美国已逝著名基金经理Toby Crabel发表的文章Opening Range BreakoutWord格式文档下载.docx

1、 vDollarStop（500）, FirstTrade（true）, CustomCond（true）, Cond4trade（true）, vVolumeLenght（7）, ExpAvg（0）, firstcheck（true）, MaxP（0） , DateInFromTo（false）;/ New day settingsif DateDate1 then begin /DateInFromTo= （Date=iFromYYYMMDD and Date=iToYYYMMDD）; FirstTrade=true; RangeH=H; RangeL=L; / first bars Hi

2、gh Low are Ranges h&l TimeH=Time; TimeL=Time;end;/ Range settingsIf LHighD（0）1 then TimeH=Time;If Time=OpenRangeTime then begin / if openning range is finishedRangeH=HighD（0）;RangeL=LowD（0）;RangeHtime=TimeH;RangeLtime=TimeL; / remember Range parameters/ * Trade *CustomCond= true;Cond4trade = CustomC

3、ond and timeOpenRangeTime and time=RangeH then begin Buy（BrOR_L1） iContracts contracts Next bar at open; FirstTrade=false; end; If FirstTrade and Close=RangeL then sellshort（RrOR_Sh1） iContracts contracts next bar at open;setexitonclose;Playing the opening range breakoutPart 1by Toby Crabel开盘区间突破交易第

4、一部分托比.卡布尔Opening range breakout is one of the most important indicators of daily market direction that a tradercan utilize.开盘区间突破,是交易员可以用于识别日内趋势方向的最重要的模式之一。An opening range breakout （ORB） is a trade taken at a predetermined amount above or below theopening range. When the predetermined amount （the s

5、tretch） is computed, a buy stop is placed thatamount above the high of the opening range and a sell stop is placed the same amount below the low ofthe opening range. The first stop that is traded is the position and the other stop is a protective stop.开盘区间突破交易的触发，是依据预先设定的开盘价上、下的一定范围被突破。经过事先的计算，我们可以在

6、开盘价的上、下，等距离设置买进、卖出突破位置，当其中的一个方向出现突破，另一个方向预设的停止买、卖点，就变成了这笔交易的保护性止损位。The stretch is determined by looking at the previous 10 days and averaging the differences between theopen for each day and the closest extreme to the open on each day.我们需要连续计算最近10天内，每天的开盘价与当天距开盘价较近的那个高低点之间的差额（译者释：MIN（H-O,O-L），并且取10天

7、的平均值，作为开盘区间突破交易的价格范围预设标准。In a market with a strong bias in one direction or just after a clear supply or demand indication, a trade inonly one direction is taken. This is called an Opening Range Breakout Preference （ORBP）. The onlyorder entered is the stop in the direction of the entry. The protecti

8、ve stop is entered only after the tradehas been entered.在一个方向明确的市场上，或者紧随一个清晰的供求关系之后，我们只做一个方向的交易。这叫做：有偏向的开盘区间突破（ORBP）。我们的下单指令仅限于确定方向上的停止进入点，当买卖条件触发后，保护性止损单会紧随。If the market trades to the stretch in the opposite direction first, the preference is nullified and the restingorder is cancelled. This requi

9、res you to monitor the market during the session. Intraday marketmonitoring is not a sacrifice by any means and enhances the system.如果市场先朝着相反的方向运动，那么我们预定的交易方向就变得无效，剩余的交易指令订单也将被取消。这就要求你保持盯盘，盯盘并不是一种无谓的行为，它反而会强化你的系统交易。ORB vs. ORBPOpening range breakout is effective after an inside day that has a smalle

10、r daily range than the previousfour days （IDnr4 in Figure 1 ） and after any day that has a daily range less than the previous six days（NR7） whether an inside day or not.开盘区间突破交易，如果发生在一个内部日（内包K线）之后，并且它的日内波幅小于先前的四个交易日，将会更加有效（ID+NR4,图1）。如果前一天的日内波幅小于先前的六个交易日（NR6），那么无论前一天是否属于内部日，都会加强开盘区间突破交易的成功概率。Hook da

11、ys also tend to precede big moves in one direction. A hook day is any day that opensabove/below the previous days high/low then proceeds to reverse the previous days close but does so with a daily range less than the previous day.出击日，也助于在突破方向发生大的波动。出击日，是指某一天的开盘高于/低于前一天的最高价/最低价，但收盘却反向运动，低于/高于前一天的收盘价。

12、同时，日内波动幅度也要求小于前一天。March copper in Figure 1 displays examples of all these patterns. Inside days with the narrowest range infour days （IDnr4） occur at points c, e, g, i, n, o and t. Days with ranges smaller than those of the previoussix days （NR7） occur at points a, d, f, g, h, j, m, n, p and s. Hook

13、 days occur at points b, q and r. Noticethe proximity of some of the next days openings to one of the extremes for that day and the generaltendency of the close of the same day to be at the opposite extreme.图一所示的铜三月合约，展示了上述所有的模式。内部日，并且窄幅波动小于前四天的，在点C、E、G、I、N、O、T.I。小于前六天的波动幅度，发生在点adfghjmnps。出击日发生在点BQR

14、.值得注意的是，这些模式发生后的一个交易日，出现了一些开盘开在最高、最低位，而收盘往往受趋势的推动，收在了相反的最低、最高位。The earlier in the session the entry is taken the better chances forsuccess.越早介入的开盘区间突破交易，往往是成功概率越高的交易。Opening range breakout: early entryPart 2开盘区间突破：早期的入场信号第二部分Early entry is defined as a large price movement in one direction within th

15、e first five minutes after theopen of the daily session. A study of early entry is essentially a study of price action, and the type of priceaction that takes place on early entry shows that participants are urgent about entering the market. It is adistinct recognition of either a profitable or dang

16、erous situation.早期的入场信号，可以被定义为在开盘后五分钟内在一个方向上出现了大幅的波动。研究早期的入场信号，其实是研究价格行为，这种价格行为显示了投资者入场的迫切性。交易信号是否发生在早期，明确清晰地将交易信号划分为两类：有盈利潜力的或是危险的。It should be noted that directional moves of this nature are relatively rare and may occur only 10% of thetime. Most days （70% to 80%）, prices exhibit rotation or chopp

17、y action and the first five to 10 minutes oftrading are sluggish and directionless without a clear movement away from the opening range但需要指出的是，这种早期的入场信号并不常见，只有10%的交易日可能发生早期的入场信号。绝大多数交易日（70%-80%），价格波动呈现无序或不连贯的走势，开盘后的5-10分钟并无方向。The early entry price action is ideal when using an opening range breakout

18、 for entry. An opening rangebreakout is a trade taken at a predetermined amount above or below the opening range. The open shouldact as one extreme of this range.使用开盘区间突破交易时，早盘发生的入场信号是最理想。开盘区间突破发生，是指开盘价上、下一定预设范围的突破。开盘价，是计算这种预设波动范围的起点。Two versionsI have observed two types of early entry. The characte

19、ristics of Type 1 （Figures 1 and 2） are as follows:The first five minute time period has a larger range than normal. （Normal is roughly defined as theaverage of the preceding 10 days first five-minute ranges.）两种模式我观察过两种早期入场信号的模式。第一种的特征如下（图1、图2）：第一个5分钟K线出现了超出“平常”的大幅波动（“平常”，是指前10天第一个5分钟K线的平均波动范围）The o

20、pening of the day is on one extreme of the five-minute bar and the close of the five-minute bar is onthe opposite extreme. The second five minutes shows an equal thrust in the direction of the firstfive-minute period.开盘价，是第一个5分钟K线的一个价格极端位置，而收盘价则是反向的一个价格极端位置。第二个5分钟K线则延续了第一个5分钟K线的方向。The Type 2 early.

21、entry is extremely powerful and is characterized by an excessively large range in thefirst five minutes, quite possibly bigger than the previous 20 days first five-minute periods （Figures 3 and 4）.An equal thrust in the next time period is difficult to manage, but a general drift in the direction of

22、 thefirst five minutes is likely with an acceleration after further accumulation has occurred.早期入场信号的第二型：这种信号特别有力，在第一个5分钟K线上发生了极端的波动，可能超出过去20天中任何一天的第一个5分钟K线的波动幅度（图3、图4）。其后同等力度的波动难以预期，但经过市场力量积蓄盘整后，仍会延续与第一个5分钟K线方向相同的惯性趋势。Absence of early entry and no clear getaway on an opening rangebreakout calls for

23、 trading range action with a market generallyunable to trend.未发生早期的入场信号或在开盘区间突破信号发生后未出现显著的移动，意味着市场并无主要趋势。Trading early entryOne possible trading scheme is to use an opening range breakout entry technique each day, anticipatingearly entry. If ideal action does not occur within the first five to 10 mi

24、nutes, cancel orders. In a definedtrend or running market, use early entry to verify the existing trend and then use any pullbacks of 3/8 to1/2 of the existing daily range for another entry.早期入场信号的交易一种可行的交易计划是，每天都使用开盘区间突破交易模式，并预期早期的入场信号发生。如果这种理想的价格模式在开盘后5-10分钟内未发生，则撤单。在一个趋势明确、波动快速的市场上，使用早期入场信号可以验证市场

25、趋势，也可以使用日内波动回撤38%、50%的位置，来构建另一种入场信号。An open that occurs outside the previous days high or low, in most cases, sets up an intraday upthrust orspring. These are top and bottom reversal patterns and tests show that on a move back into the previousdays range by two ticks, the market has a 67% chance of

26、continuing into yesterdays range and closingbeyond that point. This is excellent advance information and, when it moves as far as the early entryextreme price, it shifts the momentum for the entire days trade and, quite possibly, several days tradingif a reversal pattern forms on the daily chart.如果开

27、盘价，在前一天的高低点范围之外，在绝大多数情况下将形成盘中的反转走势。这些顶部、底部反转的走势，可以用是否有重回前一天波动范围内的两根K线来验证。有67%的概率水平，市场会重回前一天的波动范围，并且收盘超出该水平。另一个极其有用的信息是，如果它移动到离开盘价更远的位置，而且日线图表支持的话，那么就可以持续几天的趋势反转行情。Early entry failureOf course, there are times when, even with a defined thrust, the market will not follow through and, infact, will some

28、times reverse completely. This is defined as early entry failure （Figures 5 and 6） and isassociated with a momentum increase in the opposite direction of early entry.早期入场信号的失败当然，有时即使是最理想的早期入场信号发生，市场也并未延续趋势，甚至有时完全走反。这就是早期入场信号的失败（图5、图6），伴之而来的，是与早期入场信号相反方向波动的加强。Momentum can be assessed by the range of the time unit （i.e., a 5-, 15-, 30-minute bar chart）. Anincrea