# 趋势跟随

> 趋势跟随是一套基于规则的策略：它顺着已经确立的走势方向建仓，并一直持有到预设的离场条件触发为止。它不对价格将去往何处做预测，也不对价值做判断，只对已经发生的事情做出反应。它的大多数单笔交易都是小额亏损，整套策略依赖少数长期持有的仓位来覆盖所有这些亏损，这就是为什么在这里提前了结一笔盈利，比承受一次亏损更具破坏性。

Canonical HTML page: https://qanterion.com/zh/glossary/trend-following
更新于: 2026-08-18
又称: 趋势交易, 顺势系统, 管理期货

## 计算方式

```
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.
```

## 多数交易都亏钱，而这正是设计

一套典型的趋势跟随系统大约只有三分之一的交易是盈利的。它的收益分布是刻意偏斜的：大量在止损位上的小额亏损，加上少数来自持续延伸的走势的极大额盈利。这与高胜率系统正好相反，也意味着在那少数几笔真正重要的交易之间，净值曲线会长时间横盘或缓慢下滑。

## 震荡行情就是它要交的税

趋势跟随规则无法分辨一段刚萌芽的趋势和纯粹的噪音，所以它对两者一视同仁地入场，再交给离场规则去区分。在区间震荡的市场里它会被反复止损，而这一连串小额亏损，正是为了在真正的大行情启动时已经在场上所付出的代价。这个代价是无法回避的，而不是一个应该被优化掉的缺陷——试图把它优化掉，通常正是一套系统被过拟合的方式。

## 常见误读

趋势跟随经常被误解成预测。它什么都不预测：入场是对一段已经可见的走势做出的反应，离场是一条预设规则，而不是对顶部的判断。用胜率而不是用最大盈利笔的规模去评价它，等于完全读错了这套策略，因为它的全部收益来自极少数几笔交易。

## 动手算一算

- 仓位计算器: https://qanterion.com/zh/tools/position-size-calculator
- 破产概率计算器: https://qanterion.com/zh/tools/risk-of-ruin-calculator
- 复利增长计算器: https://qanterion.com/zh/tools/compound-growth-calculator

## 相关词条

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

## 参考资料

- [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

本术语表用于教学。此处内容不构成投资建议，页面所述任何指标都不能预测未来结果。