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2017-05-03 13:19:59|  分类: 操盘心得 |  标签: |举报 |字号 订阅

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第一章 什么叫做交易策略?为什么那么重要?

What Is Trading Strategy and Why Is It Important?

During my boyhood in the 1940s, one of the great attractions of each Saturday afternoon was going to the movies, younger brother in tow, with 75 cents in my pocket to cover admissions and goodies. In that simple bygone world, the Saturday afternoon serial provided a full measure of fantasy and excitement and kept us coming back each week for more of the same.


Well, it’s 40 years later, and the Saturday afternoon serials are gone. I now have for my weekly excitement the ongoing “serial” of commodity speculation. It is the key to fantasy and riches. It is forever “to be continued,” and players breath a sigh of relief each evening and wonder what triumph or disaster will befall them tomorrow. We traders are the players in this ongoing drama. What we have lost in innocence, we have gained in experience, in intensity, and in a continually renewed determination to come out as one of the fortunate few to make a killing in the market. We strive to emerge with skin and purse intact, if not enhanced, and to ride off into the sunset of fast cars, old houses, or large boats, and with a personal universe of people who sincerely care about each one another.


But first things first - we still have to beat the market, don’t we? For starters, we must focus on the fact that we are speculators, not gamblers. We study each market situation, both historical and current price action, concentrating on either the technical or fundamental market factors, or a balance of the two. We then must formulate a strategy that encompasses contingencies for both profitable and adverse positions-and all this must be done before entering the market. Furthermore - and this should be paramount-we do not trade for the actions, the excitement, or to entertain friends with wild and woolly anecdotes. We accept the high risks for just one reason: to make a big score.


Back in 1967, I received the following letter, quoted in part below:


A New York friend sent me your World Sugar Market Letter of October 17, which I found interesting and subsequently quite profitable…The quotation from Jesse Livermore reminded me of my late lamented father, when I asked him as a boy how you made money on the futures market. His answer, “You have to be bold and you have to be right.” I then said, “What if you are bold and wrong?” and he said, “You just go down with the ship.”


He did just that, unfortunately.


My continuing dialogue with commodity speculators and hedgers via telephone, correspondence, in person, and even international Telex has been an enjoyable and rewarding aspect of my career and one I have always taken seriously. In reflecting on these myriad contacts, one recurring theme seems to surface. Even the least successful traders occasionally experience the big profits that are there in the market-elusive and tough to capture, but there. And, if you can avoid the considerable hazard of the big wipeout, you will take home the big profits. But how do you avoid the disaster, the big wipeout, that is all too common in the world of the commodity trader? Or, as expressed more poignantly in the letter above, how do you avoid going down with the ship?


Ever since people got together and bartered stone tablets, spears and hatchets, or something to eat, there have been winners and losers in the commodity game. Yet, despite the obvious profit potential and the high leverage (Commodity positions can be put on with as 6 percent or less of the contract value.), most speculators - including many professionals - end up losers. Many lose in a big way.


Aside from the small number of professional floor operators, who scalp in big volume from the exchange floors and pay negligible clearing fees, the traders who make big money on any sort of consistent basis are the longer-term position traders. They tend to be trend followers.


I have been fortunate to have been on the right side of some big positions and big profits, some of them held for as much as 8 or 10 months. In summarizing the tactics you need to avoid the big wipeout and to stand proudly in the winner’s circle, the following constitutes the essence of a basic strategy:


1. Participate only in markets that exhibit strong trend-adhering characteristics or that your analysis indicates are developing into a trending formation. Identify the major ongoing trend of each market and trade in the direction of this dominant trend or stand aside (see Figure 1-1).

1. 只有在市场展现强烈的趋势特性,或者你的分析显示市场正在酝酿形成趋势,才能进场。一定要找出每个市场中持续进行的主趋势,而且顺着这个主控全局的趋势交易,否则就不要进场(见图1-1)。

图1-1 1986年12月玉米趋势:十分明显的,空头趋势


【The primary element of trading strategy is to identify the major trend of each market and to trade in the direction of that trend. Your with-the-trend position could result in a big move, so try to stay aboard for the ride. Assuming you can control losses on adverse positions, you only need a few good moves like this year to reap big profits.


2. Assuming that you are trading in the direction of the trend, initiate your position on either a significant breakout from the previous or sideways trend or on a reaction to the ongoing major trend. That is, in a major downtrend, sell on minor rallies into overhead resistance or on a 45 to 55 percent rally (or third to fifth day of the rally) from the recent reaction bottom. In a major uptrend, buy on technical reactions into support or on a 45 to 55 percent reaction (or the third to fifth day of the reaction) from the recent rally high. In this regard, it is imperative to note that, if you misread or choose to ignore the trend and are buying against a major downtrend or selling against a major uptrend, you are likely to spill considerable amounts of red ink.

2. 假如你正要顺势交易,建仓点有3个:第一个是趋势的新突破点,第二个是横向盘整显著走向某个方向的突破点,第三个是上涨主趋势的回调点或下跌主趋势的反弹点。也就是说,在上涨主趋势中,回调遇到支撑时买入,或者回调到距离最近高点45%——55%(或者开始回调的第3天——第5天时)买入。在下跌主趋势中,反弹遇到压力时卖出,或者反弹到距离最近低点的45%——55%(或者开始反弹的第3天——第5天)卖出。除此,要是你判断趋势错误,或者决定置眼前的趋势于不顾,稍后又硬要在上涨主趋势中卖出,在下跌主趋势中买入,你很可能会发生巨大的亏损。

3. Your with-the-trend position could result in a big, favorable move, so remain aboard for the ride. Resist the many temptations to trade minor swings and to scalp against-the-trend positions, unless you are very experienced at doing so and you use close and consistent stops.

3. 顺势而为的仓位,可以给你带来很大的利润,所以千万不要提前下车。在这个过程中,你要拒绝很多诱惑,不要一见到小波动,就想做短线,不要逆势交易。除非你很会做短线,而且设置了止损点,否则不要轻易做短线。

4. Once the position is going your way and the favorable trend has been confirmed by market action, you can add to the position (pyramid) on technical reactions as noted in 2 (above).

4. 只要所建仓位和趋势一致,而且市场已经证明你是顺势交易,你可以在第2点所讲的技术性回调(反弹)处加仓(金字塔式)。

5. Maintain the position until your objective analysis indicates that the trend has reversed or is reversing. Then close it out and fast! Subsequent chapters will discuss the specific and detailed tactics of exiting a position. Briefly, you can do it with trailing stops, on the basis of a computer trend-following system that signals a “flip” in trend, or on the failure to hold following a 45 to 55 percent counter-trend reaction. If subsequent market actions tells you that the major ongoing trend is still intact and that you have liquidated prematurely, get back aboard; but do it carefully and objectively, again initiating with-the-trend positions on technical reactions against the minor trend.

5. 保持仓位不动,直到你用客观的分析之后发现,趋势已经反转,或者就要反转。这时就要平仓,而且行动要快!下面几章会详细探讨一些特定的平仓战术。这里我只简单地说明。你可以根据电脑趋势跟踪系统所发出的趋势反转信号,一路设置止损点;或者依据回调(反弹)45%到55%进场时,情况不对,赶紧平仓。如果随后的市场趋势告诉你,行进中的主趋势依然不变,平仓行动过早时,你要重新上车。在认真和客观的前提下,同样当技术性回调(反弹)时,再次建立顺势而为的仓位。

6. But what if the market moves adversely, not with you (like it’s supposed to do)? First of all, how do you know that it’s a bad position? The margin clerk or your daily equity run will tell you this in no uncertain terms, even if you refuse to admit it to yourself. Dickson Watts, the famous turn-of-the-century cotton speculator, once said, “Run quickly or not at all.” He may have had sufficient money or been enough of a masochist to include the “or not at all” portion of this admonition. My advice is to take his advice, minus the “or not at all.”

6. 但是如果市场趋势反向,也就是没跟你站在同一边(不是原先所想象的那样),那怎么办?首先,你怎么知道你的仓位不好?期货经纪公司催缴保证金的职员,或者你自己每天所做的资金记录,会很明确地告诉你亏钱了,即使你不承认都不行。本世纪初,赫赫有名的棉花投机者迪克森·华茨曾经说过,在这种情况下“要快点跑,否则就熬下去”。他这句话中“熬下去”的部分,说明他要么有足够的资金死守下去,要么就是他这个人喜欢被虐待。我的建议是不妨听听他的话,但把后面那半句给删掉。

The necessity of a first-class, viable strategy is self-evident. It is no less relevant here than in chess competition, tournament tennis, marathon running or corporate takeovers. The common denominator lies in the fact that success or victory involves both technical as well as strategic considerations. With players often equally qualified and experienced in the technical aspects of their trade or endeavor, what distinguishes the winner from the loser is the consistent and disciplined application of first-class strategy and viable tactics.


The correct utilization of good strategy is especially important in futures trading. Indeed, we all know the basic rules, don’t we? Take the traders who have never had a winning year no matter how long they’ve been at it (unfortunately, I’m describing the majority of speculators). Yet they’ve surely heard and can probably recite verbatim some of these good old maxims-“the trend is your friend,” “cut your losses short and let your profits run,” “the first loss is the cheapest,” and so forth. Here is winning strategy in its most basic form. And, while consistent winners share a single-minded adherence to these basic strategies, consistent losers are just as single-minded in their avoidance and violation.


Finally, while a consistent viable strategy is clearly the main-stay of successful operations, three additional traits are required: discipline, discipline, and discipline.The balance of this book is devoted to presenting and proving these thesis. And I can attest from personal (and painful) experience that whenever I was careless or foolish enough to stray from these tenets, I lost money - sometimes lots and lots of money. It should come as no great surprise that I generally made money when operating according to the strategies and tactics set forth here. These are universal experiences.


作者:Stanley Kroll、翻译:张轶

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