【交易規(guī)模】論資金曲線之趨勢跟隨 [開拓者 TB]
- 咨詢內(nèi)容：
形式上看，這種資金管理是指在大幅獲利的時(shí)候，增加操作的分量，而在出現(xiàn)大幅虧損的時(shí)候，減小操作的分量。
有其他成功的交易員認(rèn)為這是一種良好的資金管理方式。它可以在系統(tǒng)運(yùn)行不利的時(shí)候減小風(fēng)險(xiǎn)暴露，而在系統(tǒng)運(yùn)行良好的時(shí)候增加風(fēng)險(xiǎn)暴露。當(dāng)系統(tǒng)進(jìn)入不利于系統(tǒng)運(yùn)行的時(shí)期時(shí)，風(fēng)險(xiǎn)暴露越來越低，以至于資金曲線的波動(dòng)越來越小，守住資金，不至于出現(xiàn)資金大幅的回撤。
很自然的一個(gè)問題就是：系統(tǒng)的績效好壞有時(shí)是交替出現(xiàn)的，如果在好的時(shí)候增加風(fēng)險(xiǎn)暴露，那么接下來不好的時(shí)期必然造成大幅虧損，然后大幅虧損后再減小風(fēng)險(xiǎn)暴露，那么接下來系統(tǒng)運(yùn)行良好的時(shí)期又無法獲取足夠的利潤來彌補(bǔ)前面的損失。
但通常對系統(tǒng)來說最怕就是出現(xiàn)一連串的損失，這種情況下不知道是市場發(fā)生變化了還是正常的回撤，很容易放棄交易系統(tǒng)，如果此時(shí)風(fēng)險(xiǎn)暴露快速降低，資金變動(dòng)趨于平緩，自然就可以繼續(xù)觀察一段時(shí)間看系統(tǒng)是否只是暫時(shí)進(jìn)入了不順利的時(shí)期。當(dāng)然這樣一來收益會(huì)減小，但此時(shí)資金安全更重要，因?yàn)榭赡苊媾R系統(tǒng)失效的風(fēng)險(xiǎn)。如果系統(tǒng)仍然是有一定優(yōu)勢的，遲早會(huì)再次進(jìn)入順利運(yùn)行的狀態(tài)。
而且，通常是根據(jù)資金的增長幅度來決定操作分量的，因此在資金回撤后，如果不回到超過前高的水平，操作的分量是不會(huì)增加的。這樣一來，系統(tǒng)將有可能在低風(fēng)險(xiǎn)暴露下度過一段不適應(yīng)期或者恢復(fù)期。只有在資金返回回撤前的水平后，才可能重新開始增加操作的分量，因此也不擔(dān)心增加了操作分量以后系統(tǒng)又不靈了而對資金造成進(jìn)一步的打擊，最多是在一個(gè)區(qū)域內(nèi)來回盤整。
這么做，也就是希望得到一個(gè)穩(wěn)定緩慢運(yùn)行向上的資金曲線，而非一條在上上下下波動(dòng)中上行的資金曲線。
I don't use % based stops. I use 1/2% of account for risk per-trade. Ex. If I had a 100k account, then the max. risk per-trade would be $500. If I wanted to trade 5 emini contracts I could only risk 2 pts on each contract for each trade (500/(5*50)). I use it for my personal account because it's simple to calculate, test, and implement. My expectation is large enough that I don't worry about the drag caused by the % of account allocation.I retired from a investment bank last year. There, the money management and risk management were decided by the company. It chose a method that doesn't have % of account in the formula to avoid the drag. Here's something I posted elsewhere that gave a way to avoid the drag of the % of account method while being conservative to avoid the risk of ruin:A unprofitable trading method can't be improved through any money management strategy, so you must first have a profitable method before going forward.Once you have a profitable method, you need to know a couple of things about it's characteristics. You need to know the maximum drawdown and the % of losing trades before you can apply money management to your method. You should have a minimum of 100 trades (either real or hypothetical) to base the calculations. Why at least 100? Because we need a stable database. At 100 trades, the standard error is 10% (1/sqrt(# trades)). This is acceptable when getting started. How often should you hit a new equity high? It can be calculated by using the % losing trades. Here's how, take the % of losing trades and multiply it by itself until the number is approx. .01 (meaning 99% chance of seeing a run of however many times you do the mutiplication). For example, if I have a method that loses 40% of the time, then the number will be (.4*.4*.4*.4*.4 = .0124). This means a method with 40% losers will have no more than 5 losers in a row 99% of the time. Next, take the number of consecutive losses and multiply by 3. In this case, the number will be 15. This is called the trading cycle. The cycle is the maximum number of trades that should happen before a new equity high is achieved. Draw a line every 15 trades on your statements and make sure a new equity high is hit within the 15 trade period. If not, the % of losers is probably greater than the sample used to caluclate this and is a warning sign of a unstable trading method. Use a higher % of losers and re-calculate until each equity peak is within every cycle. How many contracts should I initially trade? This is largely dependent on how much pain you can stand. If you don't mind a large % drawdown, then your number's will be higher than someone else. Take the amount of equity in your account and multiply by your maximum acceptable drawdown as a % of your equity. For ex. if you have 20k and you don't mind a 40% drawdown, then 20k * .4 = 8k. Next, divide the max. acceptable drawdown by the observed drawdown. For ex. if the method had a max. drawdown of 2k then 8k/2k = 4. This would be the initial number of contracts to trade in the market. When do I change the size? First, if the max. drawdown as seen in the past is hit, STOP trading. Once the new drawdown has stopped and a new equity high has been achieved (paper trading), then re-calculate the money management numbers and start over. As far as compounding goes, take the starting equity + (maximum drawdown * 3). Once the account equity goes above this number, you can safely add another contract. Ex. if I start with 20k and the max. drawdown is 2k then when the account goes above 26k, then I can add another contract. You should also do the initial calculation and make sure it's acceptable before adding to your size. In this case the 26k * .4 = 10.4k. The 10.4k / 2k = 5.1, so it's okay to increase from the 4 contracts to the 5 and stay within the acceptable drawdown. This method does not have a negative edge (as does all % of equity methods), so it'll let your account grow as you apply your edge to the market without the drag.這段比較經(jīng)典，有空再翻譯一下。
通常認(rèn)為，在交易系統(tǒng)中使用這樣的思路來配置每一筆交易是不當(dāng)?shù)摹Ｒ驗(yàn)樾星榭偸莵砘刈儞Q，這樣做的結(jié)果就是總是慢市場一拍，該下重倉的時(shí)候減了倉，該減小單量的時(shí)候下了重注。波濤有提到這個(gè)現(xiàn)象。因此他建議在系統(tǒng)持續(xù)有效的基礎(chǔ)上，出現(xiàn)回撤后加大分量。
但問題在于，沒人知道未來系統(tǒng)是否繼續(xù)會(huì)有效下去。因此對于交易系統(tǒng)來說，采用固定的單量比起試圖預(yù)期系統(tǒng)的不應(yīng)期而采用動(dòng)態(tài)的單量要輕松，也要穩(wěn)定可靠些。
從帳戶資金的角度來看，情況就不同了。畢竟，交易是為了資金的增長，而且需要穩(wěn)定而回撤小的增長（大回撤于系統(tǒng)不利）。市場如何，交易系統(tǒng)如何，這些人都不能準(zhǔn)確控制，但是，人可以通過準(zhǔn)確控制交易的分量來控制資金曲線的運(yùn)行落在上升通道內(nèi)，從而保證風(fēng)險(xiǎn)不超出預(yù)期的范圍。回撤到達(dá)－5％，交易量減小一半，回撤到達(dá)－10％，停止交易觀察系統(tǒng)表現(xiàn)。如果系統(tǒng)是有正期望的，那么資金曲線就應(yīng)該良好地運(yùn)行在上升通道內(nèi)。實(shí)際上這個(gè)手法是對系統(tǒng)起到監(jiān)督的作用。
這樣一來交易者的防守就很強(qiáng)，大不了系統(tǒng)運(yùn)行越來越差，損失速度越來越慢，最終放棄系統(tǒng)，資金損失也很有限。或者，系統(tǒng)運(yùn)行一帆風(fēng)順，獲利速度越來越快，資金快速增值。
[ 本帖最后由 一朵祥云 于 2009-1-31 23:08 編輯 ] - TB技術(shù)人員：
嗯，這樣做的目的在于系統(tǒng)不再符合現(xiàn)在的行情時(shí)，能夠保證不會(huì)虧得太多，以止于及時(shí)停止下來
- TB客服：
頂！這段英文是從那本書里摘出來的嗎？有沒有翻譯的版本，望指教
- 網(wǎng)友回復(fù)：
資金曲線也是一個(gè)很有意思的圖表
- 網(wǎng)友回復(fù)：
A unprofitable trading method can't be improved through any money management strategy...
國內(nèi)不少人以此為據(jù)來貶低甚至否定資金管理的效用，其實(shí)這不符合交易真相，至少是不全面的。。。
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