介绍一种交易策略： “The Triple Screen Approach”（北方一狼译）韬客论坛 - 汇市讨论

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介绍一种交易策略： “The Triple Screen Approach”（北方一狼译）

楼主发表于：2005-02-11 17:53

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推荐者的话： “The Triple Screen Approach” 是一种交易策略，他的作者是Alexander Elder, 是一个职业交易员和持照心理学家，曾经担任过金融交易论坛公司的主管。它的核心是将在不同时间或时期内，市场上存在的三种势，大势，中势，和小势区别对待，以赢取可能的最大的利润。它不同于很多其他交易技术和策略的风格，明确地提出在交易时断以当时的主导势为侧重，对我们加深对主次矛盾的区分，大小势的对待，合理的安排和制定交易策略，有着很好的启示。作为一种方法和交易策略的推荐，并不是一定要大家去仿照，而主要目的是让大家开拓眼界，从中吸取适应你自己消化的养分。文章是英文，全文以原文给出，为了避免任意加上推荐者本人的观点而使原作者的作品走样。请我们论坛的能者，帮个忙，大家一起，尽快翻译出来，供大家参考。本人在此拜谢了。续：前言 Those positive features in many trading techniques can also lead to dangerous losses when market conditions change. Even the most widely accepted techniques ------ "The trend is your friend," "Buy (or sell) breakouts" and "Buy lows, sell high" ----- can be costly. It's like running an obstacle course, where being 6 feet tall may be an advantage in running on a straightaway but won't help when you have to crawl through a 10-inch tube. So how can you resolve the contradinctory advice provided by normally sound trading techniques? In discussing trading approaches, you first need to be clear which trends and breakouts you are trying to catch. Trading weekly, daily or hourly trends calls for different techniques. To be successful, you have to combine several trading techniques, selected so their negative features can cancel out each other while their positive features stay undisturbed. The secret is to apply each technique to a different time frame of market events. Robert Rhea, the great market technician of the 1930s, compared the three market trends -- major, intermediate and minor --- to a tide, a wave, and a ripple. Most traders, especially those who cannot follow intraday moves, can benefit from intermediate trends, which last from two weeks to two months. You want to ride the wave (intermediate move) while taking advantage of the tide and letting even the ripple run in your favor. That is the goal of the triple screen system, which uses three consecutive screens, or tests, before entering any trade. Each test uses a different trading approach. Many trades that seem attractive at first are rejected by one or another screen. Those potential trades that pass the triple screen tests have a high degree of profitability. To be contined, with ＂Screen I：　Ｃａｔｃｈｉｎｇ　ｔｈｅ　Ｔｉｄｅ＂ Screen I: CATCHING THE TIDE You first goal is to identify the major trend, the market's tide. Start by examining weekly charts. The longer-term perspective puts you a jump ahead of those who watch only dily charts --- with everybody looking at the same few months of data. You can use several techniques to find the weekly trend. Trendlines and channels are useful. so are moving averages, whixh smooth week-to-week fluctuations. Many favorite indicator of the major trend on weekly charts is moving average convergence divergence (MACD), originally developed by Gerald Appel. It is sophisticated system of three exponential moving averages on closing prices. The weekly chart of Treasury bond futures has MACD plotted underneath the prices, both as exponential moving average lines and as a histogram(Fig. 11.1, --- will give at a seperated post). The lines show crossovers between faster and slower exponential moving averages while the histogram tracks the difference between the two lines. The histogram that keeps growing in either a positive or negative direction indicates growing bullish or bearish sentiment and forecasts a turn in market direction, frequently in advance of the price reversal. MACD line crossovers come later and issue decisive buy and sell signals. The first "screen" (market test) before entering a trade involves finding the direction of the weekly MACD histogram. If it is rising (bullish), take only long positions. If it is falling (bearish), only trade short. Always trade in the direction of the market tide. To be contined with: "Screen 2: RIDING THE WAVE" 一种交易策略（序言）(鲨版主供稿)----北方一狼(译)

（注：考虑到原文篇幅可能较长，为便于汇友阅读，故将译文另辟此贴，还请鲨版主恕“擅动”之过。另：本人业余时间不多，翻译仓促，故粗糙之处，还请大家赐教斧正；一时不能完成之后续部分，如有热心同仁相助，深表敬意！） （译文） 当盘市风向改变时，很多平时屡试不爽的交易策略也会归于失效。一些广为人知的交易方法，诸如“顺势而为”、“突破后下单”“高抛低吸”等等，这时反可能会给投资者带来损失。如同障碍赛跑一样，6英尺高的身材在直道赛跑中会优势尽占，但于穿越10英尺长管道障碍时，身材的高大反有撤肘之虞。那么该如何看待平时功勋累累，此时却无力回天的矛盾呢？在讨论交易策略时，你首先要清楚的是你要跟的是哪一个势或突破方向。交易周期有异，相应的交易策略则大相径庭。为求成功，你需要结合分析多种交易方式，选取适应面广的那些----既可以随时作出调整，又不致因调整而使优势失去。关键在于：使所选取的操盘策略能尽可能多地适用于不同的行情。罗伯特•里亚，是一位二十世纪三十年代知名的技术分析师。他将汇市的长、中、短三个时期，分别比作大浪、中浪和涟漪。大多数的投资者，虽不易得益于一日的行情变化，但完全可受惠在中期的波动中------无非需要耐心等待两周或者两个月而已。你需要的是：在驾驭中浪时，充分利用大浪之势，而忽略那些微波涟漪。这便是汇市“三段论”的分析要旨，在入市交易前一定要将此三者综合考虑。每一种尝试都有不同的操作策略，而许多最终被摒弃的策略，在最初只置于单段着眼时，似乎是那样的诱人。只有那些通过汇市“三段论”考量的交易策略，才能撷取最大的利润。（待续一）第一段：把握大浪 [ Last edited by 北方一狼 on 2003-8-24 at 04:03 PM ]

Screen II: RIDING THE WAVE After finding the weekly trend, switch to daily charts and indicators for the second screen to identify the intermidiate trend. Look for daily moves against the weekly trend. For this screen, use oscillators with dailycharts instead of trend indicators. Their rapid fluctuations between positive and negative extremes help you locate temporarily overbought or oversold ocnditions (that means the market has moved too far up or too far down and is likely to snap back). While the first screen put you in a trend-following mode, you now want to go countertrend ---- "buy low, sell high." That can be dangerous, but now youcan use it with confidence because buy and sell signals from daily oscillators make logical sense. When the market tide is coming in (weekly MACD rises), every pause and wave that goes against the tide ---- shorter countertrend moves ----offers an opportunity to get aboard the trend. It is probable that the weekly trend will reassert itself, leading to profits. It would be dangerous to rely on oscillators alone. In major downtrends, they can go into an oversold mode and stay there for weeks at a time, hurting a premature buyer. But, when the weekly trend is upward, you can use negative readings of a daily oscillator to get ready to buy. When the weekly trend is down, use positive readings of a daily oscillator to get ready to sell short. One daily indicator that does a good job of identifying intermediate daily reactions against weekly trends is the Stochastic indicator, developed by George Lane. Stochastics track the positioning of daily closing prices within the daily range. Closing prices tend to accumulate toward the tops of the ranges in advance of upside reversals of downtrends and toward the bottoms in advance of downside reversals of uptrends. The raw data is smoothed and represented by two lines, one faster, the other slower. You derive buy-sell signals when the faster line acrosses above or below the slower line. There are other methods fo rinterpreting Stochastics, but this one serves our purpose. The chart shows how crossovers by the faster line of the five-day Stochastic above the slower line have given good buy signals while the weekly MACD was in an uptrend. To be continued with: "Screen III: READING THE RIPPLE"

第一要务是判定"大势"---即汇海中所谓的“大浪”，此宜从周线图入手----图表的周期愈长，就愈能使你的视野跳出繁枝缛节，从而提前预知，进而把握住大势。但是，面对同一张月图------放眼于月间大势者少，而只识眼前波动者多。判别周趋势有多条途径：利用“趋势线”和“通道”技术行之有效；运用“移动平均线”技术，也有着异曲同工之妙，其波形平滑而稳定-------以“周”为计量单位使然。 “平滑移动平均线”（MACD），是同类技术中出类拨萃的分析指标，由杰拉德•阿贝尔首创。在与收盘数据相关的三大技术指标中，其可靠性已久经考验。在周线图的下方，MACD图与之同步并行，并与移动平均线和柱状图交相辉映。这些线显示了快、慢速平均移动指数的交叉位置，而柱状图却记录了这两条线的不同之处。柱状图的攀升不息或下跌不止，真实地反映出牛市的亢奋和熊市的低靡；在行情反转前，也常会伴有前期的征兆。随后，MACD线的交叉也会接踵而来，买(卖)信号便由此发出。入市的第一阶段(检验市场)。在进入一次交易之前，应潜心于寻找周MACD指标柱状图的运行方向。如果它是上升的（牛市），只能开立多头部位。如果它是下降的（熊市），则只能做空。记住，不要轻易逆着“大浪”弄潮。 [ Last edited by 北方一狼 on 2003-8-26 at 08:45 PM ]

Originally posted by 北方一狼 at 2003-8-26 20:57:
Originally posted by 小龙鱼 at 2003-8-25 09:53: 有关译文与狼兄商榷 原文为:The first "screen" (market test) before entering a trade involves finding the direction of the weekly MACD histogram. If it is rising (bullish), take only long positions. If it is falling (bearish), only trade short. Always trade in the direction of the market tide. 狼兄的译文为: 入市的第一阶段（对市场的试探），在MACD的周柱状图上，可以读出盘价潜在的方向。若攀升（牛市），则成交量较高；若下跌（熊市），则成交量偏短。鱼认为狼兄的译文与原文的意思似有偏差.鱼不才,试译如下,与狼兄商榷: 入市的第一阶段(检验市场)。在进入一次交易之前，应潜心于寻找周MACD指标柱状图的运行方向。如果它是上升的（牛市），只能开立多头部位。如果它是下降的（熊市），则只能做空。应永远沿着市场趋势的方向交易。
您的更正很及时，比我的准确，已按您的建议修改，谢谢！但是，对于最后一句“Always trade in the direction of the market tide.” 你我的意思实质上是完全一致的，请您考虑一下----- 1. “应永远沿着市场趋势的方向交易。”和 2. “记住，不要轻易逆着“大浪”弄潮。” 似乎后者（原文）既能适合作全文的总结句，又能与原文的风格更融为一体。您说呢？希望以后多提宝贵意见，再谢！ [ Last edited by 北方一狼 on 2003-8-27 at 10:24 AM ]

一种交易策略（续2）(鲨版主供稿)----北方一狼(译)

本人出差二日，昨晚刚回，加之本段篇幅较长，让汇友们久等了！中午方加班赶出，粗糙不周之处在所难免，请大家多提宝贵意见。在发现周趋势后，接着便转入对日图及其指标的研究，以判定中期趋势，并在研究日运行规律的同时与周趋势相对照。对此阶段的分析，宜充分利用日图的振荡特性，而非趋向指标。掌握其上下界间快速波动的规律，会有助于准确捕捉超买、超卖的瞬间（此刻意味着市场向一方移动过量，有回调要求）。在第一阶段里，操盘的关键应是顺大势而为。当时若仍一味坚持“高抛低吸”，反有不合时宜之嫌，属逆市操作，相当危险。而现在，你却可放心使用，因为买卖信号在日振荡中往往颇有规律。当大浪将至（周MACD指标上行），中途每一次短暂的调整或与大浪走势相逆的一刻，都是介入的良机，周浪会再掀波澜-------赢利可期了。但是，若仅依赖震荡去操作，亦不甚保险。多数的跌势中，它们会进入超卖状态，甚至僵持一周之久，很容易对初出茅庐的新手形成误导，造成伤害。但是，当趋势一旦转而向上，你自可重操旧业----借日震荡之便，卖出空头。相对于周趋势而言，判定中期日趋势之另一利器为随机指数，其创始人是乔治•雷恩。该指数的主要研究对象为日波动区间内的收盘价。收盘价在由跌转涨前趋于向上沿靠拢；而在自涨返跌前则趋于向下沿渐近。原始数据信息由两条一快一慢的平滑曲线为代表。买卖信号基于两点，即K线对D线是上穿还是下破。行情预测之法虽各有神通，但下述方法亦行之有效：当图表显示5日随机数的快线上穿慢线时买入信号发出；反之，则为明确的卖出信号。（未完待续）第三阶段----解读“涟漪” [ Last edited by 北方一狼 on 2003-8-27 at 05:46 PM ]

原文为:The first "screen" (market test) before entering a trade involves finding the direction of the weekly MACD histogram. If it is rising (bullish), take only long positions. If it is falling (bearish), only trade short. Always trade in the direction of the market tide. 狼兄的译文为: 入市的第一阶段（对市场的试探），在MACD的周柱状图上，可以读出盘价潜在的方向。若攀升（牛市），则成交量较高；若下跌（熊市），则成交量偏短。鱼认为狼兄的译文与原文的意思似有偏差.鱼不才,试译如下,与狼兄商榷: 入市的第一阶段(检验市场)。在进入一次交易之前，应潜心于寻找周MACD指标柱状图的运行方向。如果它是上升的（牛市），只能开立多头部位。如果它是下降的（熊市），则只能做空。应永远沿着市场趋势的方向交易。汇虫版为: 第一步(市场测试)，在进行首次有关的交易前,应判定周MACD指标柱状图的运行方向。若上升（牛市），则只能做多头交易，若下降（熊市），则只能做空头交易。永远要顺势而为。 [ Last edited by 汇虫 on 2003-8-29 at 07:55 PM ]

一种交易策略（续3）(鲨版主供稿)----北方一狼(译) （译本章时因遇到些技术疑点，不敢贸然发表，深恐误导大家。待多方证实后，今方迟迟推出，请朋友们见谅延期之过。倘仍有不周之处，还请不吝指正）

第三阶段：解读“涟漪” 第三阶段的主旨为：通过研究日趋势判定入仓位：当周趋势向上途中，在根据日图逢低买入的同时，又要注意避免续跌的损失。本阶段的关键是：如何既减少小跌转入大跌时的操盘风险，又能从中渔利；而在大势真正转跌后，又可在作空中二次获利，同时有效控制大跌中出现小涨时所带来的风险。本阶段使用“盘停下单”技术（区别于“止损”技术）。其内容有两方面：一为“跌停作多”技术，即在跌势中对前一交易日盘价分析后，伺机于小势反弹前的停顿点作多；二为“涨停作空”技术，即类似地，在涨势中对前一交易日的盘价分析后，伺机于返跌前的停顿点作空。当周趋势向多，而周二的日震荡却偏下时，可逢低买入----但只适用于周三行情，可较周二高位再看高一线。此后，若周趋势一如预期又重新向上，则可寻一回调突破点介入，建立中期跌势里搏反弹的短线仓位。若盘价在周三续跌，就宜离场观望，此时保住既得利润为第一要务。如果买入信号持续存在，周四可再度下单，但只对当天价位有效，并可看高于周三高位。 “盘停下单”操作，可反复使用，直至周图出现明显的反转信号时，方可取消。与“跌停作多”技术同理，而可反其道用之的则是“涨停作空”技术，即当周趋势向下，而日震荡却向上时，可逢高作空。（未完待续）《“三段论”综述》及《坚持设止损》 [ Last edited by 北方一狼 on 2003-9-1 at 01:29 AM ]

“当周趋势向多，而周二的日震荡却偏下时，可逢低买入----但只适用于周三行情，可较周二高位再看高一线。此后，若周趋势一如预期又重新向上，则可寻一回调突破点介入，建立中期跌势里搏反弹的短线仓位。若盘价在周三续跌，就宜离场观望，此时保住既得利润为第一要务。如果买入信号持续存在，周四可再度下单，但只对当天价位有效，并可看高于周三高位。 “盘停下单”操作，可反复使用，直至周图出现明显的反转信号时，方可取消。” 这部分，应作这样理解，大趋势看多，中间有下跌，回调时，当趋势又恢复倾向时，买单要隔天，看到后面一天的汇价高位比前面高了，说明又恢复上涨了。文中的例子就是为了说明这一点。如果按趋势看，高点逐日增高，通常已经形成了一个上升通道。你的文采很好，还是有你完成。前面的部分，译得很好，以后再汇总时，有必要的话，我们再对部分疑句进行推敲。老虎版筑的英文非常好，功底很深。倒时我们再请教他。