No.1 important for frog: 止损点的设定--by Cobra

oldfairy

止损点的设定(很重要的话题) - 答资深潜水

引用:

原帖由 资深潜水 于 2007-11-15 01:44 PM 发表 someone said the stop loss percentage is 7%, any comments? why 7%?

 

这个本来我想写的，但一直没空。今天的这个话题非常非常重要，可以说是最重要的了。

 

Investor's Business Daily(http://www.investors.com/)的创办人O'Nile在他的How to Make Money in Stocks (http://www.amazon.com/How-Make-Money-Stocks-Winning/dp/0071373616/ref=pd_bbs_1?ie=UTF8&s=books&qid=1195145200&sr=8-1)的书里提到，他用8%的止损，当股票收益超过20%的时候，他套利，除非该股票在半年内（我可能记错）的收益就已经达到了20%，这种情况，他会继续持有。这个8%是目前比较常用的止损。为什么是8%呢，这跟O'Nile的20%套利有关。好的Trader每次进货前都要评估他的这次交易的Risk Reward Ratio。一般至少都要1：2，这样才能保证输两单，只要赚一单回来就不赔钱了。O'Nile的20%基本上是8%的两倍。

 

另外还有一个基本规则，被一个叫Turtle Trading的Group采用，就是说Never risk more than 2% of your total capital。简单的说你有100,000，那你每单所允许的最大损失就不能超过2,000。

 

好了，加上我们上面说的8%的止损，那么我们就得到你每只股票最多能投入多少钱：2000/0.08 = 25,000。这是最基本的风险保护了。

 

8%呢，有个问题，有的股票波动非常大，每天的波幅可能都会有8%，这就使得8%的止损很容易被触发。而有的股票呢，波动非常小，每天的波幅可能只有1%，这又使得8%的止损过大。专业一点的Trader呢，会用一个叫Average True Range（ATR）的东东来定止损。什么是Average True Range呢，简单得讲，就是计算一定时间段（通常是10天）的股票每天的波动幅度，然后平均一下，这就是10 days average range，所谓的True Range呢，是把跳空的情况也计算在内了，这样得到的平均交易区间就比较精确。实际使用中当然这个ATR还要乘上，比如说2，这样的理由是股票不可能一天的波幅超过它平均波幅的两倍。根据这个方法，假设我们有只股票的ATR10的值为0.18，那么ATR10 * 2就是0.36，你最多能在这个股票上投资2000/0.36 = 5555.55。

 

以上是最基本的风险控制了，每次买入股票，切记切记，第一件事就是设定止损。关于设定止损，我会另有介绍，解释两个注意点。

 

那么再高级点的呢，我就不详细说了，没有经验的不建议使用。

 

1. Swing Low，最简单的例子是用三天前的最低价做stop。理由嘛，我既然看涨，那么就应该涨，如果错了，那就早点割吧。

2. Moving Average，这个就是为什么50日，200日等等均线很重要的原因，很多长期投资的都会将止损设在这附近，这个这个，我是MM，我就猛砸，砸过这两根线去，肯定有收获。嗯，其他MM可能不干，所以砸也是有风险的。

3. 特定时间内的最大Range。比如你通常持有股票的时间为20天，那你就用该股票前20天内最大的Range，当然要计算跳空的部分。

4. Risk Reward Ratio，这个解释很麻烦，总之，要找个Risk低的点，通常是个Narrow Range，就是说很小的蜡烛，然后，这个这个。

5. 时间止损。比如持有不超过一周，又比如，两周内如果收益低于多少多少。

6. Parabolic SAR。这个自己看。http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:parabolic_sar

oldfairy

其实我贴这个最重要的原因，也是给置顶的原因就是让新人一定要止损。

 

 

原帖由 moneymaker 于 2008-12-10 19:49 发表 如果交易象 EEV 这样的，setting stop loss is not easy

oldfairy

Setting Stop Loss Orders (zz)

STOP LOSS ORDERS: HOW SHOULD THEY BE SET? One of the most difficult arts in swing trading is setting the stop loss order. Put the stop loss too close to your entry price and you are liable to exit the trade due to random market fluctuations. Place it too far away, however, and if you are wrong on the trade, then a small loss could turn into a painfully large one. A stop loss is an order placed with your broker that will automatically close your trade when the stock you are trading reaches a predetermined price. When the stop level is reached, your stop becomes a market order and the shares you hold are liquidated. Most brokers will allow two types of stops – "good until cancelled" (GTC) and "good for the day." (Please note that, in practice, many "good until cancelled" stops will need to be reinstated at the beginning of each new trading month. This of course will depend upon which broker you use.) Although most traders advocate placing stops, it is worth noting that this practice has its skeptics. Long-term, fundamentally oriented investors will tell you that when a stock goes lower, it doesn't necessarily mean you should sell. In fact, if the fundamental story that motivated the purchase remains intact, it might actually signal a buying opportunity instead. Critics of stops will point out several disadvantages of the stop loss order. By placing the stop you are guaranteeing that, should your trade move in the wrong direction, you will end up selling at lower prices, not higher. If you are unsure about the position, then why not just bite the bullet and sell instead of waiting for a decline to take you out of the trade? The skeptics will also argue that in setting stops you are vulnerable to their being "run." Most traders have probably had the experience of setting a stop loss, seeing the stock price retreat to that level, or just below, and then go zooming into the stratosphere. What might have been a profitable trade instead turns into a loss. Given that stop loss orders tend to congregate at key points, when one stop is touched, others are set off (like dominos). Because the stop becomes a market order when hit, you also may be forced to exit your trade at a lower price than your stop was set at. That is particularly true with thinly trading stocks. So, with all of these disadvantages in mind, why would traders ever want to set stops at all? Well, almost all trading experts will tell you that stop losses are an important part of trading discipline, as they can prevent a small loss from becoming a disastrously large one. What's more, by diligently setting stop losses whenever you enter a trade, you end up making this important decision at the point in time when you are most objective about what is really happening with the stock. During instances when I cannot monitor an open trading position, I will also always make sure to set a stop. That is certainly true if I travel and am away from the market for more than a day. But it is also the case intra-day when I can't watch an open position even for a few hours in real time. Unexpected news can come out of the blue and dramatically affect a stock's price. There is also an important saying I try to practice -- "The first loss is the best loss." In other words, when a position is going against you, it is best to cut your losses immediately. Again, if you set your stop loss when you enter a position, then that is when you are most objective. By doing so, you save yourself the emotional difficulty of deciding when to "cry uncle" if the stock is going against you. A key question for swing traders is exactly where to place a stop loss. In other words, how far should you place the stop below your purchase price? Many traders will tell you to set a predetermined "maximum acceptable loss" amount based on your personal account rather than technical analysis of the stock in question. One line of thinking says that you should not lose more than -2% of your equity on any one trade. If you have $60,000 in stock market capital, then that would mean the maximum loss you would accept on any one trade is $1,200. If you risked $6,000 by buying 600 shares of a $10 stock, then you would limit your risk to no more than $1,200. In that case you would set your stop loss at $8 and would have $4,800 left if you exited the position at the maximum loss allowed. Another method of setting stop losses is to predetermine an arbitrary percentage of your purchase price you are willing to lose. One well-known figure -- suggested by William O'Neil, publisher of Investor's Business Daily -- states that you should never lose more than -8% of your position on any given trade. In the case of the above example, you would set your stop loss at $9.20, or 8% below $10. For swing trading, I have found that -8% losses are unacceptably high. As such, almost all recent trades I've suggested in my Swing Trader newsletter have stop losses between approximately 4 and 6%. Although predetermined amounts are useful for preventing unacceptably large drawdowns in your account balance, they unfortunately have nothing to do with the stock's behavior itself. The market doesn't know at what price you bought the stock or what your overall account balance is, nor does it care. As such, stop losses that are set as arbitrary amounts leave traders vulnerable to being kicked out of a position for no reason other than normal market volatility. Let us take the example of Cognizant (CTSH) -- a stock currently on our watch list and one that I analyzed in detail in our October 4th Swing Trader issue. CTSH remains in a strong uptrend, trading above rising 30-, 50-, and 150-day moving averages and continues to demonstrate excellent relative strength versus the broader market. For the sake of example, let's imagine you bought 300 shares at Thursday's close of $31.12 for a total investment of $9,336. Let's also assume that your total account size is $60,000. Limiting your loss to 2% of your account size, or $1,200, would mean setting your stop at $27.12. Meanwhile, limiting your loss to 8% of the stock's price would see the stop set at $28.63. Although these two methods may suggest absolute amounts that are not that far apart, they ignore key technical levels shown by the stock itself. Neither of these stop losses has anything to do with the important technical support or resistance levels seen in the chart. As this example shows, setting stops based only on personal information is apt to lead to poor swing trades. What then is the answer to how to set stop losses? My answer is that very careful technical analysis of both the hourly and daily charts are needed to determine the level at which a trade is not acting "as it should" if it is going to be profitable. I will develop this thought in detail next week.   COMBINING THE DAILY AND HOURLY CHARTS IN SETTING THE STOP LOSS One of the most difficult arts in swing trading is setting the stop loss order. Put the stop loss too close to your entry point and you are liable to exit the trade because of random fluctuations. Place it too far away, however, and if you are wrong on the trade, then a small loss could turn into a painfully large one. Last week I discussed the practice of setting stop loss levels only in reference to one's personal account. One trading methodology says lose no more than 2% of your capital on a trade. Another says you should set your stop loss at a maximumof 8% on any trade. I expressed skepticism about these methods because they were based on personal information, not market information. They had nothing to do with the underlying stock's technical behavior. I used the example of Cognizant to show that using personal information only, stops would vary between $27.12 and $28.63 -- neither of which represented the true technical level at which the trade should be exited. What then is an appropriate method? I believe stop losses should be set by combining analysis of both the daily and the hourly chart. The daily chart will typically reveal the stock's Intermediate trend -- the trend lasting one month or more. The hourly chart, on the other hand, will show the Minor trend -- the trend lasting five to fifteen days and sometimes longer. While it can be tempting to use only the daily chart when setting the stop loss, the swing trader should carefully look at the hourly chart for short-term trendlines, support, resistance and indicator information. A final decision should be made by integrating information from both timeframes. Let's return to Cognizant -- the stock used in last week's analysis. I first placed CTSH on my "Stocks to Watch" list at $29.49 and predicted it would hit a high between $32 and $33 (it reached $33.05 on Wednesday, October 13th). For this example, I'm going to assume the trade was in fact entered at $29.49 and as of Thursday's close of $32.16 there was a profit of +9% to protect. The question becomes, where should the stop loss now be set? (This type of stop loss is called a trailing stop.) Analysis of the daily chart provides important information. It shows that CTSH has excellent relative strength and that the trendline describing its outperformance of the S&P 500 is intact. On any market strength, CTSH should be a leader and the shares should march higher. MACD is on a buy signal and continues to make new highs. CCI, however, is showing bearish momentum divergence (as price has risen, this indicator has headed lower). That is an early warning flag. CTSH began the current leg of its uptrend at $19.60 in mid-May. A trendline connecting this low with the late-July and early-August bottoms now intersects the chart near $28. Interestingly, Cognizant peaked at $27.93 in late July and on the pullback in late September hit a low of $27.94. If CTSG were to break this support level and break the trendline, then the reason for being in the trade would be invalidated. The stop can be set at $27.79, a few cents below important support. Right? If I set the stop loss there, then I would allow a +9% gain to turn into a -5.8% decline. That would violate one of the cardinal rules of swing trading: If at all possible, do not let a profit turn into a loss. The daily chart, at least in this case, does not provide sufficient information for me to appropriately set the stop loss. An examination of the hourly chart gives me information not clearly available on the daily. For starters, I can now observe that both hourly MACD and CCI are demonstrating bearish divergence -- a clear warning that the stock is losing steam. Further, since September 27th the stock has been rallying, but volume has been declining. That represents bearish volume divergence and is yet another signal that buyers are not eager to pay higher prices as the stock rallies. A trendline drawn off the September 27th low now intersects the chart at about $31.05. There is also a small ledge of hourly support and resistance near $31.20. If both of those levels are broken, then CTSH will likely retreat to round-number support at $30 and could pull back even further if the market was very weak. At $30, virtually the entire profit from the entry point of $29.49 will be eroded. In this case, I would therefore set the stop at $30.89 -- far enough below the rising trendline that it should not be hit if the trendline is tested (but not broken). A stop at that level would preserve a portion of the gain while also giving the opportunity to participate in a further advance if CTSH holds support at $31.80 and then moves higher. In setting stop losses, it's essential to combining the daily and hourly chart messages. If you have not been following this practice in your swing trading, then now may be the time to start.

oldfairy

Our basic Moving Average Crossover Trading Strategy has fared well with the Euro/US Dollar through the last year of trading, as extraordinary volatility benefits the trend-trading strategy. Yet the trick is to devise money management techniques that protect us through times of especially low volatility but do not hold us back when markets break out.
The recent influx of new speculators in the forex trading market has been met with a similarly pronounced outflow of existing traders. Extremely volatile market conditions have clearly been detrimental to many participants, and much of this effect relates to popular trading strategies in the market today. In our last article we discussed one of the major reasons for losses in the average forex trading strategies: poor money management. It is subsequently helpful to examine popular trading strategies and identify exactly where many traders go wrong—fixing mistakes in our own trading.
What can we learn about Moving Average trading strategies?Good money management comes down to one all-too-popular trading aphorism: let your profits run and cut your losses short.  Almost every popular trading guide says this, but all too few give the reader good examples of what constitutes proper money management. Of course, part of the difficulty comes from the fact that there is no definite answer or definitive guide on what to do. Our job is to establish analysis techniques that allow us to determine what to do in specific situations.

For the purposes of this article, we will revisit one of the basic strategies discussed in our earlier introduction: the Moving Average Crossover Trading Strategy.

Our basic Moving Average Crossover Trading Strategy has fared well with the Euro/US Dollar through the last year of trading, as extraordinary volatility benefits the trend-trading strategy. Indeed, moving average strategies exploit major shifts in price action and latch on to trends in their early stages. Yet the strategy is not without its flaws, and the equity curve above emphasizes that it spent many years trading sideways before making its big break. Thus the trick is to devise money management techniques that protect us through times of especially low volatility but do not hold us back when markets break out.
Before we do so, it is helpful to think of what the strategy attempts to accomplish: catch major trends as they first begin. We use three moving average lengths to give us different information about price momentum. If the fast moving average moves below the medium and slower lines, we know that overall price momentum has shifted to the downside. Yet such signals operate with a clear lag, and they imply that price has fallen fairly significantly through previous price action.

How do we protect against this?A study of the strategy’s long-term performance highlights its key weakness, and our job is to fine-tune money management to protect against its prolonged periods of underperformance. Based on our experiences with the RSI strategy, our immediate temptation is to simply place a tight stop loss on our Moving Average system. Yet it is clear that no two systems are alike, and it is important to consider the differences between the two different approaches to trading.
Setting Stops for our Moving Average Crossover StrategyThe single most important factor in determining where to set our stops is how far adrift a trade usually goes before becoming profitable. Clearly we want to set our protective stop loss at a level such that it will protect us but not interfere with successful trades. As such, we’ll look for the “Maximum Adverse Excursion” of profitable trades and set stops accordingly. The chart below shows exactly how much in losses we incur and whether the trade is, in the end, profitable.

Our chart once again gives us important insight into the effectiveness of our strategy. For instance, we see that the majority of highly profitable trades have very little adverse excursion; profitable trades are most often correct from the outset. We likewise note that our biggest losing trade was far smaller than the equivalent in our RSI Trading Strategy (as seen through the last article), and there is arguably less of a reason to employ aggressive protective stop losses.
All the same, our chart tells us that any trades with an adverse move of over $1,500 (in this case, 150 pips) has never turned a meaningful profit. We could potentially limit all trades to a maximum 150-point protective stop-loss, but we likewise note that this may not be the optimal strategy. A very good number of the trades that draw down over 150 pips subsequently retrace and register smaller losses.
Setting Limits for our Moving Average Crossover StrategyGiven that moving average crossovers operate with a substantial lag, it is likewise important to watch for instances in which we can improve returns by setting hard profit target levels. Our analysis for take-profits will essentially be the same as our protective stop levels except in reverse.

The Moving Average Crossover strategy clearly has big winners, but we likewise see that it has been unable to capture its largest potential profits on a handful of key trades due to its inherent lag. Though we can never reasonably expect to capture profits at the perfect moment, we likewise do not want to throw away several clearly successful trades. Our maximum profit captured was approximately 1200 pips, and a take-profit above this level would have generated a pickup in net-profits.
The next step is to combine our analysis into solid money management. For the purposes of this article, we obviously have the benefit of being able to automate strategies and quickly see the net result of small changes. Yet there is no reason we couldn’t do this manually—it would just obviously take more time. (No one said this would be easy!)
In exploring different stop loss and limit order levels, we are not necessarily looking for the perfect number. Optimizations can be very deceiving because they tell you what worked well in the past and not necessarily in the future. Given such dangers, we are looking to simply gain a better understanding of the strategy’s relative strengths and weaknesses.
Finalizing our Money Management for the Moving Average Crossover StrategyThe charts below show us the effects of different levels of stop-loss and take-profit levels for our Moving Average Crossover strategy. For the purposes of the Stop Loss test, we assume that the system does not have a set Take-Profit level and vice versa.

Immediately we see two very important facts about the Moving Average Crossover strategy. The system does best with stop losses somewhere within the 150-200 pip range, while optimum take-profit levels are substantially higher—near the 1000 point mark. In other words, this is a strategy that lends itself to relatively low risk and especially large rewards. It is nonetheless critical to note that it has a very low winning percentage. A tight stop loss will only exacerbate the fact that losing trades far outnumber profitable trades. Yet a single winner could erase a great number of losers—making it profitable in the end.
What’s the Moral of the story?Our money management exploration techniques have given us a clear idea of what to expect from the Moving Average Crossover strategy. Our analysis has once again lent clear support to the trading cliché: let your profits run and cut your losses short. Obviously it is a good deal more work to perform this analysis on anything that is not easily automated, but it is all the same important to keep close tabs on your particular trading style. If you swing trade and attempt to capture large shifts in trends, do your trades follow a similar profile? If you think there is an appropriate protective stop loss level for your strategy, it is relatively easy to monitor your charts or demo trade your idea to confirm that it will work. Paying much closer attention to your trading system will teach you everything there is to know about your strategy—highlighting strengths and, perhaps more importantly, weaknesses.

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