Average True Range 真實波動幅度均值(ZT)
                           藥渣 譯

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. 

真實波動幅度均值（ATR）是優(yōu)秀的交易系統(tǒng)設(shè)計者的一個不可缺少的工具，它稱得上是技術(shù)指標(biāo)中的一匹真正的勁馬。每一位系統(tǒng)交易者都應(yīng)當(dāng)熟悉ATR及其具有的許多有用功能。其眾多應(yīng)用包括：參數(shù)設(shè)置，入市，止損，獲利等，甚至是資金管理中的一個非常有價值的輔助工具。

譯者注：setups在上篇文章中我也碰到，我把它翻譯為參數(shù)設(shè)置，不知道對不對。 

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. 

ATR是如何計算的？下面我們會簡單解釋的；如何利用ART設(shè)計交易系統(tǒng)？我們隨后也會用幾個簡單例子說明眾多方法中的一些。 

How to calculate Average True Range (ATR). 

如何計算真實波動幅度均值（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. 

波動幅度：單根K線圖最高點和最低點間的距離。（譯者將原文用的是條形圖改為我們熟悉的K線圖） 

真實波動幅度：是以下三個波動幅度的最大值 

1. 當(dāng)天最高點和最低點間的距離
2. 前一天收盤價和當(dāng)天最高價間的距離，或 
3. 前天收盤價和當(dāng)天最低價間的距離 

當(dāng)日K線圖出現(xiàn)缺口時，真實波動幅度和單根K線的波動幅度是不同的。 

真實波動幅度均值就是真實波動幅度的平均值 

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. 

為了讓ATR反映近期波動性，可以使用短期ATR（2－10根K線圖）；為了讓ATR反映“長期”波動性，可以使用20至50根K線或更多。 

Characteristics and benefits of ATR. 

ATR的特征及其益處 

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: 

ATR是一個評價市場價格運動的通用指標(biāo)，而且是一個真正的自適應(yīng)指標(biāo)。
下面這個例子能幫助解釋這些特征的重要性 

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. 

如果我們計算一下玉米在兩天內(nèi)的平均價格波動幅度，比如說是500美元；日元合約的平均價格波動幅度可能是2,000美元或更多。如果我們要建立一個交易系統(tǒng)分別為玉米或日元設(shè)置合適的止損水平，那么我們會看到這兩者的止損水平是不同的，因為兩者的波動性不同。我們可能在玉米上設(shè)定750美元的止損水平，而在日元合約上是3,000美元。如果我們要建立一個能同時適用于這兩個市場的交易系統(tǒng)，我們很難在這兩個市場上讓用美元數(shù)量表示的止損水平相等。750美元的止損水平對玉米來說是合適的，但對日元來說可能太小了；3,000美元的止損水平對日元來說是合適的，但對玉米來說太大了。 

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. 

然而，我們不妨假定在上面的例子中，玉米在兩天內(nèi)的真實波動幅度均值（ATR）是500美元，日元在兩天內(nèi)的真實波動幅度均值（ATR）是2,000美元。如果我們把止損水平設(shè)置為1.5倍的ATR（即用ATR表示的止損水平），我們就能在這兩個市場使用相同的標(biāo)準(zhǔn)（即1.5倍的ATR），玉米的止損水平會是750美元，日元的止損水平會是3000美元。 

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. 

現(xiàn)在讓我們假定市場條件變了，玉米波動性變的很高，兩天之內(nèi)運動了1000美元；而日元變得很平靜，兩天之內(nèi)只運動了1000美元。如果我們還使用以前的用美元數(shù)量表示的止損水平，即玉米的止損水平仍然定為750美元，日元的止損水平仍然定為3000美元，那么現(xiàn)在玉米的止損水平定的太近了，而日元的止損水平又定得太遠(yuǎn)了。然而，用ATR的某一倍數(shù)表示的止損水平能適應(yīng)市場的變化，1.5倍ATR的止損水平將自動調(diào)整玉米和日元的止損水平分別為1500美元。用ATR表示的止損水平能自動適應(yīng)市場的變化，同時不會改變原先的止損標(biāo)準(zhǔn)，新情況下的止損標(biāo)準(zhǔn)與以前的止損標(biāo)準(zhǔn)一樣，同是1.5倍ATR。

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. 

ATR作為市場波動性指標(biāo)具有的通用性和適應(yīng)性的使用價值無論怎么肯定都不過分。ATR對于建立堅實的交易系統(tǒng)是非常有價值的（也就是說交易系統(tǒng)可能在未來同樣有效），而且他們能不加修飾的用于多個市場。使用ATR你可以設(shè)計一個既適用于玉米市場，同樣也可以在沒有任何修改的情況下用于日元市場。但是，或許更重要的是，你可以建立一個系統(tǒng)，它不僅在玉米的歷史數(shù)據(jù)測試中表現(xiàn)良好，它同樣也很有可能在未來即使玉米市場變化很大的情況下仍然表現(xiàn)良好。

Sample Applications of ATR as an entry tool: 

ATR作為一種入場工具的應(yīng)用示例 

Entry Setups: (Remember, entry setups tell us when a possible trade is near. 

Entry triggers tell us to do the trade now.) 

入場背景：（記住，入場背景告訴我們不久將會出現(xiàn)交易機(jī)會，而入場觸發(fā)器告訴我們現(xiàn)在入場交易） 

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. 

波動區(qū)間收縮背景：許多技術(shù)派已經(jīng)注意到大幅價格運動往往出現(xiàn)在價格平靜的橫盤整理之后。通過比較短期ATR和長期ATR可以非常容易的鑒別出價格平靜的橫盤整理區(qū)間，比如當(dāng)10期ATR小于等于0.75倍50期ATR時，就表明近期市場不尋常的平靜。這就是一個背景條件，表明關(guān)鍵的入場時機(jī)就在眼前。 

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. 

波動區(qū)間擴(kuò)張背景：許多技術(shù)派相信不同尋常的價格移動意味著一個幅度可觀的趨勢正在形成。波動區(qū)間擴(kuò)張時期正好與波動區(qū)間收縮時期相反，這時我們要求10期ATR大于50期ATR，例如10期ATR大于等于50期ATR的1.25倍。 

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. 

如果你對這兩種截然相反的情況有興趣，我們可以非常容易的將兩者融合在一起。我們尋找的入場機(jī)會在什么時候呢？在波動區(qū)間收縮之后緊跟著波動區(qū)間擴(kuò)張的時候。 

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. 

回調(diào)或反彈背靜：假定我們只想在市場回調(diào)時買入，在市場反彈時賣出。當(dāng)價格比5天前的價格至少低3倍ATR時，我們可以讓我們的系統(tǒng)準(zhǔn)備買入。當(dāng)價格比5天前的價格至少高出3倍ATR時，我們可以讓我們的交易系統(tǒng)準(zhǔn)備賣空。 

Entry Triggers: 

入場觸發(fā)器： 

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. 

波動性突變：該理論認(rèn)為突然出現(xiàn)的某個方向的大幅運動表明與該方向相同的趨勢正在形成。一般來說，我們的入場規(guī)則可以表述為：當(dāng)價格比上一交易日收盤價高2ATR時買入，當(dāng)價格比上一交易日收盤價低2ATR時賣出。這里的一般概念是在平常交易日里價格漲跌不會超過上一交易日收盤價1ATR，超過上一交易日收盤價2ATR的價格漲跌是不尋常的事件，這表明有什么不同尋常的事發(fā)生了。由此可以做出的結(jié)論是：促使價格這么運動的原因是實質(zhì)性的，一個新的趨勢正在形成。 

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.

一些波動性突變系統(tǒng)的評價標(biāo)準(zhǔn)以點數(shù)為單位，而不是以ATR為單位。例如它們認(rèn)為當(dāng)日元比上一個收盤價高出250點時才表明上升趨勢出現(xiàn)。以點數(shù)為單位而不是以ATR為單位的交易系統(tǒng)需要不斷的調(diào)整優(yōu)化，才能與市場變化保持一致。然而，以ATR為單位的交易系統(tǒng)不需要優(yōu)化，正如我們以前解釋的那樣，ATR值會隨著市場變化而變化。

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. 

方向改變觸發(fā)器：假定我們想在上升趨勢中的回調(diào)買入，我們可以將我們之前談到的回調(diào)或反彈背景與入場觸發(fā)器結(jié)合起來，后者能告訴我們什么時候回調(diào)或反彈已經(jīng)結(jié)束，也就是告訴我們主要趨勢什么時候正在恢復(fù)。

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. 

這一系列規(guī)則可以表述為：如果今天的收盤價比40天移動均價高2ATR或更多，這表明長期趨勢是向上的；而且今天的收盤價比七天前的收盤價低2ATR或更多，這表明我們正處在上升趨勢的回調(diào)中，那么我們就會在明天價格比今天最低價高出0.8ATR時買入。入場觸發(fā)器表明市場已經(jīng)從近期低點中恢復(fù)上漲，回調(diào)可能已經(jīng)結(jié)束，當(dāng)我們進(jìn)入市場后，市場會再次向主趨勢方向運動。 

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. 

正如你在上面看到的，ATR在設(shè)計合理入場策略時是非常有價值的工具。在我們的下篇文章中，我們將會討論ATR在退出策略中的應(yīng)用，并給出一些有趣的應(yīng)用實例。 

Using Average True Range for Exits 

ATR在離市中的應(yīng)用 

In this Bulletin we will show how ATR can help us achieve more accurateexits. 

在本文中我們將向大家展示ATR如何幫助我們更準(zhǔn)確的離市 

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. 

ATR出場策略：或許ATR最有價值的應(yīng)用是用來確定盈利目標(biāo)。如果我們對用美元數(shù)量表示的盈利目標(biāo)進(jìn)行測試，我們很可能找到這樣一個美元數(shù)量表示的盈利目標(biāo)，它在歷史數(shù)據(jù)測試中能產(chǎn)生理想的回報。比如，假設(shè)我們經(jīng)過優(yōu)化后已經(jīng)找到能在某一特定市場獲得正期望收益的最佳盈利目標(biāo)--1250美元。雖然該方法能在歷史測試中獲得滿意效果，但這不是解決問題的最好方法。 

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. 

當(dāng)市場平靜的時，波動性變小，我們的盈利極可能低于1250美元的目標(biāo)；然而當(dāng)市場波動性變大，而且形成一個強(qiáng)勁的趨勢，我們的潛在盈利很可能遠(yuǎn)大于1250美元。1250美元的目標(biāo)水平無法讓人滿意，要么有時目標(biāo)水平太高，要么有時目標(biāo)水平太低。 

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. 

相反，如果我們用ATR來限定我們的盈利目標(biāo)，我們將會找到一個更強(qiáng)健更合理的解決方法。讓我們用ATR代替美元作為盈利目標(biāo)單位，重新進(jìn)行測試，測試結(jié)果表明最佳盈利目標(biāo)是4ATR。在正常情況下，4ATR的盈利目標(biāo)就等于1250美元的盈利目標(biāo)；然而在市場平靜時，4ATR可能僅等于800美元。ATR作為盈利目標(biāo)單位的優(yōu)點在于：當(dāng)市場變平靜時，原來1250美元的盈利目標(biāo)無法實現(xiàn)，而ATR能隨著波動性的改變而改變，因而原來的4ATR盈利目標(biāo)還能實現(xiàn)。 

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. 

波動性增加能帶來更大的影響。比如某一重要的新聞使市場突然向某一方向飛跑，我們4ATR的目標(biāo)現(xiàn)在相當(dāng)于5000美元，所以當(dāng)市場能給我們5000美元或更多的時候，我們卻把盈利目標(biāo)定為1250美元，這樣的交易系統(tǒng)難道不會讓我們很沒面子嗎？ 

streak Vi 快速移動，飛跑；Vt使布滿條紋 

n 條紋，紋理；（of）個性特征［傾向］；一段時期 

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. 

除了幫我們設(shè)定盈利目標(biāo)，ATR還能幫助我們設(shè)置跟蹤止損點。這里我們舉兩個例子，或許你會記得我們以前在論壇和通訊里面討論過。 

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. 

吊燈止損法：我們常常強(qiáng)調(diào)一個好的離市在交易中的重要性，我們喜歡這么強(qiáng)調(diào)。我們把止損點放在離我們?nèi)胧泻蟮淖罡唿c或最高收盤價某一ATR處，隨著高點越變越高，我們的止損點也逐漸上移，而不是下移。 

chandelier 枝形吊燈 

Examples: 

示例： 

Exit at the highest high since entry minus 3 ATR on a stop. 

止損點放在自我們?nèi)胧薪灰缀蟮淖罡邇r減去3ATR處。 

Exit at the highest close since entry minus 2.5 ATR on a stop. 

止損點放在自我們?nèi)胧薪灰缀蟮淖罡呤毡P價減去2.5ATR處。 

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.) 

應(yīng)用：我們喜歡把吊燈止損法應(yīng)用于趨勢跟蹤系統(tǒng)。（我們這么命名，是因為我們注意到該止損點很象是從市場的天花板上掛下來的。 

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. 

該止損法非常有利于讓我們的盈利往趨勢方向累積，同時還能保護(hù)我們免受趨勢大幅反轉(zhuǎn)的傷害。事實上，我們的研究表明該止損法是如此神奇有效以至于你可以隨機(jī)進(jìn)入期貨市場，然后使用該止損法，長期來說其結(jié)果是盈利的（如果不信，可以試試看）。在長期趨勢跟蹤系統(tǒng)中，對大多數(shù)市場來說，最佳ATR值在2.5至4.0間。 

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止損法：該法非常類似于吊燈止損法，差別僅在于其ATR止損點總是盯牢上一個收盤價的，而不是盯牢最高價（或最高收盤價）。由于上一個收盤價不斷的變高或變底，止損點也跟著上移或下移（因為我們把它叫做YO YO止損法）。盡管兩種止損法表面上很像，但其邏輯還是相當(dāng)有區(qū)別的。YO YO止損法是典型的波動性止損法，即用于辨別一個交易日內(nèi)異常的不利的價格波動。這種異常波動往往是由于某一新聞事件，或是一種重要的技術(shù)性反轉(zhuǎn)（是趨勢結(jié)束的標(biāo)志）。這種邏輯使得YO YO止損法非常有效，我們很少因為這種止損觸發(fā)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. 

我們必須提醒你YO YO止損法絕不是我們唯一的虧損保護(hù)措施，因為如果價格是緩慢的向不利于我們倉位的方向移動，YO YO止損點也跟著一天天的往下移，永遠(yuǎn)也不會觸發(fā)止損點，這在理論上是可能的。

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. 

綜合兩種止損方法：綜合使用YO YO止損法和吊燈止損法更有效。吊燈止損點往往設(shè)在距離最高點（或最高收盤價）3ATR或更多的地方，在市場向不利于我們的方向移動時，該止損點是不變的，因此他將保護(hù)我們免受趨勢逐漸逆轉(zhuǎn)的傷害。YO YO止損點往往設(shè)在離上一個收盤價僅1.5或2ATR處，它可以保護(hù)我們免受異常的日內(nèi)價格的劇烈波動。當(dāng)兩者同時使用時，每天的止損價會是兩者中最先被觸發(fā)的那個。 

spike n 尖狀物；曲線上的陡升線。 

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? 

資金管理建議：當(dāng)使用任何一種基于ATR的止損點，我們必須記住波動性可以很快大到使我們承受得風(fēng)險比我們計劃要承受的大。我不想在不知不覺中超過資金管理限定的風(fēng)險水平，因此我們必須有一個“在最壞情況下的”基于美元單位的止損水平，或者我們必須在ATR變大時迅速減少我們的頭寸。什么時候我們該減少我們的頭寸規(guī)模？什么時候該實行我們的固定的美元止損點？兩者該如何取舍？ 

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. 

如果波動性擴(kuò)張時我們在正確的方向，減少持倉規(guī)模是不明智的，因為市場正向我們希望的方向發(fā)展?；谶@個原因，在有盈利潛能的倉位上我傾向于采用基于美元的止損點而不是采用過早的減少盈利倉位的規(guī)模。顯然，我們想在盈利時持有大倉位，在損失時持有小倉位。因此在市場向不利于我們的方向發(fā)展，且波動性變大時，減少我們的頭寸規(guī)模才是明智的。一旦獲得巨大的盈利，倉位可以被安全的減少而不會犧牲太多的潛在贏利。 

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. 

文章寫到現(xiàn)在，我們希望你已經(jīng)開始肯定ATR在交易系統(tǒng)設(shè)計中的作用。還有很多ATR用法有待討論（比如Keltne帶）。我們希望將來還能寫一些關(guān)于ATR的文章，我們還希望這一系列文章能激起一些關(guān)于ATR用法的創(chuàng)造性想法。如果你有的話，請告訴我們你是如何創(chuàng)造性的應(yīng)用這一偉大的技術(shù)分析工具。(完）