【原文推送】克罗谈投资策略（02）

A Good Technical System Is Just Half What You Need

A few years ago, I addressed a gathering of some 600 investors at a technical trading seminar in New Orleans. It was a three-day meeting sponsored by the Technical Analysis Group, also known as Compu-Trac — an excellent organization whose annual seminar is designed to help members acquire a better understanding of technical trading tools and to examine the latest studies of market behavior. The topic of my address concernedthe steps you need to focus on after you've developed or acquired a good technical trading system: viable market strategy and tactics combined with sound money management.

几年前，我在新奥尔良一场技术交易研讨会上，对约600位投资者演讲。这次会议，是技术分析团队主办的，为期3天。这个团队也叫“电脑追踪”，是个很优秀的组织，每年都举办研讨会，帮助会员吸取更好的技术交易工具，同时检查关于最近市场动向的研究资料。我的演讲内容是：在你发展出或取得良好的技术交易系统之后，需要采取哪些行动？我的看法是，你需要有效的市场交易策略和战术，并加上优秀的资金管理。

It is the combination of the two – the technical trading system and the sound strategy and tactics – that can put you in the ranks of the consistent winner. And they can keep you there most years.

同时拥有两者，也就是既有技术交易系统，又有优秀的交易策略和战术，你就可以进入赢家的行列。而且你可以长期赚钱。

Many traders feel that they can beat the markets with a good technical system or a good charting approach. In fact, a good technical system, or even an accurate trend projection, is only half of what is required for success. It is not enough to accurately identify a market trend or the price objective of a given move – and that itself is tough to do. You still have to resort to a viable strategy in order to maximize the profits on your winning positions and minimize the losses on your adverse ones.

很多交易者都觉得，只要有良好的技术交易系统，或良好的看图方法，就能打败市场。事实上，良好的技术交易系统，甚至精确的趋势预测，只是成功的一半而已。光是准确地找出市场的趋势，或某一趋势的价格目标，还是不够的，更何况要做到这种程度已经十分困难。为了让赚钱的仓位赚的更多，亏钱的仓位亏的更少，你必须采用一套有效的策略。

This was brought home to me a number of years ago when I was operating my own clearing firm at 25 Broad Street in lower Manhattan. I met with some clients who were professional traders to formulate a strategy for garnering real profits from the market over the coming months. They operated as a little trading group and had been consistently losing due to their short-term focus, their lack of discipline in timing of trades, and their total disregard for any kind of consistent or viable market strategy. After reviewing a number of markets and projecting probable trends and price objective, I suggested cocoa was then trading around the 12.00 level, and I offered the thesis that we could see the market advance into the low 20.00s. We were unanimous in that analysis (which, knowing what I now know, should have gotten me very nervous). We commenced our bull operation that afternoon, with each of us picking up an initial long position around the 12.00 mark.

谈到这里，我就想起多年前在曼哈顿南区25号大街经营自己的清算公司的往事。那时我碰到几个客户，他们都是专业交易者，一直在想办法拟定策略，希望从未来几个月里大捞一笔。他们的运作情况像是一个小型的交易团队。以前，由于专注于短线，交易时没有纪律，完全漠视前后一致或有效的策略，所以老是亏钱。检查了很多市场的情况，而且预测它们可能的趋势和价格目标之后，我建议未来几个月交易可可豆。那时可可豆的价位在12.00左右，我预测会涨到20.00出头。大家都同意这个分析（要是当时我知道现在所知道的，自己一定会捏一把冷汗）。那个下午我们就开始做多，每个人都在12.00附近建立了一个初步的多头仓。

We were right. Over the coming months, Cocoa did get up to the 22.00 level! And I made some money on the deal, although not as much as I should have for being so accurate in my analysis. What of my colleagues? Well, over the six-month period, they actually ended up losing nearly $200,000. How could that have happened? They started buying at the 12.00 level, had correctly projected the price to the low 20.00s, and had sold off their final long contracts right up at that level. So what went wrong?

我们分析对了。几个月后，可可豆果真涨到了22.00！这次交易，我赚了一些钱，当然，并没有赚到我分析的那么多。至于那些老兄呢？哎，前后6个月内他们亏了约200000。怎么会这样？他们是在12.00开始买入，而且价格果如所料地涨到20.00出头，他们都在这个价位平掉最后一份合约，那又是什么地方出了差错？

Well, they started the campaign as cautious buyers (I couldn’t figure that out, as they had plunged heavily in nearly all their other losing plays) and kept increasing the size of their buy orders as the market advanced from 12.00 to 15.00. Unfortunately, their position resembled an upside-down pyramid, and at the very first technical reaction, their account went into a big loss. When the margin clerk sent his familiar greetings, they panicked, dumping their entire position. If that weren’t dumb enough, they committed the classic blunder! They went short, reasoning that they would take advantage of the downswing to recoup their recent heavy losses. Short on a technical reaction in a major bull market! Not surprisingly, they weren’t quick enough to reverse back to long when the market inevitably resumed its advance. They took a beating on the short position as well. This typified their trading during the ensuing months. By the time the dust settled and we all sold out our final longs around the 22.00 level, they had contributed some $200,000 in trading losses to the other, not necessarily smarter but more disciplined and strategically superior, players.

原来他们一开始很谨慎（我想不通，其它亏钱的交易中，他们都是一头栽进的），价格从12.00涨到15.00途中，他们在慢慢提高加仓的数量。很不幸，他们的仓位像个倒金字塔，遇到第一次回调，他们的账户就出现很大的亏损。当期货经纪公司职员寄来那份熟悉的催缴保证金通知书时，他们大为恐慌，赶紧把整个仓位平掉。如果这还不算糊涂的话，接下来他们就犯了典型的错误。多头仓位平掉之后，他们推断，可以利用眼前的一波下跌趋势，把刚发生的庞大损失捞一些回来，于是做空。在大多头市场的技术性回调处做空！一点也不奇怪，当市场不可避免地恢复上涨时，他们没办法迅速转成做多。空头仓位也一样亏损。接下来几个月，他们的交易情况一直是这样。等到尘埃落定，我们全都在22.00平掉最后的多头合约时，他们发生了约200000的交易损失，这笔钱拱手让给了不见得比他们聪明，但更能严守纪律，策略上也比较高明的其他玩家。

Clearly, their strategy and tactics represented the perfect example of how not to trade the markets. They zigged (sold) when they should have zagged (bought); they zagged when they should have done nothing but watch the market and count their profits. You can almost profile good market strategy by describing the exact opposite of what these hapless professional traders did.

很显然，他们的策略和战术，是绝佳的反面教材。他们在应该买入的时候卖出了；应该静观其变，计算利润的时候，他们却买错了。只要照着这些不幸的专业交易者所作所为反其道而行，几乎就可以说明什么叫做良好的市场策略。

This little cocoa misadventure is just one of the more graphic examples of the lengths to which futures traders will go in ignoring the most basic tenets of good market strategy and money management on the way to becoming big losers. Most speculators create these disasters unintentionally, but the result is still the same: big losses.

这件小小的可可豆不幸事件，只是很多鲜活例子中的一个。我们可以找到不少例子，说明期货交易者是如何一再忽视优秀市场策略和资金管理的最基本原则，最终成为大输家的。大部分投机者都是无意中制造了这些灾难，结果都一样：重大损失。

Some time ago, Mr. A. phoned and complained that the trading system he had been using at my recommendation wasn’t working. He had just taken a big hit and was down to some 35 percent of his original capital. On the face of It, this spoke poorly for the technical system. His declaration seemed extraordinary to me, since I too had been following this particular system and knew that it had been performing quite satisfactorily. “How much capital did you start with,” I inquired, “and what was the largest position you’ve had since going on the system?” His reply was a real shocker. He had started with $25,000 and his largest position at any one time had consisted of 15 corn, 10 wheat, 1 sugar, 1 cocoa, 2 lumber, 2 hogs, and 1 Swiss, for a total of 32 contracts. I then asked if he had read and understood the manual that accompanied the system. He said that he had. How then, could he have been sitting with 32 contracts when the manual clearly advised a maximum of 6 contracts for the $25,000 portfolio? I also asked him why he was in cocoa when the manual recommended $50,000 as the minimum size account for carrying cocoa. But the most startling aspect of all this was his lumber position, which was the biggest loss in his account. Lumber isn’t even on the system.

前些时候，A先生来电话抱怨，说我推荐的交易系统一点都不管用。他刚刚在市场栽了大跟斗，本金亏损约65%。表面上听起来，这套技术交易系统好像很差。但他这么说，让我觉得很奇怪，因为我也一直用这套系统，结果却相当令人满意。我深入问他：“你一开始投入多少资金？开始使用这套系统后，你最大的仓位是哪个？”他的回答令人震惊。他一开始投入25000元，任何时候仓位都有15份玉米、10份小麦、1份糖、1份可可豆、2份木材、2份活猪和1份瑞士法郎，总共是32份。我问他，有没有看过和确实了解这套系统所附的手册。他说有。那么，为什么手册里明明写着25000元的投资组合，最多只能持有6份合约，他却持有32份？我又问他，为什么手册里建议可可豆最低投资金额是50000元，他要买可可豆？但是这还不要紧，最叫人吃惊的是他的木材仓位，木材仓位是他的投资组合中亏钱最多的。我们的系统中根本没有木材。

So why had he done these self-destructive things? And why had he spent nearly $3,000 for a good long-term computerized trading system, only to completely ignore both the trading signals and the strategies? Like most speculators, bad trading habits are difficult to overcome. Bad trading habits? This hapless gentleman obviously traded on the basis of emotion instead of discipline, sentiment instead of logic, and subjectivity instead of objectivity. He allowed his fear of losing to overcome his hope of winning. When the system agreed with the positions he wanted to take, he took the positions. When the system was at odds with the positions he wanted to take, he still took the positions. In short – he used his own system instead of the tested and proven one in his computer. His system was deceptively simple – hold on to the losing positions and close out all the profitable ones as soon as they showed even a few hundred dollars profit. He apparently was out to prove that his trading decisions were superior to those of the computer system. The bottom line results confirmed that they weren’t. Well, at least he learned his lesson from all this, right? Wrong! He attributed his losses and his underperformance relative to the system to an unfortunate run of bad luck. Can you imagine that?

他为什么要做这种自我毁灭的事情？为什么他花了3000元左右，买了套那么好的长期电脑交易系统，却又完全忽视交易信号和策略？他跟大多数的投机者一样，坏的交易习惯很难克服。坏的交易习惯？这位不幸的先生显然是根据自己的情绪喜恶去交易，没有严守纪律；凭一时冲动行事，不用逻辑性的思考；用自己的主观意见，舍弃客观态度。他让输的恐惧战胜赢的希望。交易系统指示的方向跟他希望建立的仓位相同时，他当然会去建立仓位，但是当系统和他想建立的仓位不同时，他会照自己的想法建仓。简言之，他是用自己的系统，没有用电脑中经过测试，证明有效的系统。他自己的系统是——持有亏钱的仓位，如果赚了钱，哪怕只有几百元，也要快速平仓。他显然是想证明他的交易决定比电脑交易系统所做的决定要好。最终结果证明他错了。那么，他已经吸取教训了吧？没有！他把自己的损失和表现不如交易系统，归咎于运气不佳。你能想象这样的事吗？

Lest you think that this sort of experience is just an isolated one, I received shortly afterwards a visit from a gentleman who had purchased the same computer system and had made the mistake of giving it to a professional broker to operate for him. He had done even worse than the previous fellow, having lost about 90 percent of his starting capital of $10,000, and he had some serious reservations. Again, I asked the same opening question and was told that the $10,000 account had commenced trading with corn, hogs, Swiss, sugar, and mini-silver; in some instances, more than a single contract. A cursory glance at the trading summary confirmed what I fully suspected – not only had the starting position been much too large for the capital, but the account had been grossly overtraded. In the presence of this trader, I reviewed his account vis-a-vis the signals generated by the system he thought he had been using – but which, in reality, he was not. I demonstrated to his satisfaction that had he followed both the signals and the strategy mandated by the system, he would have been down by only 20 percent. He would have had sufficient capital left to try to recoup the losses and get into the plus column – a far cry from the hopeless situation he was now in.

如果你认为这只是个别情况，那我再举个例子。在这之后不久，有位先生来找我。这个人买了同样的电脑交易系统，却犯了一个错误，他把这个系统交给一个专业经纪人去交易。他的下场比上面所说的那个人还惨，原始投资10000，亏了9成左右。我开门见山问他同样的问题，他答说10000资金交易的是玉米、活猪、瑞士法郎、糖和银；大多是同时持有几份合约。粗看他的交易纪录，果然证明我的怀疑没错——以他的资金来说，不但刚开始建立的仓位太大，而且交易频繁。当着他的面，我根据系统所发的信号，检查了他账户的进出情况。他一直认为自己完全照系统所指示的行事，其实没有。我一一剖析，他听得频频点头称是。我说，如果他完全依照系统所指示的信号和策略去做，他只会亏20%。这么一来，他会留下足够的钱去翻本，甚至还有赚——跟眼前的悲惨处境相比可以说是完全不同。

There is a good, solid lesson here, and it is this: In both cases, the system didn’t fail the traders, the traders failed the system-and themselves as well.

这里有个很深刻的教训：在这两个例子中，系统都没有伤害交易者，是交易者伤害了系统——也伤害到了自己。

There is no single system or technical trading method, nor will there ever be one, that can be a winner all the time. However, a number of solid systems, when used properly and in conjunction with sound trading strategy and money management (and that certainly includes not overpositioning or overtrading), can provide the operator with an important edge in the quest for consistent profits. They enable the trader to win more on his profitable trades and to lose less on his unprofitable ones-and that’s a significant edge we are always seeking.

这个世界上没有任何系统或技术交易方法能永保胜利，将来也不会有。但是，我们可以找到很多不错的系统，如果使用得当，并配以优秀的交易策略和资金管理（当然包括不要建立过大的仓位，也不要频繁交易），可以让交易者有能力做到长期赚钱。它们可以让交易者在赚钱的仓位上赚到更多，亏钱的仓位上亏的更少——这正是我们一直在寻求的优势。

Another important element of strategy that further contributes to this winning edge relates to the problem, and the ultimate decision, of which markets to get into when taking positions. I was recently faced with an interesting market dilemma and would like to share with you both the problem and my solutions. I opened a new account with an investor in San Francisco and was evaluating which markets to put him into. In terms of the currencies, my system had been long the yen for the past six months with a substantial profit on the position but had just recently gone short the Swiss with just a small profit on the open position. I wanted to have a position in a currency, but which one? I decided on the short Swiss, since the position had only recently been signaled and the reversal stop was just 35 points above the market. This limited the loss to some $475 per contract, whereas the stop on the yen position was much further away, equating to a bigger dollar risk. Here is the practical embodiment of one aspect of my strategy which mandates that you do not allow (well, try not to allow) a good profit to turn into a loss. What is a good profit? A profit of 100 percent or more of the position’s margin.

另外还有一个重要的策略成分，就是在建立仓位时，到底选择哪个市场。最近我碰到了一个很有意思的两难问题，在这里提出来，跟读者分享我的解决方法。我替旧金山一位投资者开了新账户，并评估哪个市场适合他进入。就外汇来说，依据我的系统，我6个月来一直做多日元，赚了不少钱，也在做空瑞士法郎，赚的钱少点。我希望能建立外汇仓，但是要选择做哪一种货币？我决定做空瑞士法郎，因为这个仓位是前不久根据信号才建立的，而且反转止损点只比现价高35点，如此算来每份合约最多亏475元，而日元仓位的止损点距离太远，风险比较大。我的策略很现实，其中一点就是不要让（或者说是设法不要让）还算不错的利润变成亏损。什么叫还算不错的利润？我指的是100%的利润或者是比投入的保证金还多的利润。

Continuing with my problem of deciding on the initial positions for this new account, my computer system was short all three grains – beans, corn and wheat. I opted to take just one of these positions. With the grain markets down quite severely and in a rather oversold position, even a modest rally could be severe. I wanted to limit my exposure on the short side of grains. So which one would it be? I would want to be short either the weakest market or the one with the closest reversal stop. The stop on corn was 16 cents – quite a high risk for this relatively slow-moving market. The stop on beans was even further at 44 cents. This short position had been signaled some 14 months earlier and had large profit. Nevertheless, 44 cents, equal to $2,200 risk, was excessive for a new position. However, the buy stop on wheat was just 9 cents above the current market, equating to a risk of some $500 per contract, including commissions. My decision seemed obvious: Sell the wheat. The risk was the smallest of the grains, and, if the market continued to decline as the major trend seemed to indicate, the reversal stop would continue to follow the market down to a no-loss and, soon enough, a locked-in profit. Here is a straightforward example of viable market management in a routine day-to-day situation.

继续谈新账户的建仓问题，我的电脑交易系统指示做空3种谷物——黄豆、玉米和小麦。我只想选一种建仓。由于谷物市场跌幅相当大，卖超严重，即使是温和的反弹，幅度也可能相当大。我希望能够限制做空谷物的风险。那么该选哪个呢？我想选趋势最弱的一个，或者是选反转止损点离现价最近的商品来做。玉米的止损点是16分——相对于变化缓慢的市场来说，风险实在很大。黄豆的止损点更高，是44分。空头信号在14个月前就已发出，获利盘很大。但是，44分，相当于2200元的风险，对于一个新仓来说，未免太高了些。小麦的买入止损点只比现价高9分，相当于每份合约约500元的风险，含手续费在内。因此我的决定似乎十分明显：做空小麦。3个谷物中，做空小麦的风险最小，如果市场如主趋势显示的那样继续下跌，那么反转止损点就会不断跟着市场走低，直到绝不会发生亏损的地步，不久后便会锁定利润，包赚不亏。这便是每天例行工作中，有效市场管理策略的明显例子。

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