【原文推送】克罗谈投资策略（05） 交易工具
第五章 交易工具
The Tools of the Trade
A popular country and western song relates the pithy advice of a traveling gambler. Like Ecclesiastes, which tells us that “to all things there is a season,” the gambler reminds us that there’s a time to hold’em and a time to fold’em - and sometimes a time to get out of town fast! This down-home wisdom is well known and generally practiced by experienced operators because if they don’t practice it, they are soon known as former operators.
有一首非常通俗的西部乡村歌曲，给四处为家的赌客一个忠言。就像传道书说的“万事万物都有四季”，赌客也提醒我们：该抱就抱，该收就收——有时要赶紧卷铺盖出城！这个质朴无华的智慧，很多人都知道，经验老道的交易者也都身体力行，因为如果他们不奉行，很快就会成为“先前的”交易者。
Over the years, I’ve been amazed at how naive many public speculators are concerning commodity trading. It is so easy to get into the market. In many instances, you just have to contact a broker, fill out some forms, and send along a check. Within a few days you can be swinging in and out of a big line of positions. Because you can trade on as little as 6 percent of the market value, a staring equity of just $10,000 can control a position of some $170,000. While it’s exciting to think about the vast profit potential, you must realize that an adverse move of, say, 3 percent could deplete your capital by as much as 50 percent and a 6 percent reversal could wipe out completely.
这些年来，很多投机者对商品交易抱着十分天真的想法，让我觉得很惊讶。要进入这个市场十分简单。大多数情况下，你只要找到经纪人，填一些表格，连支票一同寄过去就可以了。没几天，你就可以大进大出，随你喜欢，爱建多大的仓位就建多大的仓位。由于你的保证金可以低到市价的6%，所以刚开始只要10000元，就能够控制约170000元的仓位。虽然想到潜在的庞大利润会让人兴奋不已，但是不要忘了，一旦趋势对你不利，只要波动3%，你的本金就可能亏掉一半；波动6%，全部本金就会亏光。
And isn’t it remarkable that the same person who may have trained and studied for years preparing for a particular career or profession may think nothing of plunging into the futures market? This is frequently done with little training or practical experience, on the basis of nothing more than a whim, a rumor, or a smattering of floor gossip. As a matter of fact, I have seen people spend more time and energy “researching” for the purchase of a camera or TV than for a purchase of a large grain or metal position. The annals of futures trading are littered with the financial remains of many well-intended, would-be speculators.
很多人为了得到一个比较好的事业或职业，愿意接受多年的训练，也会认真学习几年。但是对于期货，却想都不想，就一头栽进去了，这不是很叫人吃惊吗？而一头栽进去的人，往往没受过多少训练，或者没有实战经验，所凭借的不过是一个小道消息，一个谣传，或是营业厅内一知半解的闲聊。我见过有些人为了买照相机或电视机，花了不少时间和精力去“钻研”，要建立谷物或金属大仓位的时候，却没花什么时间和精力。在期货交易的战场上，到处都是很想赚大钱的准投机者。
To continue the above analogy, the majority of novice traders, after a brief but generally expensive series of lessons on the pitfalls of inept and undisciplined speculation, reluctantly join the category of former speculators - sadder and poorer but regrettably not any wiser.
绝大部分天真的交易者，从失误和毫无章法的投机中得到短暂和昂贵的一连串教训后，心不甘情不愿地加入所谓悲叹投机者的行列——心情更悲伤，更穷，而且很遗憾，他们并没有变得更聪明。
I
have always been a firm believer in thorough and organized preparation for every field of serious endeavor, be it surgery, sailing, speculation, or whatever. And granted, the person with a demanding, full-time career or profession certainly can’t devote full-time effort to studying and preparing for futures speculation. Nevertheless, he or she can find ways to help prepare for speculative market operations to improve the chances of success.
我一直坚信，任何领域，不管是外科手术、航海、投机或者其它事业，如真想有所成就，就一定要做周到和有条不紊的准备。可以想象，一个人如果另外还有吃重的全职事业或工作，那他一定没办法全心全意去研究和准备期货的投机。但是他（她）还是可以找到办法，为交易多做准备，提高成功的概率。
One of the most effective ways to prepare for your entry into futures speculation prior to risking real dollars - and I hold this to be a universal way to study or prepare for any new undertaking - is through a careful study of books dealing with the technique and methodology of futures trading. In addition, I’ve often found articles and features in the various financial magazines, as well as the daily and weekly business periodicals, to be helpful. However, I am referring to articles concerning market strategy or articles that focus on general economic or business conditions. I specifically exclude pieces that attempt to predict future prices or price trends because, even if the forecast were correct - and that is usually not the case - you still have to confront the problem of whether it has already been discounted in the market. As a matter of fact, there is an old Wall Street maxim, “Buy on the rumor and sell on the news.” This is just another way of saying that by the time the news is made public, it is invariably too late to take any action on it.
在拿钱从事冒险之前，为期货投机做准备的一个最有效方法，便是仔细钻研有关期货技巧和方法的书籍。我认为，对于任何新事情，都要提前研究和准备。此外，我也觉得各种金融杂志，以及每天和每周发行的商业期刊，上面所写的文章或特稿十分有用。不过，我所指的是谈市场策略的文章，或重点放在一般经济或商业状况的文章。凡是想要预测期货价格或价格趋势的文章，我特别要把它们过滤掉，因为，即使预测准确（通常不是），你还是要面对一个问题，市场是不是已经消化吸收了这个预测。事实上，华尔街上有句古老的名言：“谣言出现时买入，消息出现时卖出。”这句话的意思是：当公布消息时再采取行动，其实已经迟了。
I can recall a situation several years ago when I had taken a big position on the long side of plywood for my clients and myself. Within a few days of my initial purchase, I had a visit from one of my larger discretionary accounts, a securities analyst for a major investment firm. He had just learned that I had put him into the plywood. Greatly agitated, he informed me that he recently attended a stockholders’ meeting at Georgia Pacific and had heard from one of the officers that they expected the plywood market to remain on the defensive for the balance of the year. As I was thinking of a diplomatic way of inviting him to stop telling me this irrelevant story, I watched in amazement as the pulled from his case the current issue of Time. It too offered a bearish analysis of wood and wood product prices. Being by nature a rather conservative investor (I wondered what was he doing in futures trading and why hadn’t he told me how conservative he was when he opened the account), he became a semi-basket case moments later. That occurred when I informed him that his plywood position was even bigger than he thought because I had closed out a nontrending grain position and had pyramided into more plywood.
几年前，有一次，我替客户和自己建立了一个很大的合板多头仓。刚买入的几天内，某大投资公司的证券分析师来看我，他是我的大客户，他刚知道我帮他买了合板。他感到焦虑，因为他刚参加了乔治亚太平洋公司的股东会议，听一位官员说，该公司预期那一年年底前，合板市场都会处于被动局面。我正准备用外交式的礼貌，请他不要告诉我这个故事，却惊见他从手提包里抽出一本当时的《时代周刊》。《时代周刊》也对木材和木材产品的价格做了偏空的分析。他天生是个相当保守的投资者（我很奇怪，他为什么要做期货，他在开户的时候，为什么不告诉我他很保守？），没过多久，我告诉他，他的合板仓位比他所想象的还要大，因为我已把没有明显趋势的谷物仓位给平掉，金字塔加仓，买了更多的合板，他绝望了。
It took a while to calm and relax him because, while he was an experienced and highly regarded securities analyst and a partner in a prominent investment firm, he had no previous exposure to futures trading. In the ensuing discussion, I made the following points: I didn’t care what the Georgia Pacific speaker said because (a) he was either uninformed about price trends in the wood market, or (b) he was informed but didn’t care to share his information with the public, or (c) he was correct, in which case the information had probably been already discounted in the market. In response to his query on why I had bought even more plywood, I told him that the strong market action position had confirmed the bull market, that it was the best acting position in our portfolio, and that, by this time, it showed good paper profits. Moreover, it is one of my strategies to pyramid onto the best performing positions while closing out the worst performing.
他的心过了一会儿才平静下来。虽然他是个很有经验和颇受敬重的证券分析师，也是一家著名投资公司的合伙人，但是以前没做过期货。接下来的讨论中，我说明了几点：我并不在意乔治亚太平洋公司那位先生说了些什么，无非三个理由：（a）他不知道木材市场的价格趋势，（b）他早已知道，但不愿跟大众分享他的信息，或者是（c）他讲得不错，但是这个信息可能已经被市场吸收消化了。为什么要买这么多的合板？我回答说市场明显上涨，它是我投资组合里面表现最好的仓位，账面上已有很不错的浮动利润。何况，我的策略是：表现最好的仓位要做金字塔加仓，表现最差的仓位要平掉。
I was still in semi-shock from the events just mentioned, but the next day brought something that took my mind off the plywood market and the strange meeting with my client. As I walked down the dock to my mailbox, I wondered if the package had arrived yet. The publisher assured me it had been posted, but as of last evening it was still in transit. Today I was in luck, however, for there it was in the marina office. My pace quickened as I walked back to my boat, settled into a comfortable deck chair, and purposefully opened the wrapping. For the next few hours I was totally immersed in studying and taking copious notes.
这件事，让我感到冲动，心情久久难以平复，但是第二天，有件事让我的心思脱离了合板市场，也忘记了跟客户奇怪的见面情况。我向码头邮筒走去，想看看所订阅的包裹到了没有。出版商告诉我，包裹已经投递，但直到昨天晚上，包裹还在途中。今天我的运气不错，因为它到了码头的邮筒。我加快脚步，走回船上，躺进甲板上舒适的躺椅内，怀着一颗期盼的心情拆阅信封。接下来几个小时内，我完全沉浸在阅读那丰富的内容和做笔记之中。
What, you may wonder, was the object of this intense concentration? What could have so absorbed me for hours on a beautiful Saturday afternoon? Perhaps a favorite magazine or a long-awaited and sought-after book? The truth is, I spent those hours completely immersed in a large volume of contemporary nonfiction dealing with both national and international events and offering, to those who can read its secrets, important clues to the future. The future?
你会问，什么内容让你如此用心？什么东西会让我用美好的周六下午来研究它呢？也许是一本我喜欢的杂志，也许是一本找了很久的书？事实上，我看的不是小说，是一些国内，国际事件和商品报价，如果你是有心的人，可以知道里面的秘密，会涉及到未来。未来？
The title of this fascinating volume was, Ten-Year Weekly Range Charts, published by Commodity Perspective of Chicago (Commodity Perspective, 30 South Wacker Drive, Chicago, IL 60606). When combined with a judicious mixture of concentration, experience, and recall, plus an objective, disciplined approach to the markets, it can help unlock part of the key to profitable long-term trading and investing.
这是一本很有趣的著作，是芝加哥商品观点出版的《10年周线图》。有了这本书，再加上个人的智慧、专注、经验、反思、客观、纪律性，长期交易和投资获利的大门必可打开一部分。
In my experience, the most fruitful approach for the nonfloor operator is long-term, trend-following position trading. Here, the trader eschews trying to predict tops and bottoms as a means of closing out (with-the-trend positions) and reversing (to against-the-trend positions). Chart pattern counts, including the 50 percent return rule can be used, but only as a general guide to likely areas of support or resistance, or to locate areas for pyramiding with-the-trend positions. Instead of trying to predict tops and bottoms, the trader seeks to identify major price trends. He wants to get aboard soon after the trend has been confirmed, on a minor trend reaction against the major trend, or on a significant breakthrough of support (for a short position) or resistance (for a long position) – but always in the direction of the ongoing major trend.
根据我的经验，场外交易者最赚钱的方法就是跟随趋势做长线。在这里，交易者不必预测头部和底部，不必靠着这种预测去平仓（顺势的仓位）或做反转（逆势的仓位）。趋势图的形态是可以运用的，其中包括50%的回调（反弹）法则，但这只能当作一般的指南，告诉我们支撑或压力可能在哪里，或找出顺势的仓位可以在哪里做金字塔加仓。交易者不必花精力去预测头部或底部，而是用心找出主要的价格趋势是什么。一旦趋势确立，他希望能赶紧上车。不管是在主趋势的回调（反弹）之处进场，还是在支撑点显著突破之处（做空时）或压力点显著突破之处（做多时）进场都可以——但他永远都处于持续性的主要趋势中。
Admittedly, this type of long-term, trend-following trading is not the easiest or quickest way to make a living, but for those who are able to do it while managing to avoid getting killed in the between times, the results can be truly impressive - even running into telephone-number-size profits. In the mid-70s, for instance, my clients and I extracted a spectacular seven-figure profit from the wheat market by correctly identifying the long-term trend (up) and sticking with the position (from 3.60 to around 4.90 - pyramiding along the way) for the major position for the bull move (see Figure 5-1).
我承认，这种长期，顺势的交易，不是最简单或最快速的谋生方式，但是能够这么做的人，如果同时能够避免在波浪起伏之间被杀，成果会十分惊人——利润甚至可以达到电话号码那么多。比如说，70年代中期，我和客户准确地找出小麦的长期趋势（上涨），而且在多头趋势的主升段持有仓位不放（从3.60涨到4.90左右，还一路金字塔加仓），结果从小麦市场得到了可观的7位数字利润（见图5-1）。
图5-1 1975年3月小麦市场（文字：买入、加仓、加仓、平掉整个仓位）
【This was my final play before I closed my office, packed my bags, and took off for a five-year sabbatical. I commenced the bull deal around the 3.60 level and added to the long position twice: on the June breakout around the 3.85 level and again on the July reaction towards 4.40. I liquidated the entire position on the morning of December 9, 1974, on the failure of the rally. Bullish news that morning should have put the market up 3 to 4 cents. Instead, it opened 2 cents lower. When prices failed to advance following bullish news, I felt it was time to leave the party. Good thing too! Seven weeks later, the market was $1.00 lower.
做完了这一笔，我就关掉办公室，收拾行囊，休息了5年。我在3.60左右建仓，加仓2次：6月在3.85附近的突破之处，7月在跌向4.40的回调处。我在1974年12月9日上午因反弹失败，平掉整个仓位。那天早上传出了利好消息，本该使行情上涨3到4分，但开盘反而下跌2分。价格不能跟着利好消息上涨，我觉得该出场了。这次做得很好！7周后，市价跌了1元。】
But like any good craftsman we do need tools, and the particular tool in this discussion is a well-organized set of long-term continuation charts. The best set that I have seen is the aforementioned collection of Ten-Year Weekly Range Charts, published semiannually each spring and fall. First introduced in 1984, the set consists of a series of 30 12.5”×17” charts printed in heavy stock and spiral bound into a single desk-size volume. Each chart records 10 years for weekly close price activity. A periodic review of these long-term charts provides the operator with a distinctly advantageous viewpoint. The noise and clutter of the market place are deleted, and the major trends are clearly displayed for the astute and pragmatic analyst.
但是就像好的工匠，工欲善其事，必先利其器，而这里我们所要提到的工具，便是一组整理得很好的长期连续图。我见过最好的一组，是前面提过的《10年周线图》，每半年（分春秋两季）出版一次。这些趋势图于1984年问世，一个系列是30张12.5寸×17寸的图形，有很多系列。数量很多，放到一起能堆满桌子。每张图都记录了10年的每周收盘价。交易者如果每隔一段时间就看看这本长期趋势图，一定会得到一些清楚的，比别人强的观点。这么一来，市场的杂音和吵闹就会被删除，对聪明和务实的分析者来说，主趋势便会明显摆在眼前。
The futures trader also needs a good chart service, and, fortunately, there are several of them available. There exists in some quarters the mistaken belief that only technically oriented traders need a chart service, while fundamentalists do not. I take issue with that suggestion and feel that all operators, regardless of their trading orientation, should include a regular subscription to one of the chart services as an integral part of their analysis. These services provide far more than an alphabetized collection of daily charts. Typically, a service arrives fresh weekly with some 200 charts depicting daily high-low-last prices, volume and open interest, some form of moving averages, cash or cash-versus-futures prices, overseas markets, and a collection of straddle (spread) charts. Included with the chart service, at regular intervals, are long-term weekly and monthly continuation charts going as far back as 20 years (see Figures 5-2 and 5-3). And finally, of particular interest to many technical traders is an oscillator or trend-indicator tabulation, such as the excellent Computer Trend Analyzer and charts furnished in the weekly service by Commodity Research Bureau of New York. This is a powerful aid in identifying the significant underlying trend of each market, with reversal points noted both above and below the trading ranges.
期货交易者确实需要有人供应优秀的趋势图，幸好，有几家公司提供的图还不错。可能有些人有某种误解，以为只有靠技术交易的人才需要图形，依基本面交易的人则不需要。我曾想过这个问题，觉得所有交易者，不管他们的交易取向如何，都应该定期买张图来看，作为整体分析不可或缺的一部分。这些图不仅仅是每天报价的集合。大致来说，每周送来的图大概有200张，上面有每天的最高价、最低价、收盘价、成交量、持仓量、某种移动平均线、现货价格、现货与期货对照价格、海外市场和跨期图。这些图里面，会有一些依一定间距编成的周线或月线图，期间长达20年（见图5-2和5-3）。最后，还有很多技术交易者特别感兴趣的振荡指标或趋势指标，如首屈一指的“电脑趋势分析者”以及纽约商品研究局每周提供的图形。要找出每个市场的显著趋势，以及交易区间之上或之下的反转点，这些图形可以帮上很大的忙。
图5-2 取暖油（近期期货）长期周线图，1981-1986
【These long-term weekly charts offer a much broader perspective than the daily charts and can be of great value to the technical trader in identifying and analyzing major market trends and support/resistance levels.
长期周线图提供的视野比日线图要宽广，对技术交易者来说，要找出和分析市场主趋势以及支撑/压力区，具有很大的价值。】
图5-3 横跨20年的黄金（近期期货）长期月线图
【Long-term monthly charts, when used in conjunction with weekly charts, can provide the technical trader with the clearest and most advantageous perspective for trend-following position trading.
长期月线图配合周线图使用时，可以提供技术交易者最清楚和最有利的视野，使顺势的仓位交易更能得心应手。】
Especially important for the fundamental analyst or anyone wishing to look beyond the strictest technical interpretation is the Commodity Year Book, published annually by Commodity Research Bureau. First published in 1939, this large volume is undoubtedly the most widely used commodity reference source. Besides offering extensive statistical tables and fundamental data on just about all worldwide commodities, the Year Book includes some excellent articles and practical features of interest to all serious traders.
商品研究局每年出版的《商品年鉴》，对基本面分析师，或任何不想把眼光局限在纯技术性解释的人来说，尤为重要。《商品年鉴》最早出版于1939年，这部厚书毫无疑问是人们最常用的商品参考书。《商品年鉴》提供了广泛的统计数据图表和基本面数据，几乎包含了全球的商品，更有精彩绝伦的文章和实用的特稿，认真的交易者一定要看。
And, last but not least, are the trading systems, predominantly data bank and computer-oriented, which have increasingly come to dominate trading and timing decisions in just about all aspects of futures speculation and hedging. These will be discussed in Chapter Twelve.
最后但并非是最不重要的一点——交易系统。交易系统，尤其是历史数据和电脑交易系统，在期货投机和避险交易所有的交易和时机决策上，越来越有举足轻重的地位。我们会在第12章谈这件事。
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