关于止损点的设置

无意间看见了一个网站，tv.ino.com, 上面一个free presentation讲exit strategy的， 总结一下吧。

1. Exit determine trading out come.
This is really true. How should we set proper exit? Should we protect our profit, also, at the same time, stay in the trend as long as possible? This sounds easy, but actually difficult.

The guy also mentioned that he tried random entry, turns out that the result is not bad at all using a better exit strategy. See, random entry, interesting concept.

Also, exit controls our profit, loss, duration of the trade and number of the trade.

2. Average True Range. (ATR)
He loves ATR. The defination of ATR of the the max difference between previous close and today's high or low.
True Range = Max of (ABS( High(N) -- Close(N-1)), ABS( LOW(N) -- Close(N-1)))

Then we can have MA on everyday's true range. This represents the recent volatility.

3. Type of exits
3.1) Exit using ATR
Depending on the risk tolenrance, we can set trailing stop around 4xATR(20 day). He call is chandlier type exits. Like a chandlier hanging to the high of the roof.

3.2) Channel exit.
Using lowest low of N day.

3.3) MA stop
He mentioned combine with ATR to avoid sudden volatility.

4. Combine all types of exits.
Exits are hard. When people lose money, they want the stock to go back. When people earn money, they want to earn more. Without a proper exit strategy, there is no long term winning in the stock market. Always set a exit before TRADE!!!

5. My own feeling.
I think we also should set exit according to our own judgement of the stock trend. If we buy around a major support, we should set the stop to the location so that if the stop is hit, the up trend might be over and a down trend will begin. I know it is hard. But the initial stop is hard, other than loss control, there better to a reason to stop.
One word, the initial stop should indicate the supporting reason of the entry is invalid.

After the trend goes the way we expected, we need to estimate how far it can go. And ajust the exit accordingly, to protect the profit and stay the trend longer if we can. Here we will need more study on trend reversal indicator. Will study later.