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ATR棘轮止损指标ATR+Ratchet

ATR棘轮止损指标

A New Exit Strategy - The ATR Ratchet By Chuck LeBeau

Recently I've been doing quite a bit of research on new systems for stock trading. The research is on behalf of a new hedge fund that will be starting later this year. The fund will be managed by Tan LeBeau LLC, the company that funded this research project. After some serious internal discussion about the advantages of keeping this new exit strategy a company secret, the LLC has graciously given me permission to share this discovery with our System Traders Club members. Here is a bit of background on how the new exit strategy came about.

In the process of testing various exit strategies for our stock trading systems we found that we needed a profit-taking exit that performed somewhat along the lines of the Parabolic SAR but that could be made more flexible and easier to code and apply. We found that the Parabolic was hard to use because it was often on the opposite side of the market from our trades or it was starting from a point that was too low for what we wanted. After spending a great deal of time with the Parabolic we decided it was not helpful for the particular systems we were creating. As an alternative to the Parabolic exit we decided to test some new exit ideas based on my extensive work and experience with the Average True Range. After a great deal of tinkering and experimentation we were pleased to learn that the new exit strategy worked surprisingly well for profit taking and had many very useful features and applications. I decided to name this new exit strategy the "ATR Ratchet".

The basic idea is quite simple. We first pick a logical starting point and then add daily units of ATR 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 ATR 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.

Here is an example of the strategy: After the trade has reached a profit target of at least one ATR or more, we pick a recent low point (such as the lowest low of the last ten days). Then we add some small daily unit of ATR (0.05 ATR 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.

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.

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 followed by 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 by both time and price. In addition, the ATR Ratchet will often add substantial additional acceleration in response to increases in volatility during the trade.

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 and large range bars. Because we are adding multiple units of ATR to our starting point, any increase in 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 we want it to do. We found that when a market was making a good profit run the ATR Ratchet moved up surprisingly fast and did an excellent job of locking in open profits.

Keep in mind that this exit strategy is a new one (even to us) so our experience and observations about it are still very limited. However I am going to discuss a few observations about the variables that might help you to understand and apply this exit successfully.

Starting Price: One of the nice features about the ATR Ratchet is that we can start it any place we want. For example we can start it at some significant low point just as the Parabolic does. Or we can start it at a swing low, a support level, and a channel low or at our entry point minus some ATR unit. If we wait until the trade is fairly profitable we could start it at the entry point or even somewhere above our entry point. The possible starting points are unlimited; use your imagination and your logic to find a starting point that makes sense for your time frame and for what you want your system to accomplish. Our idea of starting the Ratchet from the x day low makes it move up faster than a fixed starting point (as in the Parabolic) because the starting point rises repeatedly in a strong market. If you prefer, you could just as easily start the Ratchet at something like 2 ATRs below the entry price and then the starting point would remain fixed. In this case the Ratchet would move up only as the result of accumulating additional time in the trade and as the result of possible expansions of the ATR itself.

When to Start: We can very easily initiate the exit strategy based on time rather than price or combine the two ideas. For example, we can start the exit only after the trade has been open for at least 10 days and is profitable by more than one ATR. My general impression at this point is that it is best to implement the ATR Ratchet only after a fairly large profit objective has been reached. The ATR Ratchet looks like a very good profit taking exit but I suspect it will kick you out of a trade much too soon if you start it before the trade is profitable.

As I mentioned, one of the things I like best about the ATR Ratchet is its flexibility and adaptability. Here is another idea on how to start it. We can start it after fifteen bars but we don't necessarily have to add fifteen ratchets. The logic for the coding would be to start the Ratchet after 15 bars in the trade but multiply the ATR units by the number of bars in the trade minus ten or divide the number of days in the trade by some constant before multiplying the ATR units. This procedure will reduce the number of ratchets, particularly at the beginning of the trade when the exit is first implemented. Play around with the ATR Ratchet and see what creative ideas you can come up with.

Daily Ratchet Amount: After testing it the daily Ratchet amount we chose when we were first doing our research turned out to be much too large for our intended application. The large Ratchet amount (percentage of ATR) moved the stop up too fast for the time frame we wanted to trade. After some trial and error we found that a Ratchet amount in the neighborhood of 0.05 or 0.10 (5% or 10% of one 20-day average true range) multiplied by the number of bars the trade has been open will move the stop up much faster than you might expect.

As a variation on this strategy the very small initial Ratchet can always be increased later in the trade once the profits are very high. We could start with a small Ratchet and then after a large amount of profit we could use a larger daily Ratchet increment. There are all sorts of interesting possibilities.

ATR Length: As we have learned in our previous uses of ATR, the length that we use to average the ranges can be very important. If we want the ATR to be highly responsive to short term variations in the size of the range we should use a short length for the average (4 or 5 bars). If we want a smoother ATR with less reaction to one or two days of unusual volatility we should use a longer average (20 to 50 bars). For most of my work with the ATR I use 20 days for the average unless I have a good reason to make it more or less sensitive.

Summary: We have just scratched the surface on our understanding of the possibilities and variations of the ATR Ratchet as a profit taking tool. We particularly like the flexibility it offers and we suspect that each trader will wind up using a slightly different variation. As you can see, there are many important variables to tinker with. Be sure to code the Ratchet so it gets plotted on a chart when your are first learning and experimenting with it. The ATR Ratchet is full of pleasant surprises and the plot on the chart will quickly teach you a great deal about its unusual characteristics.

Be sure to let us know if you come up with any exciting ideas on how to apply it.

Good luck and good trading.

一种新的出口战略 - 通过查的ATR棘轮LeBeau先生

最近我一直在做很对证券交易的新系统一些调查。这项研究是一个新成立的对冲基金将在今年晚些时候开始代表。该基金将管理由谭LeBeau也有限责任公司,该公司资助的这项研究项目。经过一番认真的考虑要保持这种新的出口战略优势的公司秘密的内部讨论中,公司慷慨地给了我许可与我们分享这一系统商贸会会员发现。这里有一个背景位如何在新的退出战略来的。

在我们的测试股票交易系统各种退出策略的过程中我们发现,我们需要一个获利回吐,表现出有点沿抛物线特区的路线,但可以更灵活,更容易代码和适用。我们发现,抛物很难使用,因为它往往是对对方的市场从我们的行业或者是从一个点为起点太低,我们想要的。在花费了与抛物大量时间,我们决定它是不是由我们创造特定系统的帮助。作为对抛物出口替代,我们决定测试一些新的出口在我的大量工作,并与真实波动幅度均值的经验为基础的想法。经过大量的修修补补和实验,我们高兴地获悉,新的出口战略工作了获利回吐,并有许多非常有用的功能和应用出奇地好。我决定退出来命名这个新战略“的ATR棘轮”。

基本的思路是相当简单。我们首先选择一个合乎逻辑的出发点,然后添加的ATR单位每天产生的出发点是一个尾随停止动作始终较高,同时也适应波动性的变化。这一战略在原有基础抛物出境的好处是,当使用的ATR棘轮我们有了更多的出发点和加速度控制。我们还发现,基于出口的ATR 有一个快速和适当的反应,在波动,使我们能够锁定更多的利润比大多数传统的尾部出口的变化。

下面是一个战略的例子:在贸易已达到至少一个或更多的ATR,我们选择一个近期低点(比如最近十天最低低)的利润目标。然后,我们添加一些每天的ATR(比如0.05的ATR)每日小单位,低一点的贸易。如果我们已经在15天的贸易,我们也可以通过15天0.05 ATRs并添加所产生的0.75 ATRs起点。经过20年的贸易,我们现在将增加1.0 ATRs(0.05次,每次20)到最后10天最低低天。经过ATR棘轮在它的逻辑是很简单的,但你会很快发现,有运动部件进行了许多有趣的和有用的功能很多,远远超过我们的预期。

我们特别喜欢这个策略,因为不同的是,抛物,可以很容易的ATR棘轮在贸易实施任何时候我们想要的。我们可以开始执行的第一天停止该行业或者我们可以等待某些特定的事件促使我们实施获利回吐退出。我建议等待使用,直至退出一些盈利能力已达到最低水平,因为你会看到,这站有一个移动有利的市场条件下很迅速的方式。

经过ATR棘轮开始行动起来非常安静,平稳的日子,因为我们每一个加入该行业中的每个酒吧的ATR小的单位之一。然而出发点,从停止正在计算(即10天在我们的例子低)也行动起来定期只要市场是在朝着正确的方向前进。所以现在我们有一个不断的ATR的单位越来越多被添加到一个不断上升的10天低。每次为期10天的ATR棘轮低增长的举措,以便提高我们通常有一个在此为十天后低得多较大的跳跃动作较高的地利小但稳定的增加。重要的是要强调,我们正不断将我们的日常加速向上移动的起点,产生了独特的双加速退出这个功能。我们有一个正在上升的停止时间和价格都加快。此外,往往会添加的ATR棘轮应在波动中上升的贸易大幅度增加的加速度。

由于一系列的加速扩张是一个重要的ATR棘轮功能。因为市场常常表现出更大范围的趋势加速的ATR将有扩大的趋势在我们最好的利润运行速度非常迅速。在移动市场的快速通常你会发现许多差距和大范围的酒吧。因为我们是添加的ATR多个单位以我们的出发点,任何底层的ATR规模的增加会导致突然停下来作一个非常大的跳跃,使它更接近该行业的高点。如果我们已经在40天的ATR贸易中的任何增加都会对日常的累积加速度40倍的影响。这正是我们想要做的事。我们发现,当一个市场有很不错的利润运行的ATR棘轮提出了令人惊讶的快,做了利润锁定在露天出色

的工作。

请记住,这是一个新的出口战略之一(甚至给我们),所以我们的经验和意见对此仍然十分有限。不过我要讨论的变量,可能有助于你理解和运用这种退出成功发表几点看法。

起始价:约的ATR棘轮的好的特点之一是,我们可以开始我们想要的任何地方。例如,我们可以开始在一些重大的最低点,正如它的抛物。或者我们可以在一开始摆动低点,它支持水平,以及在我们的渠道低或减去一些入口点的ATR的单位。如果我们等到贸易是相当有利可图的,我们可以开始在起点的地方,甚至超出了我们的入口点。可能的出发点是无限的,用你的想象力和你的逻辑起点,以找到一个适合您的时限意识,你需要的东西你的系统来完成。我们开始从X天低的棘轮想法使移动的速度也比固定的起点,在抛物线(),因为多次的出发点上升了强劲的市场。如果你愿意,你可以很容易开始喜欢以下2项价格ATRs东西的棘轮,然后起点将保持不变。在这种情况下,棘轮将向上只作为在业内积累更多的时间和作为自己的目标识别可能的扩展导致的结果。

何时开始:我们可以很容易地启动退出策略的时间而不是价格或将二者结合起来的想法。例如,我们可以开始交易后,才退出了至少10天开放,是由一个以上的盈利目标识别。我在这一点上的一般印象是,它是最好地实施后,才一个相当大的利润目标已经达成的ATR棘轮。经过ATR棘轮看起来像一个很好的获利回吐退出,但我怀疑它会踢你出的贸易太很快,如果你开始之前,贸易是有利可图的。

正如我所说,我喜欢的事情有关的ATR棘轮最好的是它的灵活性和适应性。这里是另一个关于如何启动它的想法。我们可以开始后15条,但我们不一定要增加15棘轮。为编码是将启动棘轮,结束15年的贸易酒吧,但乘以业内酒吧的ATR的单位或减去10乘以某个常数之前的ATR单位划分贸易中的天数由逻辑。此过程将减少,特别是在该行业初,棘轮数量,当出口首次实施。玩耍的ATR棘轮的创意,看看你能想出。

每日棘轮金额:打开后,测试它的日常棘轮金额,我们选择当我们第一次做我们的研究目标有很大的应用也为我们准备大。大棘轮的数量(百分比的ATR)提出停止的时间框架,为我们想得太快贸易。经过一些试验和错误,我们发现,在0.05或0.10(5%或10%一20天的平均真实范围)由酒吧乘以贸易一直开放将移动停止了许多邻里棘轮金额你可能会快于预期。

作为对这一战略的变化非常小的初始棘轮总是可以增加在贸易后一旦利润非常高。我们可以先小棘轮,然后经过大量的利润,我们可以使用一个较大的日常棘轮增量。有各种有趣的可能性。

的ATR长度:正如我们在以前使用的ATR,长度,我们使用平均幅度是非常重要的教训。如果我们希望的ATR要高度回应在短期内变化的范围大小,我们应该使用一个简短的平均长度为(4或5条)。如果我们想用较少的反应,一个或两个不寻常的波动天平滑的ATR,我们应该用一个较长的平均水平(20至50条)。对于我与我使用的ATR为平均20天,除非我有充分的理由使大部分工作或多或少敏感。

摘要:我们刚刚触及到我们的可能性和变化的ATR棘轮作为一个获利回吐的工具表面的了解。我们尤其喜欢它提供的灵活性,我们怀疑每个交易者将结束使用一个稍微不同的变化。正如你可以看到,有许多修补的重要变数。一定要代码棘轮所以它得到一个图表时,您是第一次学习和尝试用它绘制。经过ATR棘轮是充满了惊喜和图表上的阴谋将很快教你很多关于它的不同寻常的特点很多。

请务必让我们知道你来与任何令人兴奋的想法,如何应用它。

好运气和良好的贸易。