來源：投資圈女混混
【混混的話】我的悠長假期快要結束，近日基本上每天都在看書，重讀各種經(jīng)典。仍然覺得Kroll的Kroll On Futures Trading Strategy 是經(jīng)典中的經(jīng)典，我對這本書的評價就是：最好的期貨交易書籍，沒有之一，30多年前的書放到現(xiàn)在仍然完全不過時。目前市面上翻譯最好的版本是張軼翻譯的，行文流暢，錯誤較少。所以我決定從今天開始每天推送這本書的一部分，備注好我認為重要的段落，直到本書推送完畢（預計會在我假期結束之前）。為了方便大家理解，會采用中英文雙語的方式。推送這本書其實更多的是為了我自己，有一個方便查看的online版本，希望大家都會喜歡。
第一章 什么叫做交易策略？為什么那么重要？
What Is Trading Strategy and Why Is It Important?
During my boyhood in the 1940s, one of the great attractions of each Saturday afternoon was going to the movies, younger brother in tow, with 75 cents in my pocket to cover admissions and goodies. In that simple bygone world, the Saturday afternoon serial provided a full measure of fantasy and excitement and kept us coming back each week for more of the same.
40年代，我還是小孩，每個星期六最大的一件事，是口袋里裝著75分錢，帶著弟弟去看電影。口袋里的錢，既要買票，又要買些糖果。在那個單純的幼年時光里，星期六下午是那么有趣，充滿繽紛的色彩。每個星期，我們總是一再做著相同的事情，樂此不疲。
Well, it’s 40 years later, and the Saturday afternoon serials are gone. I now have for my weekly excitement the ongoing “serial” of commodity speculation. It is the key to fantasy and riches. It is forever “to be continued,” and players breath a sigh of relief each evening and wonder what triumph or disaster will befall them tomorrow. We traders are the players in this ongoing drama. What we have lost in innocence, we have gained in experience, in intensity, and in a continually renewed determination to come out as one of the fortunate few to make a killing in the market. We strive to emerge with skin and purse intact, if not enhanced, and to ride off into the sunset of fast cars, old houses, or large boats, and with a personal universe of people who sincerely care about each one another.
轉眼間，40年過去了，星期六下午的電影已成塵封往事。但是我每個星期還是有不同的樂子，那就是不斷上演的商品投機好戲。這是開啟夢想和財富大門的鑰匙。它永遠有“續(xù)集”，每天晚上，演員都會趁機喘一口氣，順便猜猜明天會有什么樣的禍福降臨到自己身上。在這永遠演不完的戲劇中，我們這些交易者就是演員。只要我們有堅強的決心，肯努力，立志在市場中賺大錢，我們在懵懂無知時失去的東西，總有一天會通過日積月累的經(jīng)驗找回來。我們努力奮斗，為的是：即使不能錦上添花，也能全身而退，在落日中駕著快車遠去，古色古香的老屋，或者是大型游船，同時希望每一個人都能彼此相互關懷。
But first things first - we still have to beat the market, don’t we? For starters, we must focus on the fact that we are speculators, not gamblers. We study each market situation, both historical and current price action, concentrating on either the technical or fundamental market factors, or a balance of the two. We then must formulate a strategy that encompasses contingencies for both profitable and adverse positions-and all this must be done before entering the market. Furthermore - and this should be paramount-we do not trade for the actions, the excitement, or to entertain friends with wild and woolly anecdotes. We accept the high risks for just one reason: to make a big score.
但是，先談重點，我們還是要打敗市場，對吧？作為新人，要注意一個事實，我們是投機者，不是賭徒。我們潛心鉆研每一種市場狀況，不管是過去的價格趨勢，還是眼前的價格動向，我們全神貫注于市場中的技術面或基本面，或者平衡兩者。接著我們必須想出一套策略，兼顧賺錢和虧錢的倉位。所有這些事情都必須在進入市場之前就做好。此外——這一點極為重要——我們不能為了沖動而交易，不能為了刺激而交易，不能為了弄些稀奇古怪的事取悅別人而交易。我們之所以愿意冒那么高的風險，原因只有一個：賺大錢。
Back in 1967, I received the following letter, quoted in part below:
1967年，我接到一封信，摘錄其中一段如下：
A New York friend sent me your World Sugar Market Letter of October 17, which I found interesting and subsequently quite profitable…The quotation from Jesse Livermore reminded me of my late lamented father, when I asked him as a boy how you made money on the futures market. His answer, “You have to be bold and you have to be right.” I then said, “What if you are bold and wrong?” and he said, “You just go down with the ship.”
紐約一位朋友寄給我10月17日你所寫的《全球糖市快報》，我發(fā)現(xiàn)內容很有意思，結果也是賺錢的……這里引用的杰西·利弗莫爾的話，讓我想起剛去世不久的父親。在我還是小孩的時候，有一次問過我爸，要怎樣才能在期貨市場賺錢。我爸的答案是：“你必須放大膽子，而且必須做對才行?！蔽医又謫枺骸耙悄懘髤s做錯了，會怎么樣？”他說：“當然你會跟著船沉下去?！?/p>
He did just that, unfortunately.
很不幸，他真的跟著船沉下去了。
My continuing dialogue with commodity speculators and hedgers via telephone, correspondence, in person, and even international Telex has been an enjoyable and rewarding aspect of my career and one I have always taken seriously. In reflecting on these myriad contacts, one recurring theme seems to surface. Even the least successful traders occasionally experience the big profits that are there in the market-elusive and tough to capture, but there. And, if you can avoid the considerable hazard of the big wipeout, you will take home the big profits. But how do you avoid the disaster, the big wipeout, that is all too common in the world of the commodity trader? Or, as expressed more poignantly in the letter above, how do you avoid going down with the ship?
我一直利用電話、信件、面對面甚至國際電報的方式，跟投機者和套期保值者對話，樂在其中，而且對我的事業(yè)生涯很有幫助，所以我一直用很認真的態(tài)度和他們溝通?；叵脒@無數(shù)次的溝通，就有一個相同的話題浮上水面。連最不成功的交易者，偶爾也會碰到市場中有很豐厚的利潤呈現(xiàn)在眼前——難以捉摸，也很難抓住，但就是在眼前擺蕩。如果你能避開大洗盤的驚濤駭浪，就能把龐大的利潤抱回家。但是你要怎么樣才能避開大洗盤的浩劫？——在商品交易的世界中，大洗盤是司空見慣的事情?；蛘?，借用上面那封信中所說的比較可怕的字眼，如何免于跟船一起下沉？
Ever since people got together and bartered stone tablets, spears and hatchets, or something to eat, there have been winners and losers in the commodity game. Yet, despite the obvious profit potential and the high leverage (Commodity positions can be put on with as 6 percent or less of the contract value.), most speculators - including many professionals - end up losers. Many lose in a big way.
自從人類聚集在一起，互相交換石板、長矛、短斧和食物以來，商品交易的游戲中，就有贏家和輸家之分。而且，雖然現(xiàn)代的商品交易有很明顯的獲利潛力，也有很高的杠桿作用（最低可以只用合約價值的6%，甚至更少的資金建立倉位），大部分投機者，包括很多專業(yè)交易者最后都成了輸家，而且不少人輸?shù)暮芏唷?/p>
Aside from the small number of professional floor operators, who scalp in big volume from the exchange floors and pay negligible clearing fees, the traders who make big money on any sort of consistent basis are the longer-term position traders. They tend to be trend followers.
除了少數(shù)在現(xiàn)場交易的專業(yè)交易者，他們在交易大廳做短線，交易量很大，但所付手續(xù)費微不足道，這些人不算。能夠持續(xù)不斷賺大錢的交易者，是那些建立長期倉位的人。他們往往是順勢交易者。
I have been fortunate to have been on the right side of some big positions and big profits, some of them held for as much as 8 or 10 months. In summarizing the tactics you need to avoid the big wipeout and to stand proudly in the winner’s circle, the following constitutes the essence of a basic strategy:
在某些大倉位和利潤龐大的交易上，我很幸運，都站在了對的一邊；有些倉位，我持有的時間長達8個月或10個月。為了你免遭大洗盤而離場，并驕傲地站在贏家的行列，我總結了一些必備的戰(zhàn)術，如下所述，這是最基本的策略：
1. Participate only in markets that exhibit strong trend-adhering characteristics or that your analysis indicates are developing into a trending formation. Identify the major ongoing trend of each market and trade in the direction of this dominant trend or stand aside (see Figure 1-1).
1. 只有在市場展現(xiàn)強烈的趨勢特性，或者你的分析顯示市場正在醞釀形成趨勢，才能進場。一定要找出每個市場中持續(xù)進行的主趨勢，而且順著這個主控全局的趨勢交易，否則就不要進場（見圖1-1）。
圖1-1 1986年12月玉米趨勢：十分明顯的，空頭趨勢
【The primary element of trading strategy is to identify the major trend of each market and to trade in the direction of that trend. Your with-the-trend position could result in a big move, so try to stay aboard for the ride. Assuming you can control losses on adverse positions, you only need a few good moves like this year to reap big profits.
交易策略首要的因素就是找出每個市場的主要趨勢，順著趨勢的方向進行交易。順勢而為的倉位會給你帶來可觀的利潤，所以千萬不要提前下車。整個趨勢行走過程中，會有很多起伏，如果你能夠在行情反向時控制好損失，并堅持這么做，一年下來你的利潤將會非?？捎^?！?/p>
2. Assuming that you are trading in the direction of the trend, initiate your position on either a significant breakout from the previous or sideways trend or on a reaction to the ongoing major trend. That is, in a major downtrend, sell on minor rallies into overhead resistance or on a 45 to 55 percent rally (or third to fifth day of the rally) from the recent reaction bottom. In a major uptrend, buy on technical reactions into support or on a 45 to 55 percent reaction (or the third to fifth day of the reaction) from the recent rally high. In this regard, it is imperative to note that, if you misread or choose to ignore the trend and are buying against a major downtrend or selling against a major uptrend, you are likely to spill considerable amounts of red ink.
2. 假如你正要順勢交易，建倉點有3個：第一個是趨勢的新突破點，第二個是橫向盤整顯著走向某個方向的突破點，第三個是上漲主趨勢的回調點或下跌主趨勢的反彈點。也就是說，在上漲主趨勢中，回調遇到支撐時買入，或者回調到距離最近高點45%——55%（或者開始回調的第3天——第5天時）買入。在下跌主趨勢中，反彈遇到壓力時賣出，或者反彈到距離最近低點的45%——55%（或者開始反彈的第3天——第5天）賣出。除此，要是你判斷趨勢錯誤，或者決定置眼前的趨勢于不顧，稍后又硬要在上漲主趨勢中賣出，在下跌主趨勢中買入，你很可能會發(fā)生巨大的虧損。
3. Your with-the-trend position could result in a big, favorable move, so remain aboard for the ride. Resist the many temptations to trade minor swings and to scalp against-the-trend positions, unless you are very experienced at doing so and you use close and consistent stops.
3. 順勢而為的倉位，可以給你帶來很大的利潤，所以千萬不要提前下車。在這個過程中，你要拒絕很多誘惑，不要一見到小波動，就想做短線，不要逆勢交易。除非你很會做短線，而且設置了止損點，否則不要輕易做短線。
4. Once the position is going your way and the favorable trend has been confirmed by market action, you can add to the position (pyramid) on technical reactions as noted in 2 (above).
4. 只要所建倉位和趨勢一致，而且市場已經(jīng)證明你是順勢交易，你可以在第2點所講的技術性回調（反彈）處加倉（金字塔式）。
5. Maintain the position until your objective analysis indicates that the trend has reversed or is reversing. Then close it out and fast! Subsequent chapters will discuss the specific and detailed tactics of exiting a position. Briefly, you can do it with trailing stops, on the basis of a computer trend-following system that signals a “flip” in trend, or on the failure to hold following a 45 to 55 percent counter-trend reaction. If subsequent market actions tells you that the major ongoing trend is still intact and that you have liquidated prematurely, get back aboard; but do it carefully and objectively, again initiating with-the-trend positions on technical reactions against the minor trend.
5. 保持倉位不動，直到你用客觀的分析之后發(fā)現(xiàn)，趨勢已經(jīng)反轉，或者就要反轉。這時就要平倉，而且行動要快！下面幾章會詳細探討一些特定的平倉戰(zhàn)術。這里我只簡單地說明。你可以根據(jù)電腦趨勢跟蹤系統(tǒng)所發(fā)出的趨勢反轉信號，一路設置止損點；或者依據(jù)回調（反彈）45%到55%進場時，情況不對，趕緊平倉。如果隨后的市場趨勢告訴你，行進中的主趨勢依然不變，平倉行動過早時，你要重新上車。在認真和客觀的前提下，同樣當技術性回調（反彈）時，再次建立順勢而為的倉位。
6. But what if the market moves adversely, not with you (like it’s supposed to do)? First of all, how do you know that it’s a bad position? The margin clerk or your daily 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” portion of this admonition. My advice is to take his advice, minus the “or not at all.”
6. 但是如果市場趨勢反向，也就是沒跟你站在同一邊（不是原先所想象的那樣），那怎么辦？首先，你怎么知道你的倉位不好？期貨經(jīng)紀公司催繳保證金的職員，或者你自己每天所做的資金記錄，會很明確地告訴你虧錢了，即使你不承認都不行。本世紀初，赫赫有名的棉花投機者迪克森·華茨曾經(jīng)說過，在這種情況下“要快點跑，否則就熬下去”。他這句話中“熬下去”的部分，說明他要么有足夠的資金死守下去，要么就是他這個人喜歡被虐待。我的建議是不妨聽聽他的話，但把后面那半句給刪掉。
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 considerations. With players often equally qualified and experienced in the technical aspects of their trade or endeavor, what distinguishes the winner from the loser is the consistent and disciplined application of first-class strategy and viable tactics.
很顯然，必須擁有一套一流的，有效的策略。商品交易和象棋比賽、網(wǎng)球賽、馬拉松賽或公司收購一樣。共同點就是，要成功或勝利，既要有技術，也要有策略上的考慮。就技術層面而言，交易者（參賽者）的資格往往十分接近，經(jīng)驗也不相上下，唯一能夠區(qū)別贏家和輸家的地方，在于他們能不能持之以恒，嚴守紀律，應用一流的策略和有效的戰(zhàn)術。
The correct utilization of good strategy is especially important in futures trading. Indeed, we all know the basic rules, don’t we? Take the traders who have never had a winning year no matter how long they’ve been at it (unfortunately, I’m describing the majority of speculators). Yet they’ve 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 forth. 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.
商品期貨的交易中，正確運用好的策略特別重要。我們都知道基本規(guī)則，對吧？有些交易者，不管進入這個市場有多久，但從沒有在整個年度賺過錢（對不起，這里我所說的是絕大多數(shù)投機者）。他們也當然聽過，甚至能夠一字不漏地背誦一些歷史悠久的至理名言，比如“趨勢是你的朋友”“截斷虧損，讓利潤奔跑”“一開始的虧損是最便宜的虧損”等等。這些是贏的策略最基本的表達形式。賺錢賺個不停的贏家，總是心無旁騖地堅守這些基本策略，而不斷虧錢的輸家卻是一再避開和違背這些基本策略。
Finally, while a consistent viable strategy is clearly the main-stay of successful operations, three additional traits are required: discipline, discipline, 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 great surprise that I generally made money when operating according to the strategies and tactics set forth here. These are universal experiences.
最后，始終一貫的有效策略顯然是交易成功的要件，另外還必須具備3個素質：紀律、紀律和紀律。本書其余部分會說明這些道理，也會拿例子來證明這些道理沒錯。我可以拿自己（痛苦）的經(jīng)驗作證：每當我漫不經(jīng)心或蠢到竟然偏離這些原則時，我一定虧錢——有時虧很多錢。而根據(jù)前面所說的策略和戰(zhàn)術交易時，通常都會賺錢。這種經(jīng)驗是全世界通用的。
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