【原文推送】克罗谈投资策略（23）

You Must Control and Limit Your Losses

Futures traders would do well to reflect on a statement made by Chicago-based Richard Dennis, acknowledged as the most successful of today’s big operators. The majority of his profits come from just 5 percent of his trades. And, don’t forget, we are talking about telephone number-size profits.

期货交易者如果能够好好想想利查德·丹尼斯说过的话，交易起来一定会更顺利。丹尼斯是大家公认，交易最成功的大户。这个人所获得的利润中，绝大部分来自5%的交易。别忘了，我们这里所说的利润，跟电话号码的位数一样多。

Most speculators depend on an array of mechanical and computerized gadgets to help them in their trend identification and trade timing. They spend a lot of time squinting at price screens and price charts that run the gamut from simple line or point and figure, to multidimensional moving-average combinations and exotic concoctions like RSI, DM, square of R, etc. There are even those quick-action, on-line tick charts the operator can preset for anywhere from 30- or 60-minute bar intervals right down to 5- or even 3-minute intervals.

大部分投机者都用一堆机械化和电脑化的东西，帮他们找出趋势和进出时机。他们花了很多时间盯着屏幕上的报价，以及各种各样的图形，有简单的直线图或点数图，也有好几度空间的移动平均线组合，更有一些奇奇怪怪的东西，像是RSI，DM和R平方等等，不一而足。我们甚至也能看到快速闪动的即时报价趋势图，交易者可以预先设定好要30分钟到60分钟的条形图间隔，还是要小到3分钟到5分钟的间距。

But perhaps I can coax you away, if only briefly, from those paper and electronic aids and suggest that you focus on the significance of Mr. Dennis’s intriguing statement - that the majority of his profits come from just 5 percent of his trades.

但是，也许听了我的一番话，你就会把这些纸上的或是电子协助工具摆到一边去，转而把注意力集中在丹尼斯所说的饶富趣味的话——他绝大部分的利润来自于5%的交易。

Exactly how Mr. Dennis develops his trend identification and trade timing are not necessarily germane to this discussion-besides, his methods are proprietary and understandably kept secret. But what is not secret is that he obviously views sound money management and trading strategy to be every bit as important as his charting or computer technique. This is something that most of us can stand to take some lessons on.

丹尼斯到底是如何找出趋势和进出时间，跟我们的讨论不一定有密切的关系——更何况他的方法属个人秘密，不公开。但是有一件事并不是秘密，也就是他视优秀的资金管理和交易策略，就跟他所画的图表或电脑技巧一样重要。这一方面，我们大部分人都能从中得到一些教训。

Before the proliferation of the microcomputer and the availability of powerful software, traders had to rely on their experience and recall and on their ability to study and interpret price charts or fundamental data. Often the decision-making process depended on things like instinct, intuition, or plain gut feeling. The successful operators managed to synthesize a “chemistry” combining these subjective skills with a technical expertise. And their bottom-line results over any period of time depended on the sum of the above factors combined with each one’s particular approach to money management and investment strategy.

在电脑普及和功能强大的软件上市之前，交易者只能依靠自己的经验和记忆，运用自己的智慧解释价格趋势图或基本面资料。决策过程往往要用到个人本能，直觉或者纯粹的第六感。成功的交易者能够产生一种“化学作用”，把这些主观技巧和技术上的长处结合在一起。任何一段期间内，他们的交易成绩如何，要取决于以上所说各种因素的合成状况，再加上每个人独特的资金管理方法和投资策略。

Each of the players developed his own style and approach. These were as varied as the number of serious practitioners. Strategies ranged from, “Don’t put all your eggs in one basket” (diversify with a balanced array of six, eight, or even more markets) to Baruch’s oft-quoted dictum to “Put all your eggs in one basket but watch the basket carefully.” In fact, before my 1975 “retirement,” I characteristically put all or most of my eggs into one basket, whether the basket contained copper, wheat, or sugar. On occasion, this approach paid off very handsomely.

每个玩家都有自己的一套风格和方法。几乎可说有多少人，就有多少种不同的风格和方法。有这样的策略，“别把所有的鸡蛋放在同一篮子里面”（一次投资6种，8种或更多的市场）。还有这样的策略，巴鲁奇常被引用的名言则是“把所有的鸡蛋都放在同一个篮子里，不过一定要小心看好”。事实上，我在1975年“退休”以前，投资策略的特征就是把所有或大部分的蛋都放在同一个篮子里，不管篮子里面装的是铜、小麦或者糖。有时候这个做法能带来可观的利润。

Without question, a key to Mr. Dennis’s success, as well as to the success of all the leading operators, is their ability to curb losses - to keep them within acceptable limits. OK, you might ask, what is an acceptable limit in which to hold my losses? My first response would be for you to keep all paper losses within your personal sleeping level. Obviously, once any loss on an open position reaches the point where it affects your sleep, your job performance, or your personal life, it has reached the “excessive” level and should be reduced or liquidated. That’s not all there is to say on that subject, however. I have seen countless individuals who spend hours at automobile dealerships trying to save a few hundred on a new car sit with paper losses in the thousands without flinching. Obviously, we must arrive at some objective, pragmatic understanding of when to pull the plug on an adverse position. At the outset, I will say that the least intelligent way of deciding when to quit a losing position is how the trader feels about its viability. It makes little difference if he thinks it has profit potential or is hopeless and should be abandoned or even closed out and reversed. Hardly any trader, professional or otherwise, is even remotely qualified to make this determination because that would presuppose the ability to predict next week’s or next month’s prices. And no one can do that. Let's make the decision entirely objective! One way to do this would be to equate allowable risk on any position with the respective exchange margin. For instance, you could limit your loss to, say, 50 or 100 percent of the margin. Furthermore, once the position shows a good profit of, say, 50 percent of the margin, you start advancing the stop by some preset formula. There is a compelling rationale to this approach. The amount of margin, as established by each exchange for its commodities, is generally related to the price level and the trading volatility of each market; hence, indirectly to its profit potential.

毫无疑问的，丹尼斯成功的关键之一，就跟其他所有知名交易者成功的关键一样，在于他们有能力控制亏损——把它们限制在可以接受的水准之内。嗯，你可能要问，为了控制自己的损失，到底什么才叫做可以接受的水准？听到这种问题，我的立即反应是：把你所有的帐面亏损限制在你晚上睡得着的水准。很显然，一旦任何仓位的损失大到影响你的睡眠，你的工作绩效或者你的私人生活，那么这种损失都太过分，需要把仓位减少或者平掉才行。但是我们实际见到的情况并不是这个样子。我看过不少人在汽车经销商那里花几个钟头杀价，为的是买车时省下几百元，但是在期货市场亏损了几千元，还是勇往直前，毫不退缩。很显然的，我们必须保持某种客观和务实的态度，知道何时要忍痛砍掉不利的仓位。首先，我要指出，决定何时结束亏钱的仓位时，单依交易者个人对那个仓位能否维持长久的看法如何来判断，是最不用大脑的方法。交易者觉得某个仓位有获利潜力，或者那个仓位没有希望，应该放弃，甚至平掉后反向交易，这二者之间并没有什么差别。很少有交易者，专业人士或者其他聪明人有资格做这个决定，因为这必须先假设他们有能力预测下周或下个月的价格。没有人能做到这一点，所以我们必须用完全客观的态度来做决定！要做到这一点，有个方法，就是用各交易所规定的保证金的一定比率，决定任何仓位的容许风险。比如说，你可以把损失限制在保证金50%或100%内，此外，一旦仓位有不错的利润，那你就要开始依某个预定的公式继续移动止损点。这个方法有很强烈的理论依据支持，每个交易所对它所交易的商品，都订有一定的保证金金额，这个金额通常跟每个市场的价格水准和波动性有关，因此间接地影响到获利潜力。

For example, you would risk twice as much on a wheat position as on a corn position-the exchange margin is $750 versus $400. And I would project the price volatility of wheat to be double that of corn.

比如说，由于交易所规定的小麦保证金是750元，玉米是400元，你所冒的小麦仓位的风险，会是玉米仓位的二倍。而且我可以预期，小麦价格的波动会是玉米的两倍。

There is another good reason for setting stops this way. You want to keep them away from the accumulation of stops at the so-called logical chart points used by the majority of commission house speculators. These popular stop points frequently serve as targets for trade firms and big locals to shoot at. The May 1987 coffee future serves as an example. Coffee had been in a major bear market since topping out at the 2.60 level in late 1985. From June through September 1986, the downtrend took a pause and traded generally sideways, between 1.65 and 2.00. By late August, a large concentration of buy stops had accumulated just above 2.00 on a closing basis. This fact did not escape the attention of the large professional operators. Accordingly, during the week of September 22, the market experienced a “sudden” surge of heavy professional buying, putting values up to 2.07. Oops-there went all the speculative buy stops. Following this cleaning out of the stops and the reversal to long of many trading systems and speculative positions, the buying “suddenly” abated. Next, heavy professional selling “suddenly” hit the floor. Not unexpectedly, the market resumed its major downtrend, with values plummeting down to the 1.00 level. This was the classic bear trap (see Figure 18-1).

依这种方式设定止损点，还有另一个好理由。你一定会想把自己的止损点设在远离绝大多数经纪行和投机者们设定的所谓合理的图形点之外。大家一窝蜂所设的止损点，常常成为贸易公司和当地大户的攻击目标。1987年5月的咖啡豆期货就是个很好的例子。那时候，咖啡豆期货在1985年年底于2.60做头反转之后，进入了大空头市场。从1986年6月到9月跌势暂缓，大致呈现横向盘整，介于1.65到2.00间波动。到了8月底，一大堆空头止损点集中设置在收盘价2.00之上。这个事实没有逃过交易大户的注意。因此，在9月22日那一周，市场“突然”有专业性买盘大量介入，价格涨到2.07。啊——所有做空的人纷纷止损。这些止损单被清理以后，很多交易系统和投机性仓位转多之后，买盘“突然”减少。接下来，专业性卖盘突然大举杀出。当然了，市场又恢复空头趋势，价格暴跌到1.00。这就是典型的空头陷阱（见图18-1）。

图18-1　1987年5月咖啡豆　　（典型的“空头陷阱”）

【Here was the classic bear trap. During a three-month sideways (1.65-2.00) respite in an ongoing major bear market, the trade noted a large concentration of speculative short positions in the market with buy stops just above 2.00. Not surprisingly, during the week of September 22, the market experienced a “sudden” surge of heavy professional buying, taking out all the buy stops and reversing the trending systems and the speculative positions to long. After the buy stops had been cleaned out, the buying “suddenly” abated, and heavy professional selling “suddenly” hit the market. Values plummeted clear down to the 1.00 level.

这个图说明了典型的空头陷阱。3个月的横盘盘整期间（1.65——2.00），空头趋势暂时缓和，业内人士察觉到投机性空头所设的买入止损点大量集中在2.00上方不远处。于是乎，9月22日那一周，市场发现专业性买盘突然大增，把所有的买入止损点洗掉，并使趋势跟踪系统反转，投机性仓位转而做多。这些买入止损洗掉之后，买盘“突然”萎缩，专业性卖单“突然”大举杀出，重创市场，价格暴跌到1.00左右。】

Another Chicago professional is Robert Moss, who has been associated with C and D Commodities on the floor of the Board of Trade. Here is what Moss says about his operating strategy.

罗伯特·摩斯是芝加哥另一位专业人士，提到他的名字，大家就想到他做的是世界历史期货交易所里的C期货和D期货。摩斯说他的交易策略如下。

Let profits run and don’t worry about taking them. Worry about minimizing losses.

让利润自行滋长，别担心浮动利润。该担心的是如何把损失降到最低。

On any given trade, I would not want to lose more than 4 percent of the capital invested.

任何交易，我都不肯让损失超过本金的4%。

Of my trades, 5 to 8 percent are profitable, 10 percent are breakeven, and the rest are losers.

我的交易中，5%——8%赚钱，10%打平，其它的都亏钱。

I tend to make money two days out of five, break even another two days, and have losses one day.

5天里面，通常我2天赚钱， 2天打平， 1天亏损。

There are other compelling reasons why the operator must control his losses as well as his overall trading activity, and they relate to the cost of doing business. First of all, you pay a commission whether you win or lose. Let’s say your commission cost is $50 per round turn. A profit of $500 nets out at $450, while a loss of $500 nets down to $550. In fact, I’ve seen many active traders whose annual commission bills have run to nearly 100 percent of their starting equity. They would have to make a 100 percent trading profit in every year just to break even. Food for thought isn’t it? Secondly, it is far more difficult to make up losses than it is to lose in the first place. Take a trader who starts with $30,000 and who loses $10,000, equal to 33 percent of his capital. He is now down to $20,000, and, in order to get back to his $30,000 beginning equity, he must increase his account by $10,000-for a 50 percent appreciation. He loses 33 percent but must make back 50 percent to come out whole. And it’s even worse because of the commission costs, which are charged on both profitable and losing trades. You might try working out some other percentage combinations of losing versus winning-it doesn’t make for entertaining reading.

交易者必须控制损失和整个进出次数，还有其它很强烈的理由，而这些理由都跟交易的成本有关。首先，不管是赚是亏，你都要付手续费。假如你来回交易一次的手续费是50元，500元的利润就只能净赚450元，500元的损失则共要从口袋里拿走550元。确实如此，我见过很多交易频繁的交易者，一年的手续费加起来就相当于本金的100%。每年他们必须有100%的利润才算打平。我们不是该从这个角度来思考吗？第二，亏了钱要扳回损失，比当初发生损失困难得多。假如有位交易者，原始本钱是30000元，亏了10000元，相当于亏掉33%的本钱。现在他只剩下20000元，为了赚回到原来的30000元，他的账户必须设法增加10000元——也就是要增值50%。他原来只亏33%，现在必须赚50%，才会有原来一样多的钱。如果再把手续费成本考虑进去，情况会更糟，因为不管是赚钱的交易还是亏钱的交易，都要收取手续费。你也可以自己再算出其它的输赢比率，不过那可不是为了好玩。

A number of years ago, while formulating certain trading strategies, I did a survey of my clients’ trading over the years. The results were generally unimpressive, which should not have been surprising. Then I restructured just one aspect of their trading, calculating what the results would have been if losses had been limited by some objective formula to, say, 45 percent of the respective margins. Without exception, the results were substantially improved: I took into consideration those positions that were closed on this “45 percent rule” but that subsequently reversed and would have resulted in profits had they not been liquidated on such a close stop. Judge for yourself:

好几年前，为了拟定某些交易策略，我对客户多年来的交易方式做了个调查。结果很一般，也没什么奇怪的。接着我重新设计，只针对他们的一个交易因素进行研究。如果用某种客观的公式，把损失局限在一定的限度内，比如说，规定损失不能超过保证金的45%，那会有什么样的结果？毫无例外，交易成果有了大幅的改善。我比较用这种“45%原则”平掉的仓位，以及那些没有用这种平仓止损，而后情势逆转并产生利润的仓位。你可以自己判断：

1. A New England metals fabricator invested $105,000 in a trading account, and after nine months had lost its original capital plus an additional $30,000. A recap of its activity revealed a total of 35 trades, of which 12 were profitable and 23 were not. That was not the problem-its Waterloo was that the average size profit was $1,799 per contract while the average loss was $6,844. Terrible, wasn’t it? If this firm had limited its losses to 45 percent of margin for each position, it would have suffered an over-all loss of just $9,232 instead of the $135,000 it actually lost. Its average size loss would have been $1,340 per contract instead of $6,844. Some difference!

1. 新英格兰地区一家金属制造商放了105000元在一个交易账户里，9个月后不但老本全部亏掉，还多损失了30000元。分析这家公司的交易情况，发现总共有35笔交易，其中12笔赚钱，23笔不赚钱。问题还是出在这里——它的惨败在于平均每份利润只有1799元，平均亏损却有6844元。这很可怕，不是吗？如果这家公司每做一个仓位就把损失限制在保证金的45%之内。全部的损失便会只有9232元，而不是实际发生的135000元。如果真的像我们所说的那样做，它的平均每份亏损金额会是1340元，而不是6844元。这不是有天壤之别吗？

2. And, lest you think that big losses only happen to public traders, here is the trading record of an otherwise highly sophisticated private European bank whose trader used to TELEX me orders for execution in Chicago and New York. Starting capital was $100,000. After 13 months it had been depleted to $54,500, at which time the bank discharged its local trader and quit speculative operations. During those 13 months only 3 of their 14 trades were profitable. Their average size profit was a dismal $255 per contract, while their average size loss was $4,156. Isn’t that incredible? Had the bank limited its losses to 45 percent of margins and permitted its profits to run until taken out by the stops, its overall loss would have been a mere $6,719 ($634 per contract), and it could have continued trading till it caught some good trends and moved into profitability.

2. 为免除你误以为大亏损只会发生在公共交易者身上，不妨来看看另一个例子。这个例子中的当事人是欧洲一家极为老练精明的私人银行，银行指定的交易者总是拍电报给我，在芝加哥和纽约下单子。刚开始的资金是100000元，13个月后，钱只剩下54500元，于是银行解聘了交易者，放弃投机性交易。这13个月内，该行的14笔交易里，只有3笔是赚钱的，平均每份合约获利少得可怜，只有255元，平均亏损却高达4156元。这是不是很不可思议？要是该行把亏损限制在45%内，整个损失会只有6719元（每份合约634元），如果后来能够逮到好趋势并获利的话，也许还能继续交易下去。

3. It is enlightening to compare these two traders’ results with that of a small trading fund that started with just $18,000. After 18 months of operations, its capital had appreciated to $130,000. Of its total 230 trades, 150 were profitable. Of greater significance, the average size profit was $1,020 per contract, while the average loss was kept to $515.

3. 拿这两位交易者的成绩和一笔小额基金的成果来比较，可以给我们很重要的启示。这笔基金开始的时候只有18000元，18个月后，资本增值到130000元。它总共交易了230笔，其中150笔赚。更重要的事，平均利润是每份合约1020元，平均损失则只有515元。

These recaps tell the story, and the conclusions are inescapable. Traders 1 and 2 traded against the major trends and made no serious attempt to limit losses on adverse positions. On the contrary, profitable positions were quickly closed out, while losses were allowed to develop into even bigger losses. The trading fund, on the other hand, exercised the considerable discipline of trading with the prevailing major trends, following a strict policy of minimizing losses and allowing profits to run. They played by the rules, and their bottom line reflects it.

这些报道告诉了我们饶富趣味的故事，结论也不言而喻。第一个和第二个交易者逆着主趋势而交易，而且没有认真限制不利仓位发生的损失。第三个例子中的基金，则十分注重纪律，顺着当时的主趋势走，并严格遵守把损失降到最低的政策，让利润越滚越多。他们依一定的规则行事，从最后的结果可以看出这一点。

为什么要“截断亏损，让利润奔跑”

In terms of controlling and limiting losses, many experienced operators have likened trading strategy to particular aspects of chess strategy. For instance, the chess player has to be prepared to lose certain pieces in order to gain some tactical advantage or to capture some other piece of even greater value. What chess player wouldn’t be willing to sacrifice a bishop or rook in order to capture his opponent’s queen? The speculative corollary is that you must be prepared to sacrifice your antitrend losing positions in favor of your with-the-trend winning positions. There is no valid logic in holding onto and defending these losing positions when, with the same funds, you can defend or add to your with-the-trend profitable positions. Another chess strategy that is applicable to speculative operations is that white plays to win while black plays for a draw. What does this mean? In a game between two equally ranked masters, white moves first and is assumed to have the advantage. He therefore pursues an aggressive stance aimed at victory. Black, on the other hand, is assumed to be starting at a disadvantage and normally takes a defensive posture at the outset. Unless white carelessly commits some tactical faux pas that would pass the advantage to black, black maintains this defensive stance. He is content to play to a draw, looking forward to taking an aggressive and win-oriented strategy in a subsequent game where he plays white and has the first move.

谈到控制和限制损失，很多经验老道的交易者都喜欢把交易策略比做下棋策略的若干层面。比如说，下棋者必须肯牺牲某些子，以求获得某些战术上的优势，或者保全其他更有价值的棋子。下棋者会不肯牺牲主教和车去吃对方的皇后吗？从这里推论，从事投机性交易，必须牺牲逆势的亏钱仓位，保全顺势的赚钱仓位。紧抱和保卫亏钱的仓位没有道理，以同样多的钱，你可以拿去保卫和增加赚钱的顺势仓。下棋另一个可以用在投机性交易上的策略，是白求胜，黑求和。这话是什么意思？两个旗鼓相当的下棋者对弈的时候，白子先走，所以应该能占优势，所以他必须讲究攻击力，以求胜利。相反的，黑子一开始是处于劣势，通常必须采取守势。除非白子犯下过失，把优势让给黑子，否则黑子会一起处于守势局面。所以黑子如能求和就很满足，只能期望在下一盘中改下白子，再采取攻击性和求和的策略。

How does this analogy relate to trading strategy? On your with-the-trend holdings - analogous to the first move in chess - you have the dominant position and play an aggressive game for a big win. Here you hold for the major move, rather than close out quickly for a small profit. However, when you are sitting with an against-the-trend position - the second move in chess - you assume a defensive posture and content yourself with a draw or a breakeven closeout if you can get one. Here it makes little sense to try to sit it out, hoping that the trend will flip to favor your adverse position and offer you a big score on the trade. If you can finesse a breakeven trade, take it. You have a far greater chance of making your money on with-the-trend positions than on those adverse, wishful-thinking situations.

这个比喻跟期货交易有什么关系？如果你有顺势仓——相当于下棋的时候先攻——你就处于优势，应采取攻击性的策略求取大赢。这种情况下，你就持有不放，跟着主趋势走，不必急着获利了结，赚取蝇头小利。但是如果你持有的是逆势仓——等于是下棋时后下的一方——你便处于守势，如能全身而退，不发生任何损失，那就属于万幸了。假使你偏不信邪，硬要等着趋势反转，对你有利，让你大赚，那未免痴心妄想，太没道理。如果你能打平，不亏不赚，那就赶紧收拾仓位出场。顺势仓赚钱的概率比起一厢情愿，不利的情况，获利机会要高出很多。

I experienced this strategy first hand in the Swiss franc market in late 1986. Swiss had been in a strong downtrend until March (see Figure 18-2) when it got down to the 51.00 level (basis December future). It then turned north. And what a bull deal it was, with values advancing all the way to 62.00 by early October. I had been long on two occasions, having dumped the most recent position just above 61.00 on what appeared to be a grossly overbought technical situation. It was still a strong up-trend and a bull market, I reasoned, so I just sat on the sidelines awhile, waiting to reenter the long side on a sharp reaction.

1986年年底，我做瑞士法郎，首先试用了这个策略。那一年，瑞士法郎呈现强劲的下跌趋势，直到3月（见图18-2），跌到51.00（基期12月期货）。再转而向上。呈现在眼前的是大多头市场，价格一路上涨到10月初的62.00。我两次进场做多，并在技术性超买的情况下，于61.00上面一点点，把最近一次的仓位平掉。平掉之后，价格继续强劲上涨，我认为涨势还没结束，这时也不急着再进场，只在场边观望，等着下次急剧回调时伺机再做多。

图18-2　1986年12月瑞士法郎

【During the week of November 3, the market smashed through support at the 59.00 double-bottom level, breaking the uptrend line and flipping the technical systems to short. The reaction found support at the 58.00 level, and, on the ensuing rally, I dumped my long position around 59.50. I was now out of the market.

Following this market break, values reversed back to north, and the technical indicators signaled the new uptrend on December 19. It was a timely call; following expiration of the December future, there was still another 800 points on the upside.

11月3日那一周，市价跌破59.00的双重底支撑，破了上涨趋势线，使技术系统转而发出空头信号。这次回调在58.00找到支撑，接下来的反弹趋势中，我在59.50平掉了多头仓。目前我在场外。

跌势走完之后，价格转而向上，12月19日技术指标发出信号，说新的上涨趋势出现。这是个适时的信号，因为在12月期货到期之后，上涨波段仍在800点。】

But where to place the buy orders? I projected good buying support around 59.00 (basis December) at the double-bottom support level and waited for what I hoped would be the inevitable technical reaction. I didn’t have long to wait. On October 27, the market dropped into my buying zone, and I loaded up. My euphoria lasted a whole two days with a 100-point rally, but I hadn’t reckoned with “them,” who must have just discovered that I had been buying and who were waiting to clobber me. Just six days later, I was sitting with a 100-point loss ($1,250 per contract on a large position) and in a market that had taken out all logical support and now appeared poised to commence a fullbore retreat. What a shock! I realized that I was suddenly afflicted with the futures trader’s recurring malady - egg on the face.

但是要在哪里下买单？我估计59.00（12月基期）的双重底附近有良好的支撑，于是静静等候我觉得一定不可避免的技术性回调。我没有等多久，10月27日，价格掉到我的买入区域，我就买了。我的好运持续了两天，价格反弹了100点。但是我失策了，没想到“那些人”一定发现我刚买入，等着痛宰我一顿。6天后，我抱了100点的损失（每份合约1250元，而且我的仓位还很大），而且依市场趋势来看，所有合理的支撑都已跌破，现在只有全速下跌一途。这是多大的震憾！我发现自己突然生了期货交易者一再生的病——满脸蛋花。

Over the next couple of days, the “what’s going on?” phone calls from a number of anxious clients served to remind me that I had better find a viable means of dealing with this situation. I reverted to my one reliable mainstay - my “drawing board” of short- and long-term charts and the trend-following computer system that I had been using for nearly four years. No doubt about it, the trend had clearly turned down. The overriding sentiment was decidedly bearish. The market was down to the 58.00 level, which coincided with a 40 percent downward retracement of the previous up-leg, and I projected some sort of a technical bounce from this support area. My strategy was to sit through this down-leg, to assume we would get some sort of a rally off the 58.00 level, and, if possible, to dump the entire position into resistance around 59.50.

接下来几天，很多心急的客户打电话来问“出了什么事？”他们焦虑地询问，提醒我最好拿出可行的办法来处理这个状况。于是我转向一个可靠的靠山求援——已经用了约4年，有长短期图形和趋势跟踪电脑交易系统的画图板。一点问题也没有，趋势显然转而向下。市场普遍弥漫着浓烈的看跌情绪。价格跌到58.00，恰好是上一次上涨波动回调40%的地方。我估计，这个支撑区会有某种技术性反弹，如果可能的话，会到58.00，我可以在59.50的阻力附近平掉全部仓位。

This would mean a breakeven trade. What kind of a strategy, one might ask, has as its objective the closeout of a big position at a breakeven point? Why wouldn’t I prefer to make a profit on it? Of course I would prefer to make a profit-but it didn’t seem to be in the cards, and here’s why. Although I try to play my positions only in the direction of the ongoing major trend, it’s not always possible due to the dynamic nature of these volatile markets. Besides, you may enter a position with the trend, only to see it reverse after you are aboard. Under those circumstances, it is best to get out of the position as quickly as possible to minimize your loss. If you are able to walk away with a breakeven, so much the better. There is always the chance that, shortly after you liquidate, the market will reverse back to its original direction and you will have closed out unnecessarily. But that’s one of the risks of the game, and you learn to live with it. Besides, if you see that you have exited prematurely, you can try to reenter with a clear head and at a more favorable opportunity. The odds favor profits on your with-the-trend positions, and that's where you should focus your attention and your funds.

这么一来，这次交易就算打平了。有人可能要问，这么大的仓位不求胜，只求打平出场，这算哪门子的交易策略嘛？为什么我不等着获得利润再说？我当然希望有赚头，但是情况似乎不允许，这就是原因所在。虽然我想尽了办法，只往主趋势所走的方向建立仓位，但是市场波动那么激烈，哪能次次如愿？再说，你建立仓位的时候是顺势的，但很快就发现它反转了。碰到这种情况，最好的做法是尽快平仓出场，把亏损降到最低。如果你能全身而退，毫发无损，那就可说是很幸运了，还求什么？但是还有一种情况，那就是等你平仓出场，市场又马上转回原来的趋势，显示你平仓之举是多么不智的做法。这种情况自然叫人吐血，但是我们不妨把它看做是这场游戏的风险之一，你可以学着去适应它。而且，即使你退出得太早，你还是有机会带着清晰的头脑再伺机进场，找一个更有利的机会。这个机会对你顺势仓的利润有利，也是你应该把全副心神和资金灌注的地方。

My Swiss franc position was now against the trend, and the market had penetrated both the uptrend line and the 59.00 support level - hence the decision to dump. And since I projected likely rally back into the 59.50 resistance level, it would serve as my sell point. That notwithstanding, I had a below-the-market stop, around 57.40, as my bailout point in case the rally fizzled. On November 10 and 11, Swiss rallied up into my sell zone, and I did just that. Chalk up one breakeven trade. Was I concerned that the market would again flip to up and advance to new highs? Not in the least. I played it just the way I should have considering the circumstances. As a boy, I recall reading a quote by Satchel Paige, one of baseball’s great early pitchers. “Don’t look back-someone might be gaining on you.” In fact, following this November break-even liquidation, the market did flip back to a strong bull trend. Attentive technical traders had the opportunity to get back aboard the long side, as many of the trading systems signaled a buy on December 19.

我的瑞士法郎仓位现在是逆势，价格已经穿越了上涨趋势线和59.00的支撑线——因此我决定平仓。由于我估计价格会反弹到59.50，所以就把它设定为卖点。虽然如此，我还是有个低于市价的止损点，也就是在57.40左右。做为万一反弹失败的救命点。11月10日和11日，瑞士法郎果真反弹到我的卖出区域，我也照原定计划做了该做的事。一次不亏不赚的交易就此完成。我会担心市场再次反转向上，爬到新的高峰吗？一点也不担心。我是在考虑了各种状况之后，才做了该做的事情。我想起了小时候，看到了早期棒球队名投手萨裘·佩奇的一句话，到现在印象还是很深刻。佩奇说：“别往后看，可能有人要暗算你。”事实上，在11月打平之后，市场确实翻回强劲的多头趋势。警觉性高的技术交易者有机会再回到多头阵营内，很多交易系统在12月19日发出了买入的信号，就是个很好的机会。

There is an old Scottish saying, “You mind your pennies and the pounds will take care of themselves.” Perhaps the speculative corollary is, “You mind your losses and the profits will take care of themselves.”

苏格兰有句名言：“你管好小钱就行了，大钱会自己照顾自己”也许投机者可以这么说：“你注意亏损就行了，利润会自己照顾自己。”

相关阅读：

【原文推送】克罗谈投资策略（01）

【原文推送】克罗谈投资策略（02）

【原文推送】克罗谈投资策略（03）

【原文推送】克罗谈投资策略（04）

【原文推送】克罗谈投资策略（05）

【原文推送】克罗谈投资策略（06）

【原文推送】克罗谈投资策略（07）

【原文推送】克罗谈投资策略（08）

【原文推送】克罗谈投资策略（09）

【原文推送】克罗谈投资策略（10）

【原文推送】克罗谈投资策略（11）

【原文推送】克罗谈投资策略（12）

【原文推送】克罗谈投资策略（13）

【原文推送】克罗谈投资策略（14）

【原文推送】克罗谈投资策略（15）

【原文推送】克罗谈投资策略（16）

【原文推送】克罗谈投资策略（17）

【原文推送】克罗谈投资策略（18）

【原文推送】克罗谈投资策略（19）

【原文推送】克罗谈投资策略（20）

【原文推送】克罗谈投资策略（21）

【原文推送】克罗谈投资策略（22）

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