Importance of Exits
July 16,1999
First in a Series of Articles About Exits
Part one: Importance of Exits
The outcome of every trade is dependent on the exit. If we enter in a timely fashion and then exit poorly, the trade is likely to be a loss. If our entry happens to be poor but our exit is good we might still salvage a profit. The exits, not the entries, determine the outcome of our trades. This lesson about exits is easily demonstrated. Take any entry strategy and begin combining it with different exit strategies. You will quickly see that we can change the results dramatically by making only minor adjustments to the exits. In fact it becomes nearly impossible to tell if an entry is any good because the results are so exit dependent. Bad exits can make a good entry look bad and good exits can make a bad entry look good.
离市的重要性——第一篇讨论离市重要性的文章，1999－07－06
第一部分：离市的重要性
离市决定交易结果。如果我们入市很恰当，但离市很糟糕，那么交易结果很可能是亏损。如果我们入市很糟糕，而离市很恰当，那么我们仍有可能盈利。决定我们交易结果的是离市而不是入市。举例说明这一点很容易。你可以使用任何一种入市策略，然后使用不同的离市策略，很快你就会发现离市策略的小幅调整将导致交易结果的巨大差别。事实上，我们很难判断某种入市策略是否有益，因为交易结果是如此依赖于离市。糟糕的离市能使恰当的入市变得糟糕，恰当的离市能使糟糕的入市变得合适。
When testing the validity of an entry method it is best to begin by simply exiting the trades after a number of bars. If you do anything more creative than this simple exit you will find that you are really testing your exits, not your entries. If you change the exits while attempting to test an entry strategy the results will vary so much depending on the exits selected that you will find that you can not make any valid assumptions about the reliability of the entry. When combined with the right exit the entry strategy looks great. When combined with the wrong exit the same entry looks terrible.
当检验一种入市策略的有效性时，最好选用简单的离市策略，比如进场一段时间后就出场。如果你试图使用更复杂的离市策略，你会发现其实你是在检验你的离市策略，而不是在检验你的入市策略。在检验入市策略时，离市策略得改变会导致交易结果的巨大差异，这会使你很难判断一种入市策略是否有效。使用正确的离市策略，会使入市策略看上去很好。而使用错误的离市策略，会使得入市策略变得很可怕。
The purpose of an entry is to get the trade started in the right direction. To test the effectiveness of an entry we simply measure what percentage of the time it gets our trade started in the right direction. For example if we have entry "A" that has 60% winning trades after five days it is better than an entry "B" that has only 45% winners after five days.
入市策略的目标是使交易向正确的方向建仓。为了检验一种入市策略的有效性，我们可以简简单单的计算该种策略建仓方向正确的几率。比如入市策略 A在5天后有60%的正确率，而入市策略B只有45%，那么策略A就比B好。
You will notice that we made no comparison of risk or profitability in picking the best entry. What if entry "A" lost money and entry "B" made money? Is entry "A" still better? The answer is "Yes" because the purpose of an entry is merely to get the trade started in the right direction. After that everything else is dependent on the exits. Entry "B" just happened to make more money because of the particular exit we selected for the test. We can easily adjust our exits and we will find that entry "A" will consistently make more money than entry "B" because it gets the trades started in the right direction more often. To maximize our profit we need to combine the right entry with the right exit.
你会发现我们在寻找有效的入市策略时没有比较风险或盈利。要是入市策略 A亏损而入市策略B盈利，我们还能认为入市策略 A更好吗？答案是“正是如此”，因为入市策略的目标仅仅是建立正确的交易方向。随后所有的交易结果都取决于离市策略。入市策略 B盈利是因为我们在检验中选择的离市策略碰巧使之盈利。我们能非常容易的调整我们的离市策略，使得入市策略A总是比入市策略B获得更多的利润，因为入市策略A建仓方向正确的几率更高。为了最大化我们的盈利，我们不仅需要正确的入市策略 ，还需要正确的离市策略。
In our book, Computer Analysis of the Futures Market, we tell an amusing anecdote about a trader who seemed a bit loony because he used a Coke bottle with a broken radio antennae sticking out of it to receive trading advice from other planets. This advice, like most trading advice, was only related to the entries. When the voice from the Coke bottle told him to enter a trade he would come back to my desk and want to put the trade on right away saying something like: "They are buying soy beans on Mars, buy some beans for me".
我们在《期货市场计算机分析》一书中讲了一个有趣的故事，一位交易者看上去很傻，因为他在用一个破旧的收音机收听来自外星球的交易建议。这种建议，就像大多数交易建议，仅仅是关于入市的。当收音机里的声音让他开始交易时，他就会回到我的桌子旁边，希望建立仓位，离开始嘴巴里还似乎在说“火星人正在买豆子，所以帮我也买些豆子。”
The other traders sitting around the board room would overhear these frantic orders and became quite interested in this strange trading advice. Naturally they were quick to make fun of the trader when he was losing but they didnt have much to say when he was winning. The trader with the Coke bottle eventually learned that to avoid ridicule he had to take his losses quickly and hold on to his winners as long as possible. His trading steadily improved and he wound up being a surprisingly good trader. Obviously, his reliance on trading advice from other planets had nothing to do with his success. His entries were no better or worse than random but he had learned to be very good at his exits.
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