止损和日常交易中的风险控制
作者：Konrad Kleinfeld, CFTe，VTAD；
（康拉德·科林菲尔德，认证金融技术分析师，德国金融技术分析协会会员）
翻译及供稿：中国金融技术分析师协会（FTAA）
作为风控经理的交易者
在当今的市场上，一个成功的交易者一定是一个出色的风险管理者，融合了资金管理能力和技术分析知识。在本篇教育性文章中，我们将回顾基本的风险管理工具，然后进一步关注止损单在保护交易仓位中的作用。
风险管理的发展
风险管理技术作为金融机构的一种管理功能和资本市场的前线部门，其规模和重要性在过去的30年取得了稳定的增长。尤其是在最近的15年，全球金融市场的实践证明，先进的风险管理技术不只是有益补充，而是必要条件。总之，金融市场已经告诉我们风险管理是我们交易中的必须，同时需要严密的监控以及智慧的运用止损单，尤其针对收益分布的快速运动。（“厚尾”事件）
不同的风险来源
首先，我们不得不承认，没有完美的且绝对令人满意的法则。但是，止损可以作为管理仓位和限制损失的重要方式—还要牢记投资者仍面临着滑点的风险（例如：预期的成交价格和实际执行的成交价格之间的差别）。总体而言，当今市场上诸多风险均与交易有关，如市场风险，信用和交易对手风险，流动性风险，操作风险等。
市场风险是最显而易见的，因为它直接与金融市场资产价格的变动相关。我们将会介绍基于技术分析的交易止损来控制市场风险。
信用风险指的是债券工具的发行方违约的风险，也包括一般意义上的交易对手违约的风险（例如：交易者的对手盘突然停止交易，导致交易无法进行，或者对方违约）。信用风险也可能包括不可抗力（自然或者其他不可预见的灾难），还可能会有主权风险和边际风险。
流动性风险的主要来源有两个：1）交易者交易的是流动性差的产品，意味着他可能因为要求追加保证金或者其他承诺而不得不平仓。2）因为市场成交量很小，交易对手数量也少，那么成交的速度和价格都不能保证。
最后，操作风险包括所有的非金融因素所造成的风险，比如欺诈，交易或结算系统崩溃，其他事故，道德因素等。进一步剖析风险的细小分类超出了本文的范围，但将在后续的期刊中继续讨论。
从资金管理开始
资金管理止损一般和降低仓位有关，甚至是全部平仓，假定到了一定的限额，比如单笔交易的亏损超过账户净值的2%。也有基于基础理论的方法，比如在险价值（VAR），方差-协方差模型，最大回撤，或者在收益分布的特定时刻配合相关的风险管理工具。对资产的收益分布时刻（如：均值，方差，偏斜，峰度）的掌握因此就成为了一个关键因素，这将使交易者或风险管理者根据设定的资产的风险来选择风险管理工具，且并非限于单一品种，而是针对整个资产组合。
订单和止损管理
资金管理原则中的订单和止损单管理通常包含以下三步：
1. 确定可承受的最大亏损。
2. 在心理相关的支撑水平设置止损单。
3. 对该水平逐次进行调整。
现在的交易者可以根据自己的情况来选择不同种类的订单来平出持仓。这种技术可以包括预防性止损，追踪止损以及所谓的紧急止损。
止损订单的种类和目的
预防性或者是保护性止损单的意思是当市场跟交易者的预期反向运动时，这个预设的止损（该止损由个人的风险偏好决定）可以防止投资者过快或过早的了结头寸。预防性或保护性止损通常在交易者入场之前就已经被计划或设定好了，同时在建立交易仓位时有效的在订单簿激活。
此外，交易者可以用追踪止损（按照当前资产价格的绝对部分或相对部分）来保护已获得的盈利。追踪止损或者渐进止损是当市场方向与投资者仓位方向相同时设置的止损。一般来说，交易者会用当前价格的一个绝对数或者百分比区间作为设置止损的参考。此外还有威利斯·维尔德（Welles Wilder）的抛物转向指标(Parabolic SAR)来优化出场点。追踪止损常常用在趋势市，同时根据交易品种的波动率来持续的调整（可以参考保利加通道指标）。支持此种止损方法的一个很好的理由是它可以通过不断的调整来匹配市场行为的不断变化。当波动率用平均真实波幅（ATR指标）衡量，同时通过将一定的参数乘以这个波动率来设置止损水平时，追踪止损可以变得尤为有效。
在一些文献中，你或许可以读到所谓的紧急止损，这可能是在某一固定水平设置的止损（根据交易者心理，这个位置可能是入场点加交易费用），所以不需要等到保护性止损被触及，而是只要紧急止损被触及，仓位被了结并有可能反手。在一个急速的反转市中这种情况尤其常见，在急速反转市中，反转走势很快的形成，而交易者不打算等到保护性止损或者追踪止损被触及。在一个成交量放大的急速跌势中，这可以帮助避免滑点，尤其是接近重要心理关口的位置。这里我们可以看到，紧急止损不是一种策略或机械的方法，而是根据交易者自身的需求来决定。
结论
在现今的市场中做交易，不仅要求我们拥有交易技术，同时也要求我们是一个好的风险管理者。学习了解市场上最新的风险和资金管理工具并将其用在不断变化的市场收益分布中。根据每一个交易者自身的风险和损失厌恶水平，选择不同的止损单类型，控制好自身在交易中的激进程度，并把握好盈利目标。
参考书目和推荐阅读
Choudhry, Moorad (2006). An Introduction to Bond Markets, chapter 14 riskmanagement, 3rd edition, John Wiley & Sons, Ltd.
Edwards, Robert D. and Magee, John (2001).Technical Analysis of Stock Trend s, chapters 27 and 42, 8th edition, St. LuciePress.
作者简介
康拉德·科林菲尔德（Konrad Kleinfeld）,德国金融技术分析师协会会员，某国际投资银行副总裁。伦敦卡斯商学院MBA， CFTe持牌人。德国金融技术分析师年会指定演讲者，同时兼任法兰克福金融管理学院的经济学讲师。
英文参考原稿：
Stop and Risk Management in Daily Trading
By Konrad Kleinfeld, CFTe
A trader as risk manager
In today’s markets, a successful trader isalso an excellent risk manager. This includes having a combination of moneymanagement skills as well as technical anal­ysis expertise. In this educationalarticle, we will revisit basic risk management tools and then focus on stoporders to protect a trading position.
Evolution of the risk manage­mentprofession
Risk management techniques as a man­agementfunction in financial institutions and capital market front offices has grownsteadily in size and importance over the last 30 years. Over the last 15 years,in particular, global financial markets have shown that advanced riskmanagement skills and tools are not only a can but a must. Overall, financialmarkets have taught us that risk management, especially toward the highermoments of a return distribution (“tail risk events”), is a neces­sity andrequires tight monitoring and the use of intelligent stop orders.
Facing different sources of risk
First, we have to admit that there is no perfectand absolutely satisfactory rule. However, stops can be an important way tomanage positions and limit losses—keeping in mind that an investor still facesthe risk of slippage (i.e., the difference between the expected price of atrade and the price at which the trade actually gets executed). Overall, intoday’s markets, numerous risks are associated with trading, such as marketrisk, credit and counterparty risk, liquidity risk, and operational risk.
Marketrisk is the most obvious, as it arises frommovements in prices of an underlying asset in financial markets. We will focuson this later and introduce trading stops based on technical analysis.
Creditrisk refers to the risk that an issuer of a debtinstrument will default, but it also can include critical issues such ascounter­party risk (i.e., the risk that a counterparty with whom a trader hasdealt will cease trading, making recovery of funds owed very difficult). Creditrisk might also include force majeure risk (natural and unavoidablecatastrophes) but also sovereign risk and marginal risk.
Liquidity risk mainly comes from twosources: 1) a trader running into an illiquid trading positioning, meaning thathe has to sell a position due to margin calls or other financial commitments,and 2) due to decreasing market volumes traded or a decreasing number ofcounterparties, the liquidity for an asset to trade becomes too thin to allowfair and efficient trading.
Lastly, operational riskincludesall risks associated with nonfinancial matters, such as fraud, trading orsettlement system fail­ure, other accidents, and ethics. Digging deeper intothe different subsets of risk associated with being a trader is beyond the aimof this article, however, but will be part of future periodicals.
Money management as starting point
Money management stops are usuallyassociated with cutting a position’s size, or even the entire position given aparticu­lar level of P&L drawdown, such as 2% of trader’s equity with a singletrade. There are also fundamental approaches, such as Value at Risk (V@R),variance-covariance models, maximum draw-down, or even matching a riskmanagement tool on a particular moment of return distribution. Knowing anasset’s return distribution moments (i.e., mean, variance, skew, and kurtosis)is therefore key, as it enables a trader and risk manager to match the usedrisk management tools with the required asset’s risks, not only on anindividual basis, but also in overall portfolio context .
Order and stop loss management
Order and stop order management within themoney management discipline is often associated with three relevant steps:
Determining your own maximumacceptable loss.
Setting a stop loss order at apsychologically relevant support level.
Adjusting this level from timeto time
What sounds obvious can be a real issue indaily application. Depending on its pur­pose, today ‘s trader can choosebetween different types of stopping out their mar­ket position. Techniquesmight include preventive stops, trailing stops, and so-called emergency stops.
Types and purpose of a stop order
Preventive or protective stop means that if the market goes against a trader's fore­cast, one isquickly cutting losses (given a specific individual loss sensitivity) toprevent cutting too quickly or too early. Preventive or protective stops areoften set and defined in a trader’s log before entering a position and areeffectively placed in the order book after entering the underlying position.
Alternatively, a trader can use trailing or progressive stops (inabsolute or relative terms to current asset price) to protect trad­ing profits.Trailing or progressive stops are placed and adjusted when the market is movingin the trader’s direction. Typically, a trader is using an absolute orpercentage band around the current price of an under­lying asset to set thestops. There are also ways to use Welles Wilder’s Parabolic SAR(stopand-reversal) to optimize trading exit points (i.e., closing out and evensetting a short position when a particular price level is reached). Trading orprogressive stops are frequently used in momentum markets and can becontinually adjusted for an underly­ing asset’s volatility (such as viaBollinger Bands). The very charming pro argument for those kind of stops isthat they adjust from time to time and therefore, best match the everchangingbehaviour of markets per se. This is particularly true when using volatil­ity(second moment of return distribution) within the Average True Range (ATR)indica­tor and multiplying a period’s asset volatility by a set factor todetermine stop levels.
In some literature, you can also read about so-called emergency stops, whichmight seta particular stop at a fixed level (in terms of trader psychology,this might be the entry level plus transaction costs), so there is no need towait until the protective stop is hit, but a position is closed or reversedwhen this emergency stop is hit. This is particularly true in sharp turnaroundmarkets, where the market is quickly forming a reversal and a trader does notwant to wait until the pre­ventive or trailing stop is reached. Given the hightrading volumes in a sharp market fall, this could help to avoid slippage,especially around psychologically important price levels (e.g., stops setaround numbers). As you can see, this emergency stop is not a mechanical methodat all but rather follows a trader’s own discretion.
Conclusion
Trading in today’s markets requires eachtrader to not only work on his or her trading skills but also to be a good riskmanager, keeping up to date with the latest risk and money management tools andadapting those tools to markets’ everchanging moments of a return distribution.Given each trader’s individual level of risk and loss aversion, you can usedifferent ways to place stop orders and keep track of your own level of tradingaggressiveness and profitability targets.
Bibliography/Suggested Reading
Choudhry, Moorad (2006). An Introduction toBond Markets, chapter 14 risk management, 3rd edition, John Wiley & Sons,Ltd.
Edwards, Robert D. and Magee, John (2001).Technical Analysis of Stock Trend s, chapters 27 and 42, 8th edition, St. LuciePress.
About the Author
Konrad Kleinfeld, CFTe member of VTAD(Vereinigung Techni scher Analysten Deutschlands e.V.), is a vice president ata global investment bank. He also holds an MBA from Cass Business School inLondon and is a CFTe charterholder. He is a regular speaker at VTAD’s annualtechnical analysis conference and a part-time lecturer in economics at theFrankfurt School of Finance and Management.