本文为 MEPA 导入的中英对照学习资料，原文归原作者及原站所有；中文译文尚未逐篇校对。页面日期为本站收录日期，原资料生成时间不代表原文发布日期。
原文链接: https://www.brookstradingcourse.com/ask-al/trading-institutions-sell-others-buy-successful-breakout/ 生成时间: 2026-09-04 14:50
Emini weekend update Q&A: November 28, 2015
Emini周末更新问答：2015年11月28日
Something different this time on fading breakouts. While writing the Emini Weekly Update this weekend, and with the Emini at such an interesting position going into the month end, Al wanted to address a common question on “Why would the institutions fade the bull breakouts we have seen? Why do institutions sell when I buy a successful breakout? Why would they risk losing trades, by taking the other side of a strong breakout?”
这次对假突破有点不同。周末在写Emini周更新时，Emini此刻处于月末前有趣的位置，Al想针对一个常见问题进行说明：“机构为什么要逆势操作我们看到的多头突破？当我买入成功的突破时，机构为什么卖出？他们为什么要承担亏损交易的风险，去做强势突破的另一方？”
Audio duration: 15min 40sec Note: The audio has been created using a Windows digital text-to-speech female assistant! Not at all perfect but Ok if you prefer to listen(?)
音频时长：15分40秒 注意：该音频由Windows数字语音合成女性助手生成！虽然不是很完美，但如果你更喜欢听的话，也可以接受。
Institutions fading breakouts
机构正在淡化突破行情
Who’s taking the other side of my winning trade?
谁在我的获利交易中做我的对手盘？
We are at the end of November, 2015, and the math is currently very interesting for traders. Despite the strong October rally, the probability of the bulls getting a new all-time high before testing the October low is still only about 50%. The all-time high is about 40 points above the current price. The October low is about 160 points below. Think about that. There is a 50% chance that the E-mini will go up 40 points before it falls about 160 points. If a trader saw this setup 10 times and he bought each time, he would make 40 points (or more) 4 times, for a total profit of 160 points. He would lose 160 points on 6 trades, for a total loss of 960 points, and a net loss of 800 points after 10 trades. Should the bulls buy here to make 40 points when they have a 50% chance of losing 160 points? Of course not, but they can still structure a winning strategy, as I discuss below.
我们现在是2015年11月底，当前的市场数据对交易者来说非常有趣。尽管10月份出现了强劲反弹，但多头在测试10月份低点之前创下新历史高点的概率仍然只有约50%。历史高点比当前价格高出约40点。10月份的低点比当前价格低约160点。想想看。迷你标普有50%的概率会在下跌约160点之前上涨40点。如果一个交易者看到这种情况10次，并且每次都买入，他会4次赚到40点（或更多），总利润为160点。他在6笔交易中会损失160点，总损失为960点，10笔交易后的净损失为800点。当多头有50%的概率损失160点时，他们是否应该在这里买入以赚取40点？当然不是，但他们仍然可以制定一个赢利的策略，正如下面我所讨论的。
The math for the bears is the opposite. They sell here and are risking 40 points to a new all-time high, hoping to make 160 points on a test of the October low, and they have a 50% chance of winning. The Trader’s Equation clearly favors shorting here.
空头的数学正好相反。他们在此卖出，冒着40点到达新历史高点的风险，希望在测试十月低点时赚取160点，胜率有50%。交易者方程明显倾向于在此做空。
If the math is so good for the bears, why isn’t the E-mini collapsing? There are several reasons. An important one is the issue of “dead money.” The E-mini went sideways for the first 7 months of the year. Traders want their money to earn them more money. Investors don’t mind holding onto positions in flat markets. Traders are looking to make money every day or every week or two. They get in and get out. Some day traders do this 20 or more times a day. Many fast money traders on Wall Street look to take profits within 1 to 10 days.
如果数学数据对空头如此有利，为什么迷你标普没有崩盘呢？原因有几个。一个重要原因是“死钱”问题。迷你标普在今年前7个月横盘震荡。交易者希望他们的钱能为他们赚取更多收益。投资者不介意在平淡的市场中持有头寸。交易者希望每天、每周或每两周都能赚钱。他们进场，然后出场。有些日内交易者一天会这样操作20次或更多。华尔街的许多快钱交易者希望在1到10天内获利。
Holding positions long term
长期持仓
Traders contribute the biggest volume in the markets, and they are not willing to hold a position for months when they are not making money on their investment. They know the math favors the bears, but they also know that it might take another 7 months before the bears win. Since they create most of the volume on Wall Street and they believe that the E-mini is not likely to quickly drop 160 points, they bet against it, even though they might believe it eventually will get to the October low.
交易员在市场中贡献了最大的交易量，当他们的投资没有盈利时，他们不愿意持仓数月。他们知道数学上对空头有利，但他们也知道空头可能还需要7个月才能获胜。由于他们在华尔街创造了大部分交易量，并且他们认为迷你标普不太可能迅速下跌160点，因此他们押注做空，尽管他们可能认为最终它会跌至10月的低点。
What does “bet against it” mean? It means that every strong selloff that they see, they buy, betting that any move down will only last a week or two before it reverses up. They also sell every rally, no matter how strong, betting that the bulls will fail to get a new all-time high. With most of the dollars buying low, selling high, and taking quick profits, the result is a trading range.
“bet against it”是什么意思？也就是说，他们看到的每一次强势抛售，他们都会买入，押注任何下跌只会持续一周或两周然后反转向上。他们也会卖出每一次反弹，不管多强，押注多头无法创出新历史高点。既然大部分资金是在低价买入、高价卖出并快速获利，结果就是一个交易区间。
Traders know that eventually there will be a breakout and then a trend on the daily chart. They also know that their current style of trading will lose money once the breakout becomes clear. However, a good trader will have made so much money before then that the one final loss will be smaller than the total of all of his earlier profits. He also knows that he will not be paralyzed by the breakout. When he sees it, he will change his style of trading. He will no longer bet on reversals. Instead, he will quickly enter in the direction of the breakout and hold for a measured move and a swing profit.
交易者知道， sooner or later 日线图会出现突破然后形成趋势。他们也知道，一旦突破变得明显，他们目前的交易风格就会亏钱。然而，一个优秀的交易者在那之前已经赚了很多钱，以至于这一次的最终亏损会小于他之前所有利润的总和。他也知道自己不会被突破吓住。当他看到突破时，他会改变自己的交易风格。他不再押注反转。相反，他会快速沿突破方向入场，持有以获取等距运动和波段利润。
Always a reason to buy or sell
总有买入或卖出的理由
There is another important point about the math. The structure I presented above favors the bears. They sell now, exit with a 40-point loss if the E-mini moves above the July high, and take a 160-point profit with a limit order at the October low. There is always both a reason to sell and a reason to buy. There has to be because otherwise no trades would take place. Even when the market is strongly breaking out, there is always a financially sound reason why institutions will bet against the breakout and take the other side.
关于数学方面还有一个重要的点。我上面提到的结构对空头有利。他们现在卖出，如果迷你标普（ES）上涨至7月高点以上，则平仓并承受40点的损失，并在10月低点设置限价单，获利160点。卖出和买入总是有原因的，因为如果没有原因，就不会有交易发生。即使市场强势突破，机构总是有充分的财务理由押注突破失败，并选择相反的方向。
An obvious one is that many had been trading using a trading range strategy, betting that even strong breakouts will fail, and they keep using it until they are clearly wrong. Once a breakout is strong enough, they will switch strategies and take a loss at the start of the new trend. Scaling in against a breakout that ultimately is successful and then taking a loss is financially wise because if they traded well, they made more than enough using this strategy to offset this one loss.
一个显而易见的情况是，许多人一直在使用交易区间策略进行交易，他们押注即使是强势突破也会失败，并持续使用该策略，直到他们明显犯错为止。一旦突破足够强劲，他们就会切换策略，并在新趋势开始时承受损失。在最终成功的突破中逆势加仓，然后承受损失，在财务上是明智的，因为如果他们交易得好，使用这种策略赚到的钱足以抵消这一损失。
Structuring trades for better math
设计交易结构以优化数学模型
Many bulls are buying, despite apparently bad risk/reward and probability because they structure their trades to have better math. They are not planning on taking 40 points profit once there is a new all-time high. Instead, they are holding for a huge bull breakout and a continued bull trend on the monthly chart. An obvious target is a measured move up, based on the height of the 7-month trading range. Since the trading range is 300 points tall, they are buying here to make 300 points, not 40 points.
尽管风险回报比和概率看起来很差，但许多多头仍在买入，因为他们通过优化交易结构来提升数学预期。他们并不打算在出现新高时只拿40点的利润，而是等待月线图上出现强劲的多头突破和持续的多头趋势。一个显而易见的目标是基于7个月交易区间高度的等距上涨。由于交易区间的高度为300点，他们在此处买入是为了获得300点的利润，而不是40点。
Also, many will get out well above the October low, and they are therefore risking less than 160 points. For example, they might be risking about 80 points to a little below the November low, and their profit target might be 300 points higher. They know there is a 50% chance of a new high, and they correctly might think that there is a 30-40% chance of a 300-point rally before a test of the October low. If their actual risk (the size of the biggest drawdown after buying) turns out to be only 50 points, and they make 200 points, this risk/reward more than offsets a 30-40% chance of success.
此外，很多人会在远高于10月低点的位置出场，因此他们承担的风险不到160点。例如，他们可能承担大约80点的风险，止损设在略低于11月低点的位置，而他们的盈利目标可能高出300点。他们知道有50%的概率出现新高，并且他们合理地认为，在测试10月低点之前有30%到40%的概率出现300点的上涨。如果他们实际承担的风险（买入后最大回撤的幅度）最终只有50点，而他们赚了200点，这样的风险回报比足以弥补30%到40%的成功概率。
Institutions with deep pockets fade breakouts
资金雄厚的机构会假突破
Another reason why institutions will fade breakouts is that they have deep pockets and patience. They believe that they can scale in as the market goes against them and trust that there will eventually be a pullback that allows them to make a profit or at least avoid a loss. If the breakout turns out to be a climax that reverses quickly after they enter, these firms will get a quick profit. If the reversal does not happen until after a much bigger breakout, they can still make money or at least avoid a loss if they scale in and manage their trades well.
机构淡化突破的另一个原因是，他们资金雄厚且有耐心。他们相信，当市场对他们不利时，可以分批加仓，并相信最终会出现回撤，让他们能够获利或至少避免亏损。如果突破最终演变成高潮，在他们入场后迅速反转，这些公司将获得快速利润。如果反转直到更大的突破发生后才出现，只要他们分批加仓并做好交易管理，仍然可以获利或至少避免亏损。
Most firms also use hedging strategies. They are taking opposite positions in other markets. For example, in a strong bull breakout, they might have a delta neutral position where they sell the E-mini during a strong bull breakout and simultaneously by calls in the SPY. They might also be shorting weak stocks or foreign indices, or even offsetting their E-mini trade in the Forex or bond markets.
大多数公司也使用对冲策略。他们在其他市场上采取相反的头寸。例如，在强劲的多头突破中，他们可能会采取一个德尔塔中性头寸，在强劲的多头突破时卖出迷你标普，同时买入 SPY 的看涨期权。他们还可能做空弱势股票或外国指数，甚至在汇市或债券市场对冲他们的迷你标普交易。
Are traders rational beings?
交易者是理性的存在吗？
People naturally tend to assume that they are rational and that all other rational people behave the same. A day trader watching a 5-minute chart might buy a huge bull breakout and wonder why any institution would short and take the other side of his trade. However, if he looks at the 60-minute chart, he might discover that his huge rally is a two bar rally up to the moving average on the 60-minute chart in a strong bear trend. The 5-minute bull breakout is a 60-minute bear flag, and 60-minute traders are happy to be able to sell as a strong bull trend bar is forming just below the 60-minute, 20 bar moving average, betting that the rally is a bull trap.
人们自然而然地认为自己是理性的，并且所有其他理性的人都会有同样的行为。一个日内交易者看着5分钟图表，可能会买入一个巨大的多头突破，并纳闷为什么任何机构会做空并站在自己交易的另一边。然而，如果他查看60分钟图表，他可能会发现，他的巨大反弹实际上是在60分钟图表上的一个强空头趋势中，仅两根K线就涨到了移动平均线附近。5分钟的多头突破在60分钟图表上是一个空头旗形，而60分钟交易者很高兴能够在强劲的多头趋势K线刚刚形成于60分钟20根K线移动平均线下方时卖出，他们押注这次反弹是一个多头陷阱。
This is true of all strong breakouts on any time frame. It is easy for a trader to assume that all institutions are trading his 5-minute chart. That is simply not the case. Some institutions see something entirely different when they look at higher time frames, and the result is that they are eager to bet against you because they see the breakout as a trap that will not last long on their time frame, even if it lasts 100 bars on yours.
这适用于任何时间周期上的所有强势突破。交易者很容易以为所有机构都在交易他的5分钟图，但事实根本不是这样。有些机构在观察更高时间框架时，看到的是完全不同的情景，因此他们会急于跟你对着干，因为他们认为这个突破是个陷阱，在他们的时间框架上不会持续太久，哪怕它在你的图表上已经延续了100根K线。
Another example is the August bear trend on the daily chart. The E-mini fell 260 points in 4 days. Why would anyone buy when clearly the best thing to do was to sell? Well, it was the best thing if a trader was trading a 5-minute or 60-minute chart. However, the monthly chart had been above its 20-month EMA for 38 months, which is an exceptionally long time. Bulls were willing to buy above an average price for 3 years. That collapse on the daily chart was the first chance for the monthly bulls to finally buy at an average price in 38 bars on the monthly chart. They saw it as a brief opportunity to buy at a great price. While you were selling on the 5-minute, 60-minute, and daily charts, those monthly bulls were buying. They did not know where the bottom would be, but they were confident that it would not be far below wherever they bought. Many scaled in lower, correctly believing that the probability favored a test back to the July all-time high.
另一个例子是日线图上8月的空头趋势。迷你标普在4天内下跌了260点。当显然最好的做法是卖出时，为什么还会有人买入呢？嗯，如果交易者是在交易5分钟或60分钟图表，那确实是最好的做法。然而，月线图已经连续38个月位于20月均线之上，这是一个异常长的时间。多头愿意在平均价格之上买入，持续了3年。日线图上的崩盘，是月线多头在38根月线K线中首次有机会以平均价格买入。他们认为这是一个以极佳价格买入的短暂机会。当你在5分钟、60分钟和日线图上卖出时，那些月线多头却在买入。他们不知道底部在哪里，但他们相信底部不会远低于他们买入的价格。许多人选择在更低的位置加仓，正确地认为概率有利于回测到7月的历史高点。
Institutions selling a bull rally
机构在多头反弹中卖出
Some believe that the institutions selling during a strong bull breakout or buying during a strong bear breakout simply have terrible traders who consistently lose money. The firms instead more than offset those losses by collecting fees from other parts of their business. Think about that. If you run a firm that makes $100 million a year in commissions and fees, and consistently loses $90 million in trading, what are you going to do? Clearly, you will replace your traders or close down your trading operation. What are the odds that there are enough fools running firms to provide enough income to support the rest of Wall Street? It does not make sense. Yes, there are firms that lose for a few years in their trading operations, and others that go bankrupt, but there are too few of them to offset the huge number of dollars that are on the right side of a breakout. Although this explanation sounds plausible, the logic is just not there.
有些人认为，机构在强劲的多头突破时卖出，或在强劲的空头突破时买入，只是因为他们有糟糕的交易员，这些交易员不断亏损。但这些公司通过从其他业务中收取费用，足以抵消这些损失。想想看，如果你经营一家公司，每年从佣金和费用中赚取1亿美元，但交易持续亏损9000万美元，你会怎么做？显然，你会更换交易员或关闭交易部门。有多大可能存在足够多的愚蠢的公司老板，为华尔街的其他人提供足够的收入支持？这不合逻辑。是的，有些公司在交易业务上亏损了几年，还有些公司破产了，但这些公司的数量太少，不足以抵消突破时站在正确一边的巨额资金。尽管这种解释听起来合理，但逻辑上并不成立。
Which is the most important reason why a consistently profitable group of institutions is buying a strong bear breakout when you and many other institutions are making a lot of money selling, or why these firms are selling a strong bull breakout when you are making a lot of money buying? It is impossible to know. However, a trader should always assume that there is always an institution on the other side of every trade, no matter how illogical this appears. Just because you do not see the logic does not mean it isn’t there. It is. If you believe it is not, you just are not as smart as you think you are.
一个持续稳定盈利的机构群体，在你和其他许多机构正通过做空大赚特赚时，却买入强劲的空头突破；或者在你做多大赚特赚时，这些机构却卖出强劲的多头突破——其中最重要的原因是什么？这一点无从知晓。然而，交易者应当始终假设，每一笔交易的对立面永远站着某个机构，无论这看起来多么不合逻辑。你看不到其中的逻辑，并不代表它不存在。它确实存在。如果你认为它不存在，那你只是没有自己想象的那么聪明罢了。
Institutions trade logically
机构交易是理性的
Traders should also assume that most institutions are profitable over time and therefore are always trading logically. What appears to be illogical is always part of a profitable strategy, and therefore mathematically sound. Just because you cannot imagine their strategy does not mean they do not have a logical one. Yes, some institutions are barely profitable and give back most of their gains by taking the wrong side of a strong breakout, but even those institutions make enough money over the course of a year betting on failed breakouts so they end up with a least a small profit over time.
交易者还应该假设大多数机构在长期内是盈利的，因此他们总是理性地交易。看起来不合理的交易，其实总是盈利策略的一部分，因此数学上是合理的。只是因为你无法想象他们的策略，并不意味着他们没有一个理性的策略。是的，有些机构的盈利微薄，因为在强劲突破时选择了错误的一方，从而回吐了大部分收益，但即使是这些机构，在一年内通过押注突破失败也能赚到足够的钱，最终至少能获得一点长期利润。
This is a fascinating topic because strong breakouts happen all of the time, and there are always institutions taking the opposite side, but it is impossible to know how many dollars are doing this for each of the many logical reasons to do it. What we are left with is that there is always a rational reason for profitable firms to take losing trades, just like there is for you and me. Traders should always be respectful of the institution taking the opposite side of a trade because that institution has done the math, even if you do not know what they are doing. Institutions know that they sometimes lose no matter what strategy they use, but they consistently win enough to offset their losses.
这是一个非常有趣的话题，因为强势突破随时都在发生，而且总有机构站在相反的一边，但我们无法知道有多少资金出于这些众多合理原因而这样做。我们唯一能确定的就是，盈利公司总有合理的理由去做亏损交易，就像你和我一样。交易者应该始终尊重站在交易另一边的机构，因为这些机构已经做了计算，即使你不知道他们在做什么。机构知道，无论使用什么策略，它们有时都会亏损，但它们总是能赢得足够多的胜利来抵消亏损。
As an aside, the single biggest reason why some traders consistently win and others consistently lose, even though the losers have many winning trades, is that the winners are better at minimizing the number and size of their losing trades. Traders need to be more selective when they enter, and manage better once they are in a trade. They need to reduce the size and number of their losers because they already have enough winners to be consistently profitable.
顺便说一句，有些交易者总是能赢，而另一些交易者总是亏损，尽管亏损者也有许多盈利交易，但最大的原因在于赢家更擅长减少亏损交易的数量和规模。交易者在入场时需要更加挑剔，并且在入场后需要更好地管理。他们需要减少亏损交易的规模和数量，因为他们已经有足够的盈利交易来保持持续盈利。
Institutions taking losing trades
机构进行亏损交易
Let’s get back to institutions taking losing trades. Look at your own performance. If you are consistently profitable, you are still probably losing 40-60% of the time (unless you are a skilled day trader who wins 90% of the time). Yet you continue to take trades that you know will lose at least 50% of the time. You do it because you know that the average win more than offsets the average loss so that the strategy is profitable over time. Yes, it is far easier to make money in the direction of a strong breakout, but institutions will take the opposite side because they have determined that it is part of an overall profitable strategy.
让我们回到机构进行亏损交易这个话题上来。看看你自己的表现。如果你持续盈利，你可能仍然有40-60%的时间在亏损（除非你是一位熟练的日内交易者，胜率达到90%）。然而，你仍然继续进行那些你知道至少有50%概率会亏损的交易。你这样做是因为你知道平均盈利远远超过平均亏损，所以这个策略从长远来看是盈利的。是的，在强势突破的方向上赚钱要容易得多，但机构会站在相反的一边，因为它们已经确定这是整体盈利策略的一部分。
As traders, we are happy that they are taking those trades. If there was a strong bull breakout, but no sellers, we could not buy until the market was so high that we would no longer want to buy. When there is a strong bear breakout, there sometimes are no buyers. The 1987 crash was an example. Even though the Dow fell 500 points in a day, once the selling began, you could not make money selling because there were no buyers to take the other side. The trading infrastructure could not handle the volume of selling, and no one could place sell orders and have them filled on the way down. If you were not short at the start of the crash, you missed the entire 500 points down.
作为交易者，我们很高兴他们进行这些交易。如果出现强劲的多头突破，但没有卖家，我们就无法买入，直到市场涨到我们不再想买入的高度。当出现强劲的空头突破时，有时没有买家。1987年的崩盘就是一个例子。尽管道琼斯指数在一天内下跌了500点，但一旦卖出开始，你就无法通过卖出赚钱，因为没有买家站到另一边。交易基础设施无法处理卖出的量，没有人能在下跌过程中下达卖出订单并得到执行。如果你在崩盘开始时没有做空，你就会错过整个500点的下跌。
That type of crash will probably never happen again. The hardware and software is probably good enough now so that traders will always be able to get reliable quotes and have their sell orders filled as the market quickly falls. Future crashes will probably be more like the May 6, 2010 Flash Crash when the Dow lost 9% in 36 minutes. There was enough buying all of the way down so that bears who were quick to act were able to short and make a lot of money very quickly.
那种崩盘很可能永不会再次发生。现在的硬件和软件很可能已经足够好，以至于交易者总能获得可靠报价，并且在市场迅速下跌时他们的卖单能够成交。未来的崩盘很可能更像2010年5月6日的闪崩，当时道琼斯在36分钟内下跌了9%。一路上都有足够的买盘，使得行动迅速的空头能够做空并迅速赚取大量利润。
Al Brooks
Al Brooks
Information on Al’s Online day trading room
关于 Al 的在线日间交易室的信息