ATR棘轮法-一种新的止损策略

A New Exit Strategy - The ATR Ratchet By Chuck LeBeau 药渣译一种新的止损策略——ATR棘轮法The basic idea is quite simple. We first pick a logical starting point and then add daily units ofATR to the starting point to produce a trailing stop that moves consistently higher while also adapting to changes in volatility. The advantage of this strategy over the original Parabolic based exit is that when using the A TR Ratchet we have much more control of the starting point and the acceleration. We also found that the ATR based exit has a fast and appropriate reaction to changes in volatility that will enable us to lock in more profit than most conventional trailing exits.基本思想是非常简单的，我们先选定一个合理的起始价格，然后每天加某一倍数的ATR，得到一个跟踪止损点。

由该方法生成的止损点不仅能随着时间的增加不断上移而且同时也能适应市场波动性增减。

与我们以前采用的由抛物转向指标得到的止损点相比，其优点在于：使用ATR棘轮，我们能更自由的选择起始价格和增减速度。

此外我们还发现基于ATR的止损点能更快更准确的反映波动性变化，从而使我们能比传统的跟踪止损法锁定更多的利润。

Here is an example of the strategy: After the trade has reached a profit target of at least one ATRor more, we pick a recent low point (such as the lowest low of the last ten days). Then we addsome small daily unit of ATR (0.05 A TR for example) to that low point for each day in the trade. If we have been in the trade for 15 days we would multiply 0.05 ATRs by 15 days and add the resulting 0.75 ATRs to the starting point. After 20 days in the trade we would now be adding 1.0 ATRs (.05 times 20) to the lowest low of the last ten days. The ATR Ratchet is very simple in its logic but you will quickly discover that there are lots of moving parts that perform a lot of interesting and useful functions; much more than we expected.下面是一个应用该策略的例子：当我们1ATR以上的盈利目标实现时，我们选择一个近期低点（比如最近十天的最低价）作为起始价格，然后根据我们持仓天数每天将最低价增加零点几倍的ATR（比如0.05ATR）。

如果我们已经持有仓位15天了，那么我们把0.05ATR乘以15天，然后将其乘积0.75ATR加到起始价位上。

20天后，我们将把 1.0ATR（0.05乘以20天）加到最近十天的最低价上。

ATR棘轮法在逻辑上是很简单的，但是你马上就能发现有许多运动点能完成一些有趣且有用的功能，比我们想象的要多得多。

We particularly like this strategy because, unlike the Parabolic, the ATR Ratchet can easily be implemented any time we want during the trade. We can start implementing the stop the very first day of the trade or we can wait until some specific event prompts us to implement a profit-taking exit. I would suggest waiting to use the exit until some minimum level of profitability has been reached because, as you will see, this stop has a way of moving up very rapidly under favorable market conditions.我们尤其喜欢该策略，因为不象抛物转向指标，ATR棘轮能非常容易的在我们交易过程中的任何时候使用。

我们可以在进入交易的第一天就开始使用这种止损策略，也可以等发生某些有利事件后再使用止赢策略。

我建议等到实现盈利后再使用该止损策略，原因正如你我都看到的那样，这种止损点会在有利的市场环境中迅速向上移动。

The ATR Ratchet begins very quietly and moves up steadily each day because we are adding one small unit of ATR for each bar in the trade. However the starting point from which the stop is being calculated (the 10 day low in our example) also moves up on a regular basis as long as the market is headed in the right direction. So now we have a constantly increasing number of units of ATR being added to a constantly rising ten day low. Each time the 10-day low increases our ATR Ratchet moves higher so we typically have a small but steady increase in the daily stop followedby much larger jumps as the 10 day low moves higher. It is important to emphasize that we are constantly adding our daily acceleration to an upward moving starting point that produces a unique dual acceleration feature for this exit. We have a rising stop that is being accelerated byboth time and price. In addition, the A TR Ratchet will often add substantial additional accelerationin response to increases in volatility during the trade.ATR棘轮安静的转动着，每天都在向上移动，因为我们每天都在让其增加零点几倍的ATR。

此外，我们用于计算止损点的起始价格（比如我们上边例举的最近十天最低价）会随着市场向上运动不断上移。

因此随着时间的增加，我们在不断升高的最近十天最低价的基础上增加不断增长的累积ATR。

每当10天低价上移，我们的ATR棘轮也跟着向上转动，我们的止损点也跟着每天稳步上移，如果十天低价急剧上移，我们的止损点也跟着向上跳跃。

有必要强调一下，该策略是我们能不断的把每日价格变化速度反应在不断上移的起始价格上，从而形成该止损策略独一无二的双重加速因素。

不断上移的止损点不仅能被时间因素加速，还能被价格加速。

此外，波动性增加也会提高ATR棘轮止损点上移的速度。

The acceleration due to range expansions is an important feature of the ATR Ratchet. Because markets often tend to show wider ranges as the trend accelerates the ATR will tend to expand very rapidly during our best profit runs. In a fast moving market you will typically find many gaps andlarge range bars. Because we are adding multiple units of ATR to our starting point, any increasein the size of the underlying ATR causes the stop to suddenly make a very large jump that brings it closer to the high point of the trade. If we have been in the trade for forty days any increase in the ATR will have a forty-fold impact on the cumulative daily acceleration. That is exactly what wewant it to do. We found that when a market was making a good profit run the ATR Ratchet movedup surprisingly fast and did an excellent job of locking in open profits.波动性增加会使止损点上移速度增加，这是ATR棘轮策略的重要特征。