安全区域止损

安全区域止损
交易者会随着时间的推移根据趋势方向调整止损，以此来锁定利润。作为MA以及真波幅（ATR）的另外一个选择， Alexander Elder在《走进我的交易室》一书中引进了安全区域止损。
Elder 博士开发安全区域是为了过滤趋势市场的“噪音”，并试图避免仓位因为这些“噪音”而止损。他使用22日EMA来识别趋势，但是我更喜欢较的63日EMA。Elder接下来以类似于Welles Wilder的趋势定向运动系统的方法，即使用2~3之间的一个乘数来确认追踪止损。

安全区域止损的交易信号
安全区域止损最初是为了寻找趋势交易的出场时机。利用EMA来追踪趋势，并根据多单或者空单来选择安全区域。
• 当价格向下穿过安全区域止损，多单平仓。
• 当价格穿过安全区域上方，空单平仓。
安全区域止损不能像停损反向交易系统一样产生进场信号。

示例
2008年下半年RJ CRB 商品指数的下降趋势以及安全区域止损（做空，22日，3倍）、63日EMA作为趋势过滤器。以价格走出5日的低点并且位于MA下方（或者走出5日高点切位于MA上方）作为入场信号。

 
1 [S] 处做空——价格位于安全区域止损以及63日EMA下方。
2 [X] 处平仓——价格收于安全区域止损上方。
3 [S] 处做空——价格走出5日低点，并且位于63日EMA 下方。
4 [X] 处平仓——价格收于安全区域止损上方。
当价格位于63日MA下方不建议做多，价格位于63日MA上方则不建议做空。

安全区域止损设置
安全区域止损的默认设置是22日，以及2.5倍。长线交易者或许倾向于使用3.5~4倍。

安全区域止损公式

识别趋势
首先，通过将收盘价与EMA进行对比来确认趋势。
• 如果收盘价在所选周期内在MA上方，这表明趋势（MA方向）向上。
• 如果收盘价位于MA下方，说明趋势下降。

定向运动
第二个要素是定向运动。这与定向运动系统的DI+ 、 DI-的计算方式类似。
+DM = 今日最高价 - 昨日最高价 (当价格上升)
  -DM = 昨日最低价 - 今日最低价（当价格下降）
区别在于，你可以在一天里同时得到+DM 和-DM o。如果第二日高点高于前日高点，第二日低点低于前日低点，那么两项结果都将为正数，反之，两项结果则都为零。

定向运动的天数
计算出所选区域内+DM 的天数以及-DM 的天数。Elder定向运动的安全区域止损周期与MA一致，但是我们也没有找出二者周期不可以不同的原因所在。

当趋势上升
计算出-DM平均值：
选定周期内 -DM 的和 / 出现-DM 的天数
接下来计算今日的止损水平：
今日的止损=昨日的最低点 -  2.5*-DM 平均值
为了防止止损延迟，使用过去3日内止损的最大值。

当趋势下降
计算出 +DM 平均值：
选定周期内 +DM的和 / 出现+DM的天数
接下来计算今日的止损水平：
今日的止损=昨日的最高点 + 2.5*+DM平均值
为了防止止损水平升高，使用过去3日止损的最小值。
注意：上述例子中我们使用2.5倍，但是介于2~4之间的任一倍数都是可以的。

安全区域止损评价
安全区域止损有一系列的优点：
• 上升趋势中，止损很难向下移动（或者下降趋势中很难向下移动）；
• 安全区域并没有在你触发止损时假设趋势已经改变；
• 安全区域使用定向移动系统而不是ATR作为趋势波动性的衡量指标。这是一个很优秀的概念。在进行趋势交易过程中，它试图隔离一些逆趋势波动的风险，并清除一些与波动不相关的因素（与大趋势相同的波动）。一个逃跑趋势（爆发）或许对逆趋势运动表现出较少的关心，这时安全止损区域会变得较为狭窄。
潜在的弱点:
• 在趋势的开始或者选定周期内趋势反转时，安全区域止损没有充分的区分逆趋势波动以及顺势波动。无论趋势上升还是下降，所有的-DM 以及+ DM 都平等对待，因此不能就价格的逆趋势运动给出正确的反映。
• 相对短周期所计算出的价格定向运动或许不能充分反映价格的逆趋势运动。
• 安全区域止损依赖于EMA来鉴别趋势方向，导致了一定的延迟。然而，除此之外交易者没有MA的替代指标可以使用。
除此之外，安全区域止损是一个很好的交易系统。

Safezone Stops
Traders adjust their stops over time in the direction of the trend in order to lock in profits. As an alternative to Moving Average and Average True Range trailing stop systems, Alexander Elder introduces SafeZone Stops in Come Into My Trading Room (2002).
Dr Elder designed SafeZone to eliminate the "noise" component of a trend and hopefully avoid having stops shaken out by that noise. He uses a 22-day Exponential Moving Average to define the trend, but I prefer a longer (63-day) exponential moving average. Elder then calculates directional movement in a similar fashion to Welles Wilder'sDirectional Movement System and applies a multiple of between 2 and 3 to determine the trailing stop.
Safezone Trading Signals
Safezone stops are primarily used to time exits from a trending market. Use the exponential moving average to determine the trend and select the Safezone long or short option.
• Exit long positions when price crosses below the Safezone stop.
• Exit short positions when price crosses above the Safezone stop.
Safezone cannot be used to signal entries as with some stop-and-reverse systems.
EXAMPLE
The RJ CRB Commodities Index late 2008 down-trend is displayed with Safezone (short, 22-day, multiple of 3) 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 Safezone and closes below the 63-day exponential moving average
2 Exit [X] when price crosses above the Safezone Line
3 Go short [S] when price makes a new 5-day low while below the 63-day MA
4 Exit [X] when price crosses above
5 Go short [S] when price makes a new 5-day low while below the 63-day MA
6 Exit [X] when price crosses above
7 Go short [S] when price makes a new 5-day low while below the 63-day MA
8 Exit [X] when price crosses above the Safezone Line
No long trades are entered while price is below the 63-day exponential moving average, nor short trades while above.
Safezone Setup
Default settings for Safezone are a 22-day period and a multiple of 2.5 times. Longer term traders may opt for wider multiples of 3.5 or 4.0.
See Indicator Panel for directions on how to set up an indicator — and Edit Indicator Settings to change the settings.
Safezone Formula
Define the Trend
First compare Closing Price to an exponential moving average to define the trend.
• If Closing Price is above the moving average for the selected period, that means that the trend (and the MA slope) is upward.
• If Closing Price is below the moving average, the trend is downward.
Directional Movement
The second element is Directional Movement. This is calculated in a similar fashion to DI+ and DI- in theDirectional Movement System:
+DM = Today's High - Yesterday's High (when price moves upward)
-DM  = Yesterday's Low - Today's Low (when price moves downward)
The difference is that you can have both +DM and -DM on the same day. If there is an outside day then both calculations will be positive. For an inside day both calculations are zero.
Directional Movement Days
Calculate the number of days with +DM in the selected period; and the number of -DM days. Elder uses the same selected period for Directional Movement as he does for the moving average, but there appears to be no reason why this could not be varied.
When the Trend is UP
Calculate -DM Average:
Sum of -DM for the period / Number of -DM days
Then calculate the Stop Level for today:
Today's Stop = Yesterday's Low - 2.5 * -DM Average
To delay/prevent the stop from being lowered, use the maximum of the last 3 days' stops.
When the Trend is DOWN
Calculate +DM Average:
Sum of +DM for the period / Number of +DM days
Then calculate the Stop Level for today:
Today's Stop = Yesterday's High + 2.5 * +DM Average
To delay/prevent the stop from being raised, take the minimum of the last 3 days' stops.
Note: We use a multiple of 2.5 in the above example, but any multiple between 2 and 4 is acceptable.
Safezone Evaluation
SafeZone has a number of strengths:
• Stops are less likely to move lower during an up-trend (or higher during a down-trend);
• SafeZone does not assume that the trend has changed every time that your stops are hit; and
• SafeZone uses Directional Movement rather than ATR as a measure of volatility. This is an excellent concept. It attempts to isolate counter- trend movement as the risk factor when following a trend and removes the other irrelevant component of volatility (movement in the direction of the prevailing trend). A runaway trend (or blow-off) may show little or no counter-trend movement, meaning that stops move tighter as the trend accelerates into a blow-off.
Potential weaknesses:
• SafeZone fails to adequately distinguish between counter-trend movement and movement in the direction of the prevailing trend — at the start of a trend or if the trend reverses within the selected time period. All -DM and + DM is treated equally, whether the trend is up or down, giving an incorrect reflection of counter-trend movement.
• The relatively short time period over which directional movement is calculated may not adequately reflect potential counter-trend movement.
• SafeZone relies on an exponential moving average to indicate trend direction, introducing some lag. There is nothing, however, to stop the trader from substituting another trend indicator in place of the moving average.
Overall, a clever system.

本人翻译由兄弟财经提供

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