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Average True Range 真实波动幅度均值

发表于 2008-4-20 21:03 | 显示全部楼层

Average True Range 真实波动幅度均值

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Average True Range is an indespensable tool for designers of good trading systems. It is truly a workhorse among technical indicators. Every systems trader should be familiar with ATR and its many useful functions. It has numerous applications including use in setups, entries, stops and profit taking. It is even a valuable aid in money management.
  The following is a brief explanation of how ATR is calculated and a few simple examples of the many ways that ATR can be used to design profitable trading systems.
  How to calculate Average True Range (ATR).
  Range: This is simply the difference between the high point and the low point of any bar.
  True Range: This is the GREATEST of the following:
  1. The distance from today\'s high to today\'s low
  2. The distance from yesterday\'s close to today\'s high, or
  3. The distance from yesterday\'s close to today\'s low
  True range is different from range whenever there is a gap in prices from one bar to the next.
  Average True Range is simply the true range averaged over a number of bars of data.
  1. 当天最高点和最低点间的距离
  2. 前一天收盘价和当天最高价间的距离,或
  3. 前天收盘价和当天最低价间的距离
  To make ATR adaptive to recent changes in volatility, use a short average (2 to 10 bars). To make the ATR reflective of \"normal\" volatility use 20 to 50 bars or more.
  Characteristics and benefits of ATR.
  ATR is a truly adaptive and universal measure of market price movement.
  Here is an example that might help illustrate the importance of these characteristics:
  If we were to measure the average price movement of Corn over a two day period and express this in dollars it might be a figure of about $500.00. If we were to measure the average price movement of a Yen contract it would probably be about $2,000 or more. If we were building a system where we wanted to use the set appropriate stop losses in Corn and Yen we would be looking at two very different stop levels because of the difference in the volatility (in dollars). We might want to use a $750 stop loss in Corn and a $3,000 stop loss in Yen. If we were building one system that would be applied identically to both of these markets it would be very difficult to have one stop expressed in dollars that would be applicable to both markets. The $750 Corn stop would be too close when trading Yen and the $3,000 Yen stop would be too far away when trading Corn.
  However, let\'s assume that, using the information in the example above, the ATR of Corn over a two day period is $500 and the ATR of Yen over the same period is $2,000. If we were to use a stop expressed as 1.5 ATRs we could use the same formula for both markets. The Corn stop would be $750 and the Yen stop would be $3,000.
  Now lets assume that the market conditions change so that Corn becomes extremely volatile and moves $1,000 over a two day period and Yen gets very quiet and now moves only $1,000 over a two day period. If we were still using our stops as originally expressed in dollars we would still have a $750 stop in Corn (much too close now) and a $3,000 stop in Yen (much too far away now). However, our stop expressed in units of ATR would adapt to the changes and our new ATR stops of 1.5 ATRs would automatically change our stops to $1500 for Corn and $1500 for Yen. The ATR stops would automatically adjust to the changes in the market without any change in the original formula. Our new stop is 1.5 ATRs the same as always.
  The value of having ATR as a universal and adaptive measure of market volatility can not be overstated. ATR is an invaluable tool in building systems that are robust (this means they are likely to work in the future) and that can be applied to many markets without modification. Using ATR you might be able to build a system for Corn that might actually work in Yen without the slightest modification. But perhaps more importantly, you can build a system using ATR that works well in Corn over your historical data and that is also likely to work just as well in the future even if the nature of the Corn data changes dramatically.
  Sample Applications of ATR as an entry tool:
  Entry Setups: (Remember, entry setups tell us when a possible trade is near.
  Entry triggers tell us to do the trade now.)
  Range contraction setup: Many technicians have observed that big moves often emerge from quiet sideways markets. These quiet periods can be detected quite easily by comparing a short period ATR with a longer period ATR. For example if the 10 bar ATR is only .75 or less of the 50 period ATR it would indicate that the market has been unusually quiet lately. This can be a setup condition that tells us an important entry is near.
  Range expansion setup: Many technicians believe that unusually high volatility means that a sustainable trend is underway. Range expansion periods are just the opposite of the range contraction periods. Range expansion periods can be measured by requiring that the 10 bar ATR be some amount greater than the 50 period ATR. For example the 10 bar ATR must be 1.25 or more times the 50 period ATR.
  If you are concerned about the apparent contradiction of these two theories we could easily combine them. We could require that a period of low volatility be followed by a period of unusually high volatility before looking for our entry.
  Dip or rally setup: Lets assume that we want to buy a market only after a dip or sell it only after a rally. We could tell our system to prepare for a buy entry whenever the price is 3 ATRs or more lower than it was five days ago. Our setup to sell on a rally would be that we want to sell short only when the price is 3 ATRs or more higher than it was five days ago. The choice of 3 ATRs and five days is simply an example and isn抰 necessarily a recommended choice of parameters. You will have to figure out the proper parameters on your own depending on the unique requirements of your particular system.
  Entry Triggers:
  Volatility Breakout: This theory assumes that a sudden large move in one direction indicates that a trend in the direction of the breakout has begun. Normally the entry rule goes something like this: Buy on a stop if the price rises 2 ATRs from yesterday抯 close. Or sell short on a stop if the price declines 2 ATRs from the previous close. The general concept here is that on a normal day the price will only rise or fall 1 ATR or less from the previous close. Rising or falling 2 ATRs is an unusual occurrence and indicates that something out of the ordinary has influenced the prices to cause the breakout. The inference is that whatever caused this breakout has major importance and a new trend is beginning.
  Some volatility systems operate by measuring the breakout in points rather than units of ATR. For example the system may require that the Yen must rise 250 points from the previous close to signal a breakout to the upside. Systems measuring points rather than units of ATR may need frequent reoptimization to stay in tune with current market conditions. However, breakouts measured in units of ATR should not require reoptimization because, as we previously explained, the ATR value contracts and expands with changing market conditions.
  Change in direction trigger: Lets assume that we want to buy a dip in a rising market. We combine the dip or rally setup described above with an entry trigger that tells us the dip or rally may be over and the primary trend is resuming.
  The series of rules might read something like this: If the close today is 2.0 ATRs greater than the 40 day moving average (this condition establishes that the long term trend is still up) and the close today is 2 ATRs or more below the close seven days ago (this condition establishes that we are presently in a dip within the uptrend) then buy tomorrow if the price rises 0.8 ATRs above todays low. This entry trigger shows that we have rallied significantly from a recent low and that the dip is probably over. As we enter the trade the prices are again moving in the direction of the major trend.
  As you can see, the ATR can be a most valuable tool for designing logical entries. In our next article we will discuss using ATR in our exit strategies and give some interesting examples.
  Using Average True Range for Exits
  In this Bulletin we will show how ATR can help us achieve more accurateexits.
  ATR EXIT TARGETS: Perhaps the most valuable of all application of ATR is to use it to define profit objectives. If we were to run some tests to define profit objective in terms of dollars we could probably find a particular dollar amount that produced acceptable results when reviewing historical data. Just as an example, let\'s assume that we run some optimizations to find the best level at which to take profits in a particular market and we find that the best number is $1250. Although this amount may produce acceptable results on a historical basis it is not always the best solution to the problem.
  When the market is quiet and there is little volatility our profits are likely to fall well short of our $1250 objective. However when the market is volatile and trending strongly our potential profit might be much greater than $1250. The $1250 level is simply a not so happy medium that is usually either too large a target or too small a target.
  On the other hand if we measure our profit objective in terms of ATR we have a much more robust and logical solution. Lets assume that we run our tests again looking for units of ATR instead of dollars. Assume our research shows us that our best profit objective is now expressed as 4 ATRs. In a normal market 4 ATRs might be equal to $1250, the same as our dollar denominated target. However in a quiet market 4 ATRS might only be $800. The advantage of our ATR research is that while our original $1250 target is no longer obtainable because of the quiet market conditions the ATR target has adapted to the change in volatility and can still be achieved.
  Increases in volatility produce an even more dramatic effect. Let\'s assume that the market is suddenly streaking in one direction because of some important news. Our 4 ATRs is now $5,000. Wouldn抰 it be a shame if our system was taking profits of $1250 when the market is willing to give us $5,000 or more.
  streak Vi 快速移动,飞跑;Vt使布满条纹
  n 条纹,纹理;(of)个性特征[倾向];一段时期
  In addition to setting profit objectives, ATR can also be very helpful in placing trailing stops. Here are two examples that you may recall from discussions on the FORUM page and past BULLETINS.
  THE CHANDELIER EXIT: We have often advocated the importance of good exits and this is one of our favorites. The exit stop is placed at a multiple of average true ranges from the highest high or highest close since the entry of the trade. As the highs get higher the stop moves up but it never moves downward.
  chandelier 枝形吊灯
  Exit at the highest high since entry minus 3 ATR on a stop.
  Exit at the highest close since entry minus 2.5 ATR on a stop.
  Application: We like the Chandelier Exit as one of our exits for trend following systems. (The name is derived from the fact that the exit is hung downward from the ceiling of a market.)
  This exit is extremely effective at letting profits run in the direction of a trend while still offering some protection against a major reversal in trend. In fact our research has shown that this exit is so effective that you can enter futures markets at random and if you use this exit the results over time will be profitable. (If you don\'t believe us just try it.) When used for long term trend following the best values for the ATR in most markets ranges somewhere between 2.5 and 4.0.
  THE YO YO EXIT: This exit is very similar to the Chandelier Exit except that the ATR stop is always pegged to the most recent close instead of the highest high. Since the closes move higher and lower, the stop also moves up and down (hence the Yo Yo name). Although this stop appears similar to the Chandelier Exit the logic is quite a bit different. The Yo Yo Exit is a classic volatility stop that is intended to recognize an abnormal adverse price fluctuation that occurs in one day. This abnormal volatility is often the result of a news event or some important technical reversal that is likely to signal the end of a trend. This logic makes the YO YO exit very effective and we seldom regret being stopped out whenever this exit is triggered.
  YO YO止损法:该法非常类似于吊灯止损法,差别仅在于其ATR止损点总是盯牢上一个收盘价的,而不是盯牢最高价(或最高收盘价)。由于上一个收盘价不断的变高或变底,止损点也跟着上移或下移(因为我们把它叫做YO YO止损法)。尽管两种止损法表面上很像,但其逻辑还是相当有区别的。YO YO止损法是典型的波动性止损法,即用于辨别一个交易日内异常的不利的价格波动。这种异常波动往往是由于某一新闻事件,或是一种重要的技术性反转(是趋势结束的标志)。这种逻辑使得YO YO止损法非常有效,我们很少因为这种止损触发的退出交易而后悔。
  We should caution you that the Yo Yo stop should never be our only loss protection because if the price moves slowly against our position the Yo Yo stop also moves away each day and, in theory, the stop may never be hit.
  我们必须提醒你YO YO止损法绝不是我们唯一的亏损保护措施,因为如果价格是缓慢的向不利于我们仓位的方向移动,YO YO止损点也跟着一天天的往下移,永远也不会触发止损点,这在理论上是可能的。
  Combining the exits: The Yo Yo and the Chandelier exits work best when used together. The Chandelier Exit is typically set at 3 ATRs or more from a high point and never lowered; therefore it will protect us against any gradual reversal of trend. The Yo Yo exit is typically set at only 1.5 to 2.0 ATRs from the most recent close and will protect our position from unusual one day spikes in volatility. When used together the operative stop each day would be whichever of the two stops is closest.
  综合两种止损方法:综合使用YO YO止损法和吊灯止损法更有效。吊灯止损点往往设在距离最高点(或最高收盘价)3ATR或更多的地方,在市场向不利于我们的方向移动时,该止损点是不变的,因此他将保护我们免受趋势逐渐逆转的伤害。YO YO止损点往往设在离上一个收盘价仅1.5或2ATR处,它可以保护我们免受异常的日内价格的剧烈波动。当两者同时使用时,每天的止损价会是两者中最先被触发的那个。
  spike n 尖状物;曲线上的陡升线。
  Money Management Advice: When using any stops based on multiples of ATR we should keep in mind that volatility can quickly expand to where our risk is greater than we intended. We do not want to unknowingly exceed the risk limitations dictated by our money management scheme so we should also have a \"worst case\" dollar based stop available or be prepared to reduce our position size quickly as the ATR values expand. When should we reduce our position size and when should we implement our fixed dollar stop?
  If we are on the right side of the volatility expansion it may not be wise to reduce our position size just as the trade is beginning to do what we hoped for. For this reason I prefer to implement the dollar based stop on profitable positions rather than reducing the size of winning positions prematurely. We obviously want to have big positions in our winners and small positions in our losers. Therefore it would make sense to reduce our position size only if the volatility is increasing in a trade that is going against us. Once extremely large profits have been achieved, positions can safely be reduced without sacrificing too much in the way of potential profits.
  By now we hope you have begun to appreciate the value of ATR in designing systems. There are still more uses for ATR that we have yet to discuss (Keltner Bands for example). We hope to have additional articles about ATR sometime in the future. In the meantime we hope this series of articles has stimulated some creative thinking about the many uses of ATR. Lets us know if you come up with more creative ideas on how to apply this wonderful technical tool.


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      人的命运完全可以用四个字解释:因、缘、果、报(简称:因果)。这正是:“欲知前世因,今生受者是。欲知来世果,今生作者是。”只要大家能够静下心认真学习有关经典就一定会找到答案,例如《佛说轮转五道罪福报应经》http://www.qldzj.com.cn/htmljw/0737.htm 《百 业 经》http://www.xynf.com/13.htm  等等经典对此都有很详细的解释。在这里尤其向大家特别推荐净空法师主讲的《地藏菩萨本愿经》讲记http://www.bfnn.org/bookgb/article_08.htm 以及他老人家在深圳凤凰卫视讲述的《了凡四训电视弘法讲记》
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戒邪淫专栏: <宁以火烧铁锥而烙于眼,不以视色兴起乱想。>

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