The Five-Minute Forex "Momo" Trade 五分钟动量交易策略
by Kathy Lien and Boris Schlossberg (
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Some traders are extremely patient and love to wait for the perfect setup while others are extremely impatient and need to see a move happen quickly or they'll abandon their positions. 一些交易员非常的有耐心等待最好的机会而另外一些则特别不耐心地等待价格快速移动或者放弃他们的头寸.
These impatient traders make perfect
momentum traders because they wait for the market to have enough strength to push a
currency in the desired direction and piggyback on the momentum in the hope of an extension move.这些耐心交易员正是所谓的动量型交易员，因为他们等待市场有足够的力量把货币推向所期望的方向，并且借助动量向前更进一步。
However, once the move shows signs of losing strength, an impatient momentum trader will also be the first to jump ship. 但是，一旦汇价移动表现失去力量的时候，没耐性的动量交易员首先出场。
Therefore, a true momentum strategy needs to have solid exit rules to protect profits while still being able to ride as much of the extension move as possible. 因此，真正的动量交易策略需要稳定的出场规则，保护利润但又要尽量地获得更多的利润。
In this article, we'll take a look at strategy that does just that: the Five-Minute Momo Trade.
What's a Momo?
The Five Minute Momo Trade looks for a momentum or "momo" burst on very short-term (five-minute) charts. 五分钟动量爆发交易基于5分钟图表。
First, traders lay on two indicators, the first of which is the 20-period
exponential moving average (EMA).The EMA is chosen over the
simple moving average because it places higher weight on recent movements, which is needed for fast momentum trades. The moving average is used to help determine the trend. 首先交易员依赖于两个指标，一是20周期EMA均线。选择EMA而非SMA是因为它对当前的运动具有更大的权值，适合于快速动量交易。移动平均是用于帮助确定趋势。
The second indicator to use is the
moving average convergence divergence (MACD) histogram, which helps us gauge momentum. The settings for the MACD histogram is the default, which is first EMA = 12, second EMA = 26, signal EMA = 9, all using the close price. (For more insight, read
A Primer On The MACD.) 第二个是MACD指标，帮助捕捉动量。设置为缺省值，快EMA=12，慢EMA=26，信号EMA=9，都使用收盘价。
This strategy waits for a reversal trade but only takes advantage of it when momentum supports the reversal move enough to create a larger extension burst. 该策略等待拐点交易，但仅当动量足够支持反向移动产生较大的爆发空间。
The position is exited in two separate segments; the first half helps us lock in gains and ensures that we never turn a winner into a loser. The second half lets us attempt to catch what could become a very large move with no risk because the stop has already been moved to
breakeven. 平仓的成两个阶段，第一阶段平仓部分头寸，其余未平仓头寸则设置保本，这样我们就锁定利润不把赢利变亏损。第二个出场点让我们无风险地尽量捕获更大的利润。
Rules for a Long Trade 买入规则
Look for currency pair trading below the 20-period EMA and MACD to be negative. 等待货币对在20EMA之下并且MACD是负值。
Wait for price to cross above the 20-period EMA, then make sure that MACD is either in the process of crossing from negative to positive or has crossed into positive territory no longer than five bars ago. 等待价格穿越20EMA，然后确认MACD正上穿0轴变为正值，或者已经上穿零轴不超过5个k线。
Go long 10 pips above the 20-period EMA. 在20EMA以上20个点买入。
For an aggressive trade, place a stop at the swing low on the five-minute chart. For a conservative trade, place a stop 20 pips below the 20-period EMA. 对于激进的交易，止损放在5分钟图的近期低点，保守的交易则放在20EMA以下20点。
Sell half of the position at entry plus the amount risked; move the stop on the second half to breakeven. 获利之后平仓一半，另外一半则保本止损持有。
Trail the stop by breakeven or the 20-period EMA minus 15 pips, whichever is higher. 跟踪止损设置，移动跟踪止损在20EMA下方15点。
Rules for a Short Trade 卖出规则（反之） Look for the currency pair to be trading above the 20-period EMA and MACD to be positive.
Wait for the price to cross below the 20-period EMA; make sure that MACD is either in the process of crossing from positive to negative or crossed into negative territory no longer than five bars ago.
Go short 10 pips below the 20-period EMA.
For an aggressive trade, place stop at the swing high on a five-minute chart. For a conservative trade, place the stop 20 pips above 20-period EMA
Buy back half of the position at entry minus the amount risked and move the stop on the second half to breakeven.
Trail stop by lower of breakeven or 20-period EMA plus 15 pips
Long Trades 示例中总第一次平仓1/2，第二次平仓剩下的1/2，即总体的1/4
Figure 1: Five-Minute Momo Trade, EUR/USD
Source: FXtrek Intellichart
Our first example in Figure 1 is the EUR/USD on March 16, 2006, when we see the price move above the 20-period EMA as the MACD histogram crosses above the zero line. 图1的例子很明显价格在上穿20EMA差不多的时候MACD上穿零轴。
Although there were a few instances of the price attempting to move above the 20-period EMA between 1:30 and 2:00 EST, a trade was not triggered at that time because the MACD histogram was below the zero line. 虽然在前面看见汇价几次试图上穿20EMA，但没有介入因为MACD依然在零轴以下。
We waited for the MACD histogram to cross the zero line and when it did, the trade was triggered at 1.2044. We enter at 1.2046 + 10 pips = 1.2056 with a stop at 1.2046 - 20 pips = 1.2026. 我们耐心等待MACD上穿零轴，其时汇价为1.2044，我们在其上10点介入，既1.2056。
Our first target was 1.2056 + 30 pips = 1.2084. It was triggered approximately two and a half hours later. We exit half of the position and trail the remaining half by the 20-period EMA minus 15 pips. The second half is eventually closed at 1.2157 at 21:35 EST for a total profit on the trade of 65.5 pips. 其后，我们的第一目标价1.2084达到。然后将止损移动到20EMA下15点。以后第二平仓剩下的头寸的一半。其余漂单。
Figure 2: Five-Minute Momo Trade, USD/JPY
Source: FXtrek Intellichart
The next example, shown in Figure 2, is USD/JPY on March 21, 2006, when we see the price move above the 20-period EMA. Like in the previous EUR/USD example, there were also a few instances in which the price crossed above the 20-period EMA right before our entry point, but we did not take the trade because the MACD histogram was below the zero line.
The MACD turned first, so we waited for the price to cross the EMA by 10 pips and when it did, we entered the trade at 116.67 (EMA was at 116.57).
The math is a bit more complicated on this one. The stop is at the 20-EMA minus 20 pips or 116.57 - 20 pips = 116.37. The first target is entry plus the amount risked, or 116.67 + (116.67-116.37) = 116.97. It gets triggered five minutes later. We exit half of the position and trail the remaining half by the 20-period EMA minus 15 pips. The second half is eventually closed at 117.07 at 18:00 EST for a total average profit on the trade of 35 pips. Although the profit was not as attractive as the first trade, the chart shows a clean and smooth move that indicates that price action conformed well to our rules. 第二例子是usdjpy的例子。过程和以上类似，1) 转向之前，几次试图上穿零轴未成功，2)后来上穿成功而且MACD也上穿零轴，3）在上穿0周之后的10点处多头入场。获利35点之后平仓一半，并移动止损到保本。其后的漂单不断移动止损价格在20EMA之下15点处。
Short Trades 卖出示例
Figure 3: Five-Minute Momo Trade, NZD/USD
Source: FXtrek Intellichart
On the short side, our first example is the NZD/USD on March 20, 2006. We see the price cross below the 20-period EMA, but the MACD histogram is still positive, so we wait for it to cross below the zero line 25 minutes later. Our trade is then triggered at 0.6294. Like the earlier USD/JPY example, the math is a bit messy on this one because the cross of the moving average did not occur at the same time as when MACD moved below the zero line like it did in our first EUR/USD example. As a result, we enter at 0.6294.
Our stop is the 20-EMA plus 20 pips. At the time, the 20-EMA was at 0.6301, so that puts our entry at 0.6291 and our stop at 0.6301 + 20pips = 0.6321. Our first target is the entry price minus the amount risked or 0.6291 - (0.6321-0.6291) = 0.6261. The target is hit two hours later and the stop on the second half is moved to breakeven. We then proceed to trail the second half of the position by the 20-period EMA plus 15 pips. The second half is then closed at 0.6262 at 7:10 EST for a total profit on the trade of 29.5 pips.
Figure 4: Five-Minute Momo Trade, GBP/USD
Source: FXtrek Intellichart
The example in Figure 4 is based on an opportunity that developed on March 10, 2006, in the GBP/USD. In the chart above, the price crosses below the 20-period EMA and we wait for 10 minutes for the MACD histogram to move into negative territory, thereby triggering our entry order at 1.7375. Based on the rules above, as soon as the trade is triggered, we put our stop at the 20-EMA plus 20 pips or 1.7385 + 20 = 1.7405. Our first target is the entry price minus the amount risked, or 1.7375 - (1.7405 - 1.7375) = 1.7345. It gets triggered shortly thereafter. We then proceed to trail the second half of the position by the 20-period EMA plus 15 pips. The second half of the position is eventually closed at 1.7268 at 14:35 EST for a total profit on the trade of 68.5 pips. Coincidently enough, the trade was also closed at the exact moment when the MACD histogram flipped into positive territory.
Momo Trade Failure 动量交易的失败例子
As you can see, the Five Minute Momo Trade is an extremely powerful strategy to capture momentum-based reversal moves. However, it does not always work and it is important to explore an example of where it fails and to understand why this happens. 可见5分钟图动量交易是非常有效的捕捉基于动量的拐点交易，但并不是每次都成功，所以要分析失败的例子并分析失败的原因。
Figure 5: Five-Minute Momo Trade, EUR/CHF
Source: FXtrek Intellichart
The final example of the Five Minute Momo Trade is EUR/CHF on March 21, 2006. In Figure 5, the price crosses below the 20-period EMA and we wait for 20 minutes for the MACD histogram to move into negative territory, putting our entry order at 1.5711. We place our stop at the 20-EMA plus 20 pips or 1.5721 + 20 = 1.5741. Our first target is the entry price minus the amount risked or 1.5711 - (1.5741-1.5711) = 1.5681. The price trades down to a low of 1.5696, which is not low enough to reach our trigger. It then proceeds to reverse course, eventually hitting our stop, causing a total trade loss of 30 pips. 最后一个例子是EUR/CHF，可见我们35点利润没达到就反向运行了，最后我们损失了30点。
When trading the Five Minute Momo strategy the most important thing to be wary of is trading ranges that are too tight or too wide. In quiet trading hours where the price simply fluctuates around the 20-EMA, the MACD histogram may flip back and forth causing many false signals. Alternatively, if this strategy is implemented in a currency paid with a trading range that is too wide, the stop might be hit before the target is triggered. 这个策略最忌讳的是波动范围太小或者太大。如果窄幅波动，那么这样价格一直在20-EMA之间波动，MACD也是在零轴区间不断移动，产生很多失效信号。如果宽幅波动则可能没达到我们的目标价位之前就被打了止损。
Conclusion 结论
The Five-Minute Momo Trade allows traders to profit on short bursts of momentum, while also providing the solid exit rules required to protect profits.五分钟图动量交易让给交易者捕获短期的动量波动，并提供了赢利保护规则。
