段，最高價作為SAR0；反之，如果是下跌波段，則取最低價作為SAR0。而決定是上漲波段或下跌波段的方式，市場上常用的方式有數(shù)種，例如：以前n筆資料作為判斷，如n=2，則拿第二筆資料的最高價與第一筆最高價相比較，如果第二筆高于第一筆，則視為上漲波段，此時SAR0=Low0；若否，則視為下跌波段，此時SAR0=High0。4.反轉(zhuǎn)時，以前波EP作為SAR的起始值。利用拋物轉(zhuǎn)向點(diǎn)(SAR)的轉(zhuǎn)向去判斷買賣策略，方法如下：－ 1. 當(dāng)拋物轉(zhuǎn)向點(diǎn)(SAR)由價位線之上轉(zhuǎn)到當(dāng)日價位線之下(由綠點(diǎn)轉(zhuǎn)為紅點(diǎn))，代表市勢逆轉(zhuǎn)向好，可視作入貨訊號。 2. 相反，當(dāng)拋物轉(zhuǎn)向點(diǎn)(SAR)由價位線之下轉(zhuǎn)到價位線之上(由紅點(diǎn)轉(zhuǎn)為綠點(diǎn))，則代表市況轉(zhuǎn)淡，可視作沽貨訊號。 SAR假設(shè)一開始持有多或空部位，當(dāng)持有多部位時，不論當(dāng)天價格走勢如何，SAR指針每天都會不斷上揚(yáng)，以追趕價格。因此當(dāng)SAR追上價格時，表示該波段的行情結(jié)束了并且發(fā)生反轉(zhuǎn)，原持有部位應(yīng)該在此時作停損操作。由于訊號明顯，是相當(dāng)好用的停損點(diǎn)指標(biāo)。SAR的設(shè)計(jì)，是每天用與極值差距的某一比率(即AF值)來追趕目前價格?？梢杂行У恼莆盏讲ǘ涡星?。因此可以將反轉(zhuǎn)點(diǎn)視為買進(jìn)或賣出訊號?！　。樱粒业氖褂闷鋵?shí)很簡單，跟單移動平均線的穿越、跌破交易法則是相同的。它的特色是在我們不必等到收盤再動作。一般指標(biāo)因?yàn)榻砸允毡P價為計(jì)算基準(zhǔn)，所以交易者必須承受收盤之前價格的風(fēng)險。而ＳＡＲ是在盤中就可以決定平倉與否。而它的使用風(fēng)險在那里呢？就是起始時的停損風(fēng)險過大了些…在建立倉位約一周內(nèi)，你如果初次使用ＳＡＲ，我想你睡好覺的機(jī)會是很少的。此時ＳＡＲ是標(biāo)在價格的某一高或低價，也許跟目前價格有許多的距離，特別對期貨倉位而言。然后ＡＦ此時又必然是最小的狀態(tài)﹙反轉(zhuǎn)必須由０．０２起算﹚。所以在約一周以上的時間，你的倉位曝露在比較大的止損風(fēng)險。ＳＡＲ最難就在進(jìn)場！拋物轉(zhuǎn)向指標(biāo)(SAR)的缺點(diǎn) 1. 運(yùn)算拋物轉(zhuǎn)向指標(biāo)(SAR)的缺點(diǎn)是在于公式中的「加速因子」(Acceleration Factor)，它不能巧妙地適應(yīng)于不同商品或股票，必需由運(yùn)用者作出不斷的嘗試，才能在波動節(jié)拍中尋找最佳的加速因子(AF)數(shù)值。一般使用的加速因子(AF)數(shù)值的限度在0.02至0.20之間，以0.02值遞增或遞減(例如：0.02、0.04、0.06.....等等)。 2. 在處于盤整市時，拋物轉(zhuǎn)向指標(biāo)(SAR)轉(zhuǎn)向頻率非常高，會導(dǎo)致訊號追隨者在高買低賣的情況下造成虧損。因此，在遇到盤整市時，拋物轉(zhuǎn)向指標(biāo)(SAR)絕不宜使用。

    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棘輪的啟動時機(jī)：

    我們能夠很方便地優(yōu)先采用基于時間而不是價格的參數(shù)（或者是時間和價格的參數(shù)組合）來啟用上述的離市策略。例如，我們啟用離市當(dāng)且僅當(dāng)一項(xiàng)交易開倉至少十個交易日之后并且獲利超過一個ATR的幅度?？傮w的感覺，只有在交易達(dá)到了相當(dāng)大規(guī)模的盈利目標(biāo)之后才是ATR棘輪啟動的最佳時機(jī)。這看起來是一種很好的獲利平倉策略，但需注意的是如果在一次交易獲利之前就啟動棘輪有可能讓你過早出局而喪失此次機(jī)會。

    如上所述，對我來說，ATR棘輪最引人入勝的一點(diǎn)在于它的適用性和靈活性。下面介紹如何啟用棘輪策略的另一種思路。我們可以在15根條形圖之后再啟用ATR棘輪而不必計(jì)算這前期的15步運(yùn)作過程。在編制程序代碼時，我們可以設(shè)置在交易的第15根條形圖之后再啟用棘輪而用交易產(chǎn)生后的條形圖數(shù)量減去10再乘以ATR的單位值，或者用交易產(chǎn)生后的天數(shù)先除以某一個常數(shù)后再乘以ATR的單位值。這種方法將簡化棘輪的計(jì)算程序，尤其是在交易初期首次啟用離市策略的時候。好好琢磨琢磨ATR棘輪，看看你能夠由此產(chǎn)生一些什么樣的創(chuàng)造性思維。