查看完整版本: Richard Donchian

轻仓 2007-3-13 19:19

Richard Donchian

ed seykota 用的是 Donchian 的5/20 MA均线系统,后来将它改良为EMA均线系统. OO Jhw@zn~

9l]Nb+y1bG 我查了一下,海龟用的也是Richard Donchian 的"通道突破系统" (Channel breakout system). 可笑的是中文版的海龟交易系统将 Donchian的名字翻译成"唐志仁",真是让人苦笑不得.所以文章最好还是看原版的.]U/d$]5[` \$aK/?
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从下面的文章看,这位"唐志仁"先生是技术派的先驱,活跃于1930年代,那正好是JESSIE LIVERMORE的时代刚谢幕的时候,也是美国1929年大崩盘后的恢复期间.RX#lZZo/?
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Richard Donchian graduates from Yale with a BA in economics and begins his Wall Street career in 1930. From 1933-1935 he writes a technical market letter for Hemphill, Noyes & Co. For several years thereafter, he publishes a stock market service, "Security Pilot," and sells it to brokerage houses.  During WW II he serves as an Air Force statistical control officer with a group they call the "Whiz Kids."  For two years after the war, he acts as economic trend analyst and market letter writer for Shearson Hamill & Co. Quotes from his "Market Outlook" letters appear in the Wall Street Journal and other financial publications. He joins Hayden, Stone in 1960 and becomes VP and Director of Commodity Research. He writes numerous articles including "Trend Following Methods in Commodity Price Analysis."  He publishes a weekly "Commodity Trend Timing" letter, based on his 5-20 moving average method and achieves a circulation of over 10.000.1G1l ]'Q;b

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Donchian's 20 Trading Guides (First publication: 1934)
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!C u?/@ m [M b General Guides:
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Beware of acting immediately on a widespread public opinion. Even if correct, it will usually delay the move.
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/d9{;Re\ From a period of dullness and inactivity, watch for and prepare to follow a move in the direction in which volume increases. t6}O(|z8aH

`{F o#eY\:yL Limit losses and ride profits, irrespective of all other rules.
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)B ?9zk8g"m oA Light commitments are advisable when market position is not certain. Clearly defined moves are signaled frequently enough to make life interesting and concentration on these moves will prevent unprofitable whip-sawing. 8d{M{6FT+p*e
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Seldom take a position in the direction of an immediately preceding three-day move. Wait for a one-day reversal.
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L_/r0r4|:p-U#{6{K Judicious use of stop orders is a valuable aid to profitable trading. Stops may be used to protect profits, to limit losses, and from certain formations such as triangular foci to take positions. Stop orders are apt to be more valuable and less treacherous if used in proper relation the the chart formation.
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_gP_2Q)}+|d In a market in which upswings are likely to equal or exceed downswings, heavier position should be taken for the upswings for percentage reasons - a decline from 50 to 25 will net only 50% profit, whereas an advance from 25 to 50 will net 100%
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In taking a position, price orders are allowable.  In closing a position, use market orders." 5m4pS jeR7ff
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Buy strong-acting, strong-background commodities and sell weak ones, subject to all other rules.
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f9MQ.p.y*e(eqWR$Z T Moves in which rails lead or participate strongly are usually more worth following than moves in which rails lag.
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XF-RV%MCU @ A study of the capitalization of a company, the degree of activity of an issue, and whether an issue is a lethargic truck horse or a spirited race horse is fully as important as a study of statistical reports. ;EYQJ,E)S

G l#T!~w"h(|'I&~g Technical Guides:{7xuWZhQ
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A move followed by a sideways range often precedes another move of almost equal extent in the same direction as the original move.  Generally, when the second move from the sideways range has run its course, a counter move approaching the sideways range may be expected.
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Reversal or resistance to a move is likely to be encountered  0n reaching levels at which in the past, the commodity has fluctuated for a considerable length of time within a narrow rangea&iz&u(j
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On approaching highs or lowsf"ny7_+ex
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Watch for good buying or selling opportunities when trend lines are approached, especially on medium or dull volume. Be sure such a line has not been hugged or hit too frequently. D{K;Iz/X
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Watch for "crawling along" or repeated bumping of minor or major trend lines and prepare to see such trend lines broken. F\f;V"J] H

4e6yG?!w"voI(B Breaking of minor trend lines counter to the major trend gives most other important position taking signals. Positions can be taken or reversed on stop at such places. .m#~ V[ D oKDT1_

(uV;z%r c Triangles of ether slope may mean either accumulation or distribution depending on other considerations although triangles are usually broken on the flat side. u+Z s;xi6G
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Watch for volume climax, especially after a long move. 2ok+[9D&Y~e)vL
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Don't count on gaps being closed unless you can distinguish between breakaway gaps, normal gaps and exhaustion gaps. 9s/sNs*t.z I&^{,@

v/^ v W;J&ae(TKx3} During a move, take or increase positions in the direction of the move at the market the morning following any one-day reversal, however slight the reversal may be, especially if volume declines on the reversal.

轻仓 2007-3-13 19:25

Richard Donchian
} K1cpU-k ~ b 6-Month-Rule Systemq5I(i?)}*}.S
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~n(y:O/js Richard Donchian (1905-1993)
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*VY)z9v'R#oDO Clip: [url]http://www.rddonchian.org[/url] 5J#\ `pm {m

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u@4hQ3}&f!s*A h Note: These results are for educational purposes only.
PaMsQ They do not imply any kind of trading recommendation.n/vf*kj:A L

$^\ xE,c8VG6z This particular sytem is particularly difficult to follow
-[-M%`9P.YB3uG%H&^-u and attempts to follow it may lead to substantial losses.
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N$\;RO y;^ RKg'?!FZJ The System Rules: ~R]i$P6D%x g

*Q\7`3o3g2ba 1. Place a buy stop to cover shorts and to go long at the 210-day high.po;J)k ~)j? T
2. Place a sell stop to liquidate longs and to go short at the 210-day low.+{0ZB~R
3. Size position so that risk to protective stop = 7% of current equity.
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)L2WDx D9v This sample portfolio contains S&P, 30-Bonds, Soybeans, Copper and Eurodollar.
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Z2p ]"MCf}(n [color=Red][size=3]这段是核心,翻译一下:7H_bo}R:Va
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系统规则: X#^U n6g7Xk/fG

^*r^I }6?X1b 1. 在210日最高点处放置一个 BUY STOP的反转指令. (指平掉空头仓位,并建立多头仓位) c3P*\+@].D
2. 在210日最低点处放置一个SELL STOP的反转指令. (指平掉多头仓位,并建立空头仓位)
s:~4k,E ^8d9wT9k 3. 止损为总资金的7%相对应的头寸规模[/size][/color]9K^i(M I6u
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Equity Curve
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Results Summary
5X*Dk9Tm Starting Date   01/02/1990  Starting Equity $1,000,000.00   8e4H|Ts~{9G
Ending Date 08/11/2006  Ending Equity $11,727,775.08  
L5MX&m {D#nT:~ Annualized Percent Return  0.16   Maximum % Drawdown  0.34   lQf&Ss
Bliss  0.47   Annualized Sharpe Ratio (Rfr=1%)  0.75   
2D8Pw(b"@{},FM+s Margin/Equity (est)  0.00  Ulcer Index  0.14   gmb8uIF2B hu q
Monthly Performance
} t;J+A ab4` JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR 3o;toaq6x,[,Z/d
2006 2.29 0.23 9.15 22.89 4.64 0.33 3.31 -2.36     45.61 YiZsmK7P}
2005 -2.38 0.17 0.07 0.25 4.24 2.21 7.32 -2.11 7.41 1.46 11.84 4.27 39.55 T&^L d)`pG6]
2004 6.14 16.99 1.04 -7.09 -4.55 -0.89 -5.12 -2.01 0.84 -3.50 5.29 2.36 7.54
(k D8K"h-H%m#P_3~[O 2003 -2.07 2.54 2.70 1.38 -2.51 2.98 -11.73 4.27 10.19 8.78 0.37 7.08 24.46 3^.x1`J c:{L
2002 0.18 1.46 -3.18 8.67 2.11 6.43 3.31 2.74 1.30 -3.29 -1.77 4.72 24.32 -Crsiv a%_
2001 7.59 5.70 5.42 -2.67 2.31 1.91 3.33 1.97 10.74 4.89 -5.10 -1.95 38.54 9E z'l,Z3j!v]
2000 -5.12 -3.82 -1.46 -0.62 -1.59 -2.11 3.05 -1.40 -2.92 -3.97 4.76 9.78 -6.20
Hx{ssu 1999 2.70 -1.44 1.61 -0.36 1.35 -1.86 -1.09 -1.53 0.84 1.47 1.45 7.95 11.28
$~'TMx(LHh 1998 4.37 1.85 5.74 -0.69 -1.27 7.12 -4.39 -6.45 5.94 -15.79 -2.81 -0.39 -8.80
:P w:~W H%I b9b*yL'^ 1997 4.62 -5.46 -6.34 5.28 8.19 -0.37 7.66 -3.10 5.46 2.71 5.11 1.72 27.01
~o-V4q FX1P.i#? 1996 -3.68 -2.88 0.86 -0.77 -1.76 5.68 -6.02 5.01 -0.14 -2.43 -0.26 -1.40 -8.09
N CG'g#Hl 1995 -5.61 -4.68 3.71 -3.43 10.77 2.90 -0.06 3.80 3.77 6.68 5.33 5.97 31.67
\/Z]{h+Es:[ 1994 -1.61 -6.21 -8.71 2.98 7.20 2.07 -7.45 0.08 12.37 4.03 9.94 -1.37 11.44 0y+G^-UJF I
1993 4.52 3.98 -1.09 7.06 -3.23 8.31 4.69 1.13 -0.31 0.03 0.96 1.34 30.31
f]@-l#u&ag 1992 -6.72 -3.62 1.63 2.90 -2.18 4.76 11.23 1.25 0.91 -8.08 -4.08 2.19 -1.35 'N"B LQ-?(G
1991 -5.50 -6.38 0.87 4.30 -3.96 1.44 -2.70 8.81 2.42 3.67 2.27 14.11 18.97
.jQ+NbT3yp 1990 0.00 1.36 5.91 19.60 -25.63 13.94 -8.27 -3.88 0.14 -0.44 -9.19 15.60 0.40 9Bt.^7T jm a!Z

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Trade Log
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n6v#|?&~,m!F7W Equity Log:Ga7APZ

^0El dXO2dB$h\"b [[i] 本帖最后由 轻仓 于 2007-3-13 19:38 编辑 [/i]]

轻仓 2007-3-13 19:27

"唐志仁"的 Fans为他建立的网站:
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e^ V&Y/M [url]http://www.rddonchian.org/[/url] Qb*`| H8Y HFR g @

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"唐兄的生平" :BiographyINDt'\,C] y

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5K#N-x|L3tFo Richard Donchian is known as the father of trend following. His original trend following ideas form the basis for all trend following success that has followed, including Richard Dennis. Donchian's original methods involved the use of a moving average for the entry/exit indicator portion of his system. Richard Dennis, however, did not use a moving average for entry/exit and concentrated much more heavily on money management than Donchian. Money management accounts for 90% of the Turtle success story. Then once you have that down, your psychology accounts for 100% of your success8~&M\EWxo~

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1C,A k)D3H'fhU Richard Davoud Donchian was born in Hartford, Connecticut, in September, 1905, the son of Samuel B. Donchian and Armenouhi A. Davoud, both of whom migrated from the Armenian province of Turkey in the 1880's. Richard attended public schools in Hartford, the Taft School in Watertown, Connecticut, and graduated from Yale University in 1928 with a B.A degree in economics. Upon graduation, he entered the family's oriental rug business.@w hq@ N z

,[3\e \rN I!Uo Although he appreciated studying about and collecting oriental rugs, he became more interested in the financial markets after reading the book about Jesse Livermore, Reminiscences of a Stock Operator. After suffering personal financial losses during the market crash of 1929, he began his study of technical analysis, believing that only the chartists made sense and money. While continuing to serve as a Vice President of the Samuel Donchian Rug Company, he became a securities analyst and account executive with Hemphill, Noyes & Co. in 1933.
(@8G?:h1k|5M2s Y;sf9h 这段很有意思,从先人身上可以看到我们的影子:
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9`(I a#tl j-Jl4Q2{ [color=Red][size=2]虽然他喜欢学习编织东方地毯,但在阅读了 Jesse Livermore的<股票作手操盘术>后他的兴趣转移到了金融市场. 在1929年的股市大崩盘他遭受了资金损失后,开始研究技术分析并相信只有图表才对赚钱有帮助. 在担任Samuel Donchian Rug Company (塞弥儿.唐志仁 地毯公司)副总裁期间,他于1922年成为了 Hemphill, Noyes & Co. 公司的证券分析师和操盘手?  (Account executive如何精译?)[/size][/color]3?2d%Hw%I5SY
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During World War II, he participated in the invasion of Sicily and later served as an Air Force Statistical Control Officer in the Pentagon. After the war he returned to the world of investments as a private investment adviser and economic analyst, remaining self-employed until 1960. In 1948 his focus changed from securities to the trading of commodities. He created "Futures, Inc.," a pioneer publicly held commodity fund, based on the principle of diversification, an idea new in this field. He was later dubbed the 'father of modern commodities trading methods," having developed a technical trading method called "trend following," which presupposes that commodity prices will move in long sweeps like bull and bear markets. He used a mathematical system based on moving averages of commodity prices. During this period, he authored numerous articles on both securities and futures trading.+?l)jv&p5U | C

7}~+ws z/?A1Jhy In 1960 he became associated with Hayden Stone Inc., as Director of Commodity Research. From then until his death on April 24, 1993, he was associated with the various configurations of Hayden Stone and Shearson Lehman Brothers (now Smith Barney) and was a Senior Vice President. Also in 1960 he became responsible for writing a weekly technical newsletter entitled "Commodity Trend Timing," which he continued to author for 19 years. In 1963 he was awarded a Chartered Financial Analyst degree from the Institute of Chartered Financial Analysts at the University of Virginia.
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p*g+Ug;c.k Mr. Donchian was best known for his pioneer work in the field of commodity futures money management. He was a member of the Commodity Exchange, Inc., the New York Cotton Exchange, the New York Futures Exchange, the New York Society of Security Analysts, the American Statistical Association, the National Association of Future Trading Advisers, the Financial Forum, and listed in Who's Who in America. In June 1983 "Managed Accounts Report" selected him as the first recipient of its "Most Valuable Performer Award," for outstanding contributions to the field of commodity money management.%[ZFS2oWYtUF
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[[i] 本帖最后由 轻仓 于 2007-3-13 21:40 编辑 [/i]]

轻仓 2007-3-13 22:01

终于找到了一些中文的资料:&i%t'o;mG

Q\/Qni Richard Donchian 趋势追踪交易系统的先驱
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Richard Donchian 趋势追踪交易系统的先驱               
"K4GD,P8p#Z~mP 通道指标的应用  来自：Technical Traders Bulletin / 编译：Izul         
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6qSjs%@(C9K;`     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。    b&d g0Z"Z'f4z+H

r qw`.q4u i*U a6Y/W     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）。
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    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）。
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第一节：依据通道分析交易D+Mxe8x3PB;f.r

4ru@{:x&C)b     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。Td @-j @2^\:`3eeA
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    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。 rQ |#w Xe2g:}

QAP z3nP     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。F4P6p#?oNFvF

_y[U T {}     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。
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H|!N3T8aBk+L0K     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。
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通道指标的通用交易规则9ds"sv*~1d
    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：
fx%q"j%_Mw     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。aVD_d x&_6N?
    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。|f*f8FVT)l mJ5n
    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。0p O-C2P1h${

7K)]%\(l,G 通道最优的百分比参数7in#~&bUP^Ga`p
    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：#X:Lv,zU7[
商品 均线参数 通道参数% crN4nu!xyFx
玉米    45       3.2
])]5SX o D R 大豆    20       4.0 Q-]5iyI#@;fT2y$m
小麦    39       4.2
2fk@6Y9X.H4yi5? 白糖    36       4.8 +ap5_7z'j&F vQ1R
铜      39       1.0
u!F0xW)` 可可    43       6.2
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在通道内交易
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    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。yk Wgc3N

_:jo ot;Z b"s-B$]     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。

轻仓 2007-3-13 22:04

第二节：根据通道突破交易
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7v6U1LmZc     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。
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    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。
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    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。g dC"x0PKM
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    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。
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1mJ1h D\sqI     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。
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6men+Ld5c!y%X1w:d     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。7c;Ol r-WPS

s.I8q _#D]I:H)w     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。V0z?,A3Wl)h(Z6_
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    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。
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G0u7aNCN+{ mP 选择时间参数yQpF S2F9VdP^{

*R(hiZ/N3x h     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&I%g-X1r z0`oN8V

-sa*W ?Yt u 商品 交易日 %k.s!m`:IhM&j
可可 18 uvv+y;B
黄豆米 57 Y+THe+z L,`:V y:f
玉米 38
G t-t(b)O)x_ 小麦 22 U4F#Qd(xuI
白糖 40 ~8t3~EOR1d!aV+~
猪肉 38 iI-T"G:vd*s
棉花 70 /} j]f6n6n9Z^"e|7]
豆油 42
T$vT)ND R(Q 白银 4 I2b+@I6nif"r
铜 29
h(T%Gyk3~m 大豆 51
(o6Q(qwsSP4I(l 胶合板 48   
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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。(M"\ xFL!zF d.I

lB7ga {y#H F:d8V     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。
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w*J^*qSN.]     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
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       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。
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m-qCyF TS4r        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。

jojo 2007-3-14 11:13

收藏

树静风止 2007-3-14 11:25

呵呵。好东西，收藏下来。%lgE)A!d5U&C [U
:yct63

enmy 2007-3-19 02:08

:yct40 谢谢

死者归来 2007-3-19 11:40

好资料:yct63

cucn 2007-8-16 01:25

谢谢楼主了~~支持一下

sandy 2007-9-4 22:41

好东西，顶上来。

fatcat858 2007-10-24 19:32

好东西，学习中

kkk65 2007-10-24 22:50

好资料。感谢中

kkk65 2007-10-24 22:50

好东西，学习中

sysr 2007-10-25 00:32

好东西，学习中

汇高 2007-11-4 19:35

谢谢!!!!!!!!!!

112233qq 2007-11-4 23:04

看不太懂，但是谢谢分享

barrychen76tom 2008-9-5 16:04

kankan

barrychen76tom 2008-9-5 16:37

ddddd

barrychen76tom 2008-9-5 16:37

eeeeeeeeee
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