关于ATR在期货止损中的应用.docVIP

Average True Range 真实波动幅度均值 1998／10／20 药渣 译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. 真实波动幅度均值（ATR）是优秀的交易系统设计者的一个不可缺少的工具，它称得上是技术指标中的一匹真正的劲马。每一位系统交易者都应当熟悉ATR及其具有的许多有用功能。其众多应用包括：参数设置，入市，止损，获利等，甚至是资金管理中的一个非常有价值的辅助工具。译者注：setups在上篇文章中我也碰到，我把它翻译为参数设置，不知道对不对。 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是如何计算的？下面我们会简单解释的；如何利用ART设计交易系统？我们随后也会用几个简单例子说明众多方法中的一些。 How to calculate Average True Range (ATR). 如何计算真实波动幅度均值（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 low2. The distance from yesterday\s close to today\s high, or3. 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. 波动幅度：单根K线图最高点和最低点间的距离。（译者将原文用的是条形图改为我们熟悉的K线图） 真实波动幅度：是以下三个波动幅度的最大值 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 当日K线图出现缺口时，真实波动幅度和单根K线的波动幅度是不同的。 真实波动幅度均值就是真实波动幅度的平均值 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. 为了让ATR反映近期波动性，可以使用短期ATR（2－10根K线图）；为了让ATR反映“长期”波动性，可以使用20至50根K线或更多。 Characteristics and benefits of ATR. ATR的特征及其益处 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是一个评价市