真实波动幅度均值

Average True Range 真实波动幅度均值

A verage 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 A TR 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（A TR）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A TR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 A TR is calculated and a few simple examples of the many ways that A TR can be used to design profitable trading systems.

A TR是如何计算的？下面我们会简单解释的；如何利用A TR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 A verage True Range (A TR).

如何计算真实波动幅度均值（A TR）

Range: This is simply the difference between the high point and the low point of any bar.

True Range: This is the GREA TEST 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.

A verage 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 A TR adaptive to recent changes in volatility, use a short average (2 to 10 bars). To make the A TR reflective of \"normal\" volatility use 20 to 50 bars or more.

为了让A TR反映近期波动性，可以使用短期A TR（2－10根K线图）；为了让A TR反映“长期”波动性，可以使用20至50根K线或更多。

Characteristics and benefits of A TR.

A TR的特征及其益处

A TR is a truly adaptive and universal measure of market price movement.

Here is an example that might help illustrate the importance of these characteristics:

A TR是一个评价市场价格运动的通用指标，而且是一个真正的自适应指标。

下面这个例子能帮助解释这些特征的重要性

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 Y en 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 Y en 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 Y en. 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 Y en and the $3,000 Y en stop would be too far away when trading Corn.

如果我们计算一下玉米在两天内的平均价格波动幅度，比如说是500美元；日元合约的平均价格波动幅度可能是2,000美元或更多。如果我们要建立一个交易系统分别为玉米或日元设置合适的止损水平，那么我们会看到这两者的止损水平是不同的，因为两者的波动性不同。我们可能在玉米上设定750美元的止损水平，而在日元合约上是3,000美元。如果我们要建立一个能同时适用于这两个市场的交易系统，我们很难在这两个市场上让用美元数量表示的止损水平相等。750美元的止损水平对玉米来说是合适的，但对日元来说可能太小了；3,000美元的止损水平对日元来说是合适的，但对玉米来说太大了。

However, let\'s assume that, using the information in the example above, the A TR of Corn over a two day period is $500 and the A TR of Y en over the same period is $2,000. If we were to use a stop expressed as 1.5 A TRs we could use the same formula for both markets. The Corn stop would be $750 and the Y en stop would be $3,000.

然而，我们不妨假定在上面的例子中，玉米在两天内的真实波动幅度均值（A TR）是500美元，日元在两天内的真实波动幅度均值（A TR）是2,000美元。如果我们把止损水平