哈尔滨工程大学贴吧:Richard Donchian （理查德.唐奇安）趋势追踪交易系统的先驱

交易者的洞察力

　　一名交易者应该对重复的价格走势警惕。它们很可能出现高概率的相似结果。

　　在２０世纪７０年代，我发明了一种基于时间变量、进入变量和风险变量的交易计划。我还没有彻底了解这种设计的工作原理，但好的交易却频繁出现。我通过学习其他成功的交易商的方法，并且将之变成我所习惯的东西来形成自己的风格。例如，我的基础市场直觉，是通过ＲｉｃｈａｒｄＤｏｎｃｈｉａｎ在１９８０年的一篇以农产品为主题的文章和整形外科医生ＭａｘｗｅｌｌＭａｌｔｚ博士的一本书来确立的。它们中的每一个使得我的方法丰满，而他们融合在一起给了我一种有力的工具，对市场行为进行预期。

　　我们都在说“趋势是你的朋友”，但我们中的很少人真正将自己的交易建立在趋势上，并将之作为交易的主要考虑问题。我想强调两件事；如何判断趋势和如何利用它进行交易。

　　当回调开始时就为你提供了按照趋势交易的获利机会，问题的关键是要知道这种回调将在何时结束，市场又重新回到主要趋势当中。我的观察结果是回调通常持续大约１５日。将之作为一个前提，我看到了潜在的转折点。这一转折点将确定趋势是否将重新开始。当主要趋势重新开始时，寻找一个正确的入场点。

　　在阅读整形外科医生ＭａｘｗｅｌｌＭａｌｔｚ博士在１９６０年所作的“心理控制论”中（这本书在１９８９年被重新发现），我受到他关于改变某人形象章节的启迪。Ｍａｌｔｚ博士称在整形外科手术过程中，患者最少需要２１日来看到自己的新的容颜。而很多我观察到的现象都显示了其最起码需要２１日来使得新事物代替旧事物。

　　这一事实震惊了我，２１个自然日就等于１５个交易日！当绝大多数交易者都在认为趋势可能已经变化时（他们认为看到了市场的新颜），主要趋势却已做好了继续运行的准备。

　　我们都有自己的习惯，我们都知道什么会使自己感觉舒服，因为其通常通过各个方面给我们益处。不过对于期货交易者来说，一个成功的计划通常包含着它可能引起大量的焦虑或者不安的可能。如果你是一个交易者，你肯定已经认识到通常自己所作的决定会因为其并非最佳而恼火。

如何运用这种方法建立交易计划？拿起技术书籍，并且观察市场的趋势（１０周移动平均线为我们显示的趋势）。在下降趋势中，在图表中找出那些阶段性低点。将这些日期作为起点，并且观察在其之后的第１５个交易日的市场动作，你可以看到反向趋势通常持续１５个交易日，然后市场开始重新恢复主要趋势。需要强调的是第１５个交易日并不需要是在下降趋势中的回调的相对高位，它更多的是在时间意义上靠近回调的终点。仔细观察可以发现三个星期的反弹，实际上只是力度很弱的调整而已。关键的入场点通常在市场已经创立了新的价格低点的日期之前就已出现。

通常重新进入主要趋势的最佳的途径，就是当趋势开始的时候你已在市场之中。我更倾向于在实际上已经达到了新的价格低点之前熊市就已重启。１５日的时间周期为你带来报警信号。当然，其对于牛市也同样适用。

通道指标的应用

    根据移动平均线构造通道（envelope）的技术是目前趋势跟踪分析技术中一种能够有效地消除市场短期拉锯现象的方法。现在，构造这种通道的方法有很多，绝大多数的的分析软件中都提供了以移动平均线为基准计算得出的通道指标。
许多测试表明，通道指标是众多技术指标中最有效的一种，在这方面研究得最出名的也许该算是美林公司的Frank Hochheimer于10年前的通道突破（Channel Breakout）理论，除了Hochheimer之外，还有许多知名的交易员也研究过通道指标的价值，象Richard Donchian，他以均线系统的使用而出名，同时他也使用他的四周规则（Four-week Rule）进行通道交易（Channel Trading）。
我们认为通道技术可以有许多有趣的实际应用，以此建立一个可以赢利的交易系统。我们将把我们的讨论分成两节：第一节讲述基于均线构造的通道技术；第二节再来谈谈通道突破交易系统（Channel Breakout Systems）。

第一节：依据通道分析交易

构建通道指标既可以简单，也可以复杂。最简单的通道指标可以根据一条移动平均线为中线，然后以此为基准进行均线的垂直平移，在通道的区域之内是一个缓冲区，在多数情况下包容了价格的波动。一般地，一个新的趋势开始时价格会突破通道上轨，趋势中的调整或当趋势结束时，价格会重返通道，并移向移动平均线。

另一个简单的通道指标的例子是以绝对点数进行均线的平移，它用来衡量交易者在进行交易时所原承担的风险，而不作为任何买入点或卖出点。这两种通道指标有几乎无限的变种，比如，普通的移动平均线可以改为加权移动平均线或其它，此外，均线平移的尺度也可以根据分析市场周期的长短进行相应调整，使通道的震荡幅度产生差异。

另有一种可能性使根据行情每日的高点和底点产生通道，通道内包含了价格波动的实际区间，当价格徘徊在通道之内时，一旦产生价格向上突破的迹象时，可能预示着趋势的转变。

一个相对较新、值得一提的是阿尔法-贝塔通道（Alpha-Beta Bands）和布林通道（Bollinger Bands）。这两个指标都是以短期移动平均线计算得出的。计算机软件首先会计算出一根简单的移动平均线，然后在此基础上再计算出两条平行的移动的标准偏差，布林通道使用的就是位于均线两边的标准偏差。布林解释了这个通道如何在多数情况下很好地包容了价格的波动，也指出了当通道口迅速张开或收窄时，市是对市场波动变化的敏感反映。阿尔法-贝塔通道的不同之处则是在于计算的移动标准偏差是一条而不是两条，即以均线为中心以一个方向计算并平移标准偏差曲线。

通道的宽度的选择在理论上以市场的震荡幅度为主，使用这些具备自我调整功能的通道，意味着当市场振幅较大时能拓宽通道的宽度，当市场振幅减小时又可以自动缩窄通道的幅度。

通道指标的通用交易规则

通道的交易规则与其构建的规则基本是一致的，也就是依据价格在通道之内还是之外来确定交易行为。

通道交易的一般规则是：

1、价格突破通道时开新仓，这标致着趋势变化的开始；当价格突破另一通道边轨时，结束这个头寸或建立新的头寸。

2、价格突破通道时开新仓，这标致着趋势变化的开始；当价格以相反的方向又再次突破这个通道边轨或均线时，结束这个头寸。

这两个规则能够确保对市场的主要趋势的把握，第1条规则时最基本的，而且时一个纯粹的反转交易系统，但我们对反转式交易系统表示怀疑，所以更倾向于选择第2条规则，因为它能够相对于规则1能更好地控制交易风险。

通道最优的百分比参数

确定正确的均线和通道的参数是件麻烦事，在我们所见过的最详尽的测试是1960年到1978这段期间。1983年12月期货市场研究杂志出版了Irwin和Uhrig的一篇文章，作者采用了上述的第2个规则进行测试，优化出了最好的组合参数，他们计算出的最优收益情况参见下表数字：

商品 均线参数 通道参数%
玉米 45    3.2
大豆 20    4.0
小麦 39    4.2
白糖 36    4.8
铜    39    1.0
可可 43    6.2


在通道内交易

我们很少看见有讨论关于将通道指标作为超买超卖指标运用，在这种情况下，交易将发生在通道之内，而不是当价格突破通道的边轨。我们和其它一些交易员在市场处于横盘趋势时运用这种方法获取了不少利润。相比较而言，这方面的交易规则要简单明了得多：当价格触及通道下轨时买进，若市场超出预期，就在价格跌破下轨时止损，若价格升到通道上轨就获利出局，反之亦然。

那么你该如何知道市场时处于横向运行之中呢？一个较客观的方法是使用18日的ADX指标，若ADX指标向上，且数值超过25，则说明市场应是处于单边趋势运行之中，你最好运用趋势跟踪的通道指标进行交易。如果ADX下降且低于25，那么就适合使用通道内交易的方法了。

第二节：根据通道突破交易

除了依据移动平均线平移的技术构造通道指标外，还有一种根据一定期间内市场价格的高点和低点构造通道的方法。这种方法最简单的形式属于一种纯粹的反转系统（Reversal System），在市场中应用也比较广泛。

这种通道指标的构造方法是：根据前10个交易日的高点制作通道上轨；根据前10个交易日的低点制作通道的下轨；这两条上、下轨的曲线构成了整个通道指标。

这种通道指标的宽幅随市场前期高点和低点的上下移动而改变。当市场价格突破通道上轨时持有多头头寸，价格突破下轨时持有空头头寸，当多头头寸结束的同时就转向建立相反的空头头寸。

Donchian于1960年运用的周规则技术（Izul注：通道指标的一种形式）使这种交易系统流行起来。他使用的是四周的时间框架，当市场价格突破近四周的最高点时买入，当市场价格跌破近四周的最低点时卖出。

Bruce Babcock在他的Dow Jones-Irwin指南中出版了他对于四周规则的研究测试结果。他发现Donchian的方法虽然在市场处于拉锯状态时效果不佳，但在多数情况下仍是能够保持良好的赢利。

正如你所能想到的那样，在任何给定的时间范围内可以根据四周的时间尺度来把握风险情况。除了个别交易头寸存在的交易风险之外，整个交易系统会因为缺少停损式的风险控制机制而大大增加市场风险。

还有一点值得指出的是：在Bruce Babcock的测试中包括了S&P500指数交易中发生的43000美圆的亏损。这倒不是什么不正常的情况，我们以及其他一些交易员发现S&P指数市场的表现与其他的期货品种有些区别。

Tempus公式是80年代比较流行而且价格昂贵的交易系统，它的基础原理与四周规则相同，但针对不同的商品期货市场分别优化了系统参数。在经过多年的交易赢利之后，1988年市场呈现出的拉锯走势使许多用户发生严重亏损，而不得不被迫停止使用它。不过公平地讲，1988年是许多趋势跟踪交易系统遭遇到的灾难性的一年。

选择时间参数

构造一个通道突破交易系统所应采用的最佳时间参数是多少呢？我们在本文前半部分提及的Hochheimer的研究结果中有以下一些经过优化的参数：

商品 交易日 商品 交易日
可可 18 黄豆米 57
玉米 38 小麦 22
白糖 40 猪肉 38
棉花 70 豆油 42
白银 4 铜 29
大豆 51 胶合板 48


上面的优化参数在6年（1970-1976）的交易测试中被证实是赢利的。然而即使具备了这些优化的结果，仍只会有42%的交易属于赢利的，要知道市场经常会出现拉锯现象，而且以参数为4的白银通道交易系统为例，它在测试中总共制造了多达1866笔交易（每个交易日至少有一笔交易）。

将优化号的参数应用到通道交易系统之中很容易，但根据我们的经验，这些交易系统也很容易崩溃。就象Bruce Babcock在他的关于四周规则的测试报告中显示的情况那样，单一一个数值可以有效地应用到多个不同的市场之中，但事实的情况是，如果S&P期指交易不包括在交易测试之内，整套交易系统的赢利性才算是卓越的。

William Gallacher在他的著作《Winner Takes All: A Privateer’s Guide to Commodity Trading》中，提供了他对10个不同的商品市场基于130周的10日通道交易系统的后台测试结果。测试结果表明这个简单的10日通道交易系统的年收益率在24%左右。

我们自己经过广泛的研究和测试表明，18日是个不错的时间参数，这个参数能在多个商品市场中长时间有效。我们的观点是在10-30日这个时间区间内的任何数字都是可用的参数，一般都能够带来赢利。随着时间参数的变化，指标所产生的拉锯现象出现的时间和程度也有所不同。

运用中立区降低交易风险

   南加里福利亚州的一个基金管理人提出了一种既可以减少通道指标中出现的拉锯现象，又可以不减损指标的潜在获利能力的方法。他的交易系统针对进场和出场使用不同的时间参数，他的出场指标（通道下轨）的时间参数是进场指标（通道上轨）的一半，也就是说，如果大豆市场的进场点是市场价格突破近20日的最高点时，则出场点就设定在市场价格跌破近10日的最低点处。

   这相对于Donchian的交易系统来讲在市场风险的控制上具备了很大的优势，它在通道中创建了一个中立区域（在这个区域内不发生交易），在性质上脱离了纯粹的反转交易系统（Reversal System）的范畴，它不但能够更好地防止市场在不规则波动下出现的拉锯现象，而且还可以在市场趋势转为下跌时更快速的出场，从而能够保留更多的利润。（完）
http://hi.baidu.com/xuxiangwei68/blog/item/bcf1565dfca83548faf2c01d.html

英文版《四周规则》及《周规则》！

英文版《四周规则》及《周规则》！

A technical charting interpretation of the
Donchian's Four Week Rule/Price Channel

By Alex Martin

The Four-week Rule is a basic method that may not seem glamorous in the company of Fibonacci Numbers and Japanese Candlesticks - but it is a profitable method that is still used today.
Despite its obvious shortcomings, as a trend-following system, - it works well in up or down trends, but not sideways trends - the Four-week Rule is a tool that should be in every technical analyst's repertoire. It was developed by Richard Donchian in the early 1970s for commodities and futures, and has been successfully applied to stock analysis.
The question is: How can you make it work for you?
Also known as the "Price Channel" or "Donchian Channels," the Four-week Rule may be a basic tool. But in the right hands, it can be powerful. In other words, the rules may be simple, but applying them is not. It works to the extent of the analyst's abilities.
The rules according to Donchian
The Four-week Rule is a method that includes a set of charting rules that are generated from the price channel as well as a set of trading rules. The mistake that some analysts make is to use the price channels without the trading rules. It is the combination of both sets of rules that make the method effective.
The charting rules
The price channel generates the following signals when applied to stock charts:
        buy signals are produced when the price closes above the upper band of the price channel; and,
        sell signals are generated when the price closes below the lower band of the price channel.

The trading rules
1.        When the price is at its highest in a four week period, buy long and cover short positions.
2.        When the price falls below the lows of a four week period, sell short and liquidate long positions.
3.        This last rule only applies to future traders, which is "to roll forward, if necessary, into the next contract on the last day of the month prior to expiration.

As you can see from Figure 2, trend-following systems react to movements rather than attempting to predict them. The trend breaks before the price closes below the lower band of the price channel.

When interpreting the price channel on charts, buy signals are generated when the price channel has closed above the upper band as shown in Figure 3. The price channel tends to create quite a few signals during the course of the up trend.
For those who use technical stock screeners, use a screen with a rising close condition where the price closes higher than the day before for three days, as well as a price that closes above the upper band. When we include a three-day rising close as well as a price channel breakout, the number of false signals is reduced as can be seen in Figure 4 below.

The stock used in all of the chart illustrations, was found using the following stock screen:
        price-channel buy, where the price penetrates the upper band, as well as the condition that the close for the last three days was higher than the day before it.
(The reverse does not apply during sell conditions, three consecutive days down is not the best pattern to wait for.)
Complimenting the Four-week Rule
So what can you do to increase the effectiveness of the Four-week Rule so that you don't miss opportunities due to the lagging indicators? And equally as important, how can you ensure that you aren't going to lose money in a volatile or sideways-trending market due to false signals?
One way to add certainty to the Four-week Rule is to use complimentary indicators or methods to generate additional signals that provide a warning or confirmation.
For example, you can use another trend-following system, the Five- and 20-day Moving Averages Method, also developed by Donchian, in conjunction with the Four-week Rule, to create combined signals that help you determine if the price has really generated a strong trend. Note: The rules in these two systems do not conflict with one another.
The Five- and 20-day Moving Averages Method
The Five- and 20-day Moving Averages Method includes several general and supplemental rules. These rules where initially intended for currency markets but can also be used to analyze stocks.
The method consists of the following rules:
Basic Rule A: Act on all closes that cross the 20-day moving average by an amount exceeding by one full unit the maximum penetration in the same direction of any previous closing when the closing was on the same side of the moving average.
Basic Rule B: Act on all closes that cross the 20-day moving average and close one full unit beyond the previous 25 closes.
Basic Rule C: Within the first 20 days after the first day of a crossing that leads to a trading signal, reverse on any close that crosses the 20-day moving average and closes one full unit beyond the previous 15 closes.
Basic Rule D: Sensitive five-day moving average rules for closing out positions and for reinstating position in the direction of the 20-day moving average are:
1.        Close out positions when the currency closes below the 5-day moving average for long positions and above the 5-day moving average for short positions, by at least one full unit more than the greater of either the previous penetration on the same side of the 5 day moving average, or the maximum point of any penetration within the preceding 25 trading days. Should the range between the closing price in the opposite direction to the Rule D closeout signal be greater than the prior 15 days than the range from the 20-day moving average in either direction within 60 previous sessions, do not act on Rule D closeout signals unless the penetration of the 5-day moving average exceeds by one unit the maximum range both above and below the 5-day moving average during the preceding 25 sessions.
2.        Reinstate positions in the direction of the basic trend (a) when the condition in paragraph 1 are achieved, (b) If a new Rule A basic trend is given, or (c) if new Rule B and Rule C signals in the direction of the basic trend are given by closing in a new low or new high ground.
3.        Penetrations of two units or less do not count as points to be exceeded by Rule D unless at least two consecutive closes were on the side of the penetration when the point to be exceeded was set up. (Richard Donchian, December 1974 Futures article), as quoted by Cornelius Luca in Technical Analysis Applications in the Global Currency Markets, 1997.

When we look at the charting signals in Figure 5 generated by the 5- and 20-day method, we can see that signals are generated earlier on in the trend than the price channel shown in Figure 6.
To better interpret the signals generated by the 5- and 20-day method, it is advisable to include an MA cross system such as Japanese Crosses.

Combining the 5- and 20- day moving average cross system with the Four-week Rule can help to confirm information about the potential trend change. These modifications are not intended to replace basic trend-following techniques - but to provide more information about the trend when price channel signals are generated.
In summary, getting the Four-week Rule to work for you may be as simple as - following the rules.
1.        Use it right - as a method with a set of trading rules and charting.
2.        Have discipline - buy and sell strictly according to the trading rules.
3.        Compensate for its shortcomings - no system is perfect.

The Weekly Rule

May 21, 2002 | By Shaun Taylor

Here we introduce you to the 'weekly price channel', or 'the weekly rule' for short. The history behind the weekly rule starts in 1970, a handbook entitled "The Trader’s Notebook", published by Dunn and Hargitt’s Financial Services, set out to compare the best trading systems of the day and present the findings to its readers. Richard Donchian, the developer of the 'four-week rule' (4WR) won the honor the best system. Designed to recognize trends in the commodities markets, the weekly rule was quickly adapted by others in the early stages of the development of technical analysis, as we know it today.  

How does this system apply to the stock markets? The 4WR is really no different from the rules surrounding the single-line moving average. It can be used to identify breakout patterns and trend reversals, and it can be used as filters. Critics point out that the weekly rule has the same kind of problem that the parabolic SAR system has when it comes to the inability for the system to be timely on market tops and bottoms. That being a negative aspect, a positive of the system is that it allows the investor to get involved in major trends as they are unfolding, with greater conviction that you are on the right side of the market.

If the technician wishes to make the system somewhat more sensitive to his or her trading technique, then he or she will shorten the time period of the number of trading days. For clarification, the 4WR has 20 trading days inside the system. On the other side of the coin, the investor may want to lengthen the number of trading days to be somewhat more conservative in markets where, for the most part, trends are non-existent, or sideways.

The more popular single-line moving averages are 10, 20 and 40 as well as 25, 50, 100 and 200. Notice that all these measurements can be both divided and multiplied by two. The relationship between the weekly rule and the single-line moving average is similar, in that increasing or decreasing the number of weeks or days creates more or less sensitivity. Start with the 4WR, and then divide or multiply by two. A principle of harmonics now comes into play, which states that each cycle moves in harmony with the other cycles that can be created with two being the multiplier or divisor.

Chart Created with Tradestation

You can see in the 2002 chart of Electronics Arts (ERTS) we are using a 20-day (four-week) price channel. Now, as the daily price action moves away from the lower band toward the higher band, the trend is developing in an upward direction and conversely the downtrend is in place as the price action moves away from the top band. You can also see that the buyer of this issue over 2002 was "whipsawed", back and forth as no real trend developed.

It's your money, invest it wisely. Learn, understand and then execute.
By Shaun Taylor