吊灯止损策略 (Chandelier Exits)

Alexander Elder在其2002年出版的《走进我的交易室》一书中引进了Chuck Le Beau 的吊灯止损策略。该策略是从上升趋势中的价格高点悬挂下来几倍的ATR（平均真实波动范围）值，或者是下降趋势中价格低点加上几倍的ATR值。下面这些策略都使用了ATR值，它们有各自的优缺点：

• Welles Wilder's的《技术交易系统的新概念》（1978），一书中介绍的波动止损；
• ZTR追踪止损；
• Chester Keltner的《如何从商品期货交易中获利》 (1960) ，介绍的肯特纳通道 (Keltner Channel) 。

Dr Elder开发的安全区域止损（Safe Zone Stops）是基于定向运动（Directional Movement）指标，而不是ATR值。

吊灯止损策略的交易信号

吊灯止损策略主要作用是充当趋势市场中的止损机制。

•当价格向下穿越吊灯线时，多头头寸平仓；
•当价格向上穿过吊灯线时，空头头寸平仓；
吊灯止损策略不能像别的波动指标一样用于开仓，它总会过早的开仓平仓。

示例：

RJ CRB商品指数，2008年下半年的下降趋势以及吊灯止损策略（短期，22日，3ATR）以及63日指数移动平均线作为趋势过滤器。当价格走出5日的新低、位于均线下方或者走出5日的新高、位于均线上方时，开仓信号产生。

1. [S] 处做空：价格在吊灯止损线下方并且收盘价也位于63日指数移动平均线下方。
2. [X] 处平仓：价格向上穿过吊灯止损。
3. [S] 处做空：价格走出5日新低，并且位于63日指数移动平均线下方。
4. [X] 处平仓：价格向上穿过吊灯止损线。
5. [S] 处做空：价格走出5日新低，并且位于63日指数移动平均线下方。
6. [X] 处平仓：价格向上穿过吊灯止损线。

吊灯止损线设置

吊灯止损策略的默认设置是22日、3ATR。你可以更改其基本设置。

吊灯止损的公式

吊灯止损从所交易时间段内的价格最高点减去几倍减去平均真实范围（“ATR”）。下面，利用默认设置举例：

过去22日价格的最高点—过去22日3 ATR

在下降趋势中，该趋势反过来：

过去22日价格的最低点+过去22日3 ATR

• 为了得到上升趋势中最近的价格最高点，时间周期必须足够长：时间周期过短，对应的止损位相对较低；时间周期过长，最高价位则有可能从之前的下降趋势中得出。
• 很重要的一点是，上升和下降趋势所使用的时间周期应该不同；众所周知，下降趋势所经历的时间通常较短，因此，对应的吊灯止损的时间周期也应较短。
• 3 ATR或许会有所差异，但是大多数的投资者的设置在2.5~3.5之间。

吊灯止损的评估

我对上升趋势中止损的位置下降很担心。吊灯止损有可能会遇到以下状况：

1. ATR值上升；或者
2.所选的时间周期内价格没有达到新高（比如前面列子中说的22日）。

Welles Wilder's 的波动止损很好的避免了第二种情况，但是它用的是收盘价而不是最高价和最低价。另一方面，ATR追踪止损（Average True Range Trailing Stops）提供最高价/最低价以及收盘价，并使用棘轮机制来防止上升趋势中止损价位下降或者是下降趋势中止损价位的上升。

Chandelier Exits
Alexander Elder introduced Chuck LeBeau's Chandelier Exits trend-following system in his 2002 book Come Into My Trading Room. The system dangles a multiple of Average True Range from Highs during an up-trend and adds them to Lows during a down-trend. There are several similar systems that use ATR, each with their own strengths and weaknesses:
• Welles Wilder's original Volatility Stops, from his book New Concepts in Technical Trading Systems (1978);
• Average True Range Trailing Stops; and
• Keltner Channels from Chester Keltner in How to Make Money in Commodities (1960).
Dr Elder also developed SafeZone Stops based on Directional Movement rather than Average True Range.
Chandelier Trading Signals
Chandelier Exits are primarily used as a stop loss mechanism to time exits from a trending market.
• Exit long positions when price crosses below the Chandelier line
• Exit short positions when price crosses above the Chandelier line
Chandeliers cannot be used for entries like some other volatility systems as they would be prone to whipsaw in and out of a trade.
EXAMPLE
The RJ CRB Commodities Index late 2008 down-trend is displayed with Chandelier Exit (short, 22 days and 3 x ATR) and 63-day exponential moving average used as a trend filter. Entries are taken when price makes a new 5-day low while below the moving average (or 5-day high when above the MA).
 
1. Go short [S] when price is below the Chandelier Exit and closes below the 63-day exponential moving average
2. Exit [X] when price crosses above the Chandelier Exit
3. Go short [S] when price makes a new 5-day low while below the 63-day exponential moving average
4. Exit [X] when price crosses above the Chandelier Exit
5. Go short [S] when price makes a new 5-day low while below the 63-day exponential moving average
6. Exit [X] when price crosses above the Chandelier Exit
Chandelier Setup
The default settings for Chandelier exits are a 22-day period and a multiple of 3.0 times Average True Range.
See Indicator Panel for directions on how to set up an indicator — and Edit Indicator Settings to change the settings.
Chandelier Formula
Chandelier Exits subtract a multiple of Average True Range ("ATR") from the highest high for the selected period. Using the default settings as an example:
Highest High in last 22 days - 3 * ATR for 22 days
In a down-trend the formula is reversed:
Lowest Low in last 22 days + 3 * ATR for 22 days
• The time period must be long enough to capture the highest point of the recent up-trend: too short and the stops move downward; too long and the high may be taken from a previous down-trend.
• It is not essential to use the same period for up and down trends; down-trends are notoriously faster than up-trends and may benefit from a shorter time period.
• The multiple of 3 may be varied, but most traders settle between 2.5 and 3.5.
Chandelier Evaluation
I am uneasy with stops moving lower during an up-trend. This may occur with Chandelier Exits when:
1. Average True Range increases, or
2. No new high is made during the selected time frame (22-days in the earlier example).
Welles Wilder's Volatility Stops formula eliminates the second issue, but uses Closing Price rather than Highs and Lows. Average True Range Trailing Stops, on the other hand, offer both High/Low and Closing Price options and use a ratchet mechanism to prevent stops from falling during an up-trend or rising during a down-trend.

本文翻译由兄弟财经提供

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