ith discretionary trading。 All of these ponents can be used in systematic trading。 This book is written to help both types of traders。
根据我的经验，系统交易者一般会取得很稳定的收益，但是最好的，最成功的交易者采取自主交易。具体选择取决于你的性格，这不是冰冷的生意决定。一些人喜欢系统交易，一些人喜欢自主交易。本书的大部分谈论自主交易。所有这些内容都可以用在系统交易中。本书是为了同时帮助两种交易者。
A trading system is an action plan for the market； but no plan can anticipate everything。 A degree of judgment is always required； even with the best and most reliable plans。
交易系统就是市场交易计划，但计划不能预测所有的事。即使有最好的，最可靠的计划，一定的应变能力是永远需要的。
Think of any other plan or system in your life。 For example； you probably have a system for taking your car out of the garage。 You need to open the garage door； start the car； warm up the engine； and pull the car out into the street without bumping into walls； running over tricycles； or getting hit by passing trucks。
想想你曾经用过的任何计划或系统。比如，你需要一个系统把车从车库开出来。你需要打开车库门，启动车，预热引擎，把车开到街上，而不是撞到墙上，撞倒自行车，或者被路过的货车撞了。
You have a system in the sense that you perform the same actions each time in the same sequence； not thinking of the routine but paying attention to what is important … watching out for dangers； such as kids on bicycles； or freshly fallen snow； or a neighbor crossing the sidewalk。 When you detect an obstacle； you deviate from your system； and return to it after the situation returns to normal。 You would not try to design a plete system； which would include dealing with the snow； and the bicyclists； and the neighbors because that system would be too plex and still could never be plete … a neighbor could e into your car’s path from another angle。 A system automates routine actions and allows you to exercise discretion when needed。
你自己有个系统，每次当你这么做的时候，你的行动都是一致的，不是关注例行事物，而是关注重要的事——注意危险，比如骑自行车的小孩，或是刚下的积雪，或邻居在过马路。当你发现了障碍，你先避开它，等一切恢复正常再回来。你没有必要自己设计一个完整的系统，包括处理积雪，骑自行车的人，邻居，因为这样的系统太复杂了，也不能做的完整——邻居可能从另一个角度进入你的行车道。系统自动处理例行事物，而你则要在必须的时候自主决断。
And that’s what you need in the markets … a system for finding trades； setting stops； establishing profit targets … all the while paying attention to a heavy truck headed toward you in the shape of a Federal Reserve announcement or a kid on a tricycle in the form of a disappointing earnings report。 Many beginners set themselves the impossible task of designing or buying a plete trading system； which is just as impossible as a plete system for pulling your car out of the garage。
你在市场中也要这样——用交易系统发现交易机会，设置止损点，建立利润目标——与此同时，你要注意大货车向你开过来，比如美联储的宣布，或者是骑自行车的小孩等让人失望的报告。很多新手全力以赴设计完美的交易系统，这是不可能的任务，就像你不可能设计一个完美的把车从车库开出来的系统。
I have two friends who earn a good living testing systems for traders。 Both are expert programmers。 One of them laughed as he told me how he gets at least one phone call a week from yet another amateur who thinks he has discovered the Holy Grail。 He wants his automatic set of rules backtested to find the best parameters； and his only concern is that the programmer should not steal his secret！ I asked my friend how many profitable automatic systems he found during several years of backtesting。
我有2个朋友，他们以帮交易者做系统测试为生。他们都是编程高手。其中一个笑着告诉我，他每周至少接到一个业余选手的电话，声称自己发现了圣杯。业余选手希望能测试数据，以发现最好的参数，但是他又不希望编程高手偷走他的秘密！我问我的朋友，这么多年来发现了多少赚钱的自动交易系统。
Not one。
一个都没有。
Not one？ Doesn’t he get discouraged doing this kind of work？
一个都没有？那他还有信心做这个工作？
Well； what keeps him going is that he has a handful of steady clients who are successful professional traders。 They bring him snippets of trading methods for testing。 They may test their parameters for placing stops； the length of MACD； and so on。 Then they use their own judgment to bind those snippets into a decision…making tree。
嗯，他能继续工作的原因是，他还有很多客户，这些客户是成功的专业交易者。他们叫他测试交易方法的小问题。他们也许要测试止损的参数，MACD的参数，等等。然后他们把这些小问题和自己的判断融入到决策树。
An intelligent trading system includes ponents that have been backtested； but the trader retains control over his actions。 He has several inviolate rules； mostly having to do with risk control and money management； but allows himself latitude in bining those ponents to reach trading decisions。
一个优秀的交易系统包含了已经经过测试的参数，但是交易者要保留决策权。他有几个互不干扰的原则，大部分都和风险控制，资金管理有关，他会综合考虑这些因素，然后形成交易决定。
An intelligent trading system is an action plan for entering and exiting markets that spells out several specific functions； such as finding trades or protecting capital。 Most actions； such as entries； exits； and adjusting stops； can be partly but not fully automated。 Thinking is a hard job； a mechanical trading system tempts you by promising you won’t have to think any more； but that’s a false promise。 To be a successful trader you need to use your judgment。 A trading system is a style of trading； not an automatic turnkey operation。
一个优秀的交易系统综合多方面的因素，比如找到交易机会或保护资金，以形成进场和出场的交易计划。很多行动，比如进场，出场和调试止损点，可以半自动执行，但不可以全自动执行。思考是很艰难的工作，机械交易系统通过许诺你不用再思考以引诱你。要想成为成功的交易者，你需要使用自己的判断。交易系统是交易风格，不是自动的总承包商。
SYSTEM TESTING
系统测试
You must test each indicator； rule； and method before including them in your trading system。 Many traders do this by dumping historical data into testing software and obtaining a printout of their system’s parameters。 The profit…loss ratio； the biggest and the smallest profit or loss； the average profit and loss； the longest winning and losing streaks； the average profit； and the average or the maximum drawdowns give the appearance of objectivity and solidity。
你必须在使用交易系统之前测试每个指标，原则和方法。很多交易者是这样测试的，用自己的系统参数测试很多历史数据，打印出来。利润亏损比，最大和最小的利润或亏损，平均的利润和亏损，最长的赢利时间，最长的亏损时间，平均利润，平均或最大的亏损，这些听起来很客观，很有说服力。
Those printouts provide a false sense of security。
这些打印出来的东西提供了假的安全感。
You may have a very nice printout； but what if the system delivers five losses in a row； while you trade real money？ Nothing in your testing has prepared you for that； but it happens all the time。 You grit your teeth and put on another trade。 Another loss。 Your drawdown is getting deeper。 Will you put on the next trade？ Suddenly； an impressive printout looks like a very thin reed on which to hang your future； while your account is being whittled away。
也许打印结果很好，如果你用真钱交易，正好连续亏损5次，怎么办？你的测试从来不谈这点，但是这样的事一直在发生。你咬牙切齿地再交易一次，又是亏损。你的亏损很严重了。你还想再交易一次吗？突然，你从打印的结果发现好像把你的未来放在这根稻草上也不行，然而你的账户已经少了很多。
The attraction of electronic testing is such that there is now a small cottage industry of programmers who test systems for a fee。 Some traders spend months； if not years； learning to use testing software。 A loser who cannot admit he’s afraid to trade has a wonderful excuse that he is learning new software。 He’s like a swimmer who is afraid of water and keeps himself busy ironing his swimsuit。
测试软件很有市场，所以形成了收费的系统测试行业。一些交易者花了几个月，如果不是几年的话，去学习如何测试自己的软件。一个输家，不好意思承认自己不敢交易，就说自己在学习新软件。他就像不敢下水游泳的人，却一直忙着烫游泳衣。
Only one kind of system testing makes sense。 It is slow； it is time…consuming； and it does not lend itself to testing a hundred markets at once； but it’s the only method that prepares you for trading。 It consists of going through historical data one day at a time； scrupulously writing down your trading signals for the day ahead； then clicking your chart forward and recording the trades and signals for the next day。
只有一种系统测试有意义。这个测试很慢，花时间，不需要一次测试几百个市场，但是是唯一的让你为交易做准备的方法。它包括每天研究一次历史数据，小心翼翼地记录前一天的交易信号，然后点击图表，让图表向后走，记录下一天的交易和信号。
Begin by downloading your stock or futures data for a minimum of two years。 Swing to the left side of the file； without looking at what happened next。 Open your technical analysis program and a spreadsheet。 The two most important keys for traders on a puter are Alt and Tab because they let you switch between two programs。 Open two windows in your analytic program … one for your long…term chart with its indicators； the other for the short…term chart。 Open a spreadsheet； write down your system’s rules at the top of the page and create columns for the date； entry date and price； and the exit date and price。
一开始下载至少2年的股票或期货数据。从数据的左边开始看，不要看后面发生了什么。打开你的技术分析软件和电子表格。键盘上2个最关键的键是Alt 和Tab，因为你要在多个程序间转换。把你的分析软件分为2个窗口——一个包括长期图表和指标，另一个包括短期图表。打开电子表格，在最上面写下你的系统原则，再创建几栏，分别记录日期，进场日期和价格，出场日期和价格。
Turn to the weekly chart and note its signal； if any。 If it gives you a buy or sell signal； go to the daily chart ending on the same date to see whether it gives you a buy or a sell signal as well。 If it does； record the order you have to place in your spreadsheet。 Now return to the daily chart and click one day forward。 See whether your buy or sell order was triggered。 If so； return to the spreadsheet and record the result。 Track your trade day by day； calculating stops and deciding where to take profits。
如果周线图上有信号，要把这个信号也记下来。如果有买卖信号，到日线图去看看是否也有买卖信号。如果有，在电子表格记下你做的交易。然后回到你的日线图把日期点击到下一天。看看你的买卖单是否被激活。如果是的，回到电子表格记下