第06章 交易

Beginners become emotional when they trade, but if you want to survive and succeed, you must develop discipline. The moment you become aware of feeling fear or joy, use that as a signal to tighten your discipline and follow your system. You developed that system when the markets were closed and you felt calm. Now it gives you your only chance of survival and success in the markets.

新手在交易时会情绪化，但是如果你想生存，想成功，你必须有纪律。当你感觉到恐惧和欣喜，把它变成你的纪律信号，跟随你的系统。要在收市以后，心情平静的时候发展自己的系统。此时是你生存和成功的唯一机会。

The idea of an automatic trading system is fundamentally flawed. If those systems could work, then the smartest guy with the biggest computer would have cornered the market long ago. Automatic systems do not work because the market is not a mechanical or electronic entity that follows the laws of physics. It is a huge crowd of people acting in accordance with the imperfect laws of mass psychology. Physics and mathematics can help, but trading decisions must take psychology into account.

自动交易系统的想法是错误的。如果这样的系统有用，那么最聪明的人加上最快的电脑早就战胜了市场。自动交易系统无效的原因是，市场不是机械的，市场也不是电子的，物理定律对市场不起作用。市场是大众的心理行为，而大众心理学本身就不完美。物理学和数学都能起帮助作用，但是交易决定必须包含心理学。

When you talk with a pro, one of the first questions he’ll ask - or not even ask because he’ll know the answer from a few of your comments - is whether you are a discretionary trader or a system trader.

当你和专业人士交谈时，他们首先会问——也有可能根本不问，因为你说几句话他就知道了你的答案——你是自主交易者，还是系统交易者。

A discretionary trader takes in market information and analyzes it using several technical tools. He is likely to shift and apply somewhat different tools to different markets at different times. His decision-making tree has many branches, and he follows them at different times as market conditions change. All branches are connected to the sturdy trunk of his decision-making tree, an inviolate set of rules for risk control.

自主交易者考虑市场信息，用多个工具分析市场。在不同的市场，不同的时间，他会使用不同的工具。他的决策树像树枝一样多，不同的时间，不同的状况，他有不同的决定。所有的树枝都连接到他强大的决策树，决策树就是一系列控制亏损的原则。

A system trader develops a mechanical set of rules for entering and exiting trades. He backtests them and puts them on autopilot. At that point, an amateur and a pro go in opposite directions. An amateur, frightened by the market, feels relieved that a system, either his own or bought from someone else, will free him from worry. Market conditions always change and all systems self-destruct, which is why every amateur with a mechanical system must lose money in the end. A pro who puts his system on autopilot continues to monitor it like a hawk. He knows the difference between a normal drawdown period and a time when a system deteriorates and has to be shelved and replaced. A professional system trader can afford to use a mechanical system precisely because he is capable of discretionary trading!

系统交易者形成一系列机械原则，按照机械原则进场出场。他先测试它们，然后让它们自己工作。此时，业余选手和专业人士开始走相反的路。业余选手被市场搞怕了，觉得只要有系统，不管是自己的，还是别人的，都能帮自己减少烦恼。市场状况一直在变，所有的系统都有自毁性，这就是使用机械交易系统的业余选手最终亏钱的原因。专业人士虽然让系统自动工作，但是他会像老鹰一样紧盯着系统。他知道什么时候是正常的下跌，什么时候系统在自毁，此时，他会把系统换掉。专业人士是自主交易，所以他可以让机械交易系统很好地运行。

In my experience, system traders tend to achieve more consistent results, but the best and most successful traders use the discretionary approach. The choice depends on your temperament rather than a cold business decision. Some people feel attracted to system trading, others to discretionary trading. Much of what you read in this book deals with discretionary trading. All of these components can be used in systematic trading. This book is written to help both types of traders.

根据我的经验，系统交易者一般会取得很稳定的收益，但是最好的，最成功的交易者采取自主交易。具体选择取决于你的性格，这不是冰冷的生意决定。一些人喜欢系统交易，一些人喜欢自主交易。本书的大部分谈论自主交易。所有这些内容都可以用在系统交易中。本书是为了同时帮助两种交易者。

A trading system is an action plan for the market, but no plan can anticipate everything. A degree of judgment is always required, even with the best and most reliable plans.

交易系统就是市场交易计划，但计划不能预测所有的事。即使有最好的，最可靠的计划，一定的应变能力是永远需要的。

Think of any other plan or system in your life. For example, you probably have a system for taking your car out of the garage. You need to open the garage door, start the car, warm up the engine, and pull the car out into the street without bumping into walls, running over tricycles, or getting hit by passing trucks.

想想你曾经用过的任何计划或系统。比如，你需要一个系统把车从车库开出来。你需要打开车库门，启动车，预热引擎，把车开到街上，而不是撞到墙上，撞倒自行车，或者被路过的货车撞了。

You have a system in the sense that you perform the same actions each time in the same sequence, not thinking of the routine but paying attention to what is important - watching out for dangers, such as kids on bicycles, or freshly fallen snow, or a neighbor crossing the sidewalk. When you detect an obstacle, you deviate from your system, and return to it after the situation returns to normal. You would not try to design a complete system, which would include dealing with the snow, and the bicyclists, and the neighbors because that system would be too complex and still could never be complete - a neighbor could come into your car’s path from another angle. A system automates routine actions and allows you to exercise discretion when needed.

你自己有个系统，每次当你这么做的时候，你的行动都是一致的，不是关注例行事物，而是关注重要的事——注意危险，比如骑自行车的小孩，或是刚下的积雪，或邻居在过马路。当你发现了障碍，你先避开它，等一切恢复正常再回来。你没有必要自己设计一个完整的系统，包括处理积雪，骑自行车的人，邻居，因为这样的系统太复杂了，也不能做的完整——邻居可能从另一个角度进入你的行车道。系统自动处理例行事物，而你则要在必须的时候自主决断。

And that’s what you need in the markets - a system for finding trades, setting stops, establishing profit targets - all the while paying attention to a heavy truck headed toward you in the shape of a Federal Reserve announcement or a kid on a tricycle in the form of a disappointing earnings report. Many beginners set themselves the impossible task of designing or buying a complete trading system, which is just as impossible as a complete system for pulling your car out of the garage.

你在市场中也要这样——用交易系统发现交易机会，设置止损点，建立利润目标——与此同时，你要注意大货车向你开过来，比如美联储的宣布，或者是骑自行车的小孩等让人失望的报告。很多新手全力以赴设计完美的交易系统，这是不可能的任务，就像你不可能设计一个完美的把车从车库开出来的系统。

I have two friends who earn a good living testing systems for traders. Both are expert programmers. One of them laughed as he told me how he gets at least one phone call a week from yet another amateur who thinks he has discovered the Holy Grail. He wants his automatic set of rules backtested to find the best parameters, and his only concern is that the programmer should not steal his secret! I asked my friend how many profitable automatic systems he found during several years of backtesting.

我有2个朋友，他们以帮交易者做系统测试为生。他们都是编程高手。其中一个笑着告诉我，他每周至少接到一个业余选手的电话，声称自己发现了圣杯。业余选手希望能测试数据，以发现最好的参数，但是他又不希望编程高手偷走他的秘密！我问我的朋友，这么多年来发现了多少赚钱的自动交易系统。

Not one.

一个都没有。

Not one? Doesn’t he get discouraged doing this kind of work?

一个都没有？那他还有信心做这个工作？

Well, what keeps him going is that he has a handful of steady clients who are successful professional traders. They bring him snippets of trading methods for testing. They may test their parameters for placing stops, the length of MACD, and so on. Then they use their own judgment to bind those snippets into a decision-making tree.

嗯，他能继续工作的原因是，他还有很多客户，这些客户是成功的专业交易者。他们叫他测试交易方法的小问题。他们也许要测试止损的参数，MACD的参数，等等。然后他们把这些小问题和自己的判断融入到决策树。

An intelligent trading system includes components that have been backtested, but the trader retains control over his actions. He has several inviolate rules, mostly having to do with risk control and money management, but allows himself latitude in combining those components to reach trading decisions.

一个优秀的交易系统包含了已经经过测试的参数，但是交易者要保留决策权。他有几个互不干扰的原则，大部分都和风险控制，资金管理有关，他会综合考虑这些因素，然后形成交易决定。

An intelligent trading system is an action plan for entering and exiting markets that spells out several specific functions, such as finding trades or protecting capital. Most actions, such as entries, exits, and adjusting stops, can be partly but not fully automated. Thinking is a hard job; a mechanical trading system tempts you by promising you won’t have to think any more, but that’s a false promise. To be a successful trader you need to use your judgment. A trading system is a style of trading, not an automatic turnkey operation.

一个优秀的交易系统综合多方面的因素，比如找到交易机会或保护资金，以形成进场和出场的交易计划。很多行动，比如进场，出场和调试止损点，可以半自动执行，但不可以全自动执行。思考是很艰难的工作，机械交易系统通过许诺你不用再思考以引诱你。要想成为成功的交易者，你需要使用自己的判断。交易系统是交易风格，不是自动的总承包商。

SYSTEM TESTING

系统测试

You must test each indicator, rule, and method before including them in your trading system. Many traders do this by dumping historical data into testing software and obtaining a printout of their system’s parameters. The profit-loss ratio, the biggest and the smallest profit or loss, the average profit and loss, the longest winning and losing streaks, the average profit, and the average or the maximum drawdowns give the appearance of objectivity and solidity.

你必须在使用交易系统之前测试每个指标，原则和方法。很多交易者是这样测试的，用自己的系统参数测试很多历史数据，打印出来。利润亏损比，最大和最小的利润或亏损，平均的利润和亏损，最长的赢利时间，最长的亏损时间，平均利润，平均或最大的亏损，这些听起来很客观，很有说服力。

Those printouts provide a false sense of security.

这些打印出来的东西提供了假的安全感。

You may have a very nice printout, but what if the system delivers five losses in a row, while you trade real money? Nothing in your testing has prepared you for that, but it happens all the time. You grit your teeth and put on another trade. Another loss. Your drawdown is getting deeper. Will you put on the next trade? Suddenly, an impressive printout looks like a very thin reed on which to hang your future, while your account is being whittled away.

也许打印结果很好，如果你用真钱交易，正好连续亏损5次，怎么办？你的测试从来不谈这点，但是这样的事一直在发生。你咬牙切齿地再交易一次，又是亏损。你的亏损很严重了。你还想再交易一次吗？突然，你从打印的结果发现好像把你的未来放在这根稻草上也不行，然而你的账户已经少了很多。

The attraction of electronic testing is such that there is now a small cottage industry of programmers who test systems for a fee. Some traders spend months, if not years, learning to use testing software. A loser who cannot admit he’s afraid to trade has a wonderful excuse that he is learning new software. He’s like a swimmer who is afraid of water and keeps himself busy ironing his swimsuit.

测试软件很有市场，所以形成了收费的系统测试行业。一些交易者花了几个月，如果不是几年的话，去学习如何测试自己的软件。一个输家，不好意思承认自己不敢交易，就说自己在学习新软件。他就像不敢下水游泳的人，却一直忙着烫游泳衣。

Only one kind of system testing makes sense. It is slow, it is time-consuming, and it does not lend itself to testing a hundred markets at once, but it’s the only method that prepares you for trading. It consists of going through historical data one day at a time, scrupulously writing down your trading signals for the day ahead, then clicking your chart forward and recording the trades and signals for the next day.

只有一种系统测试有意义。这个测试很慢，花时间，不需要一次测试几百个市场，但是是唯一的让你为交易做准备的方法。它包括每天研究一次历史数据，小心翼翼地记录前一天的交易信号，然后点击图表，让图表向后走，记录下一天的交易和信号。

Begin by downloading your stock or futures data for a minimum of two years. Swing to the left side of the file, without looking at what happened next. Open your technical analysis program and a spreadsheet. The two most important keys for traders on a computer are Alt and Tab because they let you switch between two programs. Open two windows in your analytic program - one for your long-term chart with its indicators, the other for the short-term chart. Open a spreadsheet, write down your system’s rules at the top of the page and create columns for the date, entry date and price, and the exit date and price.

一开始下载至少2年的股票或期货数据。从数据的左边开始看，不要看后面发生了什么。打开你的技术分析软件和电子表格。键盘上2个最关键的键是Alt 和Tab，因为你要在多个程序间转换。把你的分析软件分为2个窗口——一个包括长期图表和指标，另一个包括短期图表。打开电子表格，在最上面写下你的系统原则，再创建几栏，分别记录日期，进场日期和价格，出场日期和价格。

Turn to the weekly chart and note its signal, if any. If it gives you a buy or sell signal, go to the daily chart ending on the same date to see whether it gives you a buy or a sell signal as well. If it does, record the order you have to place in your spreadsheet. Now return to the daily chart and click one day forward. See whether your buy or sell order was triggered. If so, return to the spreadsheet and record the result. Track your trade day by day, calculating stops and deciding where to take profits.

如果周线图上有信号，要把这个信号也记下来。如果有买卖信号，到日线图去看看是否也有买卖信号。如果有，在电子表格记下你做的交易。然后回到你的日线图把日期点击到下一天。看看你的买卖单是否被激活。如果是的，回到电子表格记下结果。每天都这么跟踪，计算止损点，决定何处兑现利润。

Follow this process throughout your entire data file, advancing a week at a time on the weekly chart, a day at a time on the daily chart. At every click write down your system’s signals and your actions.

用这个方法走过所有的数据，每天做一次。每次波动都要记录你的系统信号和你的行动。

As you click forward, one day at a time, the market history will slowly unfold and challenge you. You click and a buy signal comes into view. Will you take it? Record your decision in a spreadsheet. Will you take profits at a set target, on a sell signal, or on the basis of price action? You are doing much more than testing a set of rigid rules. Moving ahead day by day, you develop your decision-making skills. This one-bar-at-a-time forward testing is vastly superior to what you get from backtesting software.

你每天都往后走，这样市场的历史就在你面前展开了，同时挑战你。你点一下，一个买入信号就出现了。你会买入吗？在电子表格里记录你的决定。你会根据卖出信号，或价格的波动兑现利润吗？你不仅仅是在测试严格的原则。每天往后走，你形成了自己的决策技巧。这样一天走一个日线的测试方法比用软件测试强多了。

How will you deal with gap openings when prices open above your buy level or below your stop? What about limit moves in futures? Should the system be adjusted, changed, or scrapped? Clicking forward one day at a time gets you as close to the real experience of trading as you can ever get without putting on a trade. It puts you in touch with the raw edge of the market, which you can never experience through an orderly printout from a professional system tester.

如果开盘价是跳空的，比你的买入点高，比你的止损点低，你会怎么办？如果期货涨停或跌停，怎么办？是不是要调系统，改系统，或者是把系统报废掉？每天往后走一个日线的方法就像是真实的交易经验，虽然你没有交易。它让你感碰到真实的市场，这个经验是专业系统测试软件打印出来的结果无法比拟的。

Manual testing will improve your ability to think, recognize events, and act in the foggy environment of the market. Your trading plans must include certain absolute rules, most of them concerning money management. As long as you stay within those rules, you have much freedom in trading the markets. Your growing levels of knowledge, maturity, judgment, and skill are much more important assets than any computerized testing.

人工测试能提高你的思维能力，判断能力，以及在市场迷雾中行动的能力。你的交易计划必须包含明确的原则，大多是关于资金管理的。只要你坚守原则，你交易时就很自由。你增长的知识，成熟，判断，技巧都比电脑测试要珍贵。

Paper Trading

模拟交易

Paper trading means recording your decision to trade and tracking it as if it were a real trade, only without money. Most of those who paper trade have lost their nerve after getting beat up by the markets. Some people alternate between real trades and paper trades and cannot understand why they seem to make money on paper but lose whenever they put on a real trade.

模拟交易就是纪录你的交易决定，并跟踪它，就像真的交易，只是没用真钱。大部分人做模拟交易时，如果被市场教训了，会发火。有些人既做真实交易，也做模拟交易，就是不明白为什么做模拟交易就赚钱，做真实交易就亏钱。

This happens for two reasons. First, people tend to be less emotional with paper. Good decisions are easier to make when your money is not on the line. Second, good trades often look murky at entry time. The easy-looking ones are more likely to lead to problems. A nervous beginner jumps into obvious-looking trades but paper trades the more promising ones. It goes without saying that hopping between real trading and paper trading is sheer nonsense. You either do one or the other.

有2个原因。第一，模拟交易一般没有情绪。不用真钱，很容易做出正确的决定。第二，好的交易在整个过程中看起来很模糊。看起来很容易的有可能导致问题。紧张的新手跳进明显的，更有希望的交易，但只是模拟交易。同时在真实交易和模拟交易之间跳来跳去是没有意义的。你必须选择一个。

There is only one good reason to paper trade - to test your discipline.

模拟交易的唯一理由是——测试你的纪律性。

If you can download your data at the end of each day, do your homework, write down your orders for the day ahead, watch the opening and record your entries, and then track your market each day, adjusting your profit targets and stops - if you can do all of this for several months in a row, recording your actions, without skipping a day - then you probably have the discipline to trade that market. Someone who is in it for entertainment will not be able to paper trade this way because it requires work.

如果你每天收盘后下载数据，自己做功课，写下第二天要下的单，关注开盘价，记下你的进场点，每天跟踪市场，调整你的利润目标和止损点——如果你能这样坚持做几个月，记录你的行动，不错过一天——那么你是有纪律的。一些为了好玩而交易的人不能这样模拟交易，因为太累了。

To paper trade your system, download your data at the end of each day. Apply your tools and techniques, reach trading decisions, calculate stops and profit targets, and write them down for tomorrow. Do not place your orders with a broker, but check whether they would have been triggered and write down those fills. Enter paper trades in your spreadsheet and your trading diary (see Chapter 8, “The Organized Trader”). If you have the willpower to repeat this process daily for several months, then you have the discipline for successful trading with real money.

要模拟交易，每天收盘后下载数据。应用你的工具和技术，形成交易决定，计算止损点和利润目标，提前写下来，第二天用。不要让你的经纪人下单，但要检查你的订单是否被执行了，记下已经成交的订单。用你的电子表格和日记记录你的交易（请看“第08章，有条理的交易者”）。如果你有意志坚持做几个月，你就可以用真钱做有纪律的交易。

Still, there is no substitute for trading with real money, because it engages emotions more than any paper trade. It is better to learn by putting on very small real trades than paper trades.

然而，没有什么可以替代真实的交易，因为真实的交易涉及情绪，而模拟交易很少涉及情绪。刚开始真实交易时最好用小钱。

TRIPLE SCREEN UPDATE

三重滤网更新

One of the most pleasant encounters that occur several times each year is when a trader comes up to me at some conference and tells me how he started trading for a living after studying my book or participating in a Camp. At that point, he may be living and trading on a mountaintop, and as often as not he owns the mountaintop. I noticed long ago that half-way through our conversation these people become slightly apologetic. They tell me they use Triple Screen, but not exactly the way I taught it. They may have modified an indicator, added another screen, substituted a tool, and so forth. Whenever I hear that, I know I am talking to a winner.

在一些会议期间，有交易者走过来告诉我，他说在阅读了我的书或参加我举办的交易训练营之后，就开始了自己的交易生涯。这是最快乐的见面，如此高兴的谈话场景，我每年总能经历数次。也许当时他已经在山顶生活和交易了，通常他不会拥有这个山顶。我很早就留意到在交谈中，这些交易者会略有歉意。他们说采用了我的三重滤网，不过并没有完全遵循我的指导。他们可能把我教的三重滤网交易系统做了一些改动，修改一个指标，再添加一重滤网，替换了某种工具等等。当我听到这些时，就明白这些人是市场的赢家。

First of all, I tell them they owe their success primarily to themselves. I did not teach them any differently than the dozens of others in the same class. Winners have the discipline to take what is offered and use it to succeed. Second, I see their apology for having changed some aspects of my system as an indication of their winning attitude. To benefit from a system, you must test its parameters and fine-tune them until that system becomes your own, even though originally it was developed by someone else. Winning takes discipline, discipline comes from confidence, and the only system in which you can have confidence is the one you have tested on your own data and adapted to your own style.

首先，我告诉他们，他们的成功主要归功于他们自己的努力。我教给他们的内容和教给同一课堂里数十位同学的内容是一样的。赢家有纪律接受自己需要的内容，并用它取得成功。其次，他们改动了我的交易系统，为此向我道歉时，我认为他们的做法是赢家的态度。要想从一个交易系统中受益，必须测试参数，做出优化调整，直到这个系统符合自己的性格为止。即使这个系统是由别人发明的，也应如此。要想获胜，需要纪律，纪律来自信心。只有你运用自己的数据来测试系统，并且将它调整成适合自己的风格时，你才会对这个交易系统怀有足够的信心。

I developed the Triple Screen trading system in the mid-1980s and first presented it to the public in 1986 in an article in Futures magazine. I updated it in Trading for a Living and several videos. Here I will review it, focusing on recent enhancements.

我在80年代中期发明了三重滤网交易系统，在86年的《期货》杂志上第一次写文章公开发布。后来我在《以交易为生》和几段录像中对它作了改进，在这里我做下回顾，并将关注的焦点放在最近的改动上。

What is a trading system? What’s the difference between a method, a system, and a technique?

什么是交易系统？一个方法，一个系统和一个技术之间的区别是什么？

A method is a general philosophy of trading. For example; trade with the trend, buy when the trend is up, and sell after it tops out. Or - buy undervalued markets, go long near historical support levels, and sell after resistance zones have been reached.

方法是通用的交易哲学。比如，顺势交易，趋势上涨时买入，顶部形成，下跌时卖出。或者在市场被低估时买入，在价格接近历史支撑区时买入，达到阻力区时卖出。

A system is a set of rules for implementing a method. For example, if our method is to follow trends, then the system may buy when a multi-week moving average turns up and sell when a daily moving average turns down (get in slow, get out fast). Or - buy when the weekly MACD-Histogram ticks up and sell after it ticks down.

系统是为执行方法而建立的一套原则。比如，如果我们的方法是跟踪趋势，交易系统会在周均线上涨时建立多头仓位，并在日均线弯头下跌时卖出（缓进快出）。或者，当周线级别的MACD柱上涨时买入，下跌时卖出。

A technique is a specific rule for entering or exiting trades. For example, when a system gives a buy signal, the technique could be to buy when prices exceed the high of the previous day or if prices make a new low during the day but close near the high.

技术是进场或出场时采用的明确具体的原则。比如，当系统发出买入信号时，技术就是在价格超过前一日最高点，或者价格当日创下新低却在高点附近收盘时，买入。

The method of Triple Screen is to analyze markets in several time-frames and use both the trend-following indicators and oscillators. We make a strategic decision to trade long or short using trend-following indicators on long-term charts. We make tactical decisions to enter or exit using oscillators on shorter-term charts. The original method has not changed, but the system - the exact choice of indicators - has evolved over the years, as have the techniques.

三重滤网方法是对市场用不同的时间周期来分析，并同时运用趋势指标和振荡指标作为研判工具。用长期图表上的趋势指标进行分析，做策略决定，是做多，还是做空。在短期图表上采用振荡指标，做战术决定，确定进场点和出场点。最初的方法没有改变，但是系统——所采用的指标——则随着年月的增长而有所演进，技术也是这样演进。

Triple Screen examines each potential trade using three screens or tests. Each screen uses a different timeframe and indicators. These screens filter out many trades that seem attractive at first. Triple Screen promotes a careful and cautious approach to trading.

三重滤网采用三重过滤或测试的方法对每笔可能的交易进行检验。每重滤网都采用了不同的周期和指标。这些滤网淘汰了许多乍看之下诱惑人心的交易。三重滤网采用明察审慎的态度来对待交易。

Conflicting Indicators

指标的冲突

Technical indicators help identify trends or turns more objectively than chart patterns. Just keep in mind that when you change indicator parameters, you influence their signals. Be careful not to fiddle with indicators until they tell you what you want to hear.

在确认趋势或反转时，技术指标比图表更为客观。注意，如果你改动指标参数，你就影响了指标信号。千万不要为了得到自己想看见的东西而不断调整指标。

We can divide all indicators into three major groups:

我们可以把所有指标分为三类：

Trend-following indicators help identify trends. Moving averages, MACD lines, Directional system, and others rise when the markets are rising, decline when markets fall, and go flat when markets enter trading ranges.

趋势指标有助于确认趋势。有移动平均线，MACD，方向系统等等。这些指标的特点是市场上涨时，指标也上涨，市场下跌时，指标也下跌。市场是盘整时，指标也随着走平。

Oscillators help catch turning points by identifying overbought and oversold conditions. Envelopes or channels, Force Index, Stochastic, Elder-ray, and others show when rallies or declines outrun themselves and are ready to reverse.

振荡指标通过确认超买超卖状态捕捉反转点。有包络线或通道，力量指数，随机指标，艾尔德射线指标等等。这些指标通过确认市场涨跌过头的情况来提示反转。

Miscellaneous indicators help gauge the mood of the market crowd. Bullish Consensus, Commitments of Traders, New High - New Low Index, and others reflect the general levels of bullishness or bearishness in the market.

综合指标有助于辨识大众的市场情绪。有情绪指标，持仓量报告，新高新低指数等等，它们反映市场涨跌心理的整体水平。

Different groups of indicators often give conflicting signals. Trend-following indicators may turn up, telling us to buy, while oscillators become overbought, telling us to sell. Trend-following indicators may turn down, giving sell signals, while oscillators become oversold, giving buy signals. It is easy to fall into the trap of wishful thinking and start following those indicators whose message you like. A trader must set up a system that takes all groups of indicators into account and handles their contradictions.

不同类型的指标经常发出相互矛盾的信号。趋势指标上涨，叫我们买，而同时振荡指标却已处于超买状态，叫我们卖。趋势指标下跌。给出做空信号，而振荡指标却处于超卖状态，给出做多信号。这种情形下，交易者容易掉进一厢情愿的陷阱，他会选择他喜欢的指标信号交易。交易者必须建立一个系统，能够对各类指标进行综合考虑，并能处理不同类型指标之间的矛盾。

Conflicting Timeframes

不同时间周期的冲突

An indicator can call an uptrend and a downtrend in the same stock on the same day. How can this be? A moving average may rise on a weekly chart, giving a buy signal, but fall on a daily chart, giving a sell signal. It may rally on an hourly chart, telling us to go long, but sink on a 10-minute chart, telling us to short. Which of those signals should we take?

同一个指标能在同一天告诉我们一只股票既处在上涨趋势，又处在下跌趋势。怎么会这样？同样的均线，在周线图上是上涨的，发出买入信号；但是在日线图上，均线却是下跌的，发出卖出信号。同样，60分钟图里均线上涨，提示做多，而10分钟图里均线却下跌，提示做空。我们应当如何处理这些矛盾的信号呢？ Amateurs reach for the obvious. They grab a single timeframe, most often daily, apply their indicators and ignore other timeframes. This works only until a major move swells up from the weeklies or a sharp spike erupts from the hourly charts and flips their trade upside down. Whoever said that ignorance was bliss was not a trader.

业余选手选择最明显的信号，并仅仅盯着单一的时间周期，通常是日线图，他们用日线图使用指标分析，忽略了其它的时间周期。这种做法只在周线图产生上涨的主趋势时才会有效，否则小时图上发生的剧烈变动会让他们的交易变得一团糟。交易者不应当忽略不同时间周期间的关系。

People who have lost money with daily charts often imagine they could do better by speeding things up and using live data. If you cannot make money with dailies, a live screen will only help you lose faster. Screens hypnotize losers, but a determined one can get even closer to the market by renting a seat and going to trade on the floor. Pretty soon a margin clerk for the clearing house notices that the new trader’s equity has dropped below limit. He sends a runner into the pit who taps that person on the shoulder. The loser steps out and is never seen again - he has “tapped out.”

有些人用日线做交易亏了钱，他们经常一厢情愿地认为，如果加快交易频率并且采用即时数据，交易会有所起色。实际上，如果用日线图不能赚钱，那么即时数据只会让交易者亏的更惨。屏幕上纷纭变动的数据让这些输家陷入了迷乱状态。也有更顽固的人采取了极端作法，跑到交易所里租了一个席位，采用场内更为快速的数据来交易。很快，清算所的保证金职员就会注意到，这个新面孔的资金发生缩水，并到达风险警示水平。于是工作人员进场通知这个不幸的人，输家起身出场，从此销声匿迹——他，出局了。

The problem with losers is not that their data is too slow, but their decision-making process is a mess. To resolve the problem of conflicting timeframes, you should not get your face closer to the market, but push yourself further away, take a broad look at what’s happening, make a strategic decision to be a bull or a bear, and only then return closer to the market and look for entry and exit points. That’s what Triple Screen is all about.

发生上述的问题，原因不是数据传输太过迟缓，而是他的决策过程混乱无序，没有章法。解决时间周期冲突的问题，交易者不应当进一步接近市场，而是后撤——用大视野来把握大势。策略上，确定多空方向，然后再接近市场，去寻找进场点和出场点。这就是三重滤网要探讨的。

What is long term and what is short term? Triple Screen avoids rigid definitions by focusing instead on the relationships between time-frames. It requires you to begin by choosing your favorite timeframe, which it calls intermediate. If you like to work with daily charts, your intermediate timeframe is daily. If you are a day-trader and like five-minute charts, then your intermediate timeframe is the five-minute chart, and so on.

什么是长，什么是短？三重滤网理论避开了僵化的定义，将重心放在不同周期间的关系上，从而巧妙地解决了这个问题。首先，你要选择你最喜欢的时间周期，它被称为中周期，如果你喜欢日线交易，那么你的中周期就是日线图，如果你是日内交易者，喜欢用5分钟图，那么中周期就是5分钟图。依次类推。

Triple Screen defines the long term by multiplying the intermediate timeframe by five (see “Time - The Factor of Five,” page xx). If your intermediate timeframe is daily, then your long-term timeframe is weekly. If your intermediate timeframe is five minutes, then your long-term is half-hourly, and so forth. Choose your favorite timeframe, call it intermediate, and immediately move up one order of magnitude to a long-term chart. Make your strategic decision there, and return to the intermediate chart to look for entries and exits.

按照三重滤网的定义，将中周期乘以5，即可得到长周期。（请看“时间——5的因素”）。若你的中周期是日线图，则长周期是周线图。中周期是5分钟图，则长周期是30分钟图，以此类推。选择你喜欢的交易周期，把它定义为中周期，然后将它放大，形成上一级别的长周期。在长周期图表上制定策略，再返回到中周期来寻找进场点和出场点。

The key principle of Triple Screen is to begin your analysis by stepping back from the markets and looking at the big picture for strategic decisions. Use a long-term chart to decide whether you are bullish or bearish, and then return closer to the market to make tactical choices about entries and exits.

三重滤网的核心原则就是开始分析时，首先后撤一步，采用大视角考察长期图表，以制定策略，确定多空方向。然后再接近市场，做出战术决策以寻找进场点和出场点。

The Principles of Triple Screen

三重滤网的原则

Triple Screen resolves contradictions between indicators and time-frames. It reaches strategic decisions on long-term charts, using trend-following indicators - this is the first screen. It proceeds to make tactical decisions about entries and exits on the intermediate charts, using oscillators - this is the second screen. It offers several methods for placing buy and sell orders - this is the third screen, which we may implement using either intermediate - or short-term charts.

三重滤网解决了指标和交易周期存在的相互冲突的矛盾。首先在长期图上采用趋势指标制定策略——这是第一重滤网。然后在中期图表上运用振荡指标来确定进场点和出场点——这是第二重滤网。三重滤网提供了数种方法来设置买卖订单——这是第三重滤网，我们可以采用中间图或短期图来安排交易单。

Begin by choosing your favorite timeframe, the one with whose charts you like to work, and call it intermediate. Multiply its length by five to find your long-term timeframe. Apply trend-following indicators to long-term charts to reach a strategic decision to go long, short, or stand aside. Standing aside is a legitimate position. If the long-term chart is bullish or bearish, return to the intermediate charts and use oscillators to look for entry and exit points in the direction of the long-term trend. Set stops and profit targets before switching to short-term charts, if available, to fine-tune entries and exits.

首先选择你最喜欢的周期，把你交易的周期定义为中周期。然后把这个周期的长度乘以5，得到长周期。在这个长周期上采用趋势指标，制定策略，确定做多，做空或是观望。观望也是合理的做法。如果长期图看涨或看跌，则返回到中期图，用振荡指标来寻找顺应着长期趋势方向的进场点和出场点。在切换到短期图表之前，设置好止损和利润目标，如果可能，精确地调整好进场点和出场点。

SCREEN ONE

第一重滤网

Choose your favorite timeframe and call it intermediate. Multiply it by five to find the long-term timeframe. Let’s say you prefer to work with daily charts. In that case, move immediately one level higher, to the weekly chart. Do not permit yourself to peek at the dailies because this may color your analysis of weekly charts. If you are a day-trader, you might choose a 10-minute chart as your favorite, call it intermediate, and then immediately move up to the hourly chart, approximately five times longer. Rounding off is not a problem; technical analysis is a craft, not an exact science. If you are a long-term investor, you might choose a weekly chart as your favorite and then go up to the monthly.

选择你最喜欢的交易周期，并将它定义为中周期。再把它的长度乘以5，得到长周期。如果你选择日线作为中周期，则立刻将注意力移到周线图，在你的长期图表上进行分析。在这个决策过程里，不允许再看日线图，因为这会影响你对周线图的分析。如果日内交易者把10分钟图做为中周期，则须将注意力立即移到60分钟图。6分钟图和10分钟图的5倍，也就是50分钟图略有差异，不过无碍大局，毕竟交易只是一门技艺而不是精确的科学。如果你是长线交易者，你可以选择周线图作为中间图表，并把月线作为长周期。

Apply trend-following indicators to the long-term chart and make a strategic decision to trade long, short, or stand aside. The original version of Triple Screen used the slope of weekly MACD-Histogram as its weekly trend-following indicator. It was very sensitive and gave many buy and sell signals. I now prefer to use the slope of a weekly exponential moving average as my main trend-following indicator on long-term charts. When the weekly EMA rises, it confirms a bull move and tells us to go long or stand aside. When it falls, it identifies a bear move and tells us to go short or stand aside. I use a 26-week EMA, which represents half a year of trading. You can test several different lengths to see which tracks your market best, as you would with any indicator.

在长期图表上采用趋势指标进行分析，并制定策略以确定做多，做空或是观望。最早的三重滤网采用周线图的MACD柱作为趋势指标，它非常敏感并发出许多买卖信号。而现在我更喜欢采用周线图上的均线作为我长期图表上的主要趋势指标。当周线图上的均线上涨时，则表明是上涨趋势，应当做多或观望。当它下跌时，则表明是下跌趋势，应当做空或观望。我采用26周均线，原因是它代表了半年来市场大众的交易活动。交易者可以测试均线的参数并寻找到适合特定市场的优化均线。其它指标同理。

I continue to plot weekly MACD-Histogram. When both EMA and MACD-Histogram are in gear, they confirm a dynamic trend and encourage you to trade larger positions. Divergences between weekly MACD-Histogram and prices are the strongest signals in technical analysis, which override the message of the EMA.

我在周线图上继续画MACD柱，当均线与MACD柱协调一致，彼此呼应时，则表明确立了动力十足的趋势，鼓励交易者交易较大仓位。而周线图上MACD柱与价格发生的背离，则是技术分析中最强烈的信号，甚至超过了均线的信息。

Figure 6.1 Triple Screen - Weekly Chart

图6.1 三重滤网——周线图

Gaming stocks tend to do well in a weak economy - gambling appeals to people down on their luck. In 2000 and 2001, as the broad stock market was declining, gaming stocks put in a stellar performance. Alliance Gaming, for instance, rallied from below 2 to over 40, with very few pullbacks. How could Triple Screen help us benefit from this performance?

在经济不景气的情况下，游戏公司的股票还表现不错——人们喜欢赌博，赌运气。在2000年和2001年，整个股市在跌，游戏公司股票却在慢慢发展。比如说联合游戏公司，从2以下涨到40多，中途很少有回调。如何让三重滤网帮助我们取得收益呢？

The pattern between points A and B is called a saucer bottom, a slow drawn-out minimal decline and just as minimal a rise on hardly any volume. Still, during that time ALLY had managed to put in a bullish divergence of MACD-Histogram, a hugely powerful signal that is rarely seen on weekly charts. It traced a low in area A, but could not even push below zero at the bottom of the saucer. The first vertical arrow marks the point where MACD-Histogram starts trending higher. A few weeks later the weekly EMA also turns up, and at that point, with both weekly indicators trending up, ALLY becomes a screaming buy. It is time to switch to the daily charts and look for buying opportunities. The second vertical arrow marks another period when both the EMA and MACD-Histogram are in gear to the upside, and then the stock doubles in a few weeks. The clean, steady uptrend of the weekly EMA keeps telling us to trade ALLY only from the long side.

A点和B点之间的模式叫圆底，慢慢地下跌，慢慢地上涨，几乎没有成交量。然而，在这期间，联合游戏的MACD柱形成了看涨背离，在周线图上是巨大的有力信号。它在A区域跟踪到了低点，但是不能把它压到0轴以下。第一个垂直向上的箭头是MACD柱开始上涨的地方。几周后，周均线也上涨，在那里，2个周指标都上涨，联合游戏可以买入。此时可以转到日线图去找买入机会。第二个垂直向上的箭头标明均线和MACD柱第二次一致向上，然后几周内股价翻番了。这种一致的，稳定上涨的周均线一直在告诉我们买入联合游戏。

At the right edge of the chart, the weekly EMA keeps trending higher, but wildly volatile price action shows that the easy portion of the uptrend is over. MACD-Histogram is moving opposite the EMA, warning of high volatility ahead. The relatively easy money is off the table.

在图的右边，周均线继续上涨，但是剧烈波动的价格表明稳定的上涨已经结束。稳定的收益已经不存在了。

SCREEN TWO

第二重滤网

Return to the intermediate chart and use oscillators to look for trading opportunities in the direction of the long-term trend. When the weekly trend is up, wait for daily oscillators to fall, giving buy signals. Buying dips is safer than buying the crests of waves. If an oscillator gives a sell signal while the weekly trend is up, you may use it to take profits on long positions but not to sell short.

返回到中期图表，并且采用振荡指标来寻找顺应长期趋势方向的交易机会。当周线趋势看涨时，等待日线振荡指标回落并发出买入信号。在回调时买进，比在浪顶买入要安全。周线看涨，而日线振荡指标看跌时，也可以把先前的多单平仓，获利出局，不过，交易者不能在此位置建立空头仓位。

Figure 6.2 Triple Screen - Daily Chart

图6.2 三重滤网——日线图

The uptrend on the weekly chart keeps telling us to trade ALLY from the long side or stand aside. With the daily EMA also rising, we have several options. We may buy when prices pull back to their rising daily EMA, or when short-term Force Index dips below zero. The upper channel line provides a logical profit-taking target. An experienced trader can pyramid his position, adding to it whenever a new buy signal appears and only tightening stops instead of exiting at the upper channel. That channel keeps getting wider as prices rise - from 10 points wide in April to 16 in July.

周线图上的上涨一直告诉我们要做多联合游戏，或者观望。日线图上均线也在上涨，我们有几个选择。日线图中当价格回调到上涨的均线时买入，或者当短期力量指数跌到0以下买入。通道上线是合理的利润目标。有经验的交易者会金字塔加仓，当新的买入信号出现时加仓，做好止损，而不是在通道上线出场。当价格上涨时通道在变宽——从4月的10点增大到7月的16点。

At the right edge of the chart, the alternating spikes of Force Index warn traders that the days of relatively easy money are over. The market has become hysterical, and the likelihood of trend continuation is low. Better bank your winnings and go look for another stock in another group that is rising or falling quietly, not yet discovered by the market crowd.

在图的右边，力量指数指针在变化，它告诉交易者轻松赚钱的日子已经过去了。市场已经疯狂，趋势延续的概率不大了。最好是把利润存进银行，从其它股票池里找到正在慢慢上涨或下跌的股票，最好大众还没有发现。

When the weekly trend is down, look for daily oscillators to rise, giving sell signals. Shorting during upwaves is safer than selling new lows. When daily oscillators give buy signals, you may use them to take profits on shorts but not to buy. The choice of oscillators depends on your trading style.

当周线图趋势下跌时，等待日线图振荡指标上涨并发出做空信号。在反弹时做空，要比创新低时进场做空安全。当日线的振荡指标发出买入信号时，可以把空单平掉，获利出局，不过不应当在此建立多头仓位。振荡指标的选择，取决于你的交易风格。

For conservative traders, choose a relatively slow oscillator, such as daily MACD-Histogram or Stochastic, for the second screen. When the weekly trend is up, look for daily MACD-Histogram to fall below zero and tick up, or for Stochastic to fall to its lower reference line, giving a buy signal.

保守的交易者会选择一个相对慢速的振荡指标，例如日线上的MACD柱或随机指标，以用于第二重滤网的分析。当周线图趋势上涨时，等待日线图MACD柱回落至0轴之下，并再度上涨时，或者等随机指标回落到超卖区发出买入信号时寻找做多机会。

Reverse these rules for shorting in bear markets. When trend-following indicators point down on the weekly charts, but daily MACD-Histogram ticks down from above its zero line, or Stochastic rallies to its upper reference line, they give sell signals.

下跌市场则反之。当周线图的趋势指标表明趋势下跌，则日线图的0轴之上MACD柱掉头下跌，或者随机指标上涨到超卖线并且发出做空信号时寻找做空机会。

A conservative approach works best during early stages of major moves, when markets gather speed slowly. As the trend accelerates, pullbacks become more shallow. To hop aboard a fast-running trend, you need faster oscillators.

在主要趋势的早期阶段，慢速振荡指标效果颇佳，此阶段价格运行较为迟缓。而在趋势的加速期，价格拉回修正的幅度较浅，要想跳上快速运动的趋势，交易者需采用快速的振荡指标。

For active traders, use the two-day EMA of Force Index (or longer, if that’s what your research suggests for your market). When the weekly trend is up and daily Force Index falls below zero, it flags a buying opportunity.

积极的交易者可采用2日均线力量指数（参数可长一些，依据对市场的研究，得出最优化的均线参数。）。周线图趋势上涨，日线图上的力量指数回落到0轴之下，它给出了买入信号。

Reverse these rules for shorting in bear markets. When the weekly trend is down and the two-day EMA of Force Index rallies above zero, it points to shorting opportunities.

下跌市场则反之。周线图趋势下跌，2日均线力量指数上涨到0轴之上，它指出了做空机会。

Many other indicators can work with Triple Screen. The first screen can also use Directional System or trendlines. The second screen can use Momentum, Relative Strength Index, Elder-ray, and others.

其它指标也可应用于三重滤网，第一重滤网可采用方向系统或趋势线。第二重滤网可采用动能指标，相对强弱指标，艾尔德射线指标等等。

The second screen is where we set profit targets and stops and make a go–no go decision about every trade after weighing the level of risk against the potential gain.

在第二重滤网设置利润目标和止损点，并在计算风险与潜在的收益之后，做出是否交易的决定。

Set the stops. A stop is a safety net, which limits the damage from any bad trade. You have to structure your trading in such a way that no single bad loss, or a nasty series of losses, can damage your account. Stops are essential for success, but many traders shun them. Beginners complain about getting whipsawed, stopped out of trades that eventually would have made them money. Some say that putting in a stop means asking for trouble because no matter where you put it, it will be hit.

设置止损。止损是安全网，它会限制糟糕交易的破坏。你必须管理好你的账户，以防止一笔或一连串的不利交易带来的亏损毁掉账户。止损是成功的关键，然而许多交易者却回避它。新手抱怨止损就是被洗，认为如果不设止损，最终会获利。一些人说设止损就是自找麻烦，因为不管在哪里设止损，市场一定会扫掉他们的止损单。

First of all, you need to place stops where they are not likely to be hit, outside of the range of market noise (see SafeZone on page xxx). Second, an occasional whipsaw is the price of long-term safety. No matter how great your analytic skills, stops are always necessary.

首先，你要在市场不易扫掉的位置设止损，将止损设置在市场噪音之外（请看安全区域）。其次，偶尔发生的洗盘，是为长期安全付出的成本。无论你的分析能力多么强，止损都是必须的。

You should move stops only one way - in the direction of the trade. When a trade starts moving in your favor, move your stop to a breakeven level. As the move persists, continue to move your stop, protecting some of your paper profit. A professional trader never lets a profit turn into a loss.

你应该只用一种方式移动止损，那就是顺着赢利的方向。当市场朝有利的方向运动时，将先前的止损单设置为保本止损。在有利趋势前进的时候，一路移动止损以保护你的账面利润。专业交易者永不让赢利变成亏损。

A stop may never expose more than 2% of your equity to the risk of loss (see Chapter 7, “Money Management Formulas”). If Triple Screen flags a trade but you realize that a logical stop would risk more than 2% of your equity, skip that trade.

止损的风险不能超过总资金的2%（请看“第07章，资金管理公式”）。如果三重滤网发出交易信号，经过计算，认为这笔交易采用合理的止损，亏损会超过资金的2%，那么就放弃这笔交易。

Set profit targets. Profit targets are flexible and depend on your goals and capital. If you are a well-capitalized, long-term-oriented trader, you may build up a large position at an early stage of a bull market, repeatedly taking buy signals from the daily charts, as long as the weekly trend is up. Take your profits after the weekly EMA turns flat. The reverse applies to downtrends.

设置利润目标。设置赢利目标时要灵活，这取决于你的目标和资金情况。如果你的资金充裕，并且是长线交易者，则在牛市的开始阶段建立一个较大的仓位，在周线图趋势看涨的前提下，在日线图出现买入机会时连续建仓。在周线图均线走平时兑现利润。下跌则反之。

Another option is to take profits whenever prices on the daily charts hit their channel line. If you go long, sell when prices hit the upper channel line and look to reposition on the next pullback to the daily moving average. If you go short, cover when prices fall to their lower channel line and look to reposition short on the next rally to the EMA.

另一种做法就是当日线图价格碰到通道线时兑现利润。如果你做多，则在价格碰到通道上线时兑现利润，并在价格回调到日均线时做多。如果你做空，则在价格下跌到通道下线回补，并在价格再次反弹到均线时做空。

A short-term-oriented trader can use the signals of a two-day EMA of Force Index to exit trades. If you buy in an uptrend when the two-day EMA of Force Index turns negative, sell when it turns positive. If you go short in a downtrend after the two-day EMA of Force Index turns positive, cover when it turns negative.

短线交易者会采用2日均线力量指数作为出场依据。如果你在上涨趋势中，在2日均线力量指数是负数时买入，在变为正数时卖出。如果在下跌趋势中，在2日均线力量指数是正数时做空，并在变为负数时回补。

Beginners often approach markets like a lottery - buy a ticket and sit in front of the TV to find out whether you have won. You will know that you are becoming a professional when you start spending almost as much time thinking about exits as looking for entries.

新手做交易的方式就像买彩票——买完彩票后，就呆坐在电视前看他是否中彩。如果你花在研究进场的时间和花在研究出场的时间一样多，那么你就成为专业人士了。

SCREEN THREE

第三重滤网

The third screen helps us pinpoint entry points. Live data can help savvy traders but hurt beginners who may slip into day-trading.

第三重滤网帮助我们制定精确的进场点，即时数据会帮助聪明的交易者，但伤害了新手，新手很容易去做日内交易。

Use an intraday breakout or pullback to enter trades without real-time data. When the first two screens give you a buy signal (the weekly is up, but the daily is down), place a buy order at the high of the previous day or a tick higher. A tick is the smallest price fluctuation permitted in any market. We expect the major uptrend to reassert itself and catch a breakout in its direction. Place a buy order, good for one day only. If prices break out above the previous day’s high, you will be stopped in automatically. You do not have to watch prices intraday, just give your order to a broker.

利用日内的突破或回调进场，不要使用即时数据。当前两重滤网发出买入信号时（周线上涨，但日线下跌），在前一天的最高点或比最高点高一个基点的地方下单买入。基点是市场允许的最小的变动单位。我们期待主趋势继续上涨并且在价格发生突破时进场。这种下单方法，只适用于当天的交易。如果价格突破前一天的最高点，你要自动设置止损。交易者不必死盯日内的价格波动，将订单交给经纪人处理就行了。

When the first two screens tell you to sell short (the weekly is down, but the daily is up), place a sell order at the previous day’s low or a tick lower. We expect the downtrend to reassert itself, and try to catch the downside breakout. If prices break below the previous day’s low, they will trigger your entry.

在前两重滤网提示做空时（周线下跌，但日线反弹，），在前一天的最低点或比最低点低一个基点处下单做空。我们期待再次下跌，并在突破时进场。如果价格突破了前一天的最低点，那么你就进场了。

Daily ranges can be very wide, and placing an order to buy at the top can be expensive. Another option is to buy below the market. If you are trying to buy a pullback to the EMA, calculate where that EMA is likely to be tomorrow and place your order at that level. Alternatively, use the SafeZone indicator (see page xx) to find how far the market is likely to dip below its previous day’s low and place your order at that level. Reverse these approaches for shorting in downtrends.

日内波动可能很大，因此在顶部下单做多很昂贵。另一种选择就是在市场之下买入。如果你打算在价格回调到均线时买入，计算出第二天均线可能要到达的位置，在附近下单。也可采用安全区域指标计算出市场可能跌破前一天最低点的距离，并在附近下单。下跌时则反之。

The advantage of buying upside breakouts is that you follow an impulse move. The disadvantage is that you buy high and your stop is far away. The advantage of bottom fishing is that you get your goods on sale and your stop is closer. The disadvantage is the risk of getting caught in a downside reversal. A “breakout entry” is more reliable, but profits are smaller; a “bottom-fishing entry” is riskier, but the profits are greater. Make sure to test both methods in your markets.

上涨突破时买进的优势是跟随了冲动的波动。劣势是买进的位置高，止损太远。回调买进的优势是买的点位较低，并且止损很近。劣势是容易遭遇反转下跌。“突破进场”比较可靠，只是利润较少。“回调进场”风险较大，但利润很多。你要保证在市场测试2种方法。

Use real-time data, if available, for entering trades. When the first two screens give you a buy signal (the weekly is up, but the daily is down), use live data to get long. You could follow a breakout from the opening range, when prices rally above the high of the first 15 to 30 minutes of trading, or apply technical analysis to intraday charts and finesse your entry. When trying to short, you may enter on a downside breakout from the opening range. You could also monitor the market intraday and use technical analysis to enter into a short trade, using live charts.

尽量用即时数据进场。当前二重滤网给出买入信号时（周线上涨，但日线下跌），利用即时数据做多。你可以跟踪开盘后交易区间的突破，当开盘15分钟到30分钟后，价格发生向上突破时进场，或者采用技术分析，分析日内图以确定合适的进场点。如果你要做空，则在开盘后交易区间向下突破时进场。或者通过分析日内图寻找机会，并采用即时数据进场。

The techniques for finding buy and sell signals on real-time charts are the same as on daily charts, only their speed is much higher. If you use weeklies and dailies to get in, use them also to get out. Once a live chart gives an entry signal, avoid the temptation to exit using intraday data. Do not forget that you entered that trade on the basis of weekly and daily charts, expecting to hold for several days. Do not be distracted by the intraday chop if you are trading swings that last several days.

在即时图上寻找买卖点的方法与日线图相同，只是速度快了很多。如果你采用周线图或日线图进场，那么也必须用同样的图出场。一旦你即时数据让你进场，则应抵制日内图信号的诱惑而出场。不要忘了，你根据周线图和日线图交易，往往需要持有数日。交易者不应受日内价格波动的困扰。

DAY-TRADING

日内交易

Day-trading means entering and exiting trades on the same day. Watching money flow from the screen into your account is extremely appealing. Surely we are smart enough to use modern technology to outrun slow-moving folks who follow their stocks through the newspapers.

日内交易意味着当天进场，当天出场。看着钱从屏幕流入你的账户确实很吸引人。我们肯定够聪明，利用现代技术战胜行动缓慢的家伙，他们只会根据报纸选股票。

Every partial truth contains a dangerous lie. Day-trading can bring profits to professionals, but it is also a common last stop for losers who blow what little is left of their accounts. Day-trading offers advantages and disadvantages, while placing extreme demands on its practitioners.

每个不完整的真实包含了危险的谎言。日内交易可以带来利润，但是对于账户所剩无几的输家来说，这是最后一站。日内交易有优势，有劣势，对专业人士的要求特别高。

Day-trading offers one of the markets’ greatest challenges, but it is amazing how little literature on it exists. There are several “day-trading for dummies” types of books, a few get-rich-quick jobs, but not a single definitive volume on day-trading. Bad day-traders write bad books and good day-traders are too action-oriented to sit down to write.

日内交易的挑战最高，但是很少能找到相关的书籍。有一些“日内交易傻瓜书”，一些快速致富书，但是没有完整的谈日内交易的书。水平差的日内交易者写出来的书也差，水平高的日内交易者太忙了，没有时间写书。

A good day-trader is a street-smart person with fast reflexes. He is quick, confident, and flexible. Successful day-traders are so focused on the immediate results that they do not make good writers. I hope one of them will rise to the challenge of writing a book, but in the mean-time, here are a few notes, even though each of them deserves its own chapter in a thick book on day-trading.

优秀的日内交易者聪明，反应快。他快速，自信，灵活。成功的日内交易者太关注于日内交易，因此他们不是出色的作家。我希望其中一个能写本好书，但同时，即使他们知道如何写厚厚的日内交易书，还是有几点要注意。

The late 1990s saw an explosion of interest in day-trading. Even housewives and students were pulled in by the bull market and the easy reach of the Internet. Brokers advertise for more people to come in to day-trade, knowing full well most will bust out.

90年代末期人们热衷于日内交易。由于互联网的便利，连家庭主妇和学生都被上涨的市场吸引了。经纪商做广告，呼吁大家都来做日内交易，因为经纪商知道大部分人都要出局。

The advantages of day-trading include:

日内交易的优势包括：

Trading opportunities are more frequent. If you can trade with daily charts, you’ll see similar trades more often on intraday charts.

交易机会很多。如果你知道如何用日线图交易，那么你会在日内图上看到很多类似的交易机会。

You can cut losses very quickly.

你可以快速止损。

There is no overnight risk if a major piece of news hits your market after the close.

即时收盘后有重大消息袭击市场，你也没有过夜风险。

The disadvantages of day-trading include:

日内交易的劣势包括：

You miss longer-term swings and trends.

你错过了长期的大波动，大趋势。

Profits are smaller because intraday swings are shorter.

因为日内波动小，利润也比较小。

Expenses are higher because of more frequent commissions and slippage. Day-trading is a very expensive game, which is why vendors love it.

由于要多次交佣金，有很多滑点亏损，总体费用就偏高。日内交易的费用非常昂贵，这也是经纪商希望你做日内交易的原因。

Day-trading makes several hard demands on its practitioners:

日内交易有几个重大要求：

You must act instantly - if you stop to think, you’re dead. With daily charts you have the luxury of time, but intraday charts demand immediate action.

你必须动作快——如果你停下来思考，你死定了。看日线图，你有很多时间思考，但是看日内图，你要行动快。

Day-trading chews up a great deal of time. You have to ask yourself whether the hourly pay is better in longer-term trading.

日内交易消耗时间。你要问问自己，你的付出回报是否比做长线多。

Day-trading plays into people’s gambling tendencies. If there are any gaps in your discipline, day-trading will find them fast.

日内交易能看透人的赌博心理。如果你的纪律有任何缺陷，日内交易就能发现。

There are three main groups of day-traders: floor traders, institutional traders, and private traders. They have different agendas and use different tools. Imagine three persons coming to the beach - one goes for a swim, another stretches in the sun, and the third goes jogging and runs head on into a tree. Floor traders and institutional traders tend to do better than private traders. Let us see what we can learn from them.

有3种日内交易这：场内交易者，机构交易者，个人交易者。他们的思路和工具都不同。想象有3个人来到海边——一个去游泳，一个晒太阳，第三个跑步，结果撞到了树。场内交易者和机构交易者的表现一般比个人交易者好。我们看看从他们身上能学到什么。

Lessons from Floor Traders

场内交易者的教训

Floor traders stand in the pit, trading with each other, but more often against the public. They scalp, spread, and take directional trades.

场内交易者在交易所现场，相互之间交易，但大多数是和大众相反的。他们做短线，赚价差，占方向上的优势。

Scalping is based on the fact that there are two prices for any stock or future. One is a bid - what the pros are offering to pay. The other is an ask - what the pros are willing to sell for. You may bid below the market, but as a friend said, “You can’t excite the market with a flaccid bid.” When in a hurry, you buy at the ask and pay what sellers demand. If you want to sell, you may place a limit order above the market or “hit the bid” and accept what buyers are willing to pay.

剥头皮的原因是股票和期货都有2个价格。一个是买入价——专业人士报价买入。另一个是卖出价——专业人士报价卖出。你可以在市价之下下单，但是一个朋友说：“你不能用软弱的报价来刺激市场。”当你急的时候，你在卖出价买入，只有接受卖家的要求。如果你想卖，你可以在市价之上下限价单，或者是用买入价卖出，只好接受买家的报价。

For example, the last trade in gold was at 308.30, but now it is quoted as 308.20 bid, 308.40 ask. This means there are willing buyers at 308.20, while sellers are asking for 308.40. When a market order to buy comes into the pit, a floor trader goes short by selling at 308.40. The outsider has paid the ask price, and the floor trader is now short and needs to buy. When a market order to sell comes to the floor, he buys at 308.20, and pockets 20 cents profit. Floor traders pay no commissions, only clearing costs, and can afford to trade even for single ticks. They stand on their feet all day, yelling to all passersby that they want to buy a tick below the market and sell a tick above. It is the highest paid form of manual labor.

比如，黄金最新的交易价是308.30，但现在报价分别是，买入价308.20，卖出价308.40。这表明买家只愿意出308.20，卖家只接受308.40。当一个买单进入场内时，场内交易者在308.40做空。场外交易者必须在卖出价买入，此时场内交易者已经做空了，需要买入。当一个卖单进入场内时，他在308.20买入，这样口袋里有了20分的利润。场内交易者不用付佣金，仅仅付清算成本，这个成本远不到一个基点。他们整天站着，对周围的人大喊大叫，因为他们只想比市价低一个基点买入，比市价高一个基点卖出。这种人工劳动的回报是最高的。

This is a simplified example. The reality is less orderly, as floor traders try to widen the spread and make more than one or two ticks. They compete with one another, shouting, jumping, and getting into each other’s faces. It helps to be tall and muscular and have a big voice. You get stabbed with pencils and splattered with saliva. There is a story about a floor trader who died of a heart attack on the floor but remained upright, squeezed in by the crowd.

这是最简单的例子。现实则很乱，场内交易者要想方设法扩大价差，多赚1，2个基点。他们之间互相竞争，在对方面前又蹦又跳又叫。长的高，长的壮，嗓门大是有好处的。因为别人总是用铅笔戳你，还搞的你满身唾沫。有个故事说，一个场内交易者因为心脏病突发而死，但是他死时被大伙挤着，所以还能保持站立的姿势。

A floor trader can get stuck if he buys a tick below the market but the market falls by two ticks, and puts him underwater. Half of all floor traders disappear in their first year. One of the Chicago exchanges puts red circular badges on the chest of new traders, making them look like shooting targets. Lest you start feeling sorry for floor traders, keep in mind that many of them make a very good living and some make a great deal of money from hitting you for a tick or more on every trade. Before electronic trading became a serious threat, seats on some exchanges sold for a million dollars.

如果场内交易者以低于市价1个基点买入，但是市场跌了2个基点，那么他就被市场拉下水了。一半的场内交易者会在第一年消失。芝加哥的一个交易所给新交易者胸口贴上红圈标记，看起来很像靶子。你可不要同情场内交易者，记住，他们中间很多人日子过得很好，他们通过每笔交易赢1个或多个基点就赚了很多钱。在电子交易称为威胁之前，有些交易所的一个席位能卖几百万。

Floor traders also get involved in spreading - buying and selling related markets when their relationships get out of line. Spread traders tend to be more cautious and better capitalized than scalpers. Finally, some of the wealthiest floor traders get involved in directional trading. They put on trades that last days or weeks, closer to the timeframe of public traders.

场内交易者也做套利——利用不用市场报价的差别做买卖。套利交易者比短线交易者认真，资金管理也强。最终，一些富有的场内交易者会做方向交易。他们持有几天或几周——这就和大众交易者差不多了。

What lessons can we learn from the floor? If you are a position trader, you should use limit orders whenever possible. Buy and sell at specified prices, and don’t let the floor scalp you. Put those fellows on a diet. Another lesson is to stay away from scalping. When a crowd of athletic young men starts fighting for ticks, jumping, salivating, and screaming, you have no business reaching into that crowd to grab a few ticks for yourself because they’ll take off your fingers. If you day-trade away from the floor, forget about scalping. Look for the longer-term day-trades, where the competition tapers off a bit. Go to the middle ground between scalpers who chase ticks and position traders with their end-of-the-day charts. Try to find one or two trades a day, longer than scalping but shorter than position trades.

我们从场内交易者那里学到了什么？如果你是仓位交易者，不管什么时候你都要下限价单。在确定的价格买卖，不要让场内交易者剥削你。时刻警惕场内交易者。另一个教训就是不要做短线。当一群专业的年轻人为了几个基点打斗，又蹦又跳，口水乱飞，又喊又叫时，你就不要进去抢那几个基点了，因为他们会咬掉你的手指头。如果你在场外做日内交易，不要剥头皮。寻找比较长的日内交易机会，这样竞争小一点。在追逐几个基点的剥头皮交易者和仓位交易者之间找到一个平衡点。每天找1，2个交易机会，比剥头皮长，但比仓位交易短。

Lessons from Institutional Day-Traders

机构日内交易者的教训

Institutional traders work for banks, brokerage houses, and similar firms. A company may have more than a hundred traders sitting behind rows of expensive equipment. Maintaining each seat costs several thousand dollars a month, not counting salaries and bonuses. Each institutional trader narrowly focuses on a single market. One may trade only two-year Treasury notes, another only five-year notes, and so on.

机构交易者为银行，经纪商和类似公司工作。公司昂贵的设备后面可能坐着100个交易者。维持这些座位的成本是每月几千元，还不包括薪水和奖金。每个机构交易者只关注一个市场。一个交易者可能只交易2年期债券，另外一个交易者只交易5年期债券，等等。

Institutional traders generate paper-thin returns on huge volumes of capital. A friend of mine who trades bonds for a leading investment bank in New York has access to essentially unlimited capital during the day, but his overnight positions are capped at $250 million. His standard deviation, the amount he usually wins or loses in a trading day, is $180,000. This is 0.072% of his overnight limit, and only about 0.010% of his intraday size.

机构交易者利用大成交量制造很少的收益。我有一个朋友为纽约最大的投资银行交易债券，他当天动用的资金是无限的，但他的过夜仓位只有2.5亿。他的标准偏差是每天赚或亏180000元。这是他过夜仓位的0.072%，是他当天最大仓位的0.010%。

His profits appear large until you express them as a percentage of his account and ask yourself what you would earn if you traded as well as him. Suppose your account is $250,000 or one-thousandth of his $250 million. If you could match my friend’s percentage gains, you’d earn $180 on overnight trades and $25 at the end of a busy day-trading session. That would hardly cover your costs! Why do institutions do it?

他的利润看起来很多，但是当你用百分比来表示就不多了。问问你自己，如果你和他交易的一样好，你会赚多少。即如你的账户有250000元，是2.5亿元的千分之一。如果你能取得我朋友的收益，你每天的过夜仓位能赚180元，你当天能赚25元。这个数字还没有你的成本多！为什么机构要这么做？

The big boys benefit from economies of scale, but the main reason they stay in the game is to keep themselves visible to potential customers. Their main income comes from commissions and spreads on customer orders. Institutional traders accept paper-thin returns to maintain a presence in the market, which gives them first dibs on lucrative customer business. They work to maintain visibility, and as long as they do not lose money, they’re happy.

大机构靠经济规模赚钱，但主要原因是他们必须待在这个游戏中，以吸引潜在客户。他们的主要收入来自佣金和客户订单的价差。机构交易者赚取很少的利润，是为了在市场中保持活跃，这样才能在客户生意方面赚钱。他们工作是为了维护形象，只要不亏钱，他们就高兴了。

The main thing we can learn from institutional traders is their rigid system of discipline, with managers forcing them to cut losses. A private trader has no manager, which is why he needs to design and implement a strict system of money management rules. Institutional traders benefit from focusing on a single market, unlike private traders who may jump from cocoa today to IBM tomorrow. It pays to choose just a few trading vehicles and learn them well.

我们唯一能从机构交易者学到的是严格的纪律，他们的经理会逼他们止损。个人交易者没有经理，所以他要设计和使用严格的系统和资金管理原则。机构交易者关注单一市场而收益，不像个人交易者，今天做可可，明天做IBM。最好还是选择几个市场并把它们研究透。

Institutions are busy scalping, and a private trader is better off keeping out of this area to avoid getting trampled. If you see a trade that offers only a few ticks, it is safer to pass it up because the institutions can barge in at any moment. The longer your timeframe, the less competition you have from them.

机构交易者忙着剥头皮，个人交易者最好不要这么做，以免被伤害。如果你看见一个交易，有几个基点的机会，最好是放弃，因为机构随时会插手。你的时间周期越长，你遇到的竞争越少。

Private traders have one enormous advantage over institutions, but most of them toss it away. Corporate traders must broadcast their bid and ask in order to maintain a presence in the markets. “How are you for 5 dollar/yen,” calls a customer, wishing to trade $5 million for yen or vice versa. The bank trader must quote his bid and ask, ready to take either side of that trade. He must trade at all times, while a private trader has the luxury of waiting for the best moment.

个人交易者比机构有一个重要优势，但是大多数人放弃了。机构交易者必须公布他们的买入价和卖出价，以保持市场形象。客户会问：“美元兑日元如何？”他要用500万换日元，或用500万元日元换美元。银行交易员必须公布他的买入价和卖出价，两边都会占便宜。他必须时刻交易，然而个人交易者可以等待最好的机会。

You are under no obligation to buy or sell. You have the freedom of standing aside, but most private traders throw away this awesome advantage. People get sucked into the excitement of the game. They jump in instead of waiting for the best trades. Remember, the idea is to trade well, not to trade often.

你没有买卖的义务。你有观望的权利，但是大多数交易者都放弃了这么好的优势。人们被游戏的刺激吸引了。他们跳进市场而不是等待最好的交易机会。记住，是要做好交易，而不是经常交易。

Getting the Data

取得数据

Real-time data tends to be pricey, and you must cover its cost before taking home a dime. Many exchanges make fortunes selling real-time data, forcing vendors to delay free broadcasts to the public. The 20-minute delay preserves entertainment value, but trying to use that data for day-trading is like driving a car with cardboard for a windshield, looking out through a side window. Day-trading is a very fast game, played by some very clever people. Trying to compete against them on the basis of delayed data is a joke.

即时数据一般很准，你在赚钱前必须把服务费先付了。很多交易所靠卖即时数据赚钱，逼得经纪商无法提供即时消息给大众。延时20分钟的数据保留了娱乐价值，但是用这样的数据做日内交易就像是开车时用纸板做车窗，只能从侧窗往前看。日内交易是非常快的游戏，是很多聪明人玩的游戏。想利用延时数据和他们竞争是个笑话。

Most day-traders use software to display, chart, and analyze their data. Real-time analytic software has been around for years, but the great NASDAQ bull market led to an upsurge in the popularity of Level 2 quotes, which show who is bidding and offering what stock. This is ballyhooed as the new road to riches. Most of those riches go to vendors and brokers who benefit from hyperactive trading. I haven’t noticed any improvement in the overall performance of private traders with Level 2 quotes. The early users may have had an advantage a few years ago, when the concept was new, but once it became popular, the edge disappeared. This is a common story with new technologies - early users get an edge, the tool becomes a fad, and the edge fades away.

大部分日内交易者用软件显示，画图，分析数据。即时分析软件存在多年了，但是伟大的纳斯达克牛市造就了大量的，流行的深度波动软件，软件显示了股票的买卖报价，以及报价人是谁。这成为致富的新手法。很多生意人和经纪商从这种超级活跃的交易中致富。我并没有看见个人交易者用深度波动软件提高了整体交易水平。几年前最早的交易者也许有优势，当时这个概念新，但是当它流行以后，优势就消失了。这是新科技的普遍现象——早期的用户得到了优势，当工具变成流行后，优势就消失了。

A day-trader needs a dedicated computer, good analytic software, and a fast connection to the Internet. This setup may cost several thousand dollars, plus a monthly bill of a few hundred dollars for live data and exchange fees. You can reduce the cost of data by following just one market, which is not a bad idea because it helps keep you focused.

日内交易者需要一台好电脑，好的分析软件和快速的联网速度。这个设备成本需要几千元，每个月还要付几百元的即时数据和交易费用。你可以通过只交易一个市场的方法减少数据成本，这也不是坏主意，可以让你保持专注。

Some professional futures traders dispense with computers altogether. They quit their day jobs and go on the floor. Some move to a city that has an exchange where they buy or lease a seat. Costs are higher on bigger exchanges that handle high volumes in popular markets, and cheaper on smaller exchanges in lesser markets. The best way to learn is to get a job as a clerk on the floor and work for someone, but this option is open only to the young - the floor generally doesn’t hire people over 25. They want them young, pliable, and without any preconceived ideas.

一些专业期货交易者合用一台电脑。他们辞职后到场内交易。一些人搬到有交易所的城市，买或租一个席位。交易量越大的交易所收费越高，小的交易所收费便宜些。最好的学习方式就是在场内做助理，为别人打工，但是这样的机会只有年轻人才能得到——场内一般不请25岁以上的人。他们需要年轻的，灵活的，没有任何思想的人。

Psychology

The great paradox of day-trading is that it demands the highest level of discipline, while attracting the most impulsive, addictive, and gambling-prone personalities. If trading is a thrill, then day-trading provides the best rush. It is a joy to recognize a pattern on your screen, put in an order, and watch the market explode in a stiff rise, stuffing thousands of dollars into your pockets. A former military pilot said that day-trading was more exciting than sex or flying jet aircraft.

日内交易的最大矛盾就是它需要很高的纪律，然而它却吸引了最冲动，最痴迷，最爱赌博的个性。如果交易是刺激，那么日内交易提供了最好的冲动。在屏幕上认出一个模式是有趣的，下单，看市场爆发式地直线上涨，把口袋塞进几千元。以前有个军事飞行员说日内交易比性或开飞机都刺激。

Corporate traders are in the market because their companies gave them jobs. Private traders enter for reasons that are partly rational and partly irrational. The only rational reason is to make money, but a profitable day-trade delivers such a great high that it sweeps most people off their feet. Flooded with pleasure, they go looking for the next high and lose money.

机构交易者在市场中存在，是因为他们的公司给了他们工作。个人交易者进入市场是因为他们部分理性，部分非理性。唯一理性的原因是赚钱，但是日内交易者太兴奋，让大部分人羡慕。被快乐迷惑，他们寻找下一次兴奋，并亏钱。

The purpose of any business is to make money. A well-run business also gratifies many of its owners’ and employees’ psychological needs, but money is the pivot of the enterprise. Traders who become hooked on thrills take their eyes off the money and jump into impulsive trades. Vendors encourage day-traders because losers spend like drunken sailors on software, data, systems, and even coaches, most of whom have never traded or busted out. Go into any port area, and you’ll see plenty of bars, brothels, and tattoo parlors. Go into day-trading, and you’ll see more vendors than you can shake a stick at. There is money to be made from turkeys whose market life is measured in months or weeks.

任何生意的目的就是赚钱。好公司也会满足老板和员工的心理需求，但是赚钱才是企业的重点。交易者如果被刺激吸引，就忘了钱的事，一头跳进冲动交易。经纪商鼓励日内交易是因为输家就像醉酒的水手一样，在软件，数据，系统，甚至培训方面浪费钱，大部分人连交易都没做过，就出局了。去港口附近，你会看见很多酒吧，妓院，和纹身店。去做日内交易，你会发现你要骂的生意人太多了。他们从散户身上赚钱，散户的市场生命只有几个月或几周。

Successful day-traders test patterns and systems, measure risks and rewards, and focus on building equity. Winners tend to be emotionally cool. If day-trading attracts you, you must answer several questions:

成功的交易者测试模式和系统，计算风险和回报，并关注资金的增长。赢家一般很冷静。如果日内交易能吸引你，你必须回答几个问题：

Are you successfully trading with end-of-day charts? If the answer is “no,” stay away from day-trading. You need a minimum of one year successful trading experience before attempting to day-trade.

你是否能用日内图成功交易？如果答案是：“否”，请不要做日内交易。在做日内交易之前，你至少需要一年成功交易经验。

Do you have an addictive streak? If you have a history of drinking, drugs, overeating, or gambling, stay as far away as possible from day-trading because it will trigger your addictive tendency and destroy your account.

你容易上瘾吗？ 如果你曾经醉酒，吸毒，激动或赌博，尽量远离日内交易，因为它会让你上瘾，并摧毁你的账户。

Do you have a written business plan? How much money will you trade? In what markets? How will you choose entries and exits? How will you manage risks, use stops, and allocate capital? Do not go near day-trading without a written plan. Be sure to keep separate records for day-trading and position trading. Find out which one is more profitable for you.

你是否写过生意计划？你要交易多少资金？在哪个市场？如何选择进场和出场？如何管理风险，如何止损，如何分配资金？如果没有书面的计划，不要接近日内交易。一定要分开保留日内交易和仓位交易的记录。看看哪个比较赚钱。

Choosing the Market

选择市场

Day-trading compares to position trading like flying to driving. Comfortably seated behind the wheel of a car you can lean back, listen to music, use a cell phone, and even glance at a magazine while stopped at a red light. Do not attempt that in a jet.

日内交易和仓位交易的区别就像是开飞机和开车的区别。你可以舒服地坐在车里，向后躺着，听音乐，打手机，在等绿灯时还可以看看杂志。开飞机时可不要这么做。

Day-trading demands total concentration on a single market. It is like serial monogamy - you may trade several markets in your career, but only one at any given time. What market will you choose? The two essential features of a good day-trading market are high liquidity and volatility.

日内交易要求对一个市场高度关注。就像是一夫一妻制——你可以在多个市场交易，但一次只能交易一个市场。选择哪个市场？日内交易的2个关键特征是高流动性和波动性。

Liquidity refers to the average daily volume of your trading vehicle - the higher, the better. It is easy to join a huge crowd and just as easy to leave without drawing attention to yourself and distorting the market with your order. When you place a market order to buy or sell a thinly traded stock or a commodity, you give the pros a license to skin you alive in slippage. If you use a limit order, it may never get filled. Trading a big liquid market, such as IBM or soybeans, allows you to get in and out more easily with less slippage.

流动性指每天的平均成交量——越高越好。加入大众是容易的，安静地离开也很容易，在市场下单扰乱市场也容易。如果你在平静的股票或商品期货市场内下单，你给了专业人士利用滑点活剥你的执照。如果你下限价单，你的订单永远不成交。在流动性的市场，比如IBM或大豆，让你进出比较容易，滑点亏损少。

Volatility refers to the average daily range of your trading vehicle. The greater the distance between the high and the low of the day, the bigger your target. Shooting at a big target is easier than shooting at a tiny one. Remember our discussion of channels? If you know how to trade, you will get more money from a wide channel, at any level of skill. Someone who trades at C level and takes 10% from a channel will get 1 point from a 10-point channel, but 2 points from a 20-point channel. A C-level trader has no business day-trading, but even an A trader wants as big a target as possible.

波动性指平均每天的波动范围。每天最高点和最低点的距离越大，你的目标就越大。找大目标比找小目标好。还记得我们谈过的通道吗？如果你知道怎么交易，不管你的水平如何，你都能在比较宽的通道赚到更多的钱。一些人的水平是C，能赚到通道的10%，在10点的通道会赚到1点，在20点的通道能赚到2点。C水平的交易者不能做日内交易，但是即使是A水平的交易者也想尽量多赚钱。

You can find good liquidity and volatility in the leading stocks, futures, and currencies. Another important feature of a day-trading market is its personality. Some markets move smoothly, others like to jump. Bonds, for example, tend to spend a day or two in a very narrow range, then explode, moving more in half an hour than in several preceding days, and then fall asleep again. Trading them is like infantry fighting - 90% sheer boredom and 10% sheer terror.

你可以在股票，期货和外汇市场找到好的流动性和波动性。日内交易市场的另一个重要特征就是它的个性。一些市场波动平静，其它市场喜欢蹦跳。比如债券，1，2天在狭窄的区间，然后爆发，在半个多小时波动了很多，然后又平静了。交易它们就像是步兵打仗——90%的无聊和10%的恐惧。

What markets should you day-trade? In stocks, look at those that show up on the list of the most active issues of the day. That’s where the action is. These stocks’ liquidity is very high, and their volatility tends to be good. Explore the list of top gainers and losers for the day. When the same name shows up on that list day in and day out, it is clearly among the most volatile issues, with great day-trading potential.

你应该在哪个市场做日内交易？在股市，寻找当日最活跃的股票，这就是波动所在。这些股票的流动性很高，它们的波动性很好。寻找当天最赚的和最亏的。如果同样的股票多次出现，很显然它是最具有波动性的，具有日内交易的潜力。

When it comes to futures, make your first steps in such relatively peaceful markets as corn, sugar, or copper. Once you’ve learned the ropes, consider moving up to stock index futures or the futures on the German Bund, both among the favorite vehicles of professional day-traders.

当谈到期货时，开始在相对平静的市场交易，比如玉米，白糖，铜。一旦你学会了规则，可以考虑换到股指期货，或者是德国债券期货，这两个都是专业日内交易者最喜欢的市场。

Analysis and Decision Making

分析和决策

If you remove price and time markings from a chart, you won’t be able to tell whether it is weekly, daily, or intraday. Markets are fractal, to borrow a term from chaos theory. To recall our earlier discussion, the seashore is fractal, since the coastline looks equally jagged from any height. Since charts in different timeframes are so alike, we may analyze them using similar methods.

如果你把图表的价格和时间去掉，你分不清是周线图，还是日线图或日内图。市场是分形，借用了混沌理论。回忆之前我们谈论的内容，海岸是分形，因为无论从哪个高度看，海岸线都是锯齿装的。因为每个时间周期的图表也相似，我们也许可以用类似的方法来分析。

Coming to day-trading after a year or more of successful position trading gives you a great advantage. You can use the same methods, and only have to speed them up. You can use the principles of Triple Screen to make strategic decisions on longer-term charts and tactical choices on shorter-term charts.

当1年或多年后，你的仓位交易取得了优势再做日内交易。你可以用同样的方法，仅仅是加快速度。你可以用三重滤网的原则做策略决定，把长期图表的战术选择用在短期图表上。

SCREEN ONE

第一重滤网

Analyze your market on a longer-term chart, using trend-following indicators, and make a strategic decision to trade long, short, or stand aside.

用长期图表分析市场，用趋势跟踪指标，然后做策略决定，做多，做空或观望。

Choose the timeframe you prefer to trade and call it intermediate. Let us select a five-minute chart for our intermediate timeframe, with each bar representing five minutes of trading. You can choose a longer chart if you wish, but not much shorter, as that might pit you against institutional scalpers. To stand completely apart from the crowd, you may select an unorthodox length, such as seven or nine minutes.

选择你喜欢的时间周期，称为中周期。让我们把5分钟图作为中周期，每个竹线代表5分钟。如果你愿意你可以选择更长的图表，但不要太短，太短的周期容易让你被机构剥头皮。要想远离大众，你可以选择不常用的长度，比如7分钟或9分钟。

Figure 6.3 Day-Trading - 25-Minute Chart

图6.3 日内交易——25分钟图

If we prefer a five-minute chart for day-trading, we should start our analysis with a timeframe that is five times longer, a 25-minute chart. Different stocks go in and of out of favor with day-traders. Human Genome Sciences (HGSI) is popular today, with strong, healthy trends and no gaps. There is a downtrend on Monday, which bottoms out on Tuesday, turns up on Wednesday, and rises into Friday, with a pullback at the end of that day as longs take profits before the weekend.

如果我们喜欢5分钟图做日内交易，我们应该分析更长的时间周期25分钟图。日内交易者进出不同股票。人类基因科学股票现在很火，上涨强势，健康，没有缺口。周一下跌，周二到底，周三上涨，上涨到周五，当天发生了回调，最好兑现利润。

There is a strong buy signal right at the opening on Wednesday as the EMA turns up, confirmed by the uptick of MACD-Histogram. As EMA keeps rising, it tells us to trade HGSI from the long side; the first screen of Triple Screen is bullish. This signal is much more important than any uptick or downtick of MACD-Histogram. When MACD rises in gear with the EMA, it suggests trading larger size, but when it declines, it is a perfectly normal “breathing” behavior, as long as there is no bearish divergence.

周三开盘时有强烈的买入信号，均线上涨，MACD柱的上涨也确认了。当均线上涨时，它告诉我们要做多人类基因科学，三重滤网的第一重滤网看涨。这个信号比MACD柱的任何上涨或下跌都重要。当MACD和均线同时上涨，它建议仓位要大，但是当它下跌时，它只是完美的正常的“喘气”，因为此时并没有看跌背离。

At the right edge of the chart the market is closing for the weekend. The EMA is slightly rising, so bulls have to be given the benefit of doubt. Also, MACD-Histogram has declined to the level normally associated with bottoms; it is closer to a bottom than to a top. We should wait for the opening on Monday, anticipating a buy signal, while being prepared to trade from the short side if the EMA ticks down.

在图的右边收市过周末。均线有点上涨，所以多头有点担心。同时MACD柱也跌到了底部的低水平，它离底部近，不是离顶部近。我们应该等周一开盘，期待出现买入信号，也好做好准备，当均线下跌时要做空。

Some day-traders, intoxicated by the promise of technology, use one-minute or even tick charts. These provide the illusion that you are present on the floor, even though it can easily take half a minute or longer for the data to be keyed in, uploaded to the satellite, and broadcast to your screen. You are not on the floor, you are behind. When markets begin to run, time lags get even worse.

一些交易者，被技术的承诺陶醉，使用1分钟图，甚至基点图。它们给你制造了幻觉，让你以为自己在场内，而实际上数据从键盘输入，上传到卫星，再传输到你的屏幕就需要半分钟或更长时间。你不在场内，你就落后了。当市场运行时，时间延后更严重。

Multiply your intermediate timeframe by five to find the long-term timeframe. If your intermediate timeframe is five minutes, use a 25-minute chart. If your software does not allow plotting 25-minute charts, round it off to half an hour. A successful trader needs to stand apart from the crowd. This is why it pays to use uncommon parameters for charts and indicators. There are probably thousands of people using half-hourly charts, but only a tiny minority uses 25-minute charts and gets its signals a little faster.

把你的中周期乘以5倍，找到长期周期。如果你的中周期是5分钟，那么用25分钟图。如果你的软件不能画25分钟图，可以四舍五入到30分钟图。成功的交易者需要远离大众，所以不要在图表和指标上面使用常用的参数。有几千人在使用30分钟图，但只有少数的人使用25分钟图，这样可以快速得到信号。

Apply a trend-following indicator to the long-term chart and use its direction to make a strategic decision to trade long, short, or stand aside. Start with a 20- or 30-bar EMA and adjust its length until it tracks your market with a minimum of whipsaws. When the 25-minute EMA rises, it identifies an uptrend and tells you to trade from the long side or stand aside. When the EMA falls, it identifies a downtrend and tells you to trade only from the short side or stand aside. Make a strategic decision on this long-term chart before returning to your intermediate-term charts.

把趋势跟踪指标用在长期图表上，跟踪它的方向做策略决定，做多，做空或观望。从20或30分钟均线开始调试，直到所使用的参数形成的锯齿最少。当25分钟均线上涨时，它确认了上涨，告诉你要做多或观望。当均线下跌时，它确认了下跌，告诉你要做空或观望。在你回到中周期前，先在长期周期图上做好策略决定。

Successful day-traders tend to rely less on indicators and more on chart patterns. The gaps between trading days can distort intraday indicators. Still, some indicators, such as moving averages and envelopes, also called channels, are useful even with intraday charts.

成功的日内交易者一般很少依靠指标，更多是依靠图表模式。日线图上的缺口会影响日内图。然而一些指标，比如均线和包络线，也叫通道，对日内图是有用的。

SCREEN TWO

第二重滤网

Return to the intermediate (five-minute) charts to look for entries in the direction of the trend.

回到中周期（5分钟）图，沿着趋势的方向找进场点。

Plot a 22-bar EMA on the five-minute chart and draw a channel that contains about 95% of price action. Moving averages reflect the average consensus of value, while channels show the normal limits of bullishness and bearishness. We want to get long during uptrends, buying below the EMA on a five-minute chart, and short in downtrends, above the EMA. Do not get long above the upper channel line, where the market is overvalued, or sell short below the lower channel line, where it is undervalued.

在5分钟图上画参数为22的均线，然后画一个通道，通道能包含95%的价格波动。均线反映了价值认同的平均值，这样通道表明了多头和空头的正常极限。我们想在上涨时做多，在5分钟图中低于均线的地方买入；在下跌趋势做空，在均线上做空。不要在通道上线附近做多，此时市场被超买；不要在通道下线做空，此时是超卖。

Use oscillators, such as MACD-Histogram and Force Index, to identify overbought and oversold areas. Trade in the direction of the tide, entering when a wave goes against the tide. When the 25-minute trend is up, falling prices and oscillators on a five-minute chart reflect a temporary bearish imbalance - a buying opportunity. When the 25-minute trend is down, rising prices and oscillators on a five-minute chart reflect a temporary bullish imbalance - a shorting opportunity.

用振荡指标，比如MACD柱和力量指数，去确认超买和超卖区域。顺着潮水交易，当暂时的退潮时进场。当25分钟趋势上涨，5分钟图上价格和振荡指标下跌反映了暂时的多头不平衡——是买入的机会。当25分钟趋势下跌，5分钟图上价格和振荡指标上涨反映了暂时的空头不平衡——是做空的机会。

Day-traders sometimes ask whether they should analyze weekly and daily charts. The weekly trend is essentially meaningless for them, and even the daily is of limited value. Looking at too many timeframes can lead to “paralysis from analysis.”

日内交易者有时问是否应该分析周线图和日线图。对他们来说，周线图没有意义，连日线图也只有有限的意义。查看太多时间周期会导致分析瘫痪。

Place SafeZone stops. After entering a trade, place a protective stop, using the SafeZone method (see page xx ). Consider making it “on close only”; watch the screen and give an order to exit only if the five-minute bar closes beyond your stop level. This way, a brief penetration caused by market noise will not touch off a stop. Naturally, there is no bar-gaining or waiting for another tick. To be a day-trader, you must have iron discipline!

设置安全止损点。一旦交易了，就要设置保护性止损，利用安全区域的方法。用收盘价的思维设置，看着屏幕，当5分钟收盘价比你的止损点低就要出场。这样，市场噪音造成的临时穿透不算止损。自然，不能就赚一个竹线或等待一个基点。要想成为日内交易者，你必须有铁的纪律。

Figure 6.4 Day-Trading - Five-Minute Chart

图6.4 日内交易——5分钟图

The long-term 25-minute chart has told us to trade HGSI from the long side. The declines of the intermediate trend provide buying opportunities. On Thursday, the five-minute chart heads down from the opening, punching below its EMA. Wait for the MACD-Histogram to tick up, confirming a buy signal (point A). It shows that the decline is ending, and within half an hour HGSI rallies to its upper channel line (point B), a good place to take profits. It declines back to the EMA, giving ample opportunities to position long, even if you missed the first signal. The MACD bottom in area C is more shallow, showing that bears are weaker, reinforcing the buy signal. Prices make four more attempts to reach the upper channel line. You can sell at any of them, but if you have not sold during the first three, the fourth is a must. It is getting late in the day, you already know that today prices do not seem to be able to reach their upper channel line, and as a day-trader you do not want to hold overnight. Sure enough, during the last half-hour there is a downdraft, as day-traders who over-stayed the uptrend start pushing through the door, trying to get out.

长期25分钟图告诉我们要做多人类基因科学。下跌的中周期给我们提供了买入机会。周四，5分钟开盘下跌，造成均线下跌。等待MACD柱上涨，确认买入机会（A点）。这表明下跌结束了，半小时后人类基因科学上涨到通道上线（B点），是兑现利润的好地方。它下跌到均线，给出了做多的绝好机会，即使你错过了第一个信号。MACD在区域C的底很浅，表明空头很弱，加强了买入信号。价格4次尝试通道上线。你可以在任何时候卖出，但是如果你没有在前3次卖出，第4次必须卖出。当天已经很晚了，你也早就知道今天的价格不太可能超过通道上线，作为日内交易者，你不能持过夜仓。肯定的是，这最后半小内没有下跌，日内交易者开门推门出场了。

On Friday, there is a buy signal right at the opening, followed by a quick rally to the upper channel line for profit taking, and then another decline to the EMA (point D). The subsequent rallies never quite reach the upper channel line, but there is another buying opportunity at point E, during a pullback to the EMA. There are two weak rallies later in the afternoon, and if you do not use them to take profits, there is one last ring for the hard of hearing when the EMA turns down. Intraday charts often have countertrend moves late in the day, as traders with paper profits start closing positions.

周五，开盘有个买入信号，之后快速的上涨到通道上线可以兑现利润，然后又下跌到均线（D点）。之后的上涨都没有后达到通道上线，但是在E点又出现了一个买点，正好回调到均线。下午又有2个微弱的反弹，如果你不用它们兑现利润，最后的艰难决策就是当均线下跌时。在当天下午日内图经常有逆势下跌，当时有利润的人开始平仓。

At the right edge of the chart, the trading day and the trading week are over. You have no overnight risk and can relax before the opening on Monday, when the 25-minute MACD-Histogram will tell you whether to trade this stock from the long or the short side.

在图的右边，当日和当周的交易结束了。你没有过夜风险，可以在周一开盘前休息，到时候MACD柱会告诉你是做多还是做空。

SCREEN THREE

第三重滤网

This screen handles entries and exits.

这重滤网处理进场和出场。

Enter in the vicinity of a moving average on a five-minute chart. If the 25-minute trend is up, buy pullbacks to the EMA on a five-minute chart, especially when oscillators are oversold. Reverse the procedure in downtrends. This is better than chasing breakouts, buying at the highs, or shorting at the lows.

在5分钟图上，在均线附近进场。如果25分钟图上涨，在5分钟图上回跌到均线时买入，尤其是振荡指标超卖的时候。下跌时则反之。这比追突破好，在高点做多，在低点做空。

Take profits in the vicinity of the channel line. If you buy near the moving average, aim to sell near the upper channel line. If your five-minute oscillators, such as MACD-Histogram, are making new highs and related markets are rallying, you may wait for the channel to be hit or penetrated. If the indicators are weak, grab your profit fast without waiting for prices to touch the channel.

在通道线附近兑现利润。如果你在均线附近买入，在通道上线附近卖出。如果你的5分钟振荡指标，比如MACD柱创造了新高，且相关市场在上涨，你可以等待通道被碰到或穿过。如果指标弱，不用等到价格碰到通道就止损。

Measure your performance as the percentage of the channel width. You must be an A trader to make day-trading worthwhile. Even then, you have to prove to yourself that you can make more money day-trading than position trading. Try to trade only a few times a day and aim to catch at least a third of that day’s range. Enter cautiously, but run fast. Do not trade during after-hours sessions when markets tend to be very thin.

用通道的宽度计算你的成绩。日内交易者必须达到A水平。即使如此，你还要提高自己，以保证日内交易比仓位较易赚的多。尽量一天只交易几次，目标是赚到一天波动的三分之一。进场要谨慎，但出场要快。不要在最后的半小时交易，因为市场交易清淡。

Taking Day-Trades Overnight

持仓过夜

If you enter a trade early in the day and the market keeps moving in your favor, should you hold that trade overnight? How about over the weekend? Of course, those questions only apply to profitable trades. Taking a loss overnight is strictly for losers.

如果你白天交易了，市场对你有利，你是否要持过夜仓？周末是否可以持仓过夜？当让可以，只要是赚钱的仓位。持有亏钱的仓位绝对是输家干的事。

A beginner must close his day-trades by the end of the day, but an experienced pro has the option of holding them overnight. When a market closes within a few ticks of its high, it usually exceeds it the next morning. A market that closes on its lows usually flirts with lower lows the next day. Those extensions are not guaranteed, as the market may close on its high, get hit with bad news overnight, and open sharply lower. This is why only experienced day-traders have the option of taking their trades overnight.

新手必须在当天收盘前平仓，但是有经验的专业人士可以选择持仓过夜。当市场收盘前比最高点高几个基点，第二天通常会超过它。市场的收盘价是底部，通常第二天会到达更低的地方。这些经验不是绝对的，市场可能收盘在最高价，当晚有坏消息袭击，第二天开盘非常低。这就是为什么只有有经验的日内交易者可以持仓过夜。

Research, knowledge, and discipline put your trades on a cooler, more rational footing. You have to research the past, calculate the odds, and make informed decisions for the future. When you day-trade, there are plenty of hours when the market goes nowhere, leaving you free to crunch the numbers. You may use a single computer or get two machines and dedicate one to trading and another to research.

研究，长知识，形成更冷静，更理性的纪律。你必须研究过去，计算概率，为将来做有准备的决定。当你做日内交易，市场经常会乱走，你要自己摸索出来。你可以使用1，2台电脑，一台做交易，一台做研究。

Get one year’s history for the market you’re day-trading. Drop it into a spreadsheet and start asking questions. Every time the market closed within 5 ticks of its high, how many times did it reach a new high the next day? How far did it go the next day? What about the days when that market closed within 5 ticks of the lows? How low did it go the next day? Once you get the answers, find out what happened when the market closed within 10 ticks of the high, and so on.

取得你交易的市场的1年历史数据。把它放进电子表格，开始问问题。每当市场收盘比最高点高5个基点以内，第二天它到达新高的次数是多少？第二天涨到了多高？每当市场收盘价比最低点低5个基点以内，又是如何？第二天最低到哪里？如果你有了答案，再研究如果市场收盘价比最高点高10个基点以内又是如何，以此类推。

Professionals tend to trade the same market month after month, even though there is a huge turnover of amateurs. Professionals have grown used to trading in a certain way, and to trade like them you must find those patterns and express them in numbers. You must base your trades on facts and probabilities, not on gut feel and hope. You must do your own research. You cannot buy the answers, because only finding them yourself will give you the confidence to trade.

专业人士喜欢长期在同一个市场交易，即使业余选手来了又去。专业人士在同样的模式中成长，如果要像他们那样交易，你必须找到这些模式，并用数字计算。你必须建立在事实和概率的基础上，而不是你的胆量和希望。你必须自己研究。你不能买答案，因为只有自己去找到答案才会有信心。

Opening Range Breakouts

开盘后交易区间的突破

People get tips at parties, from the newspapers, and on TV, that glue-box of mass culture. Investment officers at slow-moving institutions may sit in a meeting all day before getting permission to buy or sell. They tend to place orders before the open. Most overnight orders come from casual investors, gamblers chasing hot tips, and brokers who want to leave work early to play golf or make marketing calls.

人们在聚会时，看报纸时，看电视时，这些大众文化都提供了消息。在动作缓慢的机构里，投资经理要整天开会，然后才得到允许去买或卖。他们通常在开盘前下单。散户投资者，追消息的赌徒，想提前下班出去打高尔夫球，或者想打市场电话的经纪人，一般会在晚上以后下单。

The two busiest times for professional traders are the beginning and the end of each session, especially the first and last half-hour periods. The influx of overnight orders gives professionals an opportunity to perform a public service by accommodating those who are eager to get in at the opening. They unwind those positions near the close, when one loser after another throws in the towel. Many pros go out for lunch in the middle of the day, which is why many markets tend to become directionless and choppy between 12 and 1:30. The curve of intraday volume tends to be U-shaped, with peaks at the open and the close, and a low in the middle.

对于专业交易者来说，最忙的时间段是开盘后半小时，和收盘前半小时。头天晚上形成的订单在开盘时涌进来了，专业人士要为大众服务，满足大众的期望。他们在收盘前要平仓，当时会有一批又一批的输家送上门来。很多专业人士中午要出去吃饭，所以很多市场在12——13：30分之间是没有方向的，只是振荡。当天的成交量是个U型，开盘和收盘的成交量大，中间的成交量小。

Serious traders watch openings because they set the tone for the balance of the day. If the total size of buy orders exceeds that of sell orders, the floor opens the market higher, forcing the crowd to pay up. Pros establish short positions at such high levels that the very first drop makes them money. If the volume of sell orders is higher, the pros open the market lower, load up on the cheap, and sell at a profit on the first bounce.

专业交易者关注开盘价，因为他们要和当天保持平衡。如果总体买单比卖单多，场内开盘就高，逼大众付高价。专业人士在比较高的位置下单做空，这样当市场第一次下跌时他们就赚钱了。如果总体卖单比买单多，专业人士就把开盘价开低，下单买入，当市场第一次反弹时就兑现利润。

During the first 15 to 30 minutes after the open many stocks and futures swing up and down on high volume. As the bulk of overnight orders gets filled, volume starts to dry up, and the swings slow down, retreating from the high and the low of the opening range. What happens next largely depends on the width of the opening range.

在开盘后的15——30分钟内，很多股票和期货的价格忽上忽下，伴随着大成交量。当头天晚上的很多订单被执行以后，成交量开始下跌，波动减小，回到看盘后的交易区间高低点。根据开盘后交易区间的宽度，市场决定下一步怎么走。

When the opening range is very wide, say 80% of an average daily range for the past month, it is likely to have set both the high and the low for that day. The floor loves wide opening ranges because their extremes provide two good levels of support and resistance. The pros keep buying near the lows, shorting near the highs, and spending the rest of the day unwinding their positions at a profit. A narrow opening range makes it more likely that the market will break out of it and start a new trend for the day.

当开盘后交易区间很宽，比如是过去一个月平均日波动的80%，那么很可能达到当天的最高点和最低点。场内喜欢宽广的开盘后交易区间，因为这样的幅度提供了良好的支撑和压力。专业人士在底部附近买入，在顶部附近做空，其它时间反复交易。开盘后交易区间很窄的话，似乎说明是市场要突破它，形成当天新的趋势。

Figure 6.5 Day-Trading - Opening Range Breakout

图6.5 日内交易——开盘后交易区间的突破

Elder-ray, 5-minute chart

艾尔德射线，5分钟图

Stocks for day-trading should have heavy volume, be volatile, and be expensive rather than cheap, so that they have decent intraday ranges. At the time of this writing, Checkpoint is definitely on the list, along with NVDA, TARO, and a few other swingers. By the time you read this, other stocks will be in the forefront of day-traders’ attention.

适合做日内交易的股票应该有大成交量，波动大，价格贵，而不是便宜，这样才会有可观的日内交易区间。在我写这个时候，检查点软件公司股票符合这些特征，NVDA，TARO和其它几个公司波动都很厉害。当你读到这里时，其它股票已经引起日内交易者的注意力了。

CHKP has been rallying, coming off the market’s recent lows and closing at 39.44. Today it opens at 39.26 at 9:30 (point A) and within 10 minutes runs up to 40.25 (point B), establishing the high of the opening range. It then drifts lower, hitting the low of 38.93 at 10:10 A.M. - the low of the opening range (point C). For the next hour and a half CHKP meanders within its fairly narrow opening range of only 1.32, but by 11:35 it runs up to its upper edge and penetrates it by 3 ticks (point D). The next bar is 7 ticks higher - this is no false breakout, this is a real opening range breakout, the trend is up, and we have to get long. The 13-bar EMA is steadily rising. Whenever Bear Power returns to the zero line and turns negative, it shows that bears have regained their footing - a good time to add to longs within an uptrend (points E, F, G, and H). At 15:25 (point I) the EMA turns down, giving a sell signal - time to take profits on long positions.

检查点软件公司反弹，离开了最近的低点，收盘在39.44。今天9：30的开盘价是39.26（A点），10分钟后涨到40.25（B点），造成开盘后交易区间的高点。然后下跌，在10：10分达到38.03——开盘后交易区间的最低点（C点）。后面一个半小时检查点软件在很窄的开盘后交易区间空间内迂回，但是到了11：35分它涨到了上边，还穿过了3个基点（D点）。后面一条竹线涨了7个基点——这不是假突破，这是真的对开盘后交易区间的突破，趋势上涨，我们要做多。参数为13的均线稳步上涨。当空头力量回到0轴以下，这表明空头再次站稳脚跟——此时最好加仓做多（E，F，G，H点）。在15：25分（I点）均线下跌，给出卖出信号——多头仓位要兑现利润。

At the right edge of the chart, the day is over, and we may count profits before going home. If you bought on the first buy signal following the opening range breakout and sold when the EMA turned down, your profit is 42.15 - 40.40 = 1.75. Multiply this by the number of shares you traded, and add other positions if you pyramided.

在图的右边，当天结束了，我们在回家前计算一下利润。如果你在开盘后交易区间突破时买入，在均线下跌时卖出，那么你的利润是42.15-40.40=1.75。把这个乘以股数，如果你加仓了，再加上其它仓位。

The high and the low of an opening range are like the feet of a boxer. When they are wide apart, the boxer is stable and in control, but when they are close, it is easy to knock him off balance and force him to move.

开盘后交易区间的高点和低点就像拳击手的双脚。当它们张开很大时，拳击手就能稳定，控制自己，但是如果太近，容易失去平衡，容易摆动。

Outsiders love trends and chase breakouts, but the floor operates in a reactive mode, selling the highs and buying the lows. It prefers flat trading ranges to runaway trends. The floor usually wins, but once in a while outsiders overwhelm the pros and push the market into a trend. When that happens, smart floor traders cut their losses and run, while the dumb and the stubborn contribute to the mortality rate.

场外交易者喜欢趋势，爱追突破，但是场内交易者操作相反，在高点卖，在低点买。横盘变成大趋势是最好的。场内交易者一般会赢，但有时场外交易者很强，他们把市场拉成趋势。这样的事发生时，聪明的场内交易者止损逃跑，只有傻瓜和固执的人才会成为牺牲品。

The opening range has several implications for day-traders:

开盘后交易区间给日内交易者的几个暗示：

The opening and closing prices, like two poles of a magnet, tend to be at the opposite extremes of a day’s bar. If the market opens near the low of a wide opening range, expect it to close near the upper edge and look for buying opportunities. If it opens near the high of a wide opening range, expect it to close lower and look for shorting opportunities.

开盘价和收盘价，就像磁铁的两极，代表了当天竹线的两个相反极端。如果市场开盘价在开盘后交易区间宽广振荡区间的低点附近，期望它会收盘在比较高的位置，是买入机会。如果开盘价在开盘后交易区间宽广振荡区域的高点附近，期望它会收盘在比较低的位置，是做空机会。

Breakouts from wide opening ranges tend to be false. When prices take out the high or the low of a wide opening range, be alert to the possibility of the breakout petering out and be ready to trade its return into the range.

对开盘后交易区间的突破一般是假突破。当价格离开宽广的开盘后交易区间，注意突破可能要回到这个交易区间。

When the opening range is narrow, expect a breakout and be ready to trade in its direction.

当开盘后交易区间很窄，期待突破的出现，准备好顺势交易。

Successful traders test everything. There are hours in most days when the market is undecided, neither a buy nor a sell. Use that time to research its opening ranges - how many minutes they take to form in your stock or future, how wide they tend to be, and so on. Create a graph linking the height of the opening range with the likelihood of a breakout, and you’ll acquire a private tool, a real edge in the markets.

成功的交易者会测试所有东西。在市场中，有时候整天没方向，既不是买，也不是卖。用这个时间研究开盘后交易区间——它们要多久才会形成，它们一般有多宽，等等。画一个图，显示开盘后交易区间的高度，以及突破的概率，这样，你就有了自己的工具，赢得市场的优势。

Currencies - Trading the 24-hour Markets The United States is the only country in the world where most people don’t think much about currencies. We live in the dollar universe, but the moment an American sets foot abroad, he realizes that everyone, from executives to taxi drivers, watches exchange rates. When the people outside the United States, and even recent immigrants to the United States, get a bit of trading capital, their first idea is to trade currencies. The bulk of currency trading takes place in the interbank market, directly between dealers. Beginners turn to unscrupulous currency trading shops that bucket their orders (hold their money without executing trades) and kill them with commissions, spreads, and interest charges. Survivors discover currency futures, where spreads are more narrow, commissions more reasonable, and no interest is charged for the privilege of holding a position.

外汇——24小时的市场 这个世界上只有在美国大部分人都不关心外汇。我们生活在美元的世界，但是当他到国外，他就明白了，所有人，包括企业高级主管和出租车司机，都要关心汇率。当人们到了美国以外的国家，甚至包括刚移民到美国的人，都有交易资金，他们第一个想到的就是交易外汇。在银行之间有大量的外汇交易，交易商之间也有。新手很随便地到外汇交易商店去换汇，结果被佣金，价差，和利息害惨了。生存者发现了外汇期货，价差更小，佣金比较合理，持有仓位不扣利息。

Aside from the horrors of forex shops, the biggest challenge of currencies is that they trade around the clock. You may enter a trade, analyze it in the evening, and decide to take profits the next day. When you wake up, there is no profit to be taken. The turning point you saw coming has already come and gone, not in the United States, but in Asia or Europe. Someone has picked your pocket while you slept! Markets are tough enough without exposing yourself to 24-hour risk.

除了外汇商店的恐怖，外汇最大的挑战是它24小时交易。你也许想交易后，晚上分析，第二天兑现利润。当你醒来时，根本没利润了。你想好的反转点早就到了，已经过去了，不仅在美国如此，在亚洲或欧洲都是这样。有人在你睡觉的时候拿了你的钱！即使不是24小时交易，市场也有风险。

Big financial institutions deal with this problem by implementing a system of “passing the book.”

A bank may open a position in Tokyo, manage it intraday, and then transfer it to its London branch before closing for the night. London continues to trade that position and in the evening passes the book to New York, which trades it until it passes it back to Tokyo. Currencies follow the sun, and small traders can’t keep up with it. I once visited a wealthy Thai gentleman who was planning to install his two sons and himself in three different cities around the globe to trade currencies, but the boys balked.

大金融机构用“传本子”的系统解决这个问题。一个银行在东京建仓，当天操作，在收盘前传给伦敦。伦敦继续交易这个仓位，到了晚上再把本子传给纽约，纽约继续交易，然后再传给东京。外汇跟着太阳走，个人交易做不到这点。我拜访过一个泰国富人，他计划把他的2个儿子和他自己放在3个不同的城市交易外汇，但是他的儿子不愿意。

If you trade currencies, you should either take a very long-term view and ignore daily fluctuations, or else day-trade, avoiding overnight positions. If you trade currency futures, use two sets of data. Use cash or interbank data for your weekly charts and futures data for the dailies to pinpoint entries and exits. The daily charts of currency futures are full of overnight gaps because those markets are open for only a few hours a day, but the charts of cash are smooth.

如果你交易外汇，你要么选择长线，放弃日内波动，要么做日内交易，不持仓过夜。如果你交易外汇期货，使用2种数据。周线图用现金业务或银行数据，日线图用期货数据，以找到进场点和出场点。外汇期货日线图充满了过夜缺口，因为市场一天只交易几个小时，但现金图表的运动很平滑。

S&P 500 - False Breakouts S&P futures are notoriously hard to trade, but newcomers are drawn to them like moths to a flame. “Are you man enough to trade the S&P?!” is the battle cry of those overgrown boys. Most traders are woefully undercapitalized for this expensive contract. It is hard to see how anyone with less than a quarter million in his account could trade a single contract of this volatile market, which often jumps several points of $250 each within minutes.

标注普尔500股指期货——假突破 标准普尔股指期货很难交易，但是新手像飞蛾扑火一样地被它们吸引。“你有种交易标准普尔吗？！”这是年轻人吵架时喊的话。大部分人钱不多，无法做这么贵的合约。很难看见资金低于25万的人做，因为只能买到一份合约，市场波动剧烈，每分钟内几点的波动高达250元。

The floor takes full advantage of the fact that most gamblers do not have enough money to carry overnight positions, place sensible stops, or ride out small adverse moves. The floor has got the art of shaking out inexperienced day-traders down to a science. They use false breakouts to make losers jump like Pavlov’s dogs, buying high and selling low.

场内交易者知道大部分赌徒没有足够的钱仓持过夜，无法合理止损，或驾驭小反转，场内交易者占了很多优势。场内交易者知道如何欺负没有经验的日内交易者。他们用假突破让输家像巴浦洛夫的狗一样乱跳，高买低卖。

The floor tries to push prices through several well-known levels on most days, flushing out weak holders. There is always a mass of sell stops below the low of the opening range and the low of the day. Shoving the market through those lows leads to selling by weak holders, and the pros then buy their merchandise on sale. There is always a mass of buy stops at the high of the opening range, the high of the day, and the high of the previous day, placed by weak shorts. Pushing the S&P through those levels sets off panicky buying. That’s when the floor sells short, positioning itself for the next downswing. There is nothing uniquely devious about this game, only it works especially well in the S&P because there are so many amateurs and this market is so expensive that they have no staying power.

大多日子里，场内交易者会尽力把价格推到几个比较明显的水平，把软弱的持有者洗出去。在开盘后交易区间的最低点下面和当天最低点下面都有很多多头止损单。把价格打到这些价格，都能把意志不坚定的持有者洗出去，然后专业人士再买入。在开盘后交易区间的最高点，当天的最高点，前一天的最高点，都有很多空头止损单，是意志不坚定的空头下的。把标准普尔股指期货推到这些水平就能洗出很多人。场内交易者再做空，下跌时就可以平仓。这个游戏就是这样来回，标准普尔股指期货更明显，因为这个市场里业余选手太多了，但是他们的资金少，无法做到长期持有。

A day-trader who recognizes the special challenges of the S&P can reach several conclusions:

了解标准普尔股指期货特殊挑战的交易者可以得到以下结论：

This is not a good market for beginners; it is too expensive and too fast. Learn to drive an old Chevy before a turbocharged Ferrari.

这个市场不适合新手。价格太昂贵，波动太快。在开法拉利之前，最好先学会开雪佛莱。

Have a good-sized account if you plan to trade this market. A quarter of a million dollars for each contract gives you staying power and allows you to place sensible stops.

如果想在这个市场交易，账户资金要合理地多。25万元一份合约，要求你要有持仓能力和止损能力。

Fade false breakouts in the S&P - trade against them. Use oscillators to detect when a false breakout starts running out of steam, and trade for the return into the middle of the day’s range.

标准普尔股指期货的假突破——要反向做。用振荡指标去寻找假突破的竭尽点，在回到当天波动的中间范围时交易。

The Daily Plan

A day in front of a live screen includes many dead hours when nothing seems to happen. People grow bored and restless, and the next thing you know, a day-trader turns his screen into an entertainment center. Professionals tend to follow a timetable to reinforce their discipline.

每天坐在屏幕前面，很多时候什么事都没有。人们感到无聊和不安，你很清楚会发生什么，日内交易者关上屏幕，换个娱乐项目。专业人士则紧跟时间表，加强纪律。

Your trading day should start before the opening. Give yourself at least half an hour to assemble and analyze overnight data. Watch the first half hour of trading with no interruptions, not even phone calls. If you put on a trade, then manage it. Otherwise dedicate two hours to research, database maintenance, reading a trading magazine or a book, or trolling the net for fresh ideas, all the while in front of the screen. Suspend everything if the market looks close to giving a buy or sell signal. Have lunch at your desk if you are managing a trade. Review trading-related posts on the net and put more time into research. Consider keeping exercise equipment in your trading room, such as a stationary bicycle or a rowing machine. A healthy mind in a healthy body. As the closing approaches, the market again demands your undivided attention, especially if you are exiting a trade.

你的交易日的开始时间应该比开盘早。至少给自己半小时分析头天晚上的数据。要在不受干扰的情况下观察开盘后半小时的市场，也不要打电话。如果你交易了，那么要管理好这笔交易。要么就花2个小时研究，维护数据，看交易书或杂志，学点新思想，都要在屏幕前面。当市场要出现买卖信号时，停止一切活动。如果你已经交易了，要在屏幕前吃午餐。你可以在网上看交易相关的资料，花更多时间研究。房间里要有健身器材，比如固定式自行车或运动练习器。健康的身体才有健康的思想。当快收盘时，市场同样需要你的主意，尤其是你要出场时。

There are two reasons to have a daily plan. You need to make sure that all the necessary work gets done, trades found, placed, exited, recorded, and research conducted. The other reason is to remind yourself that you are day-trading as a business and not for amusement and that you are serious about success.

每日做计划的原因有2个。你要确认做好了所有的工作，发现交易机会，下单，出场，记录，研究。另一个原因是提醒你自己，你是做日内交易，不是娱乐，你对成功很认真。

Remember that your feelings, desires, and anxieties are part and parcel of the game. When feelings are unsettled, trading becomes a problem. I had a client in the late 1990s who had achieved phenomenal success day-trading just one stock, AOL. He looked at yesterday’s closing price, checked the levels at which AOL traded in Europe, and reviewed any overnight news. When AOL shot out of the gate after the open, he traded its first swing, and sometimes two or three more during the first 30 minutes or an hour. He grossed $5,000 almost daily within the first hour of trading, buying and selling 1,000 shares at a clip. Then he spent the rest of day pissing that money away and losing!

记住，你的感觉，欲望，焦急都是游戏的一部分。感觉没有处理好，交易就有问题。90年代末期，我有一个客户，他通过交易美国在线这一只股票就取得了巨大的成功。他研究昨天的收盘价，算出美国在线在欧洲的交易水平，再看看当晚的新闻。当开盘时，在开始的30分钟到1个小时，第一次波动他就交易，有时会交易2，3次。在第一个小时他的毛利润就有5000元，他一次买卖1000股。然后他在其它时间把这钱又亏掉了。

When he came to consult me, it was obvious that his system worked well only during the first hour. It tracked an overnight buildup of pressure, and once that pressure equalized, he had no edge. His system was fantastically effective - as long as he stopped trading an hour after the opening. But he could not stop!

当他找我咨询时，很明显他的系统在头一个小时表现不错。它跟踪头天晚上的买卖压力，当买卖压力消失时，他就没优势了。他的系统超级有效——只要他在开盘1小时后停止交易就没事。但是他做不到！

It turned out that his self-esteem was largely based on trying to win his old father’s respect. The father was an immigrant who built a successful business by the dint of hard work, and he only respected men who worked hard and put in long hours. My client felt that he had to keep on “working”

in the markets all day rather than turn off his computer and go outside to play golf, drive his boat, or putter in the garden. He did not want psychotherapy. I tried calling him at 10:30 to remind him to stop trading, but then he got caller ID to avoid my calls. A great system is only half the game; the other is trading psychology. The only goal of successful traders is to grow equity. Everything else, including love, respect, and so forth, has to be gained outside the markets.

似乎他的自尊建立在赢得他父亲尊敬的方面。他父亲是移民，通过努力建立了自己成功的生意，他只尊重努力，并长时间工作的人。我的客户认为他必须在市场整天工作，不能关上电脑出去打高尔夫，开船，或者是去公园。他不需要心理治疗。我尝试在10：30打电话给他，叫他停止交易，但是他的电话系统拒绝接我的电话。优秀的系统只是游戏的一半，另外一半是心理。成功交易者的唯一目标就是资金增长。其它事，包括爱情，尊敬等等都是市场以外要追求的。

THE IMPULSE SYSTEM

动力系统

High volatility during the bull market of the 1990s made momentum trading very popular. The idea is to jump aboard a fast-moving stock as it begins to run and hop off after it slows down. Momentum traders do not care about company fundamentals; they may not even know what that company does. All they care about is direction and speed. They buy when a stock rallies (they rarely go short) and hope to cash out before the impulse runs out.

90年代大多头市场的高波动性造成动力交易的流行。就是在快速波动的股票开始波动前上车，快结束时下车。动力交易者不关心公司的基本面，他们甚至不知道公司是干什么的。他们唯一关心的是方向和速度。当股票上涨时买入（他们很少做空），希望在动力结束前兑现利润。

The game of momentum trading appears deceptively easy. The owners of trading rooms make fortunes in commissions, while legions of traders lose even bigger fortunes trying to grab money from fast-moving stocks. Impulse trading tends to degenerate into impulsive trading, and the game is over.

动力交易看起来似乎简单。经纪公司的老板靠佣金赚了很多钱，交易者想在快速波动的股票中赚钱，结果却亏了很多钱。动力交易一般会变成冲动交易，那么游戏就结束了。

Momentum trading has a built-in psychological contradiction that’s deadly to most people. On the one hand, this fast game, like infantry fighting or video game playing, is best suited for young people with strong hunting instincts, capable of abandoning themselves to the game. On the other hand, momentum trading requires the cold detached discipline of a professional card counter in a casino. Successful momentum trading, like professional gambling, is a boring business. The ability to accept small steady gains - essential for momentum trading - is very rare. Few people can walk away from the table just as the party gets going.

动力交易采用的心理学对很多人来说是矛盾的。一方面，这个快速的游戏像步兵打仗或者像玩电子游戏，适合年轻的，有猎杀本性的人，他们可以完全沉迷于游戏。另一方面，动力交易要求有赌场发派员那样冷静的纪律。成功的动力交易，就像专业的赌博，是无聊的生意。接受稳定的小收益——动力交易的核心——有这个能力的人少。当游戏开始时，很少有人能离开桌子。

One of my favorite clients is a professional trader in London who sometimes, for entertainment, goes to a casino at night. He plays blackjack for a minimum stake of ￡5 and quits when he is either ￡200 ahead or ￡400 behind. He has worked out a card-counting method and a money management system that have him going home with ￡200 13 times out of 14. He has proven to himself that he can steadily win at the casino, and now he rarely goes there because he must spend 6 or 7 hours counting and betting before reaching his winning or losing limit. It is hard work, counting all the time. The crowd of amateurs around him is having a lot of fun losing. My client prefers to stay home and trade stocks where the odds are much more to his liking.

我很喜欢一个客户，他是伦敦的专业交易者，他有时候为了娱乐，会去赌场。他玩21点，最小赌注5英镑的，他要么赚200英镑出场，要么亏400英镑出场。他研究出了数牌的方法和资金管理系统，这样的话，赌14次，他有13次能赢200英镑带回家。他已经证明了可以在赌场稳定赢利，但是他现在很少去了，因为他数牌和赌牌的时间要6，7个小时，这样才能决出胜负，太辛苦了，要一直计算。他周围的业余选手带着兴趣亏钱。我这个客户还是喜欢在家里交易股票，股票的概率才是他喜欢的。

Successful momentum trading requires great discipline. You must identify a price move, hop aboard without waiting for a better confirmation, and jump off as soon as that move slows down. The longer you wait to identify the momentum, the less money is left for you. Taking profits is stressful because of a normal human tendency to hold out for a little more and then beat yourself up for having left too early. A momentum trader needs a set of technical rules, a money management system, and iron discipline to enter when the time is right and exit without regrets after hitting his profit target or a loss limit.

成功的动力交易要求极好的纪律。你必须判断价格的波动，不等确认就要跳上车，当波动减慢时就要跳下车。你确认动力的时间越长，你赚到的钱越少。兑现利润时压力很大，因为一般人会多等一会儿，然后再教训你，让你后悔提前下车了。动力交易者需要一套技术原则，资金管理系统，用铁的纪律在正确的时间进场出场，还不能在止赢单和止损单被激活时后悔。

Entries

I designed this system to identify the inflection points where a trend speeds up or slows down. The Impulse System works in any timeframe, including intraday. It provides buy and sell signals, but leaves it up to you to select good markets, tweak parameters, and supply the discipline.

我设计这个系统是确认趋势加速和减速的变速点。动力系统在任何时间周期都可以用，包括日内交易。它提供了买卖信号，但你自己要选择市场，调节参数，形成纪律。

Choose an active market whose prices swing in a broad channel. What happens if you make a C trade and grab only 10% of a channel width? This result is not too bad if the channel is 20 points wide, but a C trade is an exercise in futility if the channel is only 5 points wide. Chase fat rabbits, don’t waste your time on skinny ones.

选择一个活跃的市场，价格在宽广的通道内波动。如果你是C水平的交易者，只能赚到通道宽度的10%，会如何？如果通道宽度有20点，这个水平还可以，但是如果通道宽度只有5点，C水平就没用了。要去追大兔子，不要在小兔子身上浪费时间。

The Impulse System combines two simple but powerful indicators. One measures market inertia, the other its momentum. When both point in the same direction, they identify an impulse worth following. We get an entry signal when both indicators get in gear, but as soon as they stop confirming one another, we take that as an exit signal.

动力系统结合了2个简单但有作用的指标。一个计算市场惯性，另一个计算动力。当两者方向相同时，它们确认了值得介入的动力。当2者同步时，我们得到了进场信号，当2者不再同步时，我们就当是出场信号。

The Impulse System uses an exponential moving average to find uptrends and downtrends. When the EMA rises, it shows that inertia favors the bulls. When EMA falls, inertia works for the bears. The second component is MACD-Histogram, an oscillator whose slope reflects changes of power among bulls or bears. When MACD-Histogram rises, it shows that bulls are becoming stronger. When it falls, it shows that bears are growing stronger.

动力系统用指数平滑均线找到趋势。当均线上涨，它表明惯性是上涨的。当均线下跌，惯性是下跌的。第二个指标是MACD柱，它的坡度反映了多头和空头的力量。当MACD柱上涨，它表明多头变强。当它下跌，它表明空头变强。

The Impulse System flags those bars where both the inertia and the momentum point in the same direction. When both the EMA and MACD-Histogram rise, they show that bulls are roaring and the uptrend is accelerating. When both indicators fall together, they show that bears are crushing the market. Those indicators may stay in gear with each other for only a few bars, but that’s when the market travels fast - the impulse is on!

当惯性和动力指标同步时，动力系统发出信号。当均线和MACD柱上涨，它表明多头在嚎叫，上涨在加速。当2个指标同时下跌，它表明空头在砸盘。这2个指标同步的概率很少，但这就是市场波动最快的时候——有动力！

Before you rush to apply the Impulse System to your favorite market, remember how Triple Screen analyzes markets in more than one timeframe. Select your favorite timeframe and call it intermediate. Multiply it by five to define your long-term timeframe. If your favorite chart is daily, analyze the weekly chart to make a strategic decision to be a bull or a bear. Use a 26-week EMA, the slope of weekly MACD- Histogram, or both, on the weekly chart.

在你使用动力系统之前，记住三重滤网是如何利用不同时间周期分析市场的。选择你最喜欢的时间周期，叫中周期。乘以5形成长周期。如果你喜欢日线图，在周线图上分析，以确定多头或空头。在周线图上使用26周均线，MACD柱的坡度，也可以同时使用2者。

Once you’ve defined the long-term trend, return to your daily chart and look for trades only in the direction of the weekly. The Impulse System uses a 13-day EMA and a 12-26-9 MACD-Histogram. The EMA, tracking market inertia, is a little shorter than our usual 22 bars, making the system more sensitive.

一旦你确认了长期趋势，回到日线图，寻找周线图的交易方向。动力系统使用13日均线和参数为12-26-9的MACD柱。均线跟踪市场惯性，比通常的22日要短，这样系统就比较敏感。

When the weekly trend is up, turn to the daily charts and wait for both the 13-day EMA and MACD-Histogram to turn up. When both inertia and momentum rise, you have a strong buy signal, telling you to get long and stay long until the buy signal disappears.

当周趋势上涨，回到日线图，等待13日均线和MACD柱上涨。当惯性和动力上涨时，你得到了强烈的买入信号，叫你做多，直到信号消失。

When the weekly trend is down, turn to the daily charts and wait for both the 13-day EMA and MACD-Histogram to turn down. They give you a signal to go short, but be ready to cover when that signal disappears.

当周趋势下跌，回到日线图，等待13日均线和MACD柱下跌。它们给了你做空的信号，但是当信号消失时要回补。

Some technical programs allow you to mark price bars with different colors. Make them green when both the EMA and MACD-Histogram rise, and red when both indicators fall. Don’t mark the bars where the indicators point in the opposite directions. This lets you easily see signals at a glance.

有些技术软件可以让你给竹线画不同颜色。当均线和MACD柱上涨时画绿色，当同时下跌时画红色。当2者方向相反时不要画颜色。这样你就能一眼看清楚。

Programming differs for different software packages, but here’s how I programmed buy signals into Internet Trader Pro:

不同的软件，编程方法不同，这是我在“互联网交易专家”上编程买入信号的方法：

AlertMarker (mov (c,13,e) > ref (mov (c,13,e), -1) and fml(“MACD-Histogram”) > ref (fml (“MACD-Histogram”), -1), Below)

Here is the code for sell signals:

这是卖出信号的编程代码：

AlertMarker (mov (c,13,e) < ref (mov (c,13,e), -1) and fml(“MACD-Histogram”) < ref (fml (“MACD-Histogram”), -1), Above)

If you know how to program, you can add more features to the system. You can make its EMA length variable and test different lengths, looking for those that work best in your market. You can program sound alarms for buy and sell signals and monitor a number of markets without being glued to the screen. There is a fisherman on the esplanade near where I live who has several fishing poles, each with a little bell. Whenever a fish bites, a bells rings, the man puts his newspaper down and starts reeling it in.

如果你懂编程，你可以给系统加入更多的特色。你可以测试均线的参数，使用你找到的最好的参数。你可以给买卖信号加上声音，这样你就可以不用死盯屏幕，还能同时跟踪很多市场。我住的附近有个钓鱼的人，他有多根鱼竿，每个鱼竿配个小铃铛。当鱼咬钩时，铃铛就响了，他就放下报纸，开始收线。

Figure 6.6 The Impulse System

图6.6 动力系统

When both EMA and MACD-Histogram point in the same direction, they identify an accelerating market move. The best way to see Impulse signals is to program buys and sells in different colors. Trade in the direction of an impulse to catch the sharpest, most dynamic moves. Also, never, ever trade against the Impulse. For example, a bullish divergence, a double bottom, and a kangaroo tail in March and April all point to an important bottom, but you may not buy as long as Impulse is down. The sell signal disappears at point A, and that’s when you may go long.

当均线和MACD柱方向一致时，它们确认了加速的市场波动。最好的认出动力信号的方法就是给买卖信号画不同的颜色。根据动力的方向交易，以抓住最强的，最有动力的波动。永远不要逆着动力交易。比如，3，4月的看涨背离，双底，袋鼠尾巴都指向重要的底部，当时当动力向下时，你可能没买。卖出信号在A点消失，此时你可以做多。

The Impulse System beautifully tracks the bear move in January-March and the bull move in April–May. In May, bearish divergence B is followed by the disappearance of an Impulse buy signal, which permits shorting. The resulting downtrend is not as dynamic as the two preceding moves, with alternating Impulse buy and sell signals. It is a sign of an indecisive market, which is hard to trade. If in doubt, stay out.

动力系统在1，2月完美地跟踪到了下跌，在4，5月跟踪到了上涨。5月，B点出现看跌背离，然后动力买入信号就消失了，此时可以做空。后来的下跌没有前面2个波动有力，出现了买入卖出信号。这表明市场没下决心，很难交易。如果有怀疑，那么就观望。

At the right edge of the chart, a triple bullish divergence of MACD-Histogram gives a buy signal. The Impulse System has just gone off its sell signal. The stock market appears poised for a rally. If you buy, with a stop below the latest low, make sure that order is stop-and-reverse. If this bullish divergence gets aborted, the market will give a Hound of the Baskervilles signal and fall out of bed.

在图的右边，MACD柱出现了3个看涨背离，给出买入信号。动力系统的卖出信号刚消失。看起来市场好像要上涨。如果你买入，在最新的低点下面设置止损，最好是止损加反手的单子。如果看涨背离失败了，那么市场就要给出巴斯克维尔猎犬信号，开始下跌。

Exits

When a cowboy at a rodeo hops on the back of a wild bronco, how long does he ride it? Twenty seconds, 35 maybe, 50 if he is good and lucky. Wild momentum trades don’t last long either. Try to hop off while you’re still in the money.

如果牛仔骑上了野马，他能骑多久？20秒，也许35秒，如果他运气好，可能是50秒。动力交易也一样，不能持续很久。如果你还在赚钱，尽量早点下来。

The time to buy into a momentum trade is when all your ducks are in a row, that is, when the weekly trend is up and the daily EMA and MACD-Histogram are rising. Hop off as soon as a single indicator turns down. Usually, daily MACD-Histogram turns first as the upside momentum starts weakening. When the buy signal disappears, sell without waiting for a sell signal.

当所有指标都一致时，也就是在周线图上是上涨的，日线图上均线和MACD柱也是上涨，此时才能买入。当有一个指标下跌时，就要出场。通常，当动力开始减弱时，日线图上的MACD柱首先下跌。当买入信号消失时，不要等到卖出信号就要卖出。

Reverse the procedure in downtrends. A momentum trade on the short side starts when the weekly trend turns down and the daily EMA and MACD-Histogram also fall, showing that the downward momentum is accelerating. Cover shorts as soon as one of those indicators stops giving a sell signal. The most dynamic part of the decline is over, and your momentum trade has fulfilled its goal.

下跌则反之。当周趋势下跌，日线图上的均线和MACD柱也下跌，这表明下跌动力在加速，此时可以做空。当指标不再给出卖出信号时就要回补。下跌的主要动力已经结束，你的动力交易也实现了目标。

The Impulse System encourages you to enter cautiously but exit fast. This is the professional approach to trading, the total opposite of the amateurs’ style. Beginners jump into trades without thinking too much and take forever to get out, hoping and waiting for the market to turn their way. The Impulse System, like Triple Screen, is a method of trading rather than a mechanical system. It identifies islands of order in the ocean of market chaos by showing when the crowd, usually so aimless and disorganized, becomes emotional and starts to run. You get in when its pattern emerges and hop off when it starts to sink back into chaos.

动力系统叫你进场时要谨慎，出场时要快。这是专业的交易方法，和业余选手的风格相反。新手想都不想就跳进交易，长期等待，期望市场能朝有利他的方向走。动力系统像三重滤网，是交易方法，不是机械系统。当市场混乱时，通常没有目标，没有组织，当市场开始形成情绪，要动作时，动力系统就发现了市场的顺序。当模式形成时，你去交易；当市场回到混乱时，你出场。

Test the Impulse System on your own market data to answer several important questions. Should you enter and exit at the open, after seeing the signal in the evening, or should you try to anticipate those signals? What if you do your homework 15 minutes before the close and buy or sell without waiting for tomorrow? Experiment with several different parameters of the EMA and MACD-Histogram.

用你的市场数据来测试动力系统，以回答几个重要问题。如果晚上看见了信号，开盘时要进出场吗，或者是等待信号？如果你在收盘前15分钟做功课，不等明天就买卖了，会如何？用不同的参数测试均线和MACD柱。

You must be very disciplined to trade this system because it is hard to place an order when the market is already flying, but even harder to quit while you’re ahead without waiting for a reversal. You are not allowed to kick yourself if the trend continues after you get out. Do not touch this system if you have the slightest problem with discipline.

你必须非常有纪律地交易这个系统，因为在市场狂飙的时候很难下单，市场还没反转就出场，这也是很难的。如果你出场后，市场还在继续，你不要踢自己。只要纪律方面有一点点问题，就不要碰这个系统。

The Impulse System can help you trade other systems. Check its message when Triple Screen gives you a signal to buy. If the Impulse System flashes a sell signal, hold off buying; do not trade against it. You want to buy a dip, not a waterfall decline. Reverse the procedure in downtrends. Hold off shorting if the Impulse System flashes a buy signal. Such “negative rules,” designed to keep you out of trouble, are among the most useful for serious traders.

动力系统能帮助你交易其它系统。当三重滤网给你买入信号时，检查它的信号。如果动力系统给出卖出信号，不要买入，不要反向交易。你要买的是低处，不是瀑布式的下跌。下跌时则反之。如果动力系统给出买入信号，就不要做空。这些“不要的原则”，是为了防止你出问题，也是认真交易者最有用的原则。

MARKET THERMOMETER

市场温度

A beginner needs to learn a battery of standard technical indicators and start tweaking their parameters. Some traders create their own indicators to gauge different aspects of crowd behavior and identify market moves. Let us walk through the process of creating a new technical indicator and see how to go about building your own private indicators.

新手在开始调参数前最好先学习一些标准的技术指标。一些交易者自己发明了指标，可以分析大众行为，确认市场波动。让我们来看看是如何自己发明指标，以及如何发明自己的指标。

All good indicators reflect some aspect of market reality. Market Thermometer helps differentiate between sleepy, quiet periods and hot episodes when market crowds become excited. It can help you adapt your trading to the current environment.

优秀的指标反映了市场的真实面。市场温度可以帮助区分沉静的和激烈的市场波动。它能帮助你根据市场环境变化改变交易。

Quiet markets typically have narrow bars that tend to overlap one another. Hot, boiling markets tend to have wide bars whose highs and lows extend far outside the previous day’s range. Beginners jump into trades during those wide bars, afraid to miss a runaway move. If you enter when the markets are quiet, your slippage is likely to be lower. Hot markets are good for taking profits because then slippage may work in your favor.

平静的市场一般竹线比较短，互相重叠在一起。火爆的，激烈的市场，竹线比较长，最高点和最低点也比之前的日内波动要大。新手跳进这样的交易，害怕自己错过了波动。如果你在市场平静时进场，你的滑点亏损很低。

When gold recently ran up $40 in one week, a journalist asked a famous investor whether it was a good buy. Gold was good, he said, but the time to get on this bus was when it stood in front of the station, and not rolling down the highway at 40 miles an hour. Market Thermometer helps you recognize when the bus slows down in front of the station, picks up speed, or roars down the highway.

黄金最近一周涨了40元，一个记者问一个著名的投资者是否是好的买入机会。黄金不错，他说，但是最好的上车地点是车站，而不是在以40里/小时下高速公路的地方。市场温度会帮你认识公交车何时在车站减速，何时加速，或何时飙下高速公路。

Market Thermometer measures how far the most extreme point of today, either high or low, protrudes outside of yesterday’s range. The greater the extension of today’s bar outside of yesterday’s, the higher the market temperature. Here’s the formula of Market Thermometer:

市场温度计算今天的极限位置在哪里，最高点或最低点，是否会突破前一天的范围。今天的竹线比昨天的越长，市场温度越高。下面是市场温度的公式：

Temperature = the greater of either (Hightoday - Highyesterday) or (Lowyesterday - Lowtoday)

温度=2者取1（今天的最高价-昨天的最高价）或者（昨天的最低点-今天的最低点）

To program Market Thermometer into Windows on WallStreet software, use the following formula:

如果要把市场温度编入“华尔街”软件的窗口，用下面的公式：

if (hi<ref(hi,-1) and lo>ref(lo,-1), 0, if ((hi - ref(hi,-1)) > (ref(lo,-1) - lo), hi - ref(hi,-1), ref(lo,-1) - lo)).

It is easy to adapt this formula to other software packages.

把这个公式套入其它软件是很容易的。

Market temperature is always a positive number, reflecting the absolute value of either the upward or the downward extension of yesterday’s range, whichever is greater. Plot temperature as a histogram above zero. Calculate a moving average of market temperature, and plot it as a line on the same chart. I use a 22-day EMA because there are 22 trading days in a month, but feel free to experiment with shorter EMA values if you want to make this indicator more sensitive to short-term swings.

市场温度永远是正数，反映了上涨或下跌幅度跟前一天相比的绝对值，看看哪个大。可以把温度画成0轴上的柱状图。计算市场温度的平均值，然后用同样的图画成线。我用22日均线，因为一个月有22个交易日。如果你想做短线，你也可以自己测试数据，用更小的参数。

When markets are quiet, the adjacent bars tend to overlap. The consensus of value is well established, and the crowd does little buying or selling outside of yesterday’s range. When highs and lows exceed their previous day’s values, they do so only by small margins. Market Thermometer falls and its EMA slants down, indicating a sleepy market.

当市场平静时，相邻的竹线都重叠了。对价值的一致认同被确定了，市场的买卖很少，没有超过昨天的波动范围。当最高点和最低点超过了前一天的数值，他们只是轻仓交易。市场温度下跌，均线下跌，表明市场平静。

When a market begins to run, either up or down, its daily bars start pushing outside of the previous ranges. The histogram of Market Thermometer grows taller and crosses above its EMA, which soon turns up, confirming the new trend.

当市场开始波动，上涨或下跌，日线图竹线开始突破前一天的范围。市场温度涨的比均线高，很快上涨，确认了新趋势。

Market Thermometer gives four trading signals, based on the relationship between its histogram and its moving average:

市场温度根据柱状图和均线的关系给出4个交易信号：

The best time to enter new positions is when Market Thermometer falls below its moving average. When Market Thermometer falls below its EMA, it indicates that the market is quiet. If your system flashes an entry signal, try to enter when the market is cooler than usual. When Market Thermometer rises above its moving average, it warns that the market is hot and slippage more likely.

当市场温度下跌到均线以下时是最好的建仓点。当市场温度跌到均线以下，它表明市场很平静。如果你的系统发出进场信号，可以在市场比平时还平静的时候进场。当市场温度涨的比均线高，它警告说市场很火了，容易导致滑点亏损。

Exit positions when Market Thermometer rises to triple the height of its moving average. A spike of Market Thermometer indicates a runaway move. When the crowd feels jarred by a sudden piece of news and surges, it is a good time to take profits. Panics tend to be short-lived, offering a brief opportunity to cash in. If the EMA of Market Thermometer stands at 5 cents, but the Thermometer itself shoots up to 15 cents, take profits. Test these values for the market you are trading.

当市场温度涨到均线的3倍时，平仓。市场温度指针表明要逃跑了。当市场突然受到新闻和波动的冲击，此时最好兑现利润。恐慌一般是短期的，提供了兑现利润的机会。如果市场温度的均线站在5分，但市场温度涨到了15分，兑现利润。你要在你的市场测试数值。

Figure 6.7 Market Thermometer

图6.7 市场温度

Nvidia Corp (NVDA) is one of the current favorites among active traders. Just look at its many tradable features - a powerful rally to 100, its triple top, a MACD bearish divergence, and a subsequent downtrend. Markets oscillate between quiet and active periods, and the Thermometer helps you identify them.

内维蒂雅公司股票是活跃交易者喜欢的市场之一。看看它的很多特征——强势涨到100，形成三顶，MACD看跌背离，接着就下跌。市场在平静和活跃之间振荡，温度帮助你确认它们。

At point A, the stock is in an uptrend, while the Thermometer has been below its 22-day EMA for five days. This is a quiet before the storm. An explosive move in the direction of the trend (point B) rewards buyers. At the same time a very high Thermometer reading, three times above the average, warns that the fun and games are over; the move is exhausted, and it is time to take profits. At point C the Thermometer shrinks again, spending five days below its EMA and warning that a sharp move is coming. Since prices are above their EMA, expect a decline. A similar message emerges at point D. After the next rally (point E), an extremely high reading of the Thermometer, more than four times the average, warns that it is a good time to take short-term profits. Prices make a triple top near 100, MACD-Histogram traces a severe bearish divergence, and at points F and G prices hang flat. This is another quiet before the storm as bears swing the stock down.

在A点，股票在上涨趋势，温度已经在均线之下5天了。这是暴风雨之前的安静。在B点的爆炸式上涨回报了买家。同时温度值很高，比均线值高3倍，警告说游戏的乐趣结束了，波动竭尽了，此时最好兑现利润。在C点温度又下跌了，在均线之下5天，警告说剧烈的波动来临。因为价格在均线之上，期望会下跌。在D点发出了类似的信息。第二次上涨之后（E点），温度值特别高，是均线的4倍多，警告说此时最好兑现短期利润。价格在100左右形成三顶，MACD柱跟踪到了严重的看跌背离，F点和G点都有提示。这是在下跌前又一次暴风雨之前的安静。

The EMA of the Thermometer tells you how far today’s high or low is likely to be above or below yesterday’s extreme. This is a useful piece of intelligence for those who like to buy low or sell high; you can place your order for the day near the projected extreme.

温度的均线告诉你和前一天比，今天的最高点和最低点可能在哪里。对喜欢低买高卖的人来说，这是有用的信息。你可以在可能的极限位置下单。

At the right edge of the chart, prices have just shot up to their declining EMA. They deserved a rally after sliding from 100 to below 70, but a very high reading of the Thermometer, three times above average, indicates that the excitement is overdone, a pause is coming, and the downtrend is about to resume.

在图的右边，价格涨到正在下跌的均线处。当价格从100跌到70时，应该有一个上涨，但是温度值很高，是均线的3倍，表明超买了，需要暂停一下，要继续下跌。

Get ready for an explosive move if the Thermometer stays below its moving average for five to seven trading days. Quiet markets put amateurs to sleep. They become careless and stop watching prices. Volatility and volume fall, and professionals get a chance to run away with the market. Explosive moves often erupt from periods of inactivity.

如果温度在均线之下长达5——7个交易日，做好大波动的准备。平静的市场让业余选手都睡着了，他们大意了，不再看价格。波动和成交量下跌，专业人士可以跟上市场的大波动。爆炸式的波动经常是在平静时爆发的。

Market Thermometer can help you set a profit target for the next trading day. If you are a short-term trader and are long, add the value of today’s Thermometer EMA to yesterday’s high and place a sell order there. If you are short, subtract the value of the Thermometer’s EMA from yesterday’s low and place an order to cover at that level.

市场温度可以帮助你确定第二天的赢利目标。如果你是短线交易者，是做多的，把昨天最高点加上温度均线的值，在那里下单卖出。如果你是做空的，把昨天最低点减去温度均线的值，在那里回补。

I had two purposes in presenting the Market Thermometer. I wanted to give you a new indicator, but even more I wanted to show you how to use your understanding of the markets to design your own analytic tools. Once you understand the principles of market analysis, you can create your own indicators. Use your knowledge, understanding, and discipline to get on the right side of the markets.