作者：Chuck LeBeau and Terence Tan
Trailing Stops By Chuck LeBeau and Terence Tan
Now that we have taken the necessary precautions to avoid catastrophic losses by using disciplined money management stops, it is appropriate to concentrate on strategies that are designed to accumulate and retain profits in the market. When properly implemented these strategies are intended to accomplish two important goals in trade management: they should allow profits to run, while at the same time they should protect open trade profits.
While their application is extremely wide, we do not believe that trailing stops are appropriate in all trading circumstances. Most of the trailing exits we will describe are specifically designed to allow profits to run indefinitely. Therefore they are best used with trend following type systems. In counter-trend trading, more aggressive exits are more suitable. The “when you’ve got a profit, take it” philosophy works best when you are trading counter-trend, since the anticipated amount of profits is limited. However, to take quick profits in a trend is usually an exercise in frustration: we exit the market with a small profit only to watch the huge trend continue to move in our direction for days or months after our untimely exit. We therefore recommend using different exit strategies based on the underlying market condition. We will discuss the more aggressive exits later; for now we will concentrate on exits designed to accumulate large profits over time.
A thorough understanding of trailing stops is critical for trend-following traders. This is because trend following is typically associated with a lower percentage of profitable trades; which makes it particularly important to capture as much profit as possible when those large but infrequent trends occur. Typical trend followers make most of their profits by capturing only a few infrequent but very large trends, while managing to cut losses effectively during the more frequent sideways markets.
The rationale behind the use of the trailing stop is based on the anticipation of occasional extremely large trends and the possibilities of capturing substantial profits during these major trends. If the entry is timely and the market continues to trend in the direction of the trade, trailing stops are an excellent exit strategy that can enable us to capture a significant portion of that trend.
The trailing stops we will describe in this and following articles have similar characteristics that are important to understand as we use them to design our trading systems. Effective trailing stops can significantly increase the net profits gained in a trend-following system by allowing us to maximize and capture large profitable trades. The ratio of the average winning trade to the average losing trade is usually improved substantially by the use of trailing stops. However there are some negative characteristics of these stops. The number of profitable trades is sometimes reduced since these stops may allow modestly profitable trades to turn into losers. Also, occasional large retracements in open trade profits can make the use of these stops quite difficult psychologically. No trader enjoys seeing large profits reduced to small profits or watching profitable trades become unprofitable.
我们在本文以及后续一些列文章中讨论的各种跟踪止损方法都有一些相似的特征，理解这些特征是非常重要的，因为跟踪止损是交易系统的组成部分之一。有效的止损策略能帮我们最大限度的抓住盈利交易，因而能显著提高趋势跟随系统的净利润。通过使用跟踪止损，我们能明显提高平均回报对平均亏损的比率，然而跟踪止损策略也有缺点，它能让一些本来有中等盈利的交易变成亏损交易，因而有时会降低盈利交易的次数。此外，偶尔出现的浮动盈利的大幅缩减让交易者在心理上很难接受这种止损策略。看到大幅盈利变成很小的盈利或者看到盈利头寸变成亏损头寸，没有交易者会开心的。 The Channel Exit
The simplest process for following a trend is to establish a stop that continuously moves in the direction of the trend using recent highest high or lowest low prices. For example, to follow prices in an uptrend, a stop may be placed at the lowest low of the last few bars; for a downtrend, the stop is placed at the highest high of the last few bars. The number of bars used to calculate the highest high or lowest low price depends on the room we wish to give the trade. The more bars back we use to set the stop, the more room we give the trade and consequently the larger the retracement of profits before the stop is triggered. Using a very recent high or low point enables us to take a quick exit on the trade.
This type of trailing stop is commonly referred to as a “Channel Exit”. The “channel” name comes from the appearance of a channel formed from using the highest high of X bars and the lowest low of X bars for short and long exits respectively. The name also derives from the popular entry strategy that uses these same points to enter trades on breakouts. Since we are focusing on exits and will be using only one boundary of the channel, the term “channel” may be a slight misnomer, but we will continue to refer to these trailing exits by their commonly used name.
这种跟踪止损常常被叫做“通道止损”。我们使用最近X根K线的最高点和最低点分别作为我们的短期和长期止损点，所有这些高点和低点构成一个形似通道的带状区域，因而我们把它称之为“通道”。该名字也衍生于一种流行的入市策略，当突破刚才提到的那些高低点时就入市交易。由于我们现在只关心退出策略，而且只使用通道的其中一条边界，似乎使用“通道”这个名称有点说不过去，但我们还是决定使用习惯名称来表示这种跟踪止损策略。 词汇笔记：Misnomer 错误的名字，使用不当的名字（称）；名字（称）的误用
For most of our examples we will assume that we are working with daily bars but we could be working with bars of any magnitude depending on the type of system we are designing. A channel exit is extremely versatile and can work equally well with weekly bars or five-minute bars. Also keep in mind that any examples referring to long trades can be equally applicable to short trades.
The implementation of a channel exit is very simple. Suppose we have decided to use a 20-day channel exit for a long trade. For each day in the trade, we would determine the lowest low price of the last 20 days and place our exit stop at that point. Many traders may place their stops a few points nearer or further than the actual low price depending on their preferences. As the prices move in the direction of the trade, the lowest price of the last twenty days continually moves up, thus “trailing” under the trade and serving to protect some of the profits accumulated. It is important to note that the channel stop moves only in the direction of the trade but never reverses direction. When prices fall back through the lowest low price of the last twenty days, the trade is exited using a sell stop order.
The first and obvious question to answer about channel exits is how many bars to use to pick the exit point. For example, should we set our stop at the lowest low of 5 days or the lowest low of 20 days, or some other number of days? The answer depends on the objectives of our system. A clearly stated set of objectives for the system is always very helpful at these important decision points. Do we want a long-term system with slow exits or do we want a short-term system with quicker exits? A longer channel length will usually allow more profits to accumulate over a long run if there are big trends. A shorter channel will usually capture more profits if there are smaller trends. In our research, we have found that long-term systems generally work well with a trailing exit at the lowest low or the highest high of the last 20 days or more. For intermediate term systems, use the lowest or highest price of between 5 to 20 days. For short-term systems, the lowest or highest price of between 1 to 5 days is usually optimal.
Trailing stops with a long-term channel accumulate the largest open profits if there is a sustained trend. However this method will also give back the largest amount of open profits when the stop is eventually triggered. Using a shorter channel can create a closer stop in order to preserve more open trade profits. As can be expected, the closer stop often does not allow profits to accumulate as nicely as the longer channel, and often causes us to be prematurely stopped out of a large trend. However, we have noticed that a very short channel length of between 1 to 3 bars is still highly effective in trailing a profitable trade in a runaway trend. The best type of channel exit to use in a runaway trend is a very short channel, for example 3 bars in length. We have observed that this exit in a strong trend often keeps us in a trade until we are close to the end of the trend.
It appears that there is a conflict of exit objectives here. A longer channel length will capture more profit but give back a large proportion of that profit; a shorter channel length will capture less profit, but protect more of what it has captured. How can we resolve this issue and create an exit that can both accumulate large profits, as well as protect these profits closely? A very effective exit technique calls for a long-term channel to be implemented at the beginning of the trade with the length of the channel gradually shortened as larger profits are accumulated. Once the trade is significantly profitable, or in a strongly trending move, the goal is to have a very short channel that gives back very little of the large open profit.
Here is an example of how this method might be implemented. At the beginning of a long trade, after setting our previously described money management stop to avoid any catastrophic losses, we will trail a stop at the lowest low of the last 20 days. This 20-day channel stop is usually far enough from the trade to avoid needless whipsaws and keep us in the trade long enough to begin accumulating some worthwhile profits. At some pre-determined level of profitability, which can be based on a multiple of the average true-range or some specific dollar amount of open profit, the channel length can be shortened to take us out of the trade at the lowest low of 10 days. If we are fortunate enough to reach another higher level of profitability, like 5 average true ranges of profit or some other large dollar amount, we can shorten the channel further so that we will exit at the lowest low of 5 days. At the highest level of profitability, perhaps a very rare occurrence, we might even be able to place our exit stop at the previous day’s low to protect the great profit we have accumulated. As you can see, this strategy allows plenty of room for profits to accumulate at the beginning of a trade and then tightens up the stops as profits are accumulated. The larger the profits, the tighter our exit stop. The more we have, the less we want to give back.
There is another way of improving the channel exit that is worthwhile to discuss: this is to contract (or expand) the traditional channels using the height of the channel, or some multiple of the average true range. How this might work is as follows: Supposing you are working with a 20-day channel exit. First you calculate the height of the channel, as measured by the distance between the highest 20-day high and the lowest 20-day low. Then you contract the channel by increasing the lowest low value and decreasing the highest high value previously obtained to determine the exit points. For instance, in a long trade, you could increase the lowest low price by 5% of the channel height or 5% of the average true range, and use that adjusted price as your exit stop. This creates a slightly tighter stop than the conventional channel. More importantly, it allows you to execute your trade before the multitude of stops that are already placed in the market at the 20-day low.
The last point can be considered an important disadvantage of the channel exit. The channel breakout methods are popular enough to cause a large number of entry and exit stops to be placed at previous lowest low and highest high prices. This can cause a significant amount of slippage when attempting to implement these techniques in your own trading. The method of adjusting the actual lowest low or highest high price by a percentage of the overall channel height or the average true range is one possible way to move your stops away from the stops placed by the general public and thereby achieve better executions on your exits.
Trailing Stops – The Chandelier Exit December 3, 1999By Chuck Le Beau and Terence Tan
跟踪止损——吊灯止损策略 In Bulletin #34 we discussed the Channel Exit which trails a stop based on previous LOW points. In this Bulletin we will discuss a stop placement strategy that trails our stop based on previous HIGH points.
The Chandelier Exit hangs a trailing stop from either the highest high of the trade or the highest close of the trade. The distance from the high point to the trailing stop is probably best measured in units of Average True Range. However the distance from the high point could also be measured in dollars or in contract based points.
Here are three simple examples: (As usual we will use long side examples. Simply reverse the logic for short trades.) （略）
1. Place a stop at the highest high since we entered the trade minus three Average True Ranges. 2. Place a stop at the highest high of the trade minus $1500.00. 3. Place a stop at the highest high of the trade minus 150 points. （略）
The value of this trailing stop is that it moves upward very promptly as higher highs are reached. The Chandelier name seems appropriate and should help us to remember the logic of this very effective exit. Just as a chandelier hangs down from the ceiling of a room, the Chandelier Exit hangs down from the high point or the ceiling of our trade. 该跟踪止损点的优点在于当市场不断创出新高时止损点能相应迅速上移。“吊灯”这个名字似乎起的蛮合适的，它能帮我们理解这种有效的止损策略的设计方法。（后面略）
The reason we prefer to use units of Average True Range to measure the distance from the high to our stop is that the ATR is applicable across markets and is adaptive to changes in volatility. We can use the same formula to trade corn, yen, coffee, or stocks. If the trading ranges expand or contract our stop will automatically adjust and move to the appropriate level continuously staying in tune with changing market conditions. (Members who are not already familiar with the many valuable applications of Average True Range should be sure to review Bulletins #10, 11, 13, and 14.) （略）
In Dr. Van K. Tharp’s excellent book, Trade Your Way to Financial Freedom, he refers to a study he conducted to demonstrate that an effective exit strategy could produce profits even with random entries. We were not surprised to see that the exit methodology he used to produce the profitable test results across a diversified portfolio of futures markets was the Chandelier Exit. (Tharp used three ATRs trailing from the highest or lowest close and used a ten-day exponential moving average to calculate the ATR.) Van K. Tharp
Protecting Open Profits When we discussed the Channel Exit in Bulletin #34 we suggested that at the beginning of a trade we should use a wide stop and then, as profits are accumulated, tighten the stop by reducing the number of bars in the Channel. The same profit-protection logic can be applied using the Chandelier Exit. At the beginning of a trade the distance to the stop in most futures markets should probably be in the neighborhood of 2.5 to 4 Average True Ranges. As the trade becomes increasingly profitable we can bring the stop closer by reducing the units of ATR from the high to our stop. Let’s assume that we started with 3 ATRs at the beginning of the trade. After we have reached our first profit level we might tighten the stop to trail the high point at only 1.5 ATRs. After the second profit level is reached we might want to tighten the trailing stop to only one ATR. We have had good results with some highly profitable trades by trailing exits as close as a half an ATR. We have found that some markets have better trending characteristics than others and we prefer to adjust the trailing stops on a market by market basis so there is no universal formula that we would recommend. The important message we want to convey is that to capture the maximum profit potential of trend-following trades the trailing stops need to be tightened as significant profits are accumulated. （以上几段主要讨论如何保护盈利，在交易初期可以使用较宽松的止损，随着盈利的增加逐渐收紧止损以保护盈利。此方法与上一贴讨论的方法一致，故略去上面内容重复的几段翻译）
Keep in mind that although the highs used to hang the Chandelier move only upward the changes in volatility can shorten or lengthen the distance to the actual stop. If you want to see less fluctuation in the stop distance use a longer moving average to calculate ATR. If you want the stop placement to be more adaptive to changing market conditions, use a shorter moving average. We normally use about twenty bars to calculate the ATR unless there is a specific reason to adjust it. In our experience the use of very short averages (3 or 4 bars) for the ATR can often create problems when there are brief periods of small ranges that tend to bring the stops too close. These abnormally close stops may cause us to exit prematurely. If we want to have a short and highly adaptive ATR without risking placing stops that are too close, we can calculate a short average and a longer average (maybe four bars and twenty bars) and use the average that produces the widest stop. This technique allows our stops to move away quickly during periods of high volatility without the risk of being unnecessarily whipsawed during brief periods of low volatility.
需要记住的是尽管悬挂在市场高点上的吊灯止损点只会向上移动，但止损点与市场高点间的距离却应该随着市场波动性的改变而增减。如果你希望止损点与市场高点间的距离的变化不要过于剧烈，你可以使用长期ATR；如果你希望止损点与市场高点间的距离更好的反映市场的变化，可以使用短期ATR。我们通常用20条K线来计算ATR，除非我们有特殊的理由使用其他时间周期的ATR。我们的经验是当市场暂时处于小幅波动时，使用短期ATR（3～4根K线）常常使我们将止损点设得太紧，这常常会造成一些麻烦。止损点设得过紧，会使我们过早的退出市场。如果我们即想使用极其灵敏的短期ATR，又不用担心是否将止损点设得太紧，我们可以同时计算出短期和长期ATR（比分别使用4条和20条 K线），然后选择较大的那个，这样我们的止损点就不会太紧。这个方法既能让我们的止损点在市场波动性变高时迅速远离市场高点，同时又不会让我们在市场波动性暂时变小时被无谓的止损出局。 Combining the Channel Exit and the Chandelier
We like to start our trades with the trailing Channel Exit and then add the Chandelier Exit after the price has moved away from our entry point so that the open trade is profitable. The Channel Exit is pegged at a low point and does not move up as new profits are reached. The Channel Exit will move up only when enough time has passed that the previous low is dropped from the data period of the channel. The Channel Exit moves up very gradually over time but it does not move up relative to any recent highs that are being made. This is why we need the Chandelier Exit in place to make sure that our exits are never too far away from the high point of the trade.
我们喜欢在交易初期使用通道止损策略，然后当价格离开我们的入场点时使用吊灯之损策略，如此就可以保护我们的浮动盈利。通道止损点仅盯牢价格低点，有时不会随着盈利增加而上移。当然，经过一段时间后，当前期低点落在我们的计算周期以外后，随着使用更高的价格低点，通道止损点也会向上移动的。通道止损点会随着时间的增加逐步上移，当不会因为最近价格达到新高而上移。这就是为什么我们需要在合适的时机引入吊灯止损策略的原因，我们要确保我们的止损点不会远离价格高点。 By combining the two exit techniques we can use the Channel Exit as an appropriate stop that very gradually rises at the beginning of the trade. However if the trade makes a run in our favor the prices will quickly move very far away from our slowly trailing Channel Exit. Once we are profitable we need to have a better exit that protects more of our profit. At this point it would make sense to switch to the Chandelier Exit which will rise instantly whenever new highs are reached. This valuable feature of the Chandelier makes it one of our most logical exits from our profitable trades.
通过综合使用这两种离市技术，我们可以在交易初期获得一个逐步上移的止损点，然后当市场向着我们持仓的方向奔跑时我们又可以拥有一个迅速上移的止损点，这可以保护更多的浮动盈利。通道止损策略适合用于前一个止损点，而吊灯止损策略更能满足后一个止损点的要求。从保护浮动盈利的角度来说，这种止损策略的转换是合理的，当市场创出新高时，吊灯止损点总是能同时跟着上移。吊灯止损策略的这个优点是其成为在我们盈利交易所中使用的最合理的离市策略中的一种。 As you can see, the Chandelier Exit is a very useful tool. However coding the Chandelier Exit in TradeStation is not necessarily a straightforward matter. For the convenience of our members we are posting the TradeStation code on our web site at: http://www.traderclub.com/toolkit.htm#chandelier
正如你看到的，吊灯止损策略是一项非常有用的工具。然而在TradeStation中为吊灯之损策略编程却不是一件容易的事。为了方便我们的会员，我们将相应的TradeStation程序放在我们的网站上：http://www.traderclub.com/toolkit.htm#chandelier THE END
来源：期货龙听网 作者： 编辑： 点击次数:138【关闭窗口】