金融贫农：三重滤网--亚历山大•艾尔德_futures_xmaya-forex,forex ...

三重滤网更新
One of the most pleasant encounters that occur several times eachyear is
when a trader comes up to me at some conference and tells me howhe
started trading for a living after studying my book orparticipating in a Camp. At
that point, he may be living and trading on a mountaintop, and asoften as not
he owns the mountaintop. I noticed long ago that half-way throughour
conversation these people become slightly apologetic. They tell methey use
Triple Screen, but not exactly the way I taught it. They may havemodified an
indicator, added another screen, substituted a tool, and so forth.Whenever I
hear that, I know I am talking to a winner.
在一些会议期间，有交易者走过来告诉我，他说在阅读了我的书或参加我举办的
交易训练营之后，就开始了自己的交易生涯。这是最快乐的见面，如此高兴的谈
话场景，我每年总能经历数次。也许当时他已经在山顶生活和交易了，通常他不
会拥有这个山顶。我很早就留意到在交谈中，这些交易者会略有歉意。他们说采
用了我的三重滤网，不过并没有wq遵循我的指导。他们可能把我教的三重滤网
交易系统做了一些改动，修改一个指标，再添加一重滤网，替换了某种工具等等。
当我听到这些时，就明白这些人是市场的赢家。
First of all, I tell them they owe their success primarily tothemselves. I did not
teach them any differently than the dozens of others in the sameclass.
Winners have the discipline to take what is offered and use it tosucceed.
Second, I see their apology for having changed some aspects of mysystem as
an indication of their winning attitude. To benefit from a system,you must test
its parameters and fine-tune them until that system becomes yourown, even
though originally it was developed by someone else. Winning takesdiscipline,
discipline comes from confidence, and the only system in which youcan have
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confidence is the one you have tested on your own data and adaptedto your
own style.
首先，我告诉他们，他们的成功主要归功于他们自己的努力。我教给他们的内容
和教给同一课堂里数十位同学的内容是一样的。赢家有纪律接受自己需要的内
容，并用它取得成功。其次，他们改动了我的交易系统，为此向我道歉时，我认
为他们的做法是赢家的态度。要想从一个交易系统中受益，必须测试参数，做出
优化调整，直到这个系统符合自己的性格为止。即使这个系统是由别人发明的，
也应如此。要想获胜，需要纪律，纪律来自信心。只有你运用自己的数据来测试
系统，并且将它调整成适合自己的风格时，你才会对这个交易系统怀有足够的信
心。
I developed the Triple Screen trading system in the mid-1980s andfirst
presented it to the public in 1986 in an article in Futuresmagazine. I updated it
in Trading for a Living and several videos. Here I will review it,focusing on
recent enhancements.
我在80 年代中期发明了三重滤网交易系统，在86 年的《期货》杂志上{dy}次
写文章公开发布。后来我在《以交易为生》和几段录像中对它作了改进，在这里
我做下回顾，并将gz的焦点放在最近的改动上。
What is a trading system? What’s the difference between a method, asystem,
and a technique?
什么是交易系统？一个方法，一个系统和一个技术之间的区别是什么？
A method is a general philosophy of trading. For example; tradewith the trend,
buy when the trend is up, and sell after it tops out. Or - buyundervalued
markets, go long near historical support levels, and sell afterresistance zones
have been reached.
方法是通用的交易哲学。比如，顺势交易，趋势上涨时买入，顶部形成，下跌时
卖出。或者在市场被低估时买入，在价格接近历史支撑区时买入，达到阻力区时
卖出。
A system is a set of rules for implementing a method. For example,if our
method is to follow trends, then the system may buy when amulti-week
moving average turns up and sell when a daily moving average turnsdown
(get in slow, get out fast). Or - buy when the weeklyMACD-Histogram ticks up
and sell after it ticks down.
系统是为执行方法而建立的一套原则。比如，如果我们的方法是跟踪趋势，交易
系统会在周均线上涨时建立多头仓位，并在日均线弯头下跌时卖出（缓进快出）。
或者，当周线级别的MACD 柱上涨时买入，下跌时卖出。
A technique is a specific rule for entering or exiting trades. Forexample, when
a system gives a buy signal, the technique could be to buy whenprices
exceed the high of the previous day or if prices make a new lowduring the day
but close near the high.
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技术是进场或出场时采用的明确具体的原则。比如，当系统发出买入信号时，技
术就是在价格超过前一日{zg}点，或者价格当日创下新低却在高点附近收盘时，
买入。
The method of Triple Screen is to analyze markets in severaltime-frames and
use both the trend-following indicators and oscillators. We make astrategic
decision to trade long or short using trend-following indicators onlong-term
charts. We make tactical decisions to enter or exit usingoscillators on shorterterm
charts. The original method has not changed, but the system - theexact
choice of indicators - has evolved over the years, as have thetechniques.
三重滤网方法是对市场用不同的时间周期来分析，并同时运用趋势指标和振荡指
标作为研判工具。用长期图表上的趋势指标进行分析，做策略决定，是做多，还
是做空。在短期图表上采用振荡指标，做战术决定，确定进场点和出场点。最初
的方法没有改变，但是系统——所采用的指标——则随着年月的增长而有所演
进，技术也是这样演进。
Triple Screen examines each potential trade using three screens ortests.
Each screen uses a different timeframe and indicators. Thesescreens filter out
many trades that seem attractive at first. Triple Screen promotes acareful and
cautious approach to trading.
三重滤网采用三重过滤或测试的方法对每笔可能的交易进行检验。每重滤网都采
用了不同的周期和指标。这些滤网淘汰了许多乍看之下诱惑人心的交易。三重滤
网采用明察审慎的态度来对待交易。
Conflicting Indicators
指标的冲突
Technical indicators help identify trends or turns more objectivelythan chart
patterns. Just keep in mind that when you change indicatorparameters, you
influence their signals. Be careful not to fiddle with indicatorsuntil they tell you
what you want to hear.
在确认趋势或反转时，技术指标比图表更为客观。注意，如果你改动指标参数，
你就影响了指标信号。千万不要为了得到自己想看见的东西而不断调整指标。
We can divide all indicators into three major groups:
我们可以把所有指标分为三类：
Trend-following indicators help identify trends. Moving averages,MACD lines,
Directional system, and others rise when the markets are rising,decline when
markets fall, and go flat when markets enter trading ranges.
趋势指标有助于确认趋势。有移动平均线，MACD，方向系统等等。这些指标的
特点是市场上涨时，指标也上涨，市场下跌时，指标也下跌。市场是盘整时，指
标也随着走平。
Oscillators help catch turning points by identifying overbought andoversold
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conditions. Envelopes or channels, Force Index, Stochastic,Elder-ray, and
others show when rallies or declines outrun themselves and areready to
reverse.
振荡指标通过确认超买超卖状态捕捉反转点。有包络线或通道，力量指数，随机
指标，艾尔德射线指标等等。这些指标通过确认市场涨跌过头的情况来提示反转。
Miscellaneous indicators help gauge the mood of the market crowd.Bullish
Consensus, Commitments of Traders, New High - New Low Index, andothers
reflect the general levels of bullishness or bearishness in themarket.
综合指标有助于辨识大众的市场情绪。有情绪指标，持仓量报告，新高新低指数
等等，它们反映市场涨跌心理的整体水平。
Different groups of indicators often give conflicting signals.Trend-following
indicators may turn up, telling us to buy, while oscillators becomeoverbought,
telling us to sell. Trend-following indicators may turn down,giving sell signals,
while oscillators become oversold, giving buy signals. It is easyto fall into the
trap of wishful thinking and start following those indicators whosemessage
you like. A trader must set up a system that takes all groups ofindicators into
account and handles their contradictions.
不同类型的指标经常发出相互矛盾的信号。趋势指标上涨，叫我们买，而同时振
荡指标却已处于超买状态，叫我们卖。趋势指标下跌。给出做空信号，而振荡指
标却处于超卖状态，给出做多信号。这种情形下，交易者容易掉进一厢情愿的陷
阱，他会选择他喜欢的指标信号交易。交易者必须建立一个系统，能够对各类指
标进行综合考虑，并能处理不同类型指标之间的矛盾。
Conflicting Timeframes
不同时间周期的冲突
An indicator can call an uptrend and a downtrend in the same stockon the
same day. How can this be? A moving average may rise on a weeklychart,
giving a buy signal, but fall on a daily chart, giving a sellsignal. It may rally on
an hourly chart, telling us to go long, but sink on a 10-minutechart, telling us to
short. Which of those signals should we take?
同一个指标能在同{yt}告诉我们一只股票既处在上涨趋势，又处在下跌趋势。怎
么会这样？同样的均线，在周线图上是上涨的，发出买入信号；但是在日线图上，
均线却是下跌的，发出卖出信号。同样，60 分钟图里均线上涨，提示做多，而10
分钟图里均线却下跌，提示做空。我们应当如何处理这些矛盾的信号呢？
Amateurs reach for the obvious. They grab a single timeframe, mostoften daily,
apply their indicators and ignore other timeframes. This works onlyuntil a
major move swells up from the weeklies or a sharp spike erupts fromthe
hourly charts and flips their trade upside down. Whoever said thatignorance
was bliss was not a trader.
业余选手选择最明显的信号，并仅仅盯着单一的时间周期，通常是日线图，他们
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用日线图使用指标分析，忽略了其它的时间周期。这种做法只在周线图产生上涨
的主趋势时才会有效，否则小时图上发生的剧烈变动会让他们的交易变得一团
糟。交易者不应当忽略不同时间周期间的关系。
People who have lost money with daily charts often imagine theycould do
better by speeding things up and using live data. If you cannotmake money
with dailies, a live screen will only help you lose faster. Screenshypnotize
losers, but a determined one can get even closer to the market byrenting a
seat and going to trade on the floor. Pretty soon a margin clerkfor the clearing
house notices that the new trader’s equity has dropped below limit.He sends a
runner into the pit who taps that person on the shoulder. The losersteps out
and is never seen again - he has “tapped out.”
有些人用日线做交易亏了钱，他们经常一厢情愿地认为，如果加快交易频率并且
采用即时数据，交易会有所起色。实际上，如果用日线图不能赚钱，那么即时数
据只会让交易者亏的更惨。屏幕上纷纭变动的数据让这些输家陷入了迷乱状态。
也有更顽固的人采取了极端作法，跑到交易所里租了一个席位，采用场内更为快
速的数据来交易。很快，清算所的保证金职员就会注意到，这个新面孔的资金发
生缩水，并到达风险警示水平。于是工作人员进场通知这个不幸的人，输家起身
出场，从此销声匿迹——他，出局了。
The problem with losers is not that their data is too slow, buttheir decisionmaking
process is a mess. To resolve the problem of conflictingtimeframes,
you should not get your face closer to the market, but pushyourself further
away, take a broad look at what’s happening, make a strategicdecision to be a
bull or a bear, and only then return closer to the market and lookfor entry and
exit points. That’s what Triple Screen is all about.
发生上述的问题，原因不是数据传输太过迟缓，而是他的决策过程混乱无序，没
有章法。解决时间周期冲突的问题，交易者不应当进一步接近市场，而是后撤—
—用大视野来把握大势。策略上，确定多空方向，然后再接近市场，去寻找进场
点和出场点。这就是三重滤网要探讨的。
What is long term and what is short term? Triple Screen avoidsrigid definitions
by focusing instead on the relationships between time-frames. Itrequires you
to begin by choosing your favorite timeframe, which it callsintermediate. If you
like to work with daily charts, your intermediate timeframe isdaily. If you are a
day-trader and like five-minute charts, then your intermediatetimeframe is the
five-minute chart, and so on.
什么是长，什么是短？三重滤网理论避开了僵化的定义，将重心放在不同周期间
的关系上，从而巧妙地解决了这个问题。首先，你要选择你最喜欢的时间周期，
它被称为中周期，如果你喜欢日线交易，那么你的中周期就是日线图，如果你是
日内交易者，喜欢用5 分钟图，那么中周期就是5 分钟图。依次类推。
Triple Screen defines the long term by multiplying the intermediatetimeframe
by five (see “Time - The Factor of Five,” page xx). If yourintermediate
timeframe is daily, then your long-term timeframe is weekly. Ifyour
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intermediate timeframe is five minutes, then your long-term ishalf-hourly, and
so forth. Choose your favorite timeframe, call it intermediate, andimmediately
move up one order of magnitude to a long-term chart. Make yourstrategic
decision there, and return to the intermediate chart to look forentries and exits.
按照三重滤网的定义，将中周期乘以5，即可得到长周期。（请看“时间——5
的因素”）。若你的中周期是日线图，则长周期是周线图。中周期是5 分钟图，则
长周期是30 分钟图，以此类推。选择你喜欢的交易周期，把它定义为中周期，
然后将它放大，形成上一级别的长周期。在长周期图表上制定策略，再返回到中
周期来寻找进场点和出场点。
The key principle of Triple Screen is to begin your analysis bystepping back
from the markets and looking at the big picture for strategicdecisions. Use a
long-term chart to decide whether you are bullish or bearish, andthen return
closer to the market to make tactical choices about entries andexits.
三重滤网的核心原则就是开始分析时，首先后撤一步，采用大视角考察长期图表，
以制定策略，确定多空方向。然后再接近市场，做出战术决策以寻找进场点和出
场点。
The Principles of Triple Screen
三重滤网的原则
Triple Screen resolves contradictions between indicators andtime-frames. It
reaches strategic decisions on long-term charts, usingtrend-following
indicators - this is the first screen. It proceeds to make tacticaldecisions about
entries and exits on the intermediate charts, using oscillators -this is the
second screen. It offers several methods for placing buy and sellorders - this
is the third screen, which we may implement using eitherintermediate - or
short-term charts.
三重滤网解决了指标和交易周期存在的相互冲突的矛盾。首先在长期图上采用趋
势指标制定策略——这是{dy}重滤网。然后在中期图表上运用振荡指标来确定进
场点和出场点——这是第二重滤网。三重滤网提供了数种方法来设置买卖订单—
—这是第三重滤网，我们可以采用中间图或短期图来安排交易单。
Begin by choosing your favorite timeframe, the one with whosecharts you like
to work, and call it intermediate. Multiply its length by five tofind your long-term
timeframe. Apply trend-following indicators to long-term charts toreach a
strategic decision to go long, short, or stand aside. Standingaside is a
legitimate position. If the long-term chart is bullish or bearish,return to the
intermediate charts and use oscillators to look for entry and exitpoints in the
direction of the long-term trend. Set stops and profit targetsbefore switching to
short-term charts, if available, to fine-tune entries andexits.
首先选择你最喜欢的周期，把你交易的周期定义为中周期。然后把这个周期的长
度乘以5，得到长周期。在这个长周期上采用趋势指标，制定策略，确定做多，
做空或是观望。观望也是合理的做法。如果长期图看涨或看跌，则返回到中期图，
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用振荡指标来寻找顺应着长期趋势方向的进场点和出场点。在切换到短期图表之
前，设置好止损和利润目标，如果可能，jq地调整好进场点和出场点。
SCREEN ONE
{dy}重滤网
Choose your favorite timeframe and call it intermediate. Multiplyit by five to
find the long-term timeframe. Let’s say you prefer to work withdaily charts. In
that case, move immediately one level higher, to the weekly chart.Do not
permit yourself to peek at the dailies because this may color youranalysis of
weekly charts. If you are a day-trader, you might choose a10-minute chart as
your favorite, call it intermediate, and then immediately move upto the hourly
chart, approximately five times longer. Rounding off is not aproblem; technical
analysis is a craft, not an exact science. If you are a long-terminvestor, you
might choose a weekly chart as your favorite and then go up to themonthly.
选择你最喜欢的交易周期，并将它定义为中周期。再把它的长度乘以5，得到长
周期。如果你选择日线作为中周期，则立刻将注意力移到周线图，在你的长期图
表上进行分析。在这个决策过程里，不允许再看日线图，因为这会影响你对周线
图的分析。如果日内交易者把10 分钟图做为中周期，则须将注意力立即移到60
分钟图。6 分钟图和10 分钟图的5 倍，也就是50 分钟图略有差异，不过无碍大
局，毕竟交易只是一门技艺而不是jq的科学。如果你是长线交易者，你可以选
择周线图作为中间图表，并把月线作为长周期。
Apply trend-following indicators to the long-term chart and make astrategic
decision to trade long, short, or stand aside. The original versionof Triple
Screen used the slope of weekly MACD-Histogram as its weeklytrendfollowing
indicator. It was very sensitive and gave many buy and sellsignals. I
now prefer to use the slope of a weekly exponential moving averageas my
main trend-following indicator on long-term charts. When the weeklyEMA rises,
it confirms a bull move and tells us to go long or stand aside.When it falls, it
identifies a bear move and tells us to go short or stand aside. Iuse a 26-week
EMA, which represents half a year of trading. You can test severaldifferent
lengths to see which tracks your market best, as you would with anyindicator.
在长期图表上采用趋势指标进行分析，并制定策略以确定做多，做空或是观望。
最早的三重滤网采用周线图的MACD 柱作为趋势指标，它非常敏感并发出许多
买卖信号。而现在我更喜欢采用周线图上的均线作为我长期图表上的主要趋势指
标。当周线图上的均线上涨时，则表明是上涨趋势，应当做多或观望。当它下跌
时，则表明是下跌趋势，应当做空或观望。我采用26 周均线，原因是它代表了
半年来市场大众的交易活动。交易者可以测试均线的参数并寻找到适合特定市场
的优化均线。其它指标同理。
I continue to plot weekly MACD-Histogram. When both EMA andMACDHistogram
are in gear, they confirm a dynamic trend and encourage youto
trade larger positions. Divergences between weekly MACD-Histogramand
prices are the strongest signals in technical analysis, whichoverride the
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message of the EMA.
我在周线图上继续画MACD 柱，当均线与MACD 柱协调一致，彼此呼应时，则
表明确立了动力十足的趋势，鼓励交易者交易较大仓位。而周线图上MACD 柱
与价格发生的背离，则是技术分析中最强烈的信号，甚至超过了均线的信息。
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Figure 6.1 Triple Screen - Weekly Chart
图6.1 三重滤网——周线图
Gaming stocks tend to do well in a weak economy - gambling appealsto
people down on their luck. In 2000 and 2001, as the broad stockmarket was
declining, gaming stocks put in a stellar performance. AllianceGaming, for
instance, rallied from below 2 to over 40, with very few pullbacks.How could
Triple Screen help us benefit from this performance?
在经济不景气的情况下，游戏公司的股票还表现不错——人们喜欢db，赌运气。
在2000 年和2001 年，整个股市在跌，游戏公司股票却在慢慢发展。比如说联
合游戏公司，从2 以下涨到40 多，中途很少有回调。如何让三重滤网帮助我们
取得收益呢？
The pattern between points A and B is called a saucer bottom, aslow drawnout
minimal decline and just as minimal a rise on hardly any volume.Still,
during that time ALLY had managed to put in a bullish divergence ofMACDHistogram,
a hugely powerful signal that is rarely seen on weekly charts.It
traced a low in area A, but could not even push below zero at thebottom of the
saucer. The first vertical arrow marks the point whereMACD-Histogram starts
trending higher. A few weeks later the weekly EMA also turns up,and at that
point, with both weekly indicators trending up, ALLY becomes ascreaming buy.
It is time to switch to the daily charts and look for buyingopportunities. The
second vertical arrow marks another period when both the EMA andMACDHistogram
are in gear to the upside, and then the stock doubles in a fewweeks.
The clean, steady uptrend of the weekly EMA keeps telling us totrade ALLY
only from the long side.
A 点和B 点之间的模式叫圆底，慢慢地下跌，慢慢地上涨，几乎没有成交量。然
而，在这期间，联合游戏的MACD 柱形成了看涨背离，在周线图上是巨大的有
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力信号。它在A 区域跟踪到了低点，但是不能把它压到0 轴以下。{dy}个垂直
向上的箭头是MACD 柱开始上涨的地方。几周后，周均线也上涨，在那里，2
个周指标都上涨，联合游戏可以买入。此时可以转到日线图去找买入机会。第二
个垂直向上的箭头标明均线和MACD 柱第二次一致向上，然后几周内股价翻番
了。这种一致的，稳定上涨的周均线一直在告诉我们买入联合游戏。
At the right edge of the chart, the weekly EMA keeps trendinghigher, but wildly
volatile price action shows that the easy portion of the uptrend isover. MACDHistogram
is moving opposite the EMA, warning of high volatility ahead.The
relatively easy money is off the table.
在图的右边，周均线继续上涨，但是剧烈波动的价格表明稳定的上涨已经结束。
稳定的收益已经不存在了。
SCREEN TWO
第二重滤网
Return to the intermediate chart and use oscillators to look fortrading
opportunities in the direction of the long-term trend. When theweekly trend is
up, wait for daily oscillators to fall, giving buy signals. Buyingdips is safer than
buying the crests of waves. If an oscillator gives a sell signalwhile the weekly
trend is up, you may use it to take profits on long positions butnot to sell short.
返回到中期图表，并且采用振荡指标来寻找顺应长期趋势方向的交易机会。当周
线趋势看涨时，等待日线振荡指标回落并发出买入信号。在回调时买进，比在浪
顶买入要安全。周线看涨，而日线振荡指标看跌时，也可以把先前的多单平仓，
获利出局，不过，交易者不能在此位置建立空头仓位。
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Figure 6.2 Triple Screen - Daily Chart
图6.2 三重滤网——日线图
The uptrend on the weekly chart keeps telling us to trade ALLY fromthe long
side or stand aside. With the daily EMA also rising, we haveseveral options.
We may buy when prices pull back to their rising daily EMA, or whenshortterm
Force Index dips below zero. The upper channel line provides alogical
profit-taking target. An experienced trader can pyramid hisposition, adding to it
whenever a new buy signal appears and only tightening stops insteadof
exiting at the upper channel. That channel keeps getting wider asprices rise -
from 10 points wide in April to 16 in July.
周线图上的上涨一直告诉我们要做多联合游戏，或者观望。日线图上均线也在上
涨，我们有几个选择。日线图中当价格回调到上涨的均线时买入，或者当短期力
量指数跌到0 以下买入。通道上线是合理的利润目标。有经验的交易者会金字塔
加仓，当新的买入信号出现时加仓，做好止损，而不是在通道上线出场。当价格
上涨时通道在变宽——从4 月的10 点增大到7 月的16 点。
At the right edge of the chart, the alternating spikes of ForceIndex warn
traders that the days of relatively easy money are over. The markethas
become hysterical, and the likelihood of trend continuation is low.Better bank
your winnings and go look for another stock in another group thatis rising or
falling quietly, not yet discovered by the market crowd.
在图的右边，力量指数指针在变化，它告诉交易者轻松赚钱的日子已经过去了。
市场已经疯狂，趋势延续的概率不大了。{zh0}是把利润存进银行，从其它股票池
里找到正在慢慢上涨或下跌的股票，{zh0}大众还没有发现。
When the weekly trend is down, look for daily oscillators to rise,giving sell
signals. Shorting during upwaves is safer than selling new lows.When daily
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oscillators give buy signals, you may use them to take profits onshorts but not
to buy. The choice of oscillators depends on your tradingstyle.
当周线图趋势下跌时，等待日线图振荡指标上涨并发出做空信号。在反弹时做空，
要比创新低时进场做空安全。当日线的振荡指标发出买入信号时，可以把空单平
掉，获利出局，不过不应当在此建立多头仓位。振荡指标的选择，取决于你的交
易风格。
For conservative traders, choose a relatively slow oscillator, suchas daily
MACD-Histogram or Stochastic, for the second screen. When theweekly trend
is up, look for daily MACD-Histogram to fall below zero and tickup, or for
Stochastic to fall to its lower reference line, giving a buysignal.
保守的交易者会选择一个相对慢速的振荡指标，例如日线上的MACD 柱或随机
指标，以用于第二重滤网的分析。当周线图趋势上涨时，等待日线图MACD 柱
回落至0 轴之下，并再度上涨时，或者等随机指标回落到超卖区发出买入信号时
寻找做多机会。
Reverse these rules for shorting in bear markets. Whentrend-following
indicators point down on the weekly charts, but dailyMACD-Histogram ticks
down from above its zero line, or Stochastic rallies to its upperreference line,
they give sell signals.
下跌市场则反之。当周线图的趋势指标表明趋势下跌，则日线图的0 轴之上
MACD 柱掉头下跌，或者随机指标上涨到超卖线并且发出做空信号时寻找做空
机会。
A conservative approach works best during early stages of majormoves, when
markets gather speed slowly. As the trend accelerates, pullbacksb