1、1Kroll on Futures Trading Strategy克罗谈期货交易策略中英对照 20 周年纪念版Stanley Kroll斯坦利克罗 Stanley Kroll, 1988克罗谈期货交易策略中英对照 20 周年纪念版由张轶输入、翻译、校对和排版。日期越新，内容越完美。 。版本：2008 年 07 月 03日版To Jean and Harry Kroll With love and respect献给敬爱的吉恩和哈里克罗“. in human affairs the source of success are ever to be found in the fountains
2、of quick resolve and swift stroke; and it seems to be a law inflexible and inexorable that he who will not risk cannot win.”John Paul Jones, 1779“人类追求成功，总希望能快速找到方法并立刻实现；但无情的现实告诉我们，不冒险就不会成功。 ”约翰保罗琼斯，1779 年FOREWORD引子In John Trains excellent book, The Money Masters, he writes about the careers and prof
3、essional methods of nine great investors. Among them are several stars whose names are well known to all of us - Warren Buffet, Benjamin Graham, T. Rowe Price, Larry Tisch, and John Templeton. There, among this “Murderers Row” of investors, you will also find the name of Stanley Kroll. Train describ
4、es the commodities business, where Stanley made his money, as an “impossible casino.” If this is so, Kroll has had some good runs at the gaming table, and they clearly are no accident or mere luck.在股市大亨这本佳作中，作者约翰崔恩描述了 9 位投资大师的生平事迹和专业技能。其中几位明星沃伦巴菲特，本杰明格雷厄姆，T洛威普莱斯，拉里狄许和约翰坦普顿，他们都是我们熟悉的大师。在这些堪称“谋杀者行列”的投
5、资者中，你也能找到斯坦利克罗的大名。崔恩描述了斯坦利在“不可能赌场”中赚钱的期货交易。果真如此，克罗在赌桌上的确演出了几场精彩好戏，这绝非意外或纯属运气。In the 1970s, Stanley had a three-year run during which he built $18,000 of his own money into $1 million. And he performed with equally spectacular skill 2for his partners. Its best to leave the other tales of Stanleys exp
6、loits to readers of Trains book. Suffice it to say that they are impressive displays of guts and brains.70 年代，斯坦利有一场为时 3 年的演出，他将自己的 18000 元增值到 100 万元，他为他的合伙人也赚到了相同的报酬。斯坦利其它的精彩演出，读者可以从崔恩的著作一窥究竟。不用多说，这些表现明白地展现出他的胆识和智慧。I am not a “commodities man” myself. I try to stick to the paths that I understand b
7、etter, primarily equities and debt instruments. For me, reading Kroll on Futures Trading Strategy was an education. The thing that most impresses me about the book is that virtually all the major tenets of Krolls advice are rooted in a constant regard for discipline and common sense. In short, the b
8、est parts of his advice share the underpinnings of any good investment strategy - watch the markets carefully, do copious research, and keep a level head. As Stanley points out, hapless traders act “on the basis of emotion instead of discipline, sentiment instead of logic, and subjectivity instead o
9、f objectivity.”我并非“期货人” 。我试图坚守在自己比较了解的金融工具，主要是股票和债券。对我而言，阅读克罗谈期货交易策略是一种学习。令我印象最深刻的是，克罗建议中最重要的原则几乎完全根植于对纪律和常识的关注。简而言之，他最佳的建议透露出一切良好投资策略的基础用心观察市场，深入研究，保持客观。斯坦利指出，不幸的交易者“根据情绪而非纪律，依据感觉而非逻辑，以主观而非客观行事。 ”Stanleys trading philosophy draws most of its important principles from a central core that is key to a
10、lmost all investing - identify the major ongoing trend of each market and trade in the direction of the dominant trend. Most really savvy investors know that this is as much a key of making money in equities as it is in commodities. One of the reasons that Stanley is highly regarded and has done so
11、well is that his feet are grounded in concrete and not in clay.斯坦利的交易哲学从一个核心思想导出若干重要原则，这个核心思想几乎是所有投资行为的关键辨别出市场的重大趋势，并且顺势交易。多数聪明的投资者都明白这个核心思想，在期货市场和股票市场获利的关键是一样的。斯坦利表现良好且受重视的原因之一，即是他脚踏实地而非浮沙建塔。When you meet Stanley, as I have many times, you are immediately impressed by how little this expert on comm
12、odities claims to know. This is one of the greatest strengths of most real experts. They dont get overly confident or pretend omniscience. Better to constantly assume that you dont know enough and constantly investigate your assumptions and numbers; hence, another important Kroll tenet-play in the r
13、eal world. As he puts it, “the need for a disciplined and objective approach to futures trading is a recurring theme in this book.” Realistically, it is the theme of the book.3如果你见到斯坦利，会和我见到他一样，他认为交易期货不需要了解太多的东西，你会对这个观点印象深刻。这也正是大多数真正专家最突出的优点之一。他们不会过度自信或假装什么都知道。最好是承认自己知识不足，而不断研究自己的假设和数字。斯坦利另一个重要原则是做真
14、实的交易。正如他所说，“期货交易所需要的纪律和客观方法是本书一再重复的主题。 ”其实，这就是本书的主题。Reading Kroll on Futures Trading Strategy can do a little something for all investors. It will not make you into an avid commodities trader overnight, but there is solid advice for each of us. For the novice, it brings a sense, stated in plain Engl
15、ish, of how these markets operate and what investing “systems” can work well. For the expert, the book contains plenty of details for resharpening already good steel. For the investor in general, Stanley offers a sense of what makes good investors really good - consistent hard effort on research and
16、 the discipline to put it to work participating in significant market trends. Everyone with money in any market can benefit from a healthy dose of Stanleys advice.阅读克罗谈期货交易策略一书，能使所有投资者有所收获。它不会让你一夜之间成为鲜活的期货交易者，但本书为我们提供了可靠的建议。对新手而言，书中用平铺直叙的文字告诉你市场是如何运作的，以及哪种投资“系统”能带来利润。对专家而言，本书的很多细节能让你锦上添花。对于普通投资者而言，斯
17、坦利提出优秀投资者成功的线索不断努力研究，并且付诸行动，以有纪律的方式顺势交易。任何投资者都可以从斯坦利的合理建议中受益。Douglas A. McIntyrePresident but do it carefully and objectively, again initiating with-the-trend positions on technical reactions against the minor trend.5.保持仓位不动，直到你用客观的分析之后发现，趋势已经反转，或者就要反转。这时就要平仓，而且行动要快！下面几章会详细探讨一些特定的平仓战术。这里我只简单地说明。你可以根
18、据电脑趋势跟踪系统所发出的趋势反转信号，一路设置止损点；或者依据回调（反弹）45%到 55%进场时，情况不对，赶紧平仓。如果随后的市场趋势告诉你，行进中的主趋势依然不变，平仓行动过早时，你要重新上车。在认真和客观的前提下，同样当技术性回调（反弹）时，再次建立顺势而为的仓位。6.But what if the market moves adversely, not with you (like its supposed to do)? First of all, how do you know that its a bad position? The margin clerk or your d
19、aily equity run will tell you this in no uncertain terms, even if you refuse to admit it to yourself. Dickson Watts, the famous turn-of-the-century cotton speculator, once said, “Run quickly or not at all.” He may have had sufficient money or been enough of a masochist to include the “or not at all”
20、 portion of this admonition. My advice is to take his advice, minus the “or not at all.”6.但是如果市场趋势反向，也就是没跟你站在同一边（不是原先所想象的那样） ，那怎么办？首先，你怎么知道你的仓位不好？期货经纪公司催缴保证金的职员，或者你自己每天所做的资金记录，会很明确地告诉你亏钱了，即使你不承认都不行。本世纪初，赫赫有名的棉花投机者迪克森华茨曾经说过，在这种情况下“要快点跑，否则就熬下去” 。他这句话中“熬下去”的部分，说明他要么有足够的资金死守下去，要么就是他这个人喜欢被虐待。我的建议是不妨听听他的话
21、，但把后面那半句给删掉。The necessity of a first-class, viable strategy is self-evident. It is no less relevant here than in chess competition, tournament tennis, marathon running or corporate takeovers. The common denominator lies in the fact that success or victory involves both technical as well as strategic
22、 considerations. With players often equally qualified and experienced in the technical aspects of 15their trade or endeavor, what distinguishes the winner from the loser is the consistent and disciplined application of first-class strategy and viable tactics.很显然，必须拥有一套一流的，有效的策略。商品交易和象棋比赛、网球赛、马拉松赛或公司
23、收购一样。共同点就是，要成功或胜利，既要有技术，也要有策略上的考虑。就技术层面而言，交易者（参赛者）的资格往往十分接近，经验也不相上下，唯一能够区别赢家和输家的地方，在于他们能不能持之以恒，严守纪律，应用一流的策略和有效的战术。The correct utilization of good strategy is especially important in futures trading. Indeed, we all know the basic rules, dont we? Take the traders who have never had a winning year no m
24、atter how long theyve been at it (unfortunately, Im describing the majority of speculators). Yet theyve surely heard and can probably recite verbatim some of these good old maxims-“the trend is your friend,” “cut your losses short and let your profits run,” “the first loss is the cheapest,” and so f
25、orth. Here is winning strategy in its most basic form. And, while consistent winners share a single-minded adherence to these basic strategies, consistent losers are just as single-minded in their avoidance and violation.商品期货的交易中，正确运用好的策略特别重要。我们都知道基本规则，对吧？有些交易者，不管进入这个市场有多久，但从没有在整个年度赚过钱（对不起，这里我所说的是绝大
26、多数投机者） 。他们也当然听过，甚至能够一字不漏地背诵一些历史悠久的至理名言，比如“趋势是你的朋友” “截断亏损，让利润奔跑”“一开始的亏损是最便宜的亏损”等等。这些是赢的策略最基本的表达形式。赚钱赚个不停的赢家，总是心无旁骛地坚守这些基本策略，而不断亏钱的输家却是一再避开和违背这些基本策略。Finally, while a consistent viable strategy is clearly the main-stay of successful operations, three additional traits are required: discipline, discipli
27、ne, and discipline. The balance of this book is devoted to presenting and proving these thesis. And I can attest from personal (and painful) experience that whenever I was careless or foolish enough to stray from these tenets, I lost money - sometimes lots and lots of money. It should come as no gre
28、at surprise that I generally made money when operating according to the strategies and tactics set forth here. These are universal experiences.最后，始终一贯的有效策略显然是交易成功的要件，另外还必须具备 3 个素质：纪律、纪律和纪律。本书其余部分会说明这些道理，也会拿例子来证明这些道理没错。我可以拿自己（痛苦）的经验作证：每当我漫不经心或蠢到竟然偏离这些原则时，我一定亏钱有时亏很多钱。而根据前面所说的策略和战术交易时，通常都会赚钱。这种经验是全世界通用
29、的。16CHAPTER TWO A Good Technical System Is Just Half What You Need第 02 章 好的技术交易系统只是成功的一半A few years ago, I addressed a gathering of some 600 investors at a technical trading seminar in New Orleans. It was a three-day meeting sponsored by the Technical Analysis Group, also known as Compu-Trac - an ex
30、cellent organization whose annual seminar is designed to help members acquire a better understanding of technical trading tools and to examine the latest studies of market behavior. The topic of my address concerned the steps you need to focus on after youve developed or acquired a good technical tr
31、ading system: viable market strategy and tactics combined with sound money management.几年前，我在新奥尔良一场技术交易研讨会上，对约 600 位投资者演讲。这次会议，是技术分析团队主办的，为期 3 天。这个团队也叫“电脑追踪” ，是个很优秀的组织，每年都举办研讨会，帮助会员吸取更好的技术交易工具，同时检查关于最近市场动向的研究资料。我的演讲内容是：在你发展出或取得良好的技术交易系统之后，需要采取哪些行动？我的看法是，你需要有效的市场交易策略和战术，并加上优秀的资金管理。It is the combinatio
32、n of the two - the technical trading system and the sound strategy and tactics - that can put you in the ranks of the consistent winner. And they can keep you there most years.同时拥有两者，也就是既有技术交易系统，又有优秀的交易策略和战术，你就可以进入赢家的行列。而且你可以长期赚钱。Many traders feel that they can beat the markets with a good technical
33、 system or a good charting approach. In fact, a good technical system, or even an accurate trend projection, is only half of what is required for success. It is not enough to accurately identify a market trend or the price objective of a given move - and that itself is tough to do. You still have to
34、 resort to a viable strategy in order to maximize the profits on your winning positions and minimize the losses on your adverse ones.很多交易者都觉得，只要有良好的技术交易系统，或良好的看图方法，就能打败市场。事实上，良好的技术交易系统，甚至精确的趋势预测，只是成功的一半而已。光是准确地找出市场的趋势，或某一趋势的价格目标，还是不够的，更何况要做到这种程度已经十分困难。为了让赚钱的仓位赚的更多，亏钱的仓位亏的更少，你必须采用一套有效的策略。This was bro
35、ught home to me a number of years ago when I was operating my own clearing firm at 25 Broad Street in lower Manhattan. I met with some 17clients who were professional traders to formulate a strategy for garnering real profits from the market over the coming months. They operated as a little trading
36、group and had been consistently losing due to their short-term focus, their lack of discipline in timing of trades, and their total disregard for any kind of consistent or viable market strategy. After reviewing a number of markets and projecting probable trends and price objective, I suggested coco
37、a was then trading around the 12.00 level, and I offered the thesis that we could see the market advance into the low 20.00s. We were unanimous in that analysis (which, knowing what I now know, should have gotten me very nervous). We commenced our bull operation that afternoon, with each of us picki
38、ng up an initial long position around the 12.00 mark.谈到这里，我就想起多年前在曼哈顿南区 25 号大街经营自己的清算公司的往事。那时我碰到几个客户，他们都是专业交易者，一直在想办法拟定策略，希望从未来几个月里大捞一笔。他们的运作情况像是一个小型的交易团队。以前，由于专注于短线，交易时没有纪律，完全漠视前后一致或有效的策略，所以老是亏钱。检查了很多市场的情况，而且预测它们可能的趋势和价格目标之后，我建议未来几个月交易可可豆。那时可可豆的价位在 12.00 左右，我预测会涨到 20.00 出头。大家都同意这个分析（要是当时我知道现在所知道的，自
39、己一定会捏一把冷汗） 。那个下午我们就开始做多，每个人都在 12.00 附近建立了一个初步的多头仓。We were right. Over the coming months, Cocoa did get up to the 22.00 level! And I made some money on the deal, although not as much as I should have for being so accurate in my analysis. What of my colleagues? Well, over the six-month period, they ac
40、tually ended up losing nearly $200,000. How could that have happened? They started buying at the 12.00 level, had correctly projected the price to the low 20.00s, and had sold off their final long contracts right up at that level. So what went wrong?我们分析对了。几个月后，可可豆果真涨到了 22.00！这次交易，我赚了一些钱，当然，并没有赚到我分析
41、的那么多。至于那些老兄呢？哎，前后 6 个月内他们亏了约 200000。怎么会这样？他们是在 12.00 开始买入，而且价格果如所料地涨到 20.00 出头，他们都在这个价位平掉最后一份合约，那又是什么地方出了差错？Well, they started the campaign as cautious buyers (I couldnt figure that out, as they had plunged heavily in nearly all their other losing plays) and kept increasing the size of their buy ord
42、ers as the market advanced from 12.00 to 15.00. Unfortunately, their position resembled an upside-down pyramid, and at the very first technical reaction, their account went into a big loss. When the margin clerk sent his familiar greetings, they panicked, dumping their entire position. If that weren
43、t dumb enough, they committed the classic blunder! They went short, reasoning that they would take advantage of the downswing to recoup their recent heavy losses. Short on a technical reaction in a major bull market! Not surprisingly, they werent quick enough to reverse back to 18long when the marke
44、t inevitably resumed its advance. They took a beating on the short position as well. This typified their trading during the ensuing months. By the time the dust settled and we all sold out our final longs around the 22.00 level, they had contributed some $200,000 in trading losses to the other, not
45、necessarily smarter but more disciplined and strategically superior, players.原来他们一开始很谨慎（我想不通，其它亏钱的交易中，他们都是一头栽进的） ，价格从 12.00 涨到 15.00 途中，他们在慢慢提高加仓的数量。很不幸，他们的仓位像个倒金字塔，遇到第一次回调，他们的账户就出现很大的亏损。当期货经纪公司职员寄来那份熟悉的催缴保证金通知书时，他们大为恐慌，赶紧把整个仓位平掉。如果这还不算糊涂的话，接下来他们就犯了典型的错误。多头仓位平掉之后，他们推断，可以利用眼前的一波下跌趋势，把刚发生的庞大损失捞一些回来，于是
46、做空。在大多头市场的技术性回调处做空！一点也不奇怪，当市场不可避免地恢复上涨时，他们没办法迅速转成做多。空头仓位也一样亏损。接下来几个月，他们的交易情况一直是这样。等到尘埃落定，我们全都在22.00 平掉最后的多头合约时，他们发生了约 200000 的交易损失，这笔钱拱手让给了不见得比他们聪明，但更能严守纪律，策略上也比较高明的其他玩家。Clearly, their strategy and tactics represented the perfect example of how not to trade the markets. They zigged (sold) when they
47、should have zagged (bought); they zagged when they should have done nothing but watch the market and count their profits. You can almost profile good market strategy by describing the exact opposite of what these hapless professional traders did.很显然，他们的策略和战术，是绝佳的反面教材。他们在应该买入的时候卖出了；应该静观其变，计算利润的时候，他们却
48、买错了。只要照着这些不幸的专业交易者所作所为反其道而行，几乎就可以说明什么叫做良好的市场策略。This little cocoa misadventure is just one of the more graphic examples of the lengths to which futures traders will go in ignoring the most basic tenets of good market strategy and money management on the way to becoming big losers. Most speculators cr
49、eate these disasters unintentionally, but the result is still the same: big losses.这件小小的可可豆不幸事件，只是很多鲜活例子中的一个。我们可以找到不少例子，说明期货交易者是如何一再忽视优秀市场策略和资金管理的最基本原则，最终成为大输家的。大部分投机者都是无意中制造了这些灾难，结果都一样：重大损失。Some time ago, Mr. A. phoned and complained that the trading system he had been using at my recommendation wasnt working. He had just taken a big hit and was down to some 35 percent of his original capital. On the face of It, this spoke poorly for the technical system. His declaration seemed extraordinary to me, since I too had been f
