外汇技术分析图表分析.docx

1、外汇技术分析图表分析CATALOGUEATRADXSARMARSIMACDAverage True Range (ATR)IntroductionDeveloped by J. Welles Wilder, the Average True Range (ATR) is an indicator that measures volatility. As with most of his indicators, Wilder designed ATR with commodities and daily prices in mind. Commodities are frequently mor

2、e volatile than stocks. They were are often subject to gaps and limit moves, which occur when a commodity opens up or down its maximum allowed move for the session. A volatility formula based only on the high-low range would fail to capture volatility from gap or limit moves. Wilder created Average

3、True Range to capture this missing volatility. It is important to remember that ATR does not provide an indication of price direction, just volatility.平均真实波幅（ATR）介绍J.Welles Wilder 发明的ART是一个衡量波幅的指标。包括他的大部分指标，ATR也是Wilder设计用来记录每天价格以及商品期货。商品期货比股票的变动频率更大。它们经常受制于跳空缺口和有限的移动，这些发生在商品期货打开向上或者向下的最大移动波段时。当无法捕捉到

4、高低范围波幅的缺口或者有限移动范围时，一个仅仅基于此的波幅公式就产生了。Wilder建立了平均真实波幅来捕捉这些漏掉的易变量。这对于记住ATR只反应波幅而不提供价格方向指标来说是很重要的。Wilder features ATR in his 1978 book, New Concepts in Technical Trading Systems. This book also includes the Parabolic SAR, RSI and the Directional Movement Concept (ADX). Despite being developed before the

5、 computer age, Wilders indicators have stood the test of time and remain extremely popular.Wilder在1978年他名为New Concepts in Technical Trading Systems的书中强调了ATR。这本书也包含了抛物线反转系统指标SAR，RSI以及ADX。尽管这些发明在计算机时代以前，但是Wilder的指标经历了时间的考验历久弥新，仍旧非常流行。True RangeWilder started with a concept called True Range (TR), whic

6、h is defined as the greatest of the following: Method 1: Current High less the current LowMethod 2: Current High less the previous Close (absolute value)Method 3: Current Low less the previous Close (absolute value)真实波幅Wilder开始是定义了一个叫做TR的概念，这个最伟大的定义如下：方法1：目前最高价减去目前最低价方法2：目前最高价减去之前收盘价（绝对值）方法3：目前最低价减去

7、之前收盘价（绝对值）Absolute values are used to insure positive numbers. After all, Wilder was interested in measuring the distance between two points, not the direction. If the current periods high is above the prior periods high and the low is below the prior periods low, then the current periods high-low r

8、ange will be used as the True Range. This is an outside day that would use Method 1 to calculate the TR. This is pretty straight forward. Methods 2 and 3 are used when there is a gap or an inside day. A gap occurs when the previous close is greater than the current high (signaling a potential gap do

9、wn or limit move) or the previous close is lower than the current low (signaling a potential gap up or limit move). The image below shows examples when methods 2 and 3 are appropriate.绝对值用来确保结果为正数。毕竟，Wilder对于衡量两点之间的距离而不是方向感兴趣。如果目前周期的最高点在之前周期的高点之上，最低点在之周期的最低点下方，那么目前高低点的范围被用来作为真实波幅。这是一个出场日需要使用方法一去计算TR

10、。这样的方式直截了当。方法2和3被用来有调控缺口或者进场日。当之前的收盘价高于目前的最高点时（预示着一个潜在的下行缺口或者限定移动）或者之前的收盘价低于目前的最低价（预示着一个潜在的上行缺口或者限定移动）一个缺口产生了。下面这张图片显示了适用方法2和3的情况。Example A: A small high/low range formed after a gap up. The TR equals the absolute value of the difference between the current high and the previous close.实例A：一个小的高低范围在之

11、后形成了向上的缺口。这里的真实波幅相当于目前最高点和之前收盘价的差距的绝对值。Example B: A small high/low range formed after a gap down. The TR equals the absolute value of the difference between the current low and the previous close.实例B：一个小的高低范围在之后形成了一个向下的缺口。这里的真实波幅相当于目前最低点和之前收盘价的差距的绝对值。Example C: Even though the current close is withi

12、n the previous high/low range, the current high/low range is quite small. In fact, it is smaller than the absolute value of the difference between the current high and the previous close, which is used to value the TR.实例C：尽管目前收盘价在之前高低点的范围内，目前高低点的范围非常小。实际上，这比目前高点和之前收盘价之间的差距的绝对值还要小，这个差距被用来作为真实波幅。Calcu

13、lationTypically, the Average True Range (ATR) is based on 14 periods and can be calculated on an intraday, daily, weekly or monthly basis. For this example, the ATR will be based on daily data. Because there must be a beginning, the first TR value is simply the High minus the Low, and the first 14-d

14、ay ATR is the average of the daily TR values for the last 14 days. After that, Wilder sought to smooth the data by incorporating the previous periods ATR value.计算特别地，平均真实波幅基于14天周期并且能够被用来计算一天以内，每天，每周或者每个月的ATR。例如，ATR被用来计算每日的数据。因为肯定有开始，第一个TR简化为高低点的差，第一个14天ATR是上一个14天的平均TR值。此后，Wilder尝试通过合并之前周期的ATR 值来平滑数据

15、。Current ATR = (Prior ATR x 13) + Current TR / 14- Multiply the previous 14-day ATR by 13.- Add the most recent days TR value.- Divide the total by 14目前的ATR = (之前的ATR*13)+目前的TR/14 前一个ATR值乘以13 加上目前的TR值 结果除以14In the Spreadsheet example, the first True Range value (.91) equals the High minus the Low (y

16、ellow cells). The first 14-day ATR value (.56) was calculated by finding the average of the first 14 True Range values (blue cell). Subsequent ATR values were smoothed using the formula above. The spreadsheet values correspond with the yellow area on the chart below. Notice how ATR surged as QQQQ pl

17、unged in May with many long candlesticks.在图表示例中，第一个TR值（.91）相当于最高值减去最低值（黄色单元格）。第一个14天ATR值（.56）通过计算前14天的TR平均值而得（蓝色单元格）。随后的ATR值通过上面的公式来平滑得到。表格的数值与下面图标的黄色区域相符。注意ATR在五月份是怎么颠簸QQQQ使其蜡烛图形大幅跳水的。For those trying this at home, a few caveats apply. First, ATR values depend on where you begin. The first True Ran

18、ge value is simply the current High minus the current Low and the first ATR is an average of the first 14 True Range values. The real ATR formula does not kick in until day 15. Even so, the remnants of these first two calculations linger to slightly affect ATR values. Spreadsheet values for a small

19、subset of data may not match exactly with what is seen on the price chart. Decimal rounding can also slightly affect ATR values.在家尝试一下ATR，套用几个大的警示实例。首先，ATR值是根据你从哪里开始决定的。第一个TR仅仅是目前的高低差，第一个ATR是前14天TR的平均值。直到第15天，ATR公式都还没有开始生效。即使这样，前两个残留的计算结果轻微的影响着ATR的值。数据表格反映出来少量的数据子集与在价格图表中看到的并不完全匹配。小数四舍五入也轻微影响着ATR的值。

20、Absolute ATRATR is based on the True Range, which uses absolute price changes. As such, ATR reflects volatility as absolute level. In other words, ATR is not shown as a percentage of the current close. This means low priced stocks will have lower ATR values than high price stocks. For example, a $20

21、-30 security will have much lower ATR values than a $200-300 security. Because of this, ATR values are not comparable. Even large price movements for a single security, such as a decline from 70 to 20, can make long-term ATR comparisons impractical. Chart 4 shows Google with double digit ATR values

22、and chart 5 shows Microsoft with ATR values below 1. Despite different values, their ATR lines have similar shapes.ATR的绝对值ATR基于真实的范围，使用价格改变的绝对值。介于此，ATR反应了波幅的绝对水平。换句话说，ATR并不显示今日目前收盘价的百分比率。这就意味着低价格的股票比高价格的股票有更低的ATR值。例如，价值20-30美元证券的ATR值远低于价值200-300美元的证券。因此，ATR值具有不可比性。即使单一证券大幅度的价格变动，例如从70跌到20，也能够导致长期不切实

23、际的对比性。图表4显示了谷歌两位数的ATR以及图表5显示了微软价值小于1的ATR。尽管不同的价值，他们的ATR线形状类似。ConclusionsATR is not a directional indicator, such as MACD or RSI. Instead, ATR is a unique volatility indicator that reflects the degree of interest or disinterest in a move. Strong moves, in either direction, are often accompanied by la

24、rge ranges, or large True Ranges. This is especially true at the beginning of a move. Uninspiring moves can be accompanied by relatively narrow ranges. As such, ATR can be used to validate the enthusiasm behind a move or breakout. A bullish reversal with an increase in ATR would show strong buying p

25、ressure and reinforce the reversal. A bearish support break with an increase in ATR would show strong selling pressure and reinforce the support break.结论ATR不是一个方向性指标，例如MACD或者RSI。相反，ATR是一个独特的波幅指标反映移动中兴趣与否的程度级别。有力的变动，两种方向任一，经常伴随着大幅度，或者大范围。特别在变动刚开始的时候更是如此。无力的变动总是伴随着相对狭小的范围。比如，ATR能够用来证实移动或者突围背后的激情。一个看涨的

26、反转趋势和一个增长的ATR显示出强烈的买盘压力并且使反转更有力。一个看跌支撑的崩溃和一个增长的ATR显示出强烈的卖盘压力并且加固支撑的崩溃。SharpChartsListed as Average True Range, ATR is on the Indicators drop-down menu. The parameters box to the right of the indicator contains the default value, 14, for the number of periods used to smooth the data. To adjust the pe

27、riod setting, highlight the default value and enter a new setting. Wilder often used 8 period ATR. SharpCharts also allows users to position the indicator above, below, or behind the price plot. A moving average can be added to identify upturns or downturns in ATR. Click advanced options to add a mo

28、ving average as an indicator overlay. Click here for a live example of ATR.列出ATR，ATR在指标的下拉菜单里。指示右边的参数包含了默认数值14，用来平滑数据的周期数字。为了适合周期设置，突出默认数值并且键入一个新的设置。Wilder经常使用的ATR周期为8.SharpCharts也允许用户定位指示上下或者后面的价格图。一个移动平均能够加上用来识别ATR的上翻和下翻。点击高级选项来添加移动平均值作为指示附加。点击这里选择ATR的实例。Average Directional Index (ADX)Introduction

29、The Average Directional Index (ADX), Minus Directional Indicator (-DI) and Plus Directional Indicator (+DI) represent a group of directional movement indicators that form a trading system developed by Welles Wilder. Wilder designed ADX with commodities and daily prices in mind, but these indicators

30、can also be applied to stocks. The Average Directional Index (ADX) measures trend strength without regard to trend direction. The other two indicators, Plus Directional Indicator (+DI) and Minus Directional Indicator (-DI), complement ADX by defining trend direction. Used together, chartists can det

31、ermine both the direction and strength of the trend.Wilder features the Directional Movement indicators in his 1978 book, New Concepts in Technical Trading Systems. This book also includes details on Average True Range (ATR), the Parabolic SAR system and RSI. Despite being developed before the compu

32、ter age, Wilders indicators are incredible detailed in their calculation and have stood the test of time.介绍：WellesWilder发明了一个由平均方向运动指标（ADX），减方向指示器（-DI）和加方向指示器（+DI）代表的一组方向性运动指示器所组成趋势系统。Wilder设计(ADX)的初衷是考虑到每天的商品价格，但是这些指示器也能够应用到股票。(ADX)衡量趋势的力量而不考虑趋势的走向。另外两个指示器，(+DI)和(-DI)从决定趋势方向上弥补了(ADX)。图表分析家通过整合使用能够判断趋势的方向和力量。Wilder在1978年他的名为New Concepts Techniacal Trading Systems的书中强调了平均方