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【原文推送】克罗谈投资策略(18)第十三章 顺势/逆势——双重交易方法  

2017-05-17 20:37:09|  分类: 操盘心得 |  标签: |举报 |字号 订阅

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第十三章 顺势/逆势——双重交易方法

  Trending/Anti-Trending — A Dual Market Approach

  The ideal formula for investment success is the appropriate integration of a good technical system with sound principles of strategy and money management. But creating and then implementing this balance is easier said than done. During the 30 odd years that I’ve been trading, I’ve made my share of killings and had perhaps more than my share of getting killed. In my experience, the most profitable and consistent approach is a long-term positioning strategy-getting aboard in the early stage of a major move, pyramiding at the propitious time, and staying aboard for the ride. However, there is a fundamental pitfall in the way most operators handle this strategy.


  Regrettably, we are always trying to project a distinct (up or down) price trend out of every market situation. As a result, we are invariably buying on strength at what we perceive to be the bullish moment and then haphazardly selling on weakness whenever it appears to be a bearish moment. Red ink abounds on most of these trades. “How come I’m always buying on rallies and then selling on the reactions?” Does that sound familiar?


  The simple truth is that markets are in relative equilibrium most of the time; that is, in a broad, random sideways range rather than a distinct up or down trending mode. A graphic example of this buy high, sell low tactic was the crude oil market for the three years from 1983 through 1985, when the market traded broadly between 26.00 and 32.00 (see Figure 13). Every rally toward 30.00-32.00 was accompanied by computer and other technical upflips, while each subsequent reaction back towards 26.00-28.00 would predictably flip everyone down.


  图13-1 原油(最近期)长期周线图 (文字:耐心终于得到回报)

  【For the three-year period, 1983-85, crude oil traded in a broad sideways range bounded by 26.00 to 32.00. Long-term position traders were whipsawed as their systems kept giving buy signals on the rallies towards the upper boundary of the range and sell signals on reactions toward the lower boundary. Their patience was finally rewarded, however, in January of 1986, when the market broke down through the bottom of the trading range and continued south till it reached the 11.00 level. This points out the need for consistent adherence to all trading signals because the one big profit on the early January down-leg exceeded the string of small losses during the sideways trading range.


  As a viable alternative to this “oops” method of trading and after years of probing and testing, making more mistakes than I care to recall, I have developed a dual trading approach to speculation. It can be summarized as follows: During periods of broad, 四sideways price movement, you play an essentially game-buying on reactions towards the lower boundary of the trading range and selling on rallies towards the upper boundary. However, once the market blast out of this broad sideways formation-in either direction-you abandon the antitrending position and follow the breakout strength (see Figures 13-2 and 13-3).


  图13-2 1987年6月国库券 (文字:由多转空)

  【The market was locked within a broad sideways trading range (94.45 to 95.00) for the six-month period, August 1986 through January 1987. During this sideways period, you would play antitrend, looking to place shorts against the 95.00 upper boundary and to cover shorts and go long against the 94.45 lower boundary. These antitrend positions would be protected with stops on close only, just beyond the trading range (at 94.35 stop close and 95.10 stop close). On a closing breakout in either direction, you would liquidate your antitrending position and assume a new trending position. On February 10, the market broke down, with June closing at 94.31. On the close, the position would have been reversed from long to short.


  图13-3 咖啡豆(最近期)长期周线图 (文字:注意!行情来了)

  【The market traded within a sideways range (130.00 to 160.00) for 27 months, from July 1983 through October 1985. You should have played this antitrend, going short against the 160.00 upper boundary and reversing to long against the 130.00 lower boundary. These antitrend positions would have been protected with on close only stops, just beyond the trading range, around 127.00 and 163.00. Following several successful antitrend trades, the market broke out on the upside in October 1985. The short position would have been liquidated, and a with-the-trend long position would have been taken.


  This approach is logical and straightforward, with no fancy “bells and whistles,” as in so many of the current systems and trading theories. Here is an optimum market approach, coordinated into two aspects-the technical trading system and the investment strategy. When followed in a serious and disciplined manner, by either a speculator, trade hedger, or financial institution, it could yield consistent market profits within an acceptable risk environment. It constitutes the game plan for many successful professional operators, who may keep their winning strategies to themselves but whose profitable results are highly acclaimed.


  To implement the strategy, you start by identifying the price trend of each market as sideways or trending (up or down).


  How do you identify the trend as being sideways or trending? I usually do it by inspection, studying both the daily and the weekly charts for each commodity under review. A discussion regarding trend identification is not within the scope of this book, but there are good reference sources available. A more objective method of trend identification is through the use of some available formula, and the best I have seen is Wilder’s Directional Movement Index. This index measures, on a scale between 0 and 100, the extent to which any market is trending. Values in the upper end of the scale indicate a strong trending market, while lower values accompany nontrending (sideways) markets. The index also defines and identifies an equilibrium point, where directional movement up is just equal to directional movement down. You can calculate these values by hand, but it is more efficient to use either a programmable calculator, such as one of the Hewlett Packards, or a microcomputer (Apple, IBM, or a compatible). Information concerning software packages is available from Trend Research, Ltd (J. Welles Wilder, Jr., New Concepts In Technwal Trading Systems (Mcleansville, N.C. 27301: Trend Research, 1978).).


  The other approach to trend identification is via a subion to one of the commercial services which provides this information on a daily or weekly basis. For several years, I have used the Computer Trend Analyzer, contained in the weekly CRB Futures Chart Service (see Figure 13-4). This technical method is based on mathematical calculations of price movements, which include moving averages, volatility, oscillators, and time cycles. The weekly service is actually an offshoot of CRB’s daily Electronic Trend Analyzer, which includes trend identification plus other technical information for some 200 futures contracts. As you can see from Figure 13-4, the Computer Trend Analyzer identifies the trend of each market as sideways, up or down. For each sideways market, it identifies the support and resistance levels. A close below the indicated support price will flip the trend to down, and a close above the indicated resistance price will flip the trend to up. Furthermore, in the case of up- or down-trending markets, the Analyzer indicates where an up market flips to side (price closes below the indicated support price) and where a down market flips to side (price closes above the indicated resistance price).


  图 13-4

  For each sideways market, you identify the following:


  1. The upper and lower boundaries of the SIDEWAYS formation.

  1. 盘整区上档和下档;

  2. The price levels (“exit trade”) where, on a closing basis, the trend will have changed from sideways to up (upside breakout) or from sideways to down (downside breakout).

  2. 以收盘价来看,价格水准(出场点)在哪里从横盘改为上涨(向上突破)或者从横盘改为向下(向下突破)。

  These exit trade (stop) points where you close out your antitrend position and put on a trending position will be beyond the boundaries of the sideways trading range. The buy stop, to exit your short antitrend position, will be above the upper boundary of the trading range. The sell stop, to exit your long antitrend position, will be below the lower boundary. How much above and below? That is, obviously, the trickiest part of the operation because, if the stop is too close you will be excessively whipsawed; if the stop is too far, you will be taking some whopping losses. You should consider the total loss you are willing to take on the position. Then set your stop at the point beyond your trade entry point that would limit the loss to this sum. For an example, if you are trading soybeans and have set a risk limit of, say, $600 (12 cents), you would set your sell stop (for a long position) 12 cents below your buy price and your buy stop (for a short position) 12 cents above your sell price. Take the case of March 1987 soybeans (Figure 13-5). They are trading in a broad sideways range between 4.80 and 5.10, with the current market at 4.89. You would be interested in buying around 4.86 with a sell stop at 4.74 (12 cent risk). Or you could go short around 5.04 with a buy stop at 5.16 (again, 12 cent risk).


  图13-5 1987年3月黄豆 (文字:宽幅震荡的横向交易区间)

  【The market is trading within a broad range bounded by 4.80 and 5.10. So long as it remains within this range, we play antitrend. We buy on reactions to 4.86 and sell on rallies to 5.04. On a close above 5.16 the trend will reverse from side to up, and we cover shorts and reverse to long. On a close below 4.74 the trend will reverse from side to down, and we liquidate longs and reverse to short.


  In terms of liquidating the position, I would take the trade one stop further by setting my protective stops as stop and reverse. If the market were to close at my buy or sell stop, each of which is 6 cents beyond the limit of the trading range, I would want to reverse to the respective trending position. If I had sold 10M short at 5.04, I would buy 20M at 5.16 stop on close. If I had bought 10M at 4.86, I would sell 20M at 4.74 stop on close.


  However, if the position goes your way, since you are trading antitrend, you will liquidate and reverse at the opposite side of the trading range. If you had sold 10M March beans on strength at 5.04 and the market started heading south, you would buy 20M at 4.86. Conversely, if your first trade was a buy against the lower boundary at 4.86 and the market rallied, you would sell 20M at 5.04.


  The strategic aspects of this operation dictate that, while trading antitrend, your stops are stop and reverse. Also, they are on close only. You do not want to be stopped and reversed by some random intraday jump outside the trading range, only to find that by the close the price may have returned back within the range.


  In terms of how to exit a trending position, you will do this through being stopped out-whether at a profit or a loss. Your initial stop on a trending position should be placed to limit your loss to an acceptable amount, perhaps to 80 to 100 percent of the margin requirements (or less, if that is excessive). If the market does move favorably, you are still faced with the problem of exiting this (profitable) position. Experience has shown that there is no viable and consistent way for you to pick off major tops and bottoms. All of us have had the frustrating experience of dumping a favorable with-the-trend position prematurely. Therefore, it makes good sense to sit with the position until the market takes you out. You do this by setting efficient stops, advancing them as the market moves favorably, until you are ultimately stopped out.


  Being stopped out of a trending position (here, you stop out intraday rather than on close) does not necessarily mean that the trend has reversed. It may just mean that you reached your pain threshold and you deemed it prudent to cut losses or to preserve part of your profit. Use a straight liquidating stop, not a reversal stop. Assuming that the major trend had not changed, you can always reenter the market at a more propitious time.


  Although the dual trend/antitrend strategy is logical, it may be emotionally difficult to stick with. Considering the volatility of many markets, it really takes a strong constitution to play this successfully. We ought to examine why there is such a compelling temptation on the part of many speculators to buy near the top of a broad sideways trading range and to sell near the bottom. It is largely a matter of “crowd perception,” for markets invariably speculative buying on strength and selling on weakness during seem most bullish on the rallies and most bearish on the reactions. As a market surges towards the top of a broad sideways range, there will be lots of bullish news and rumors and higher price expectations, accompanied by broad speculative buying. After all, no one wants to miss the start of the big “bull express.” This would probably turn out alright if we were talking about buying into a bullish trending market or selling into a bearish trending market. But, since most markets move in a sideways random direction most of the time, this “buy high and sell low” approach is invariably the wrong way to play. In fact, much of the sideways nontrends is played to advantage by professional operators who unload their positions held from better levels.


  I recently talked to a Washington-based international banker, who had spent the morning with a senior bond trader at one of the large money-center banks. “Imagine,” he gasped, “the guy buys $100 million bonds in the morning and then dumps the position before lunch. The loss was $100,000 and nobody batted an eye.”


  Clearly the banks, commercial dealers, big institutions, and floor operators play a dynamic and broad-swinging game - big orders, big positions, for big dollars. The result is big profits and losses, but even bigger swings and volatility. And, since their orientation is essentially short-term, we longer-term position traders find it increasingly difficult to stick with our prescribed holding strategies. We are, all too often, mauled in the crossfire between the big professional or commercial houses and the heavy concentration of commission firm and commodity fund stop orders that are frequently used as “target practice” by professional operators.


  There isn’t much you can do to prevent these massive whipsaw moves. But you can minimize the damage by taking smaller positions and trading less frequently. Also, try to avoid buying strength and selling weakness in broad sideways trends, since these are the typical speculator traps set up by the major players.


  The dual trend/antitrend strategy, if used correctly and in an objective and disciplined manner, should considerably improve your overall trading results.



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