移动平均线（最高价、最低价以及开盘价)

移动平均下系统通常基于收盘价，但也有例外：基于最高价、最低价以及开盘价的移动平均线。

时间框架
移动平均线系统通常使用每日的最高价、最低价以及开盘价。但是，它同样也可以用于小时图、周线图甚至是月线图。基于开盘价的移动平均系统使用率很少，本文主要谈论基于每日最高价和最低价的移动平均系统。

交易信号
短期的上升趋势
• 价格收于MA（最高价）上方时做多。
• 价格收于MA（最低价）下方时平仓。
短期的下降趋势：
• 价格收于MA（最低价）下方时做空。
• 价格收于MA（最高价） 上方时平仓。

示例

13周的MA（收盘价）用来跟踪上图的雅虎股票的价格趋势（没有显示出来）。10日的MA（最高价）以及8日MA（最低价）。
• [2] 处进场：价格收于MA（最高价）上方。
• [4] 处平仓：价格收于MA（最低价）下方。
如果我们使用10日MA（收盘价），结合同样的价格过滤器：
• 那么，将会在[1] 处当价格收于MA上方时更早的进场。
• 更早的平仓：价格在[3] 处收于移动平均线下方。
• 接下来，我们在[5]  处进场，并在[6] 处扫损。
别的趋势过滤器以及收盘价可以进一步的使我们的交易系统完美。

评价
该系统相对于别的MA系统在避免扫损方面有较好的表现，因为它的交易通道较大；同时，相应的它的波动性也较大。然而，该均线系统也有本身的弱点：
• 不同周期MA相交时，它的进场信号发出较晚。
• 较迟的平仓信号，尤其是趋势突破后的爆发阶段。
价格迅速攀升

雅虎公司股票在1998年底至1999年初大幅攀升，并走出了一个陡峭的上升趋势。我们的长期趋势很好的让我们追随该趋势，但是它直到$31.50 [x]（基于正常收盘价的MA）或是到$28.90 [x2]（基于8月最低点MA）的位置才发出平仓信号，这一点让我们很失望。
如果你想着如何增加一个趋势过滤器以防止在[x2]位置平仓，那么放弃它。没有一个过滤器可以让你免于在该处平仓。

在价格快速上升时期，不可以依赖长期的MA作为平仓信号。
滞后的进场和平仓
趋势交易中，你的目标可以是以下两种：
• 如果短线交易，那么在趋势回调中进场并在次级趋势消失前平仓；
• 如果是长线交易，在趋势开始时进场，止损的设置距离要排除回调的影响，并在趋势结束前平仓。

如果在短期交易过程中，我们等待价格回调后穿过MA，那么除了趋势非常强劲的情况下，我们将会失去大约一半的上升盈利空间。如果我们用MA（最高价）作为买入信号以及MA（最低价）作为卖出信号，那么结果将会更糟糕。

示例
交易方法1
• 价格突破MA(最高价)后的第一次回调（或称作巩固）之后，我们在[1] 处进场：价格走出新高。
价格收盘价低于MA（最低价）时，即 在[2]处平仓。对比一下盈利情况 $2.20（扣除滑点和佣金之前）以及价格的波动范围$14.27 (39.79 - 25.52)。

交易方法 2
• [A] 处当价格收于MA（最高价）上方，并且走出新高时进场。
• [B] 价格（不一定是收盘价）向下穿过MA（最低价）时平仓。
在扣除佣金和滑点之前，你的盈利增大为$5.30。
交易方法3
如果我们利用基于收盘价的传统MA交易：
• 价格收于MA（收盘价）上方后的首次回调，收盘价高于前期高点，在[a] 处进场。
• [b] 处价格收于MA（收盘价）下方，平仓。
盈利增加到$7.42 (36.46 - 29.04)。这只是个例，同时，也不排除交易方法3产生错误的进场信号或者是在趋势未结束时提前平仓。但是，以我之见，传统MA（收盘价）表现好于MA（最高价）和MA（最低价）。

交易规则
指数移动平均数或者简单移动平均数的计算是依据最高价或最低价，而不是收盘价。短期MA通常基于最低价而不是最高价：为了快速产生平仓信号。如果做空，则使用MA（最高价）：快速产生平仓信号。

Moving Average High, Low & Open
A new variation on the moving average system is to calculate moving averages on the Highs, Lows or Opens, rather than on the Close.
Time Frames
Daily Highs, Lows or Opens are normally used, but the same concept may work just as well on hourly, weekly or even monthly bars. Opens are used less frequently and the discussion below focuses on Highs & Lows.
Trading Signals
Short-term
In an up-trend:
• Enter when price closes above the moving average (High)
• Exit when price closes below the moving average (Low)
In a down-trend:
• Short when price closes below the moving average (Low)
• Exit when price closes above the moving average (High)
EXAMPLE
A 13-week moving average of closing prices (not shown) has been used to identify the up-trend on Yahoo (above). The stock is then plotted with a 10-day moving average of daily Highs and an 8-day moving average of daily Lows.
• Enter at [2] when price closes above the moving average (High).
• Exit at [4] when price closes below the moving average (Low).
If we had used a normal 10-day moving average of closing prices, with the same closing price filter:
• Earlier entry at [1] when price closes above the moving average.
• Earlier exit at [3] when price closes below the moving average.
• Then we are whipsawed, with an entry at [5] and exit at [6].
Other filters, besides closing price, may be used to further refine the system.
Evaluation
The system does better than many other moving average systems in eliminating whipsaws, because of the width of the bands; and higher volatility results in wider bands. However, this remains a moving averagesystem with all the attendant weaknesses:
• Late entries at moving average crossovers; and
• Late exits, especially when the trend spikes up/down into a blow-off.
Blow-offs
In the above chart Yahoo staged a blow-off, in late 1998/early 1999, when it accelerated into a steep up-trend. Our long-term moving averages, so good at keeping us in the trend, now let us down badly, giving exit signals between $31.50 [x], based on a normal closing price moving average, and $28.90 [x2], based on the 8-monthmoving average of monthly lows.

If you are thinking about adding a filter, to avoid being taken out of the trend at [x2]; forget it. No filter can save you from this:
Long-term MAs cannot be relied upon for exit signals during a blow-off.
Late Entries and Exits
Your aim, when trend-trading, should either be:
• If trading short-term, to enter on corrections and exit when the subsequent primary trend move expires; or
• If long-term, to enter at the start of the trend; ride out the corrections; and exit when the trend expires.
If, when trading short-term, we wait for price to cross the moving average after a correction, in any but the strongest trends, we will lose about half of the entire up-swing. If we use moving average (High) for our buy signals and moving average (Low) for sell signals, the problem is even worse.
EXAMPLE
System 1
• On the first pull-back (or consolidation pattern) after price breaks above the moving average (High), enter [1] when price closes above the previous high and then takes out the high.
• Exit when price closes below moving average (Low) and then takes out the low at [2].
Compare your profit of $2.20 (before brokerage and slippage) to the swing range of $14.27 (39.79 - 25.52).
System 2
• Enter [A] when price closes above moving average (High) and then takes out that day's high.
• Exit [B] when price falls (but not necessarily closes) below the moving average (Low).
Your profit increases to $5.30 before brokerage and slippage.
System 3
If we use the conventional moving average, based on closing price:
• On the first pull-back after price closes above the moving average, if price closes above the previous high, enter [a] when it takes out that day's high.
• Exit [b] when price closes below the moving average and then takes out that low.
Profit increases to $7.42 (36.46 - 29.04). This is a single example and there may be times that system 3 makes a false start or exits too early in the trend, but, from what I have seen, the conventional method at least holds its own against systems based on Highs and Lows.
Setup
Look for Moving Averages (High) and Moving Averages (Low) in the left column of the Indicator Panel.
Edit Indicator Settings explains how to alter the default settings.
Formula
Exponential or simple moving averages are calculated using either the High or Low instead of closing price. The Low is often calculated with a shorter moving average than the High: to deliver quicker exit signals. If trading short, reverse the time periods; so that the High is shorter than the Low.

本文翻译由兄弟财经提供

文章来源：http://www.incrediblecharts.com/indicators/ma_high_low.php