【混混的话】我的悠长假期快要结束，近日基本上每天都在看书，重读各种经典。仍然觉得Kroll的Kroll On Futures Trading Strategy是经典中的经典，我对这本书的评价就是：最好的期货交易书籍，没有之一，30多年前的书放到现在仍然完全不过时。目前市面上翻译最好的版本是张轶翻译的，行文流畅，错误较少。所以我决定从今天开始每天推送这本书的一部分，备注好我认为重要的段落，直到本书推送完毕（预计会在我假期结束之前）。为了方便大家理解，会采用中英文双语的方式。推送这本书其实更多的是为了我自己，有一个方便查看的online版本，希望大家都会喜欢。
What Is Trading Strategy and Why Is It Important?
During my boyhood in the 1940s, one of the great attractions of each Saturday afternoon was going to the movies, younger brother in tow, with 75 cents in my pocket to cover admissions and goodies. In that simple bygone world, the Saturday afternoon serial provided a full measure of fantasy and excitement and kept us coming back each week for more of the same.
40年代，我还是小孩，每个星期六最大的一件事，是口袋里装着75分钱，带着弟弟去看电影。口袋里的钱，既要买票，又要买些糖果。在那个单纯的幼年时光里，星期六下午是那么有趣，充满缤纷的色彩。每个星期，我们总是一再做着相同的事情，乐此不疲。
Well, it’s 40 years later, and the Saturday afternoon serials are gone. I now have for my weekly excitement the ongoing “serial” of commodity speculation. It is the key to fantasy and riches. It is forever “to be continued,” and players breath a sigh of relief each evening and wonder what triumph or disaster will befall them tomorrow. We traders are the players in this ongoing drama. What we have lost in innocence, we have gained in experience, in intensity, and in a continually renewed determination to come out as one of the fortunate few to make a killing in the market. We strive to emerge with skin and purse intact, if not enhanced, and to ride off into the sunset of fast cars, old houses, or large boats, and with a personal universe of people who sincerely care about each one another.
转眼间，40年过去了，星期六下午的电影已成尘封往事。但是我每个星期还是有不同的乐子，那就是不断上演的商品投机好戏。这是开启梦想和财富大门的钥匙。它永远有“续集”，每天晚上，演员都会趁机喘一口气，顺便猜猜明天会有什么样的祸福降临到自己身上。在这永远演不完的戏剧中，我们这些交易者就是演员。只要我们有坚强的决心，肯努力，立志在市场中赚大钱，我们在懵懂无知时失去的东西，总有一天会通过日积月累的经验找回来。我们努力奋斗，为的是：即使不能锦上添花，也能全身而退，在落日中驾着快车远去，古色古香的老屋，或者是大型游船，同时希望每一个人都能彼此相互关怀。
But first things first - we still have to beat the market, don’t we? For starters, we must focus on the fact that we are speculators, not gamblers. We study each market situation, both historical and current price action, concentrating on either the technical or fundamental market factors, or a balance of the two. We then must formulate a strategy that encompasses contingencies for both profitable and adverse positions-and all this must be done before entering the market. Furthermore - and this should be paramount-we do not trade for the actions, the excitement, or to entertain friends with wild and woolly anecdotes. We accept the high risks for just one reason: to make a big score.
但是，先谈重点，我们还是要打败市场，对吧？作为新人，要注意一个事实，我们是投机者，不是赌徒。我们潜心钻研每一种市场状况，不管是过去的价格趋势，还是眼前的价格动向，我们全神贯注于市场中的技术面或基本面，或者平衡两者。接着我们必须想出一套策略，兼顾赚钱和亏钱的仓位。所有这些事情都必须在进入市场之前就做好。此外——这一点极为重要——我们不能为了冲动而交易，不能为了刺激而交易，不能为了弄些稀奇古怪的事取悦别人而交易。我们之所以愿意冒那么高的风险，原因只有一个：赚大钱。
Back in 1967, I received the following letter, quoted in part below:
1967年，我接到一封信，摘录其中一段如下：
A New York friend sent me your World Sugar Market Letter of October 17, which I found interesting and subsequently quite profitable…The quotation from Jesse Livermore reminded me of my late lamented father, when I asked him as a boy how you made money on the futures market. His answer, “You have to be bold and you have to be right.” I then said, “What if you are bold and wrong?” and he said, “You just go down with the ship.”
纽约一位朋友寄给我10月17日你所写的《全球糖市快报》，我发现内容很有意思，结果也是赚钱的……这里引用的杰西·利弗莫尔的话，让我想起刚去世不久的父亲。在我还是小孩的时候，有一次问过我爸，要怎样才能在期货市场赚钱。我爸的答案是：“你必须放大胆子，而且必须做对才行。”我接着又问：“要是胆大却做错了，会怎么样？”他说：“当然你会跟着船沉下去。”
He did just that, unfortunately.
很不幸，他真的跟着船沉下去了。
My continuing dialogue with commodity speculators and hedgers via telephone, correspondence, in person, and even international Telex has been an enjoyable and rewarding aspect of my career and one I have always taken seriously. In reflecting on these myriad contacts, one recurring theme seems to surface. Even the least successful traders occasionally experience the big profits that are there in the market-elusive and tough to capture, but there. And, if you can avoid the considerable hazard of the big wipeout, you will take home the big profits. But how do you avoid the disaster, the big wipeout, that is all too common in the world of the commodity trader? Or, as expressed more poignantly in the letter above, how do you avoid going down with the ship?
我一直利用电话、信件、面对面甚至国际电报的方式，跟投机者和套期保值者对话，乐在其中，而且对我的事业生涯很有帮助，所以我一直用很认真的态度和他们沟通。回想这无数次的沟通，就有一个相同的话题浮上水面。连最不成功的交易者，偶尔也会碰到市场中有很丰厚的利润呈现在眼前——难以捉摸，也很难抓住，但就是在眼前摆荡。如果你能避开大洗盘的惊涛骇浪，就能把庞大的利润抱回家。但是你要怎么样才能避开大洗盘的浩劫？——在商品交易的世界中，大洗盘是司空见惯的事情。或者，借用上面那封信中所说的比较可怕的字眼，如何免于跟船一起下沉？
Ever since people got together and bartered stone tablets, spears and hatchets, or something to eat, there have been winners and losers in the commodity game. Yet, despite the obvious profit potential and the high leverage (Commodity positions can be put on with as 6 percent or less of the contract value.), most speculators - including many professionals - end up losers. Many lose in a big way.
自从人类聚集在一起，互相交换石板、长矛、短斧和食物以来，商品交易的游戏中，就有赢家和输家之分。而且，虽然现代的商品交易有很明显的获利潜力，也有很高的杠杆作用（最低可以只用合约价值的6%，甚至更少的资金建立仓位），大部分投机者，包括很多专业交易者最后都成了输家，而且不少人输的很多。
Aside from the small number of professional floor operators, who scalp in big volume from the exchange floors and pay negligible clearing fees, the traders who make big money on any sort of consistent basis are the longer-term position traders. They tend to be trend followers.
除了少数在现场交易的专业交易者，他们在交易大厅做短线，交易量很大，但所付手续费微不足道，这些人不算。能够持续不断赚大钱的交易者，是那些建立长期仓位的人。他们往往是顺势交易者。
I have been fortunate to have been on the right side of some big positions and big profits, some of them held for as much as 8 or 10 months. In summarizing the tactics you need to avoid the big wipeout and to stand proudly in the winner’s circle, the following constitutes the essence of a basic strategy:
在某些大仓位和利润庞大的交易上，我很幸运，都站在了对的一边；有些仓位，我持有的时间长达8个月或10个月。为了你免遭大洗盘而离场，并骄傲地站在赢家的行列，我总结了一些必备的战术，如下所述，这是最基本的策略：
1. Participate only in markets that exhibit strong trend-adhering characteristics or that your analysis indicates are developing into a trending formation. Identify the major ongoing trend of each market and trade in the direction of this dominant trend or stand aside (see Figure 1-1).
1. 只有在市场展现强烈的趋势特性，或者你的分析显示市场正在酝酿形成趋势，才能进场。一定要找出每个市场中持续进行的主趋势，而且顺着这个主控全局的趋势交易，否则就不要进场（见图1-1）。
图1-1 1986年12月玉米趋势：十分明显的，空头趋势
【The primary element of trading strategy is to identify the major trend of each market and to trade in the direction of that trend. Your with-the-trend position could result in a big move, so try to stay aboard for the ride. Assuming you can control losses on adverse positions, you only need a few good moves like this year to reap big profits.
交易策略首要的因素就是找出每个市场的主要趋势，顺着趋势的方向进行交易。顺势而为的仓位会给你带来可观的利润，所以千万不要提前下车。整个趋势行走过程中，会有很多起伏，如果你能够在行情反向时控制好损失，并坚持这么做，一年下来你的利润将会非常可观。】
2. Assuming that you are trading in the direction of the trend, initiate your position on either a significant breakout from the previous or sideways trend or on a reaction to the ongoing major trend. That is, in a major downtrend, sell on minor rallies into overhead resistance or on a 45 to 55 percent rally (or third to fifth day of the rally) from the recent reaction bottom. In a major uptrend, buy on technical reactions into support or on a 45 to 55 percent reaction (or the third to fifth day of the reaction) from the recent rally high. In this regard, it is imperative to note that, if you misread or choose to ignore the trend and are buying against a major downtrend or selling against a major uptrend, you are likely to spill considerable amounts of red ink.
2. 假如你正要顺势交易，建仓点有3个：第一个是趋势的新突破点，第二个是横向盘整显著走向某个方向的突破点，第三个是上涨主趋势的回调点或下跌主趋势的反弹点。也就是说，在上涨主趋势中，回调遇到支撑时买入，或者回调到距离最近高点45%——55%（或者开始回调的第3天——第5天时）买入。在下跌主趋势中，反弹遇到压力时卖出，或者反弹到距离最近低点的45%——55%（或者开始反弹的第3天——第5天）卖出。除此，要是你判断趋势错误，或者决定置眼前的趋势于不顾，稍后又硬要在上涨主趋势中卖出，在下跌主趋势中买入，你很可能会发生巨大的亏损。
3. Your with-the-trend position could result in a big, favorable move, so remain aboard for the ride. Resist the many temptations to trade minor swings and to scalp against-the-trend positions, unless you are very experienced at doing so and you use close and consistent stops.
3. 顺势而为的仓位，可以给你带来很大的利润，所以千万不要提前下车。在这个过程中，你要拒绝很多诱惑，不要一见到小波动，就想做短线，不要逆势交易。除非你很会做短线，而且设置了止损点，否则不要轻易做短线。
4. Once the position is going your way and the favorable trend has been confirmed by market action, you can add to the position (pyramid) on technical reactions as noted in 2 (above).
4. 只要所建仓位和趋势一致，而且市场已经证明你是顺势交易，你可以在第2点所讲的技术性回调（反弹）处加仓（金字塔式）。
5. Maintain the position until your objective analysis indicates that the trend has reversed or is reversing. Then close it out and fast! Subsequent chapters will discuss the specific and detailed tactics of exiting a position. Briefly, you can do it with trailing stops, on the basis of a computer trend-following system that signals a “flip” in trend, or on the failure to hold following a 45 to 55 percent counter-trend reaction. If subsequent market actions tells you that the major ongoing trend is still intact and that you have liquidated prematurely, get back aboard; but do it carefully and objectively, again initiating with-the-trend positions on technical reactions against the minor trend.
5. 保持仓位不动，直到你用客观的分析之后发现，趋势已经反转，或者就要反转。这时就要平仓，而且行动要快！下面几章会详细探讨一些特定的平仓战术。这里我只简单地说明。你可以根据电脑趋势跟踪系统所发出的趋势反转信号，一路设置止损点；或者依据回调（反弹）45%到55%进场时，情况不对，赶紧平仓。如果随后的市场趋势告诉你，行进中的主趋势依然不变，平仓行动过早时，你要重新上车。在认真和客观的前提下，同样当技术性回调（反弹）时，再次建立顺势而为的仓位。
6. But what if the market moves adversely, not with you (like it’s supposed to do)? First of all, how do you know that it’s a bad position? The margin clerk or your daily equity run will tell you this in no uncertain terms, even if you refuse to admit it to yourself. Dickson Watts, the famous turn-of-the-century cotton speculator, once said, “Run quickly or not at all.” He may have had sufficient money or been enough of a masochist to include the “or not at all” portion of this admonition. My advice is to take his advice, minus the “or not at all.”
6. 但是如果市场趋势反向，也就是没跟你站在同一边（不是原先所想象的那样），那怎么办？首先，你怎么知道你的仓位不好？期货经纪公司催缴保证金的职员，或者你自己每天所做的资金记录，会很明确地告诉你亏钱了，即使你不承认都不行。本世纪初，赫赫有名的棉花投机者迪克森·华茨曾经说过，在这种情况下“要快点跑，否则就熬下去”。他这句话中“熬下去”的部分，说明他要么有足够的资金死守下去，要么就是他这个人喜欢被虐待。我的建议是不妨听听他的话，但把后面那半句给删掉。
The necessity of a first-class, viable strategy is self-evident. It is no less relevant here than in chess competition, tournament tennis, marathon running or corporate takeovers. The common denominator lies in the fact that success or victory involves both technical as well as strategic considerations. With players often equally qualified and experienced in the technical aspects of their trade or endeavor, what distinguishes the winner from the loser is the consistent and disciplined application of first-class strategy and viable tactics.
很显然，必须拥有一套一流的，有效的策略。商品交易和象棋比赛、网球赛、马拉松赛或公司收购一样。共同点就是，要成功或胜利，既要有技术，也要有策略上的考虑。就技术层面而言，交易者（参赛者）的资格往往十分接近，经验也不相上下，唯一能够区别赢家和输家的地方，在于他们能不能持之以恒，严守纪律，应用一流的策略和有效的战术。
The correct utilization of good strategy is especially important in futures trading. Indeed, we all know the basic rules, don’t we? Take the traders who have never had a winning year no matter how long they’ve been at it (unfortunately, I’m describing the majority of speculators). Yet they’ve surely heard and can probably recite verbatim some of these good old maxims-“the trend is your friend,” “cut your losses short and let your profits run,” “the first loss is the cheapest,” and so forth. Here is winning strategy in its most basic form. And, while consistent winners share a single-minded adherence to these basic strategies, consistent losers are just as single-minded in their avoidance and violation.
商品期货的交易中，正确运用好的策略特别重要。我们都知道基本规则，对吧？有些交易者，不管进入这个市场有多久，但从没有在整个年度赚过钱（对不起，这里我所说的是绝大多数投机者）。他们也当然听过，甚至能够一字不漏地背诵一些历史悠久的至理名言，比如“趋势是你的朋友”“截断亏损，让利润奔跑”“一开始的亏损是最便宜的亏损”等等。这些是赢的策略最基本的表达形式。赚钱赚个不停的赢家，总是心无旁骛地坚守这些基本策略，而不断亏钱的输家却是一再避开和违背这些基本策略。
Finally, while a consistent viable strategy is clearly the main-stay of successful operations, three additional traits are required: discipline, discipline, and discipline. The balance of this book is devoted to presenting and proving these thesis. And I can attest from personal (and painful) experience that whenever I was careless or foolish enough to stray from these tenets, I lost money - sometimes lots and lots of money. It should come as no great surprise that I generally made money when operating according to the strategies and tactics set forth here. These are universal experiences.
最后，始终一贯的有效策略显然是交易成功的要件，另外还必须具备3个素质：纪律、纪律和纪律。本书其余部分会说明这些道理，也会拿例子来证明这些道理没错。我可以拿自己（痛苦）的经验作证：每当我漫不经心或蠢到竟然偏离这些原则时，我一定亏钱——有时亏很多钱。而根据前面所说的策略和战术交易时，通常都会赚钱。这种经验是全世界通用的。
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