【交易規模】論資金曲線之趨勢跟隨 [開拓者 TB]
- 咨詢內容：
形式上看，這種資金管理是指在大幅獲利的時候，增加操作的分量，而在出現大幅虧損的時候，減小操作的分量。
有其他成功的交易員認為這是一種良好的資金管理方式。它可以在系統運行不利的時候減小風險暴露，而在系統運行良好的時候增加風險暴露。當系統進入不利于系統運行的時期時，風險暴露越來越低，以至于資金曲線的波動越來越小，守住資金，不至于出現資金大幅的回撤。
很自然的一個問題就是：系統的績效好壞有時是交替出現的，如果在好的時候增加風險暴露，那么接下來不好的時期必然造成大幅虧損，然后大幅虧損后再減小風險暴露，那么接下來系統運行良好的時期又無法獲取足夠的利潤來彌補前面的損失。
但通常對系統來說最怕就是出現一連串的損失，這種情況下不知道是市場發生變化了還是正常的回撤，很容易放棄交易系統，如果此時風險暴露快速降低，資金變動趨于平緩，自然就可以繼續觀察一段時間看系統是否只是暫時進入了不順利的時期。當然這樣一來收益會減小，但此時資金安全更重要，因為可能面臨系統失效的風險。如果系統仍然是有一定優勢的，遲早會再次進入順利運行的狀態。
而且，通常是根據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，操作的分量是不會增加的。這樣一來，系統將有可能在低風險暴露下度過一段不適應期或者恢復期。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，因此也不擔心增加了操作分量以后系統又不靈了而對資金造成進一步的打擊，最多是在一個區域內來回盤整。
這么做，也就是希望得到一個穩定緩慢運行向上的資金曲線，而非一條在上上下下波動中上行的資金曲線。
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.這段比較經典，有空再翻譯一下。
通常認為，在交易系統中使用這樣的思路來配置每一筆交易是不當的。因為行情總是來回變換，這樣做的結果就是總是慢市場一拍，該下重倉的時候減了倉，該減小單量的時候下了重注。波濤有提到這個現象。因此他建議在系統持續有效的基礎上，出現回撤后加大分量。
但問題在于，沒人知道未來系統是否繼續會有效下去。因此對于交易系統來說，采用固定的單量比起試圖預期系統的不應期而采用動態的單量要輕松，也要穩定可靠些。
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，而且需要穩定而回撤小的增長（大回撤于系統不利）。市場如何，交易系統如何，這些人都不能準確控制，但是，人可以通過準確控制交易的分量來控制資金曲線的運行落在上升通道內，從而保證風險不超出預期的范圍。回撤到達－5％，交易量減小一半，回撤到達－10％，停止交易觀察系統表現。如果系統是有正期望的，那么資金曲線就應該良好地運行在上升通道內。實際上這個手法是對系統起到監督的作用。
這樣一來交易者的防守就很強，大不了系統運行越來越差，損失速度越來越慢，最終放棄系統，資金損失也很有限。或者，系統運行一帆風順，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技術人員：
嗯，這樣做的目的在于系統不再符合現在的行情時，能夠保證不會虧得太多，以止于及時停止下來
- 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
- 網友回復：
資金曲線也是一個很有意思的圖表
- 網友回復：
A unprofitable trading method can't be improved through any money management strategy...
國內不少人以此為據來貶低甚至否定資金管理的效用，其實這不符合交易真相，至少是不全面的。。。
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