前言
译者前言
道氏理论是从经验和数据中逐步发展起来的，历经了查尔斯·H.道一一汉米尔顿一一雷亚三代人的努力形成了一个系统的理论框架。在刚步入股票交易这行的时候，对价值投资理论和技术分析都有广泛的涉猎，最初几年也分不清到底什么是有价值的，什么是好看不好用的。随着十几年来交易成败得失经验的累积，一个去伪存真、化繁为简的过程逐步展开，道氏理论最初几年并未得到我应有的重视，但是随着资金规模的扩大和分析交易水平的提高，我越发重视道氏理论提出的一些理念。
投机市场上几年就要换一批“当家花旦”，业绩爆发之后要不了三年就会归于沉寂，这种现象引人深思。2015年年中的股市暴跌导致不少私募明显功败垂成，许多有着十几年甚至二十多年经验的明星操盘手功亏一篑，少数同行甚至为此了结了自己的生命。交易是让生命沿着刀刃滑行，现在对这句话我有着更深的体会。随着阅历的增加，浮华褪去，当我放大眼界和格局的时候，年轻时的浮躁慢慢被历练融化。
2015年下半年开始到现在，每天我都会在交易之外抽出半天时间来研读少数几本经典，上面布满了我多年来做下的各色笔记，对比这些年来的分析和交易经历，有一种豁然开朗的感觉。小时候念得非常烂的那首诗，其实等你逐渐老去的时候才能明白其意义：
白日依山尽，黄河入海流。
欲穷千里目，更上一层楼。
经典就是我们上楼的梯子，格局有多大，你的福报就有多大，你的交易就能做到多成功。道氏理论是经典，它的核心在于“取势”，所谓趁势而为，天下枭雄，要成为金融界的巨擎何尝不是围绕“大势”努力。道氏理论专注于趋势的研究，这就是其与绝大多数技机理论的本质区别，而且它并未停留在“重要的是什么”这一步上，而是专注于“如何做到”这一步上。
“顺势而为”这四个字可以说脸炙人口，也可以说陈词滥调，根源在于很难落地。如何落地？道氏理论给出了一些可操作性的方法。
第一，通过合成指数来替代个股，可以更好地认识整体，而整体与趋势关系最为密切。所谓站远一点看问题会看得更清楚，指数就是森林，个股就是树木，指数让你能够着眼全局。
第二，道氏理论非常注重新高新低的意义，具体来讲对于N字结构非常注意。趋势的必要条件是不断创出新高或者新低，虽然创新高或者新低未必是趋势，但是趋势存在必然表现为新高或者新低。
第三，相互确认来过滤假信号。所谓兼听则明，偏信则暗，通过“听取”两个指数的“意见”可以得到更加接近趋势实相的信息。
第四，区分了主要运动、次级折返和日内波动三个层次，指出主要运动与趋势关系直接，而日内波动则与趋势毫无关系，这样就可以让我们不再被当下的波动误导。
凡有所相，皆是虚妄。诸相就是波动，就是现象，实相就是趋势，就是本质。道氏理论让我们透过现象看本质，透过波动洞察趋势，这是一门洗尽铅华，褪去浮躁的躬身学问。
“夫易广矣大矣，以言乎远则不御，以言乎迩则静而正，以言乎天地之间则备矣。”这句话也可以套用在道氏理论上，道氏理论蕴含了现代技术分析的各种流派，下面我们略举几例。
道氏理论认为市场存在三个阶段，这点与艾略特波浪理论的1-3-5驱动浪存在近似的对应关系。道氏理论认为趋势是曲折前进的，这正是艾略特波浪理论的实质。
道氏理论的次级折返运动与斐波那契回撤点位关系密切，大多数回撤位于0.382～0.618这个范围之内。
道氏理论注重高低点，而这是水平趋势线的基础。但是，道氏理论认为诸如斜趋势线和趋势通道这类东西过于机械，市场怎么可能被你的斜边趋势线给捆住。
关于道氏理论，我根据中心思想和原文意译出正文，再将原来一些有价值的批注列出，增加一些最新的理解。随着资金量增加，用不着每日盯盘操作，除了半天研究经济和金融市场的时间之外，留下半天时间翻译整理一下自己的所得，这样的时间安排让我从数年的繁忙之中解脱出来。
最后再说一句，道氏理论是一门培养浩然之气的学问，让你从大格局去看待市场和自己，心临大势有静气，波澜不惊，这才是真正的顶级高手！
魏强斌
青城山
2016年7月18日
1932年英文原版序言
所谓的道氏理论其实是已故的查尔斯·H.道和威廉·彼得·汉米尔顿两人市场智慧的集大成之作。
道氏本人是道琼斯公司的创始人之一，这家公司除了向全国提供财经资讯服务之外，还出版《华尔街日报》，而他本人则担任这份报纸的主编。
汉米尔顿在1929年过世，此前的20年当中，他出色地担负起了《华尔街日报》的编辑工作。早期的汉米尔顿作为一名记者与道氏过从甚密，合作关系密切。
30年前的人们还难以理解道氏的全新超前观点：股票市场个股波动的背后其实隐藏着整个股市趋势的变化。此前的人们，包括那些认真严肃思考这一问题的人都普遍认为个股的波动是相互独立的，个股的波动取决于相应上市公司的经营状况以及参与其中的投机者和投资者的行为和市场态度。
汉米尔顿定义和完善了他称为“道氏理论”的这个体系的内涵。在他看来，股市就是整个经济和商业前景的“晴雨表”，而且还能预示股市本身的未来趋势。汉米尔顿展示出了精彩绝伦的股市解读技巧，并且经常将这些解读成果和理由撰写成文章作为社论以“股市运动”的文章发表在《华尔街日报》上。
道氏本人对股市理论体系的零散观点仅仅体现在1900～1902年的一系列社论文章当中。直到1922年，汉米尔顿出版了《股市晴雨表》一书，这是一本按照道氏开创的理论基础阐述股市预测的专著。汉米尔顿的理论体系体现在《股市晴雨表》这本书和大量的股评文章当中。
雷亚阁下对他们两人撰写的252篇文章进行了详细而全面的研究，以便能够对个人投资者和投机者的工作有所裨益，他的这项工作是对道氏理论发展的巨大贡献。
休·班克罗夫特（Hugh Bancroft）
波士顿
1932年5月21日
1932年英文原版前言
我撰写这本道氏理论专著的出发点是因为我坚信这一理论是预测股市走势的唯一合理和可靠的方法。
作为一个久病卧床休息的人，我有他人难得的机会去研习道氏理论。倘若一个人没有珍惜和利用这样的机会，将闲暇视为幸运者的奖赏，那么就会丧失生命赐予我们的乐趣。
我十多年来所完成的一切商业事务都是在床上展开的，久病卧榻的唯一乐趣就是致力于经济和商业的研究，特别是对商业形势和股市趋势的研究。或许是因为道氏理论的帮助，又或许是运气使然，我于1921年抓住时机买入一些股票，然后在1929年的最后疯狂之际悉数卖出。另外，或许还是上述两者的帮助，我在股市崩盘之后的两年时间里，仅仅持有数额不多的做空头寸。因此，可以认为我的辛苦研究获得了相应的回报。倘若在我努力运用道氏理论的同时能够对其进行系统阐释，那么可能会对其他人起到帮助，至少我撰写此书的初衷如此。
为了便于我自己和周围朋友，以及其他认真研究股市的人，我负责绘制了一系列的道琼斯平均股票指数走势图。在这一指数走势图当中我还同时绘制出了纽交所相应的成交量。因为少量印制这套走势图的成本过高，所以我决定大量印制出版，而销售情况也令人十分满意。我在这套走势图的导论部分对道氏理论，以及已故的《华尔街日报》编辑威廉· 彼得·汉米尔顿的相关文章进行了部分评论，然而这些评论却带来了意外的结果一一我竟然收到了多达500封邮件，咨询相关的内容。因此，这本书可以看作是写给这些来信提问者的，以便能够让他们从我对道氏理论的研究中获利，这些来信者中的不少人现在已经成了我的朋友。
毫无疑问的是那些批评家们肯定会找出用词上的不当之处以及排版上的不足之处。同时，许多读者或许难以赞同本书中给出的定义和结论，但是，那些宽宏大量地对待本人能力有限的读者或许能够从中获得启发，并且在未来的操作中证实这些东西的价值。我之所以写出自己的研习心得，主要就是为了这类读者。
最后，我要特别感谢休·班克罗夫特欣然为本书提笔作序。作为财经媒体翘楚《华尔街日报》和《巴伦周刊》的领导者，他授权我使用道琼斯股票平均指数和旗下媒体刊发的文章，对此表示感谢。
罗伯特·雷亚（Robert Rhea）
科罗拉多斯普林斯市
1932年3月10日
导言 成为伟大交易者的秘密
◇伟大并非偶然！
◇常人的失败在于期望用同样的方法达到不一样的效果！
◇如果辨别不正确的说法是件很容易的事，那么就不会存在这么多的伪真理了。
金融交易是全世界最自由的职业，每个交易者都可以为自己量身定做一套盈利模式。从市场中“提取”金钱的具体方式各异，而这却是金融市场最令人神往之处。但是，正如大千世界的诡异多变由少数几条定律支配一样，仅有的“圣杯”也为众多伟大的交易圣者所朝拜。现在，我们就来一一细数其中的最伟大代表吧。
作为技术交易（Technical Trading）的代表性人物，理查德·丹尼斯（Richard Dannis）闻名于世，他以区区2000美元的资本累积了高达10亿美元的利润，而且持续了十数年的交易时间。更令人惊奇的是，他以技术分析方法进行商品期货买卖，也就是以价格作为分析的核心。但是，理查德·丹尼斯的伟大远不止于此，这就好比亚历山大的伟大远不止于建立地跨欧、亚、非的大帝国一样，理查德·丹尼斯的“海龟计划”使得目前世界排名前十的CTA基金经理有六位是其门徒。“海龟交易法”从此名扬天下，纵横寰球数十载，今天中国内地也刮起了一股“海龟交易法”的超级风暴。其实，“海龟交易”的核心在于两点：一是“周规则”蕴含的趋势交易思想；二是资金管理和风险拉制中蕴含的机械和系统交易思想。所谓“周规则”（Weeks' Rules），简单而言就是价格突破N周内高点做多（低点做空）的简单规则，“突破而做”（Trading as Breaking）彰显的就是趋势跟踪交易（Trend Following Tracling） 。深入下去，“周规则”其实是一个交易系统，其中首先体现了“系统交易”（Systematic Tracling）的原则，其次体现了“机械交易”（Mechanical Trading）的原则。对于这两个原则，我们暂不深入，让我们看看更令人惊奇的事实。
巴菲特（Warren Buffett）和索罗斯（Georgy Soros）是基本面交易（Fundamental Investment & Speculation）的最伟大代表，前者2007年再次登上首富的宝座，能够时隔多年后再次登榜，实力自不待言，后者则被誉为“全世界唯一拥有独立外交政策的平民”，两位大师能够“登榜首”和“上尊号”基本上都源于他们的巨额财富。从根本上讲，是卓越的金融投资才使得他们能够“坐拥天下” 。巴菲特刚踏入投资大门就被信息论巨擘认定是未来的世界首富，因为这位学界巨擘认为巴菲特对概率论的实践实在是无人能出其右，巴菲特的妻子更是将巴菲特的投资秘诀和盘托出，其中不难看出巴菲特系统交易思维的“强悍” 程度。套用一句时下流行的口头禅“很好很强大”，恐怕连那些以定量著称的技术投机客都要俯首称臣。巴菲特自称85%的思想受传于本杰明·格雷尼姆的教诲，而此君则是一个以会计精算式思维进行投资的代表，其中需要的概率性思维和系统性思维不需多言便可以看出“九分”！巴菲特精于桥牌，比尔·盖茨是其搭档，桥牌游戏需要的是严密的概率思维，也就是系统思维，怪不得巴菲特首先在牌桌上征服了信息论巨擘，随后征服了整个金融界。以此看来，巴菲特在金融王国的“加冕”早在桥牌游戏中就已经显出端倪！
索罗斯的著作一大箩筐，以《金融炼金术》最为出名，其中他尝试构建一个投机的系统。他师承卡尔·波普和哈耶克，两人都认为人的认知天生存在缺陷，所以索罗斯认为情绪和有限理性导致了市场的“盛衰周期”（Boom and Burst Cycles），而要成为一个伟大的交易者则需要避免受到此种缺陷的影响，并且进而利用这些波动。索罗斯力图构建一个系统的交易框架，其中以卡尔·波普的哲学和哈耶克的经济学思想为基础，“反身性”是这个系统的核心所在。
还可以举出太多以系统交易和机械交易为原则的金融大师们，比如伯恩斯坦（短线交易大师） 、比尔·威廉姆（混沌交易大师）等，太多了，实在无法一一述及。
那么，从抽象的角度来讲，我们为什么要迈向系统交易和机械交易的道路呢？请让我们给出几条显而易见的理由吧。
第一，人的认知和行为极易受到市场和参与群体的影响，当你处于其中超过5分钟时，你将受到环境的催眠，此后你的决策将受到非理性因素的影响，你的行为将被外界接管。而机械交易和系统交易可以极大地避免这种情况的发生。
第二，任何交易都是由行情分析和仓位管理构成的，其中涉及的不仅是进场，还涉及出场，而出场则涉及盈利状态下的出场和亏损状态下的出场，进场和出场之间还涉及加仓和减仓等问题。此外，上述操作还都涉及多次决策，在短线交易中更是如此。复杂和高频率的决策任务使得带有情绪且精力有限的人脑无法胜任。疲累和焦虑下的决策会导致失误，对此想必每个外汇和黄金短线客都是深有体会的。系统交易和机械交易可以流程化地反复管理这些过程，省去了不少人力成本。
第三，人的决策行为随意性较强，更为重要的是每次交易中使用的策略都有某种程度上的不一致，这使得绩效很难评价，因为不清楚N次交易中特定因素的作用到底如何。由于交易绩效很难评价，所以也就谈不上提高。这也是国内很多炒股者十年无长进的根本原因。任何交易技术和策略的坪价都要基于足够多的交易样本，而随意决策下的交易则无法做到这一点，因为每次交易其实都运用了存在某些差异的策略，样本实际上来自不同的总体，无法用于统计分析。而机械交易和系统交易由于每次使用的策略一致，这样得到的样本也能用于绩效统计，所以很快就能发现问题。比如，一个交易者很可能在1、2、3…… 21次交易中，混杂使用了A、B、C、D四种策略，21次交易下来，他无法对四种策略的效率做出有效评价，因为这21次交易中四种策略的使用程度并不一致。而机械交易和系统交易则完全可以解决这一问题。所以，要想客观评价交易策略的绩效，更快提高交易水平，应该以系统交易和机械交易为原则。
第四，目前金融市场飞速发展，股票、外汇、黄金、商品期货、股指期货、利率期货，还有期权等品种不断翻出新花样，这使得交易机会大量涌现，如果仅仅依靠人的随机决策能力来把握市场机会无异于杯水车薪。而且大型基金的不断涌现，使得单靠基金经理临场判断的压力和风险大大提高。机械交易和系统交易借助编程技术“上位”已成为这个时代的既定趋势。况且，期权类衍生品根本离不开系统交易和机械交易，因为其中牵涉大量的数理模型运用，靠人工是应付不了的。
中国人相信人脑胜过电脑，这绝对没有错，但也不完全对。毕竟人脑的功能在于创造性解决新问题，而且人脑的特点还在于容易受到情绪和最近经验的影响。在现代的金融交易中，交易者的主要作用不是盯盘和执行交易，这些都是交易系统的责任，交易者的主要作用是设计交易系统，定期统计交易系统的绩效，并做出改进。这一流程利用了人的创造性和机器的一致性。交易者的成功，离不开灵机一动，也离不开严守纪律。当交易者参与交易执行时，纪律成了最大问题；当既有交易系统让后来者放弃思考时，创新成了最大问题。但是，如果让交易者和交易系统各司其职，则需要的仅仅是从市场中提取利润！
作为内地最早倡导机械交易和系统交易的理念提供商（Trading Ideas Provider），希望我们策划出版的书籍能够为你带来最快的进步。当然，金融市场没有白拿的利润，长期的生存不可能夹杂任何的侥幸，请一定努力！高超的技能、完善的心智、卓越的眼光、坚韧的意志、广博的知识，这些都是一个至高无上的交易者应该具备的素质。请允许我们助你跻身于这个世纪最伟大的交易者行列！
Introduction Secret to Become a Great Trader!
◇Greatness does not derive from mere luck!
◇The reason that an ordinary man fails is that he hopes to achieve different outcome using the same old way!
◇There would not be so plenty fake truths if it was an easy thing to distinguish correct sayings from incorrect ones.
Financial trading is the freest occupation in the world, for every trader can develop a set of profit -making methods tailored exclusively for himself. There are various specific methods of soliciting money from market; while this is the very reason that why financial market is so fascinating. However, just like the ever-changing world is indeed dictated by a few rules, the only “Holy Grail" is worshipped by numerous great traders as well. In the following, we will examine the greatest representatives among them one by one.
As a representative of Techincal Trading, Richard Dannis is known worldwide. He has accumulated a profit as staggering as 1 billion dollar while the cost was merely 2000 bucks!He has been a trader for more than a decade. The inspiring thing about him is that he conducted commodity futures trading with a technical analysis method which in essence is price acting as the core of such analysis. Never the less, the greatness of Richard Dannis is far beyond this which is like the greatness of Alexander was more than the great empire across both Europe and Asia built by him. Thanks to his “Turtle Plan", 6 out of the world top 10 CTA fund managers are his adherents. And the Turtle Trading Method is frantically well-known ever since for a couple of decades. Today in mainland China, a storm of “Turtle
Trading Method" is sweeping across the entire country. The core of Turtle Trading Method lies in two factors :first, the philosophy of trendy trading implied in “Weeks' Rules";second, the philosophy of mechanical trading and systematic trading implied in fund management and risk control. The so-called “Weeks ’ Rules" can be simplified as simples rules that going long at high and short at low within N weeks since price breakthrough. While Trading as breaking illustrates trend following trading. If we go deeper, we will find that “Weeks ’ Rules" is a trading system in nature. It tells us the principle of systematic trading and the principle of mechanical trading. Well, let's just put these two principles aside and look at some amazing facts in the first place.
The greatest representatives of fundamental investment and speculation are undoubtedly Warren Buffett and George Soros. The former claimed the title of richest man in the world in 2007 again. You can imagine how powerful he is; the latter is accredited as “ the only civilian who has independent diplomatic policies in the world”. The two masters win these glamorous titles because of their possession of enormous wealth. In essence, it is due to unparalleled financial trading that makes them admired by the whole world. Fresh with his feet in the field of investment, Buffett was regarded by the guru of Information Theory as the richest man in the future world for this guru considered that the practice by Buffett of Probability Theory is unparallel by anyone; Buffett ’ wife even made his investment secrets public. It is not hard to see that the trading system of Buffett is really powerful that even those technical speculators famous for quantity theory have to bow before him. Buffet said
himself that 85% of his ideas are inherited from Benjamin Graham who is a representative of investing in a accountant's actuarial method which requires probability and systematic thinking. The interesting thing is that Buffett is a good player of bridge and his partner is Bill Gates! Playing bridge requires mentality of strict probability which is systematic thinking,no wonder that Buffett conquered the guru of Information Theory on bridge table and then conquered the whole financial world. From these facts we can see that even in his early plays of bridge, Buffett had shown his ambition to become king of the financial world.
Soros has written a large bucket of books among which the most famous is The Alechemy of Finance. In this book he tried to build a system of speculation. His teachers are Karl Popper and Hayek. The two thought that human perception has some inherent flaws, so their students Soros consequently deems that emotion and limited rationality lead to “ Boom and Burst Cycles" of market; while if a man wants to become a great trader, he must overcome influences of such flaws and furthermore take advantage of them. Soros tried to build a systematic framework for trading based on economic ideas of Hayek and philosophic thoughts of Karl Popper. Reflexivity is the very core of this system.
I may still tell you so many financial gurus taking systematic trading and mechanical trading as their principles, for instance, Bernstein （master of short line trading）, Bill Williams （master of Chaos Trading）, etc. Too many. Let's just forget about them.
Well, from the abstract perspective, why shall we take the road to systematic trading and mechanical trading? Please let me show you some very obvious reasons.
First. A man’s perception and action are easily affected by market and participating groups. When you are staying in market or a group for more than 5 minutes, you will be hypnotized by ambient setting and ever since that your decisions will be affected by irrational elements.
Second. Any trading is composed of situation analysis and account management. It involves not only entrance but exit which may be either exit at profit or exit at a loss, and there are problems such as selling out and buying in. All these require multiple decision -makings, particularly in short line trading. Complicated and frequent decision -making is beyond the average brain of emotional and busy people. I bet every short line player of forex or gold knows it well that decision -making in fatigue and anxiety usually leads to failure.Well, systematic trading and machanical trading are able to manage these procedures repeatedly in a process and thus can save lots of time and energy.
Third. People make decisions in a quite casual manner. A more important factor is that people use different strategies in varying degrees in trading. This makes it difficult toevaluate the performance of such trading because in that way you will not know how much a specific factor plays in the N tradings. And the player can not improve his skills consequently. This is the very reason that many domestic retail investors make no progress at all for many years. Evaluation of trading techniques and strategies shall be based on plenty enough trading samples while it's simply impossible for tradings casually made for every trading adopts a variant strategy and samples accordingly derive from a different totality which can not be used for calculating and analysis. On the contrary, systematic trading and mechanical trading adopt the same strategy every time so they have applicable samples for performance evaluation and it’seasier to pinpoint problems, for instance, a player may in first, second ... twenty-first tradings used strategies A, B , C , D. He himself could not make effective evaluation of each strategy for he used them in varying degrees in these tradings,but systematic trading and mechanical trading can shoot this trouble completely. Therefore,if you want to evaluate your trading strategies rationally and make quicker progress, you have to take systematic trading and mechanjcal trading as principles.
Fourth. Currently the financial market is developing at a staggering speed. Stock, forex,gold, commodity, index futures, interest rate futures, options, etc., everything new is coming out. So many opportunities! Well , if we just rely on human mind in grasping these opportunities, it is absolutely not enough. The emergence of large-scale funds makes the risk of personal judgment of fund managers pretty high. Take it easy, anyway, because we now have mechanical trading and systematic trading which has become an irrevocable trend of this age. Furthermore, derivatives such as options can not live without systematic trading and mechanical trading for it involves usage of large amount of mathematic and physical models which are simply beyond the reach of human strength.
Chinese people believe that human mind is superior to computer. Well ,this is not wrong, but it is not completely right either. The greatness of human mind is its creativity;while its weakness is that it ’s vulnerable to emotion and past experiences. In modern financial trading, the main function of a trader is not looking at the board and executing deals-these are the responsibilities of the trading system-instead, his main function is to design the trading system and examine the performance of it and make according improvements. This process unifies human creativity and mechanical uniformity. The success of a trader is derived from tow factors: smart idea and discipline. When the trader is executing deals, discipline becomes a problem; when existing trading system makes newcomers give up thinking, creativity becomes dead. If, we let the trader and the trading system do their respective jobs well, what we need to do is soliciting profit from market only!
As the earliest Trading Ideas Provider who advocates mechanical trading and systematic trading in the mainland, we hope that our books will bring real progress to you. Of course,there is no free lunch. Long-term existence does not merely rely on luck. Please make some efforts! Superb skill, perfect mind, excellent eyesight， strong will, rich knowledge-all these are merits that a great trader shall have to command. Finally, please allow us to help you squeeze into the queue of the greatest traders of this century！