# 趨勢跟隨

> 趨勢跟隨係一套基於規則嘅策略：佢順住已經確立嘅走勢方向建倉，並且一直持有到預設嘅離場條件觸發為止。佢唔會對價格將會去邊度做預測，亦唔會對價值做判斷，只係對已經發生嘅事情做出反應。佢大多數單筆交易都係小額蝕錢，成套策略依賴少數長期持有嘅倉位去覆蓋所有呢啲虧損，呢個就係點解喺呢度提早了結一筆賺錢，比承受一次蝕錢更具破壞性。

Canonical HTML page: https://qanterion.com/zh-HK/glossary/trend-following
更新於: 2026-08-18
又稱: 趨勢交易, 順勢系統, 管理期貨

## 計算方式

```
Trend following is defined by its exit, not its entry:
  · Entry — a breakout, a moving-average cross, or a volatility band
  · Stop — the loss that ends a trade that never trended
  · Trailing exit — what gives back part of a winner to keep the rest

Win rate is typically ~30–40%. The largest handful of trades carries the whole return.
```

## 大多數交易都蝕錢，而呢個正正係設計

一套典型嘅趨勢跟隨系統大約只有三分之一嘅交易係賺錢嘅。佢嘅回報分布係刻意偏斜嘅：大量喺止蝕位上嘅小額虧損，加上少數嚟自持續延伸走勢嘅極大額獲利。呢個同高勝率系統正好相反，亦意味住喺嗰少數幾筆真正重要嘅交易之間，淨值曲線會長時間橫行或者慢慢向下。

## 上落市就係佢要交嘅稅

趨勢跟隨規則無法分辨一段啱啱萌芽嘅趨勢同純粹嘅雜訊，所以佢對兩者一視同仁咁入場，再交畀離場規則去分辨。喺區間上落嘅市場裡面佢會被反覆止蝕，而呢一連串小額虧損，正正係為咗喺真正大行情啟動嗰陣已經喺場上所付出嘅代價。呢個代價係無法迴避嘅，而唔係一個應該被優化走嘅缺陷——試圖將佢優化走，通常正正係一套系統被過度擬合嘅方式。

## 常見誤讀

趨勢跟隨成日被誤解成預測。佢咩都唔預測：入場係對一段已經睇得見嘅走勢做出嘅反應，離場係一條預設規則，而唔係對頂部嘅判斷。用勝率而唔係用最大獲利嗰筆嘅規模去評價佢，等於完全讀錯咗呢套策略，因為佢全部回報都嚟自極少數幾筆交易。

## 親手計一計

- 倉位規模計算機: https://qanterion.com/zh-HK/tools/position-size-calculator
- 破產機率計算機: https://qanterion.com/zh-HK/tools/risk-of-ruin-calculator
- 複利增長計算機: https://qanterion.com/zh-HK/tools/compound-growth-calculator

## 相關詞條

- 動量交易: https://qanterion.com/zh-HK/glossary/momentum
- 均值回歸: https://qanterion.com/zh-HK/glossary/mean-reversion
- 最大回撤: https://qanterion.com/zh-HK/glossary/max-drawdown

## 參考資料

- [A Century of Evidence on Trend-Following Investing](https://www.aqr.com/Insights/Research/Journal-Article/A-Century-of-Evidence-on-Trend-Following-Investing) — The Journal of Portfolio Management (Hurst, Ooi & Pedersen), hosted by AQR
- [Time Series Momentum](https://www.aqr.com/Insights/Research/Journal-Article/Time-Series-Momentum) — Journal of Financial Economics (Moskowitz, Ooi & Pedersen), hosted by AQR

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## Risk notice

本術語表用於教學。此處內容不構成投資建議，頁面所述任何指標都無法預測未來結果。