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Thread: 论资金曲线之趋势跟随

  1. #1
    In Profit liubing's Avatar
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    Default 论资金曲线之趋势跟随

    形式上看,这种资金管理是指在大幅获利的时候,增加操作的分量,而在出现大幅亏损的时候,减小操作的分量。

    有其他成功的交易员认为这是一种良好的资金管理方式。它可以在系统运行不利的时候减小风险暴露,而在系统运行良好的时候增加风险暴露。当系统进入不利于系统运行的时期时,风险暴露越来越低,以至于资金曲线的波动越来越小,守住资金,不至于出现资金大幅的回撤。

    很自然的一个问题就是:系统的绩效好坏有时是交替出现的,如果在好的时候增加风险暴露,那么接下来不好的时期必然造成大幅亏损,然后大幅亏损后再减小风险暴露,那么接下来系统运行良好的时期又无法获取足够的利润来弥补前面的损失。

    但通常对系统来说最怕就是出现一连串的损失,这种情况下不知道是市场发生变化了还是正常的回撤,很容易放弃交易系统,如果此时风险暴露快速降低,资金变动趋于平缓,自然就可以继续观察一段时间看系统是否只是暂时进入了不顺利的时期。当然这样一来收益会减小,但此时资金安全更重要,因为可能面临系统失效的风险。如果系统仍然是有一定优势的,迟早会再次进入顺利运行的状态
    而且,通常是根据资金的增长幅度来决定操作分量的,因此在资金回撤后,如果不回到超过前高的水平,操作的分量是不会增加的。这样一来,系统将有可能在低风险暴露下度过一段不适应期或者恢复期。只有在资金返回回撤前的水平后,才可能重新开始增加操作的分量,因此也不担心增加了操作分量以后系统又不灵了而对资金造成进一步的打击,最多是在一个区域内来回盘整。

    这么做,也就是希望得到一个稳定缓慢运行向上的资金曲线,而非一条在上上下下波动中上行的资金曲线。

    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.这段比较经典,有空再翻译一下。

    通常认为,在交易系统中使用这样的思路来配置每一笔交易是不当的。因为行情总是来回变换,这样做的结果就是总是慢市场一拍,该下重仓的时候减了仓,该减小单量的时候下了重注。波涛有提到这个现象。因此他建议在系统持续有效的基础上,出现回撤后加大分量。

    但问题在于,没人知道未来系统是否继续会有效下去。因此对于交易系统来说,采用固定的单量比起试图预期系统的不应期而采用动态的单量要轻松,也要稳定可靠些
    从帐户资金的角度来看,情况就不同了。毕竟,交易是为了资金的增长,而且需要稳定而回撤小的增长(大回撤于系统不利)。市场如何,交易系统如何,这些人都不能准确控制,但是,人可以通过准确控制交易的分量来控制资金曲线的运行落在上升通道内,从而保证风险不超出预期的范围。回撤到达-5%,交易量减小一半,回撤到达-10%,停止交易观察系统表现。如果系统是有正期望的,那么资金曲线就应该良好地运行在上升通道内。实际上这个手法是对系统起到监督的作用。

    这样一来交易者的防守就很强,大不了系统运行越来越差,损失速度越来越慢,最终放弃系统,资金损失也很有限。或者,系统运行一帆风顺,获利速度越来越快,资金快速增值。

  2. #2
    wu2080
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    要把模拟的当做真的来做才行,但有几个能当真钱呢,这样总是练不了心态,心态不好,有经验也必输无疑,一句话,迟死早死的问题

  3. #3
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    Default

    是这样的,你说的对

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