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Thread: 使用多重系统时如何进行头寸管理

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    Default 使用多重系统时如何进行头寸管理


    Managing Positions When Using Multiple Systems


    In our last Bulletin we presented our reasoning for using multiple systems in multiple markets in order to produce more consistent profits and to generate a smoother equity curve. In this Bulletin we will address some of the practical aspects of controlling our position sizes when employing this strategy.


    When using multiple strategies/systems in one market we are inevitably faced with the question of how many positions to trade and what to do when long and short trades appear at the same time. Many potential problems can be reduced if the systems are designed to integrate well so that one type of system will be turning off just as a different type of system is turning on. It is certainly not that difficult to devise rules that will serve to eliminate most of the contradictory trading signals.

    For example we can require that prices be above a specified moving average in order to initiate buy signals and below that same moving average to generate signals to sell short. Although such a rule might appear to avoid contradictory signals it is not foolproof. It is possible that an existing long position initiated at prices above the specified moving average might still be in place when a new entry is signalled in the opposite direction as a result of prices having drifted below the moving average. In this instance we have an open long position and a new signal to sell short.


    Although it is theoretically possible to have two or more accounts and hold both long and short positions at the same time, the common solution is to simply trade the net position. Two longs and a short is a net position of one long. A long and a short is a net position of no contracts. The large CTAs who are trading multiple systems usually trade net positions and some of them easily operate 50 or more systems at a time.

    Another possibility with the multiple position strategy is to operate with a limited exposure in terms of the maximum number of contracts traded at one time. For example, assume we wanted to trade all six of our bond systems and never have more than three contracts on at one time. For starters, the design of the bond systems makes it unlikely that we would ever have more than three positions in the same direction. But let\'s assume that it does happen and we are holding three long positions and a fourth system kicks in and says to go long again. We could choose to operate on a first come basis and simply ignore the fourth signal. However, as the designer of these systems I believe there might be a better solution.


    for starters 第一;首先;作为开头

    I would suggest trading on the basis of giving priority to the most recent signal. If we were long three contracts and got a signal to go long again, I would switch the oldest open position and trade it as though it were the new signal. Lets say that we are long on systems A, B, and C. Then system D gives a buy signal. No new trade is entered and we operate the exits as though we are long in systems B, C and D.

    我则建议根据最新的信号进行交易。如果我们已经建立了3笔多头仓位,然后又得到一个入场做多的信号,我会将之前建立的第一笔多头仓位的交易基准转换到最新信号上,这样该仓位就像是根据最新的入场信号建立起来的。比如,我们根据系统A 、 B 和 C建立起3笔多头仓位,然后系统D给出一个买入信号,虽然此时我们没有再次进行新的交易,但效果上相当于做了一次虚拟的交易,因为我们现在是根据系统B , C和D来持有多头仓位的。

    The reason I prefer this method is because I know the effort that is put into designing the pre-entry setups for each system. These pre-entry setups are designed to give us an accurate reading of market conditions just as we enter each trade. These pre-entry conditions not only tell us the direction (up, down or sideways) but often tell us the present strength of the directional trend and the best time frame to be trading right now. By switching from the old position in system \"A\" into the new position in system \"D\", we will gain the benefit of using system \"D\'s exit strategy which is most likely to be in tune with current market conditions. I like to call this process \"System Updating\". There is no order needed or entered with our broker to \"Update\" our systems. We simply stop placing exit orders for system A and commence placing exit orders for system D instead.

    我之所以选择这种方法是因为每个系统的设置都是经过精心设计的。设计这些设置的目的是在我们入场交易前市场背景必须满足一定的条件。这些市场背景不仅告诉我们趋势方向(上升、下降还是横盘整理),在很多情况下还能告诉我们当前趋势的力度以及我们应该选择的交易时间框架。把原先系统 A 的头寸转换为系统 D 的头寸,我们就能使用系统D的离市策略,这会使我们受益,因为系统D有可能更适合当前的市场状况。我喜欢把这种转换过程叫做系统更新。在这个系统更新过程中,我们既不需要下订单,也不需要经纪人,需要的仅仅是取消原来系统 A设置的止损单,代之以系统D设置的止损单
    Another possibility is to limit our open positions to one long term strategy and one short term strategy so that we can monitor all six systems without having more than two positions on at one time. If we have one long term position on we will only enter a second position when it is a short term entry signal. All additional long term signals are ignored or we employ the \"Updating\" technique described above.


    As you can see, trading six systems at once does not require that we ever have six positions on at any time. In fact the specific intent designed into the multiple bond strategies is to never have more than one or two positions on at one time unless we are in a strong bull market where trading is easy and usually very low risk. In that ideal market environment we want to have as many positions on as our capital and system signals will allow. If the systems operate as designed we might have as many as four open positions under these ideal conditions. Any more than that would be very unlikely and easily handled.


    In summary, the systems themselves should take care of most of the position sizing automatically. But in case we want to limit our exposure or use other position sizing methods there are many ways of applying logical and creative strategies that will limit our open positions to whatever number we desire. We have only illustrated a few of the many possibilities


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