This brings up another point—what’s right for me is right for me and may be right for some other people, but it certainly is not right for everyone. Each person must find an approach that is personally comfortable. You need to trade an approach that fits your personality. For example, I’m analytical and I don’t enjoy making emotional decisions or being a gunslinger. For me, trading automated is far more comfortable than trying to trade while making decisions on when to pull the trigger. However, you can give a really good trading strategy to somebody whose personality is not in tune with it, and I guarantee you it will not work.
Janette: For those traders who are just starting out to develop a strategy, what essential factors do you think they should consider?
Jack: In one of my books, I use the line “There are a million ways to make money in the markets. The irony is that they’re all very difficult to find”. The emphasis is that there are a million ways to do it. That means everybody has got to find his or her own path. I think anybody who says, “You really have to use daily and weekly charts and everything shorter term is just a waste of time,” is just talking nonsense. As is, the person who says, “Daily and weekly charts are much too long. Markets act much too quickly. You really should use tick charts.” They’re both wrong. There is no “have to”. You can come up with perfectly good methodologies using any time frame or using no charts at all. It comes down to what you naturally gravitate toward.
I believe that the main value of most popular methodologies, such as Gann, Elliott Wave, Candlesticks, etc., is that for some people they are a really comfortable way to look at the markets. For some people, using Elliott Wave interpretation of market action fits the way they think—it works for them. But is it really Elliott Wave or is it because that person has some facility to interpret Elliott Wave and that’s why he’s successful? To me, these methodologies are just another way of looking at the markets and what’s the best fit for that person. It’s like wearing glasses… one person’s prescription is not going to work for another person, but that doesn’t mean that one prescription is better than the other. It just means that one is right for one person, and if each person gets the right prescription, they can see much better.
Janette: So, where would a person start?
Jack: First of all, you can’t just sit down and say I’m going to be a great technical or systematic trader and start designing strategies. You’ve got to watch markets in real-time and paper trade. You’ve got to get some real life experience to get some feel. From your experience, you draw ideas of what you think might work, and then take the ideas and systematize them in some way and test to see if that assumption bears out. It’s not a matter of taking someone else’s system and trading it. If you do that, you won’t have any confidence or feel for it. Every strategy is going to go bad at certain points, and when that happens you’ll end up bailing because you don’t have any reason to have confidence in it; its not yours, you haven’t done the analysis, and it doesn’t reflect anything that you’ve done. So I think it’s important for each person to develop his own methodology.
Janette: In your video series, Jack Schwager’s Complete Guide to Designing and Testing Trading Systems”, you talk about some of the pitfalls, specifically the “Super Razzle Dazzle”. What are you trying to get across?
Jack: What I was trying to say was, whether in articles about systems, ads for systems, or people giving presentations about systems, you’ll invariably find these examples of the strategy with phenomenal trading signals. It looks just great. The reason it looks great is because the example was chosen with the benefit of hindsight. Every conceivable strategy can be made to look great if you choose the right example.
Janette: Then what should a trader be looking for?
Jack: Well, it’s not the performance measures. It’s testing the system correctly—no matter what performance measures you’re using. Testing a strategy correctly means you’re not using hindsight—plain and simple. If you’re using hindsight, you’re doing it wrong. The question then becomes, “How do you do test a system it without hindsight?” There are two ways to do it. First, you can take a small amount of data, say one or two markets out of 30, or short segments of time for all markets and you use that data to develop the rules of your system. Then use those rules and test them on the unseen data.
The other way is a walk-forward simulation. You place yourself back in time. Say it’s 1985. You use data prior to 1985 to develop the system rules, and then test the system for 1985. You then repeat the process with data prior to 1986 and test 1986, and so on. The point is you use data up to a certain point of time and test on a point of time forward from that point and walk forward through time. Both of the approaches I’ve described are valid because they don’t use hindsight. The single most important thing about testing trading strategies is to avoid hindsight—if you don’t, then whatever you get is totally meaningless.
Janette: Okay, so once you’ve done the ‘walk-forward simulation’ or ‘small data sampling’ and you’ve got all this data back, how do you evaluate it?
Jack: You want to look at return to risk. This is particularly true of the futures markets. Return by itself is totally meaningless. Here’s an example: Let’s take a strategy that returns 20% a year and has periodic drawdowns of 40%, and another strategy that only makes 10% a year but its worst drawdowns were 5%. Well, you might look at the system with the 20% return and think,” well, it’s twice as good.” But, what you could do is take the 10% system and leverage it 4:1 and end up with a 40% return with a 20% worst drawdown. Thus the system with a 10% return (but only a 5% drawdown) is actually a tremendously superior strategy. Return by itself has no meaning because you can take any strategy and just by leverage, change its return. So the only thing that’s valid is return to risk.
Janette: That makes a lot of sense.
Jack: And the reason I said it was particularly true of futures is because there’s always excess capital (no reasonable person trades at full margin) and there’s no cost to borrow, so it becomes totally transformable and interchangeable. In that case it becomes an exact ratio—if the return to risk of Strategy A is 2:1, then its then it’s superior to Strategy B if Strategy B’s return to risk is anything less than 2:1, no matter what it’s return is, because you can transform the lower return system to a higher return through leverage.
Janette: If we want to oversimplify the steps of constructing a trading strategy, how would you define the steps?
Jack:
1. Come up with the ideas through market observation and research.
2. Develop a systematic set of rules based on these ideas.
3. Test the system without hindsight.
4. Implement the system. This is the simplest part. You just follow the signals.
Implementation is nothing-- it’s an afterthought. You just have to be consistent with what you develop. If you believe in it, then you will trade it exactly as it is.
Sometimes people will say “Yes, but…I know my strategy says I should be long, but you have to understand that this is a particular case, which is an exception for this and this reason and it’s not in my system”. Well, if it’s not in your system, make it part of the system. Then go back and without hindsight test to see whether it indeed helps the system. If it does, then incorporate the exception as part of your system. Then you have no reason to intervene and change what the strategy is telling you until the next time you think you have a reason, and when that happens, repeat the process. So, the simple answer is if anyone ever comes up with a reason for why they shouldn’t follow their strategy, then they should incorporate that exception as part of the strategy. If you find yourself second-guessing the system, it means you don’t truly have confidence in it, and you shouldn’t be trading it.
Janette: Jack, what are your thoughts on optimization?
Jack: Optimization can have some uses, but I think it often causes more harm than good because it’s so misused. That doesn’t mean that optimization doesn’t have any value. However, if you’re going to evaluate the merits of a strategy based on optimization, then its worse than useless because its going to totally distort the true efficacy of the system. You can test a million parameter sets for a system and some of those will be enormously good. If you’re going to judge how the system performs based on that, you’re going to have a tremendously distorted picture. Optimized results are always going to overstate what a strategy can do. Do not use optimized results in any form for evaluating a system.
The key question, however, is-- will optimized parameter values perform better than randomly selected values in the future? The assumption that they will is by no means a foregone conclusion. There are certain approaches optimization may help tune the strategy to the changing markets, but you can only determine that by testing. You have to be a scientist about it and actually test including optimization and see if it adds anything. Don’t just assume that the optimization on past data tells you anything about the future. That is something that you have to evaluate on a case-by-case basis.
Janette: Thanks Jack, your insights always seem focused on what is really important.
Jack D. Schwager is currently the Managing Member of Market Wizards Funds, L.L.C., in Vineyard Haven, MA. His prior experience includes 22 years as the director of futures research for some of Wall Street's leading firms. Schwager is a frequent seminar speaker and has lectured on a range of analytical topics with particular focus on the characteristics of great traders, technical analysis, and trading system evaluation. He holds a B.A. in Economics from Brooklyn College and an M.A. in Economics from Brown University.
NOTE: What you have just read has been presented solely for informational or educational purposes. No investment or trading advice or strategy of any kind is being offered, recommended or endorsed by the author or by TradeStation Technologies or any of its affiliates, agents or employees.
名家談系統開發之二_____Linda Bradford Raschke
"Back to the Basics”
Interview with Linda Bradford Raschke
by Janette Perez
Linda Bradford Raschke continues to inspire many traders through her unique approach to strategy trading. We'd like to share some of her thoughts with you.
JP: Linda, can you tell how you first got started in the markets and what you learned in those early days?
LR: My first job was right across the street from the Pacific Coast Stock exchange in San Francisco. I used to watch the traders stream out of the exchange in their trading jackets as they would go out for brunch on the slower days. (Back in 1980 - 81, almost every day was a slow day!) Over time, I befriended a trader who eventually became a partner in backing me to go down to the floor to trade.
The main things that I learned in those days came from observing the other traders around me. Each successful trader had their own unique style or type of arbitrage they engaged in. The people who made the most money were not the ones who took big directional bets. The ones who were consistent and did best found creative ways to hedge their exposure, and were very quick to adjust their positions when trades did not work out as expected. I learned the best traders were not the most aggressive ones but the ones who learned to play defense the best.
Unfortunately, it took me a long time to learn how to integrate this into my own style. When I first started trading, I felt like I was always fighting the market, fighting the trend. Of course when you are on the trading floor, everything you do ends up being countertrend in nature since you are essentially selling to those who want to buy as the market is going up. I was typical of most floor traders in that I would make money 19 days out of the month and then on the 20th day, end up giving much of it back if the day turned out to be a strong trend day.
JP: How has your trading style evolved since then?
LR: I think that my trading style continues to become more deliberate. I am much more conscientious about letting the market tips its hand first, and then trying to follow in its footsteps, instead of trying to anticipate what it is going to do next. I am much better about trading only when I perceive a supply/demand imbalance, and then trying to stay on the right side of the money flows.
JP: Let's start with some of the basics. What time frame do you use to determine where the market stands?
LR: I always work from the top down…and so I will always start out with a weekly chart. This will tell me the primary trend. I also want to know if the market is in the process of building a base (or a top) or if it is just coming out of a top or breaking out of a base.
JP: How many markets do you follow?
LR: I follow about 26 futures markets, including the currencies. I follow all the major indexes, of course, in addition to the sector indexes, and I follow about seventy different stocks. I do my nightly homework and analysis on 22 of the futures markets, and then will scan through stock charts for the next day depending upon how much time I have.
JP: Tell me more about predicting price direction and its importance in your trading style.
LR: Well, first you have to recognize that there are certain points where you can't make a good directional forecast…..For example, if a market is too flat, or it is in the middle of a consolidation period, you are better off waiting for the market to tip its hand, and then make a forecast only after a supply or demand imbalance is evident. I would say that the most important thing in my trading style is to find trades where there is a well-defined risk point. A trader can find these spots when working on a smaller time frame, as long as they do not get caught up in the noise. A trader can get the initial direction right on a trade, but ultimately, it will be far more important as to how he manages that trade. For example, what is the point of a good directional call if a trader can't stay with the trade?
Or, a trader might get the initial direction correct, but overstay his welcome only to have the market reverse against him. Trade management issues ultimately will determine a trader's profitability to a much greater degree than his ability to forecast the price direction.
JP: What is the most important part of your strategy during a regular trading day?
LR: The most important part of the strategy comes when the markets are CLOSED! I can't trade during the day if I don't have a good idea of what I am going to look for before the markets open. So, for me, doing my nightly homework is the key to my trading success.
The first thing I look at when I do my strategy at night is what type of volatility environment is to be expected for the next day. IN other words, am I expecting a consolidation type of day, or is the market in runaway momentum type of environment. This will totally dictate the strategies that I select before the market opens.
JP: What do you feel are some of the advantages of following a tested strategy?
LR: Testing strategies builds up confidence. The more testing you do, the higher the sample size, the more markets you can apply your theories to, the higher the confidence level. And having the confidence to see a strategy through in its entirety is a big part of the game.
JP: Share with us your viewpoint on the rubber band effect and market extremes?
LR: The main things I know are…markets always go further than you think they will….trends last longer in duration than people think they will….The "rubber band effect" is really a function of shorter-term noise, in my opinion. A market might temporarily overshoot in one direction, and so there might be a small snap back effect, but ultimate the true trend will continue to prevail. Even after a trend climax, a market will more often than not need to reach an equilibrium point again before the trend can reverse. This often entails a long drawn out consolidation period. Look how long gold had to base out. Look how long the grains had to base out. Many of these stocks that are in downtrends may need to go through a basing period of quite a few years before they are ready for true sustainable rallies. What we DO see in markets, arengs in the sentiment from one extreme to the other. But this too, can be quite a time consuming process.
JP: How do you determine when the market is near such an extreme?
LR: It is dangerous to obsess with trying to time an extreme, because so often, 80% of the movement can come very late in the trend. Prices can get parabolic at extremes. There will naturally be an increase in range and in volume as a market approaches a top or bottom….I would rather be trading in the direction of that movement, with a trailing stop, as opposed to trying to pick the reversal point.
JP: What indicators do you use to help you pinpoint such extremes?
LR: For me to have faith in an indicator, I need to see it work across a broad number of different markets, and I do not think that there is a tried and true indicator that can pinpoint extremes across different types of markets. Who could say exactly where the top would come in natural gas two years ago, or in internet stock 3-4 years ago? Where is the bottom in a stock like Lucent…or in a market like Coffee? This really is not what trading is all about….
JP: How about when the market has trapped one side of the participants? What patterns do you look for?
LR: Now this is a classic scenario…..When the market starts breaking down from a large distribution pattern, a broad trading range, then naturally the longs are the ones who are trapped. Bear flags will be the most common chart pattern. More people want to get out of the market than IN to the market. If no buyers step in, then we can see a free fall if margin calls start to hit. That would be an extreme scenario. When a market starts to accelerate to the upside, this can be an indication that shorts are trapped and there is potential for a short squeeze. This really does not happen so often as one would think. In general, there are market participants trading on many different time frames. The majority of volume transacted each day comes from short-term traders and market makers, as opposed to large funds and commercials. The funds and commercials can provide a stabilizing influence….(in theory..LOL!)
JP: What do you look for when markets make new highs or new lows?
LR: When a market makes new highs, I look to buy the first pullback. When a market makes new lows, I look to sell the first reaction.
JP: What's your definition of a trend and the importance of identifying it?
LR: An uptrend is when a market makes a higher high and a higher low and then turns up from there. Vice versa for a downtrend. The larger moves tend to occur in the direction of the trend more often than not. If you are trading with the trend, the market is more forgiving if your trade location is not so great on your initial entry.
JP: Can you expand on the Principle of Range Contraction/Expansion?
LR: Markets move from a state of consolidation (range contraction) to a period of Price markup or mark down (range expansion). If you can hop on board when the market is in a mark up or mark down period, then this is where you can make the most amount of dollars in the least amount of time with the smallest amount of risk.
JP: What indicators do you like to use in this type of market?
LR: Price, price and price! I look at the sentiment readings…I have a proprietary Tick summation index that functions a bit as an overbought/oversold type of oscillator. But anything I see in these other types of indicators that would suggest a potential trade setup must be confirmed by price. During the day, when I am trading the index futures or stocks, I will watch how the market is moving relative to the Ticks, I will watch the Trin and volume and market breadth…..but all my trades are triggered off price. I would rather look at plain bar charts on multiple times frames than look at canned indicators.
JP: And if you're being very aggressive…
LR: If I am being very aggressive, then that means that I usually got an exceptional sleep the night before! Seriously, the times to be aggressive are when the trend lines up on multiple time frames in the same direction. When the weekly trend is down, and the dailies are turning down out of a consolidation zone, and the hourlies are breaking down out of bear flags…when all three time frames are trending in the same direction, then this is when a trader should be most aggressive.
JP: Sometimes Oscillators can steer you wrong in a strong trend. What do you do about that?
LR: You are implying that oscillators function as an overbought/oversold tool. My rule is, when an oscillator makes a new high, I am looking to buy the first pullback. Momentum precedes prices. A new high on the oscillator is a new momentum high. The only oscillator I use is a moving average oscillator so it does not have a fixed scaling as a stochastic or an RSI would.
JP: How do ShowMe and PaintBar Studies help you in your analysis?
LR: ShowMes and PaintBars are great tools in terms of alerting to a specific condition without having to put up a bunch of extra study windows. For example, it is easy to program a ShowMe if a momentum oscillator makes the highest high of the past 20 bars. This might be useful information. Or perhaps a PaintBar could be created to show a market is making new first hour highs or lows if it is an intraday time frame. I've included some custom ShowMes and Paintbars to share with the community to show some of the interesting things that can be done.
LBRTickTiki — The LBR_TickTiki plots the TICK and TIKI index values with alerts.
LBRHistVolty — The LBR_HistVoltyRatio indicator calculates the ratio between two Historical Volatility testing periods.
LBRADX — The LBR_SmartADX indicator is a standard ADX line that changes color when it is above the trending value.
LBR310OSCLBR — The LBR_3/10 Oscillator calculates the difference between a fast 3 bar moving average and a slower 10 bar moving average.
LBRPCOLBR — The LBR_PreviousCloseOpen is a simple indicator that plots the previous days Close and the current days Open on an intra-day chart.
LBRHLCHNL — The LBR_IntraHLChannel is a simple indicator that plots the highest day high and lowest day low channel for some number of trialing days, on an intra-day chart, or daily chart.
LBRNRIB — The LBR_NarrowInsideBar paints the bar when there is an inside bar that has the narrowest range for some number of trailing bars.
JP: Share with us your research on Volatilty Breakout Systems.
LR: There are dozens of ways to create breakout systems. The best ones, in my opinion, tend to be based on range functions. For example, add a percentage of the 2 day range, or the 10-day range, or the previous day's range to yesterday's close or today's open. This is a basic departure point for a breakout system. The original Turtle System was a channel breakout…i.e., breakout above or below the 20-day range. All of these systems are very much dependent upon the current market's volatility conditions. When volatility and average daily range are high, they tend to perform best. In general, they all have deteriorated a bit in performance over the years. Yet, they still one of the more durable and robust types of systems around. I believe the small amount of deterioration in the statistics might be attributed to an increase in the "noise" level as markets have matured. But lately, these systems have really picked up again in their performance. Good execution and reasonable commission rates are very important to the real time performance of these systems.
JP: What can trading a Volatility Breakout System teach you?
LR: Trading breakout systems played an integral part in my own education as a trader. It taught me just how powerful the concept of follow-through was….it taught me the importance of trading a basket of markets….it taught me just how much a system is dependant upon capturing a few very big wins, and how it is impossible to predict which trades will turn into the big wins. If you are going to trade a volatility breakout system, you cannot pick and choose! You must take every trade. It taught me that even when my stops were hit and sometimes the initial stops were very wide for these systems (ugh)…that EVENTUALLY the system will make back the losses as long as you keep taking the trades. It is unlikely that an individual will get fabulously rich from trading a volatility breakout system. But I think they are an excellent way for a newer trader to learn how to trade, because they have a well defined rule set, and you will gain lots of experience with trade execution since these systems are quite active.
JP: How about Trade Management? What role does that play in your trading?
LR: Trade Management is what makes or breaks the bottom line!
JP: Can you expand on Stops?
LR: For an initial stop, wider is better. When the trade starts to move off in your favor, then you must tighten the stop. If the trade does not do what you think it should do within a certain amount of time, then close the trade out and cancel the stop. In other words, time can function as a stop parameter as well as price levels.
JP: What are your thoughts on Risk and Money Management?
LR: Trading is about managing risk. If you do not see a spot where you can define your risk before you go in, then you can't make a trade. Money management should also include factors such as leverage used, in addition to corellation in your portfolio or markets traded..
JP: Linda, I know you were heavily involved with music at an early age. How did this help you?
LR: I think that learning how to stay in the here and now is important with trading. Stay in the present…what is the market doing NOW…as opposed to what happened in the past. Market, sports…many disciplines are like this. If you are a tennis player and lost the previous game, you can't think about that. You must think only about the shot that you are about to make. With music, you are thinking only about the notes that you are about to play…not the mistakes you just made. There are lots of activities that we do when we are children in which we must learn how to focus and concentrate only on one thing at a time. Much of this is transferable to the markets and trading.
JP: Do you feel there is a parallel between music and the markets?
LR: Sure …there are many parallels in terms of how we analyze the overall structure of a musical piece or the technical condition of the market. I think emotions are a much different part of the equation in trading than in music though. Perhaps there are better parallels to the performance side of the equation in terms of managing one's emotions in sports.
JP: Even though the number is growing, there are still few full-time women traders. Do you believe there are any obstacles to women trying to get into the field?
LR: Having access to adequate amount of capital is one of the larger obstacles for start up, regardless of gender. But other than that, the availability and ease with which one can use software applications such as charting packages, online execution platforms, and have access to reasonably priced data…really has made it easy for anyone to trade. I can't believe how much technology has changed the playing field in just 15 years. 20-years ago, I feel that you really had to be on the trading floors to have an edge. Nowadays, it is just the opposite.
JP: Any additional advice for a beginning trader?
LR: Yes! I think that the initial learning curve tends to be a bit longer than people estimate. On average, it tends to be around three years. Many people are attracted to this business because they perceive there to be unlimited upside in earnings potential. However, the first few years, many are lucky to just scrape by. The people that I see do best as traders are people who like to play games (such as cards, bridge, backgammon, etc) and understand game theory. You trade because you like to win….the dollars are a way of keeping score. The passion for trying to figure out the game must be there, because during your initial apprenticeship with the market, more likely you will be paying the market to teach you. It is OK to read books, go to seminars, learn from other traders in the beginning…but ultimately if you are to be successful, you must learn how to play your own game. This means that you must believe in your own analysis, and not listen to other people or second guess yourself. And this type of confidence can only come from repeated observations and study over time.
JP: Thank you very much Linda.
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Linda Bradford Raschke is President of LBRGroup, Inc., a money management firm and registered CTA. She began her professional trading career in 1981 as a market maker in equity options. After 7 years on the trading floor, she left the exchange to expand her trading program in the futures markets. In addition to running LBRGroup's CTA program, she has been principle trader for several hedge funds and runs commercial hedging programs in the metals markets. In the early 90's she formed a research partnership with Moore Research Center and pioneered work on volatility based trading indicators, which were incorporated into her daily trading programs.
Ms. Raschke was recognized in Jack Schwager's critically acclaimed book, The New Market Wizards, and is known for her own top selling book, Street Smarts - High Probability Short-Term Trading Strategies. She has been featured in dozens of financial publications, radio and financial television programs, and has served on the Board of Directors for the Market Technician's Association for many years.
Ms. Raschke has presented her research and lectured on trading at annual conferences for the Market Technician's Association, International Federation of Technical Analysis, Canadian Society of Technical Analysts, TAG, Omega World, Managed Futures Association, International Online Trading Expo, AIQ, Futures Magazine, Bloomberg, and Carlin Equities, in addition to lecturing in over 16 different countries for Dow Jones/Telerate.
Ms. Raschke continues to manage money and trade her proprietary accounts, while posting LBRGroup's trading activity real time online into the LBROnline Trading rooms, an educational internet based service. Members in these rooms include professional traders from over 18 different countries.
Ms Raschke received a degree in both economics and music composition from Occidental College in 1980
名家談系統開發之三_____TradeStation Technologies
Strategy Development: Understanding the Process
TradeStation Technologies
When developing trading strategies, there are certain procedural steps, or guidelines, that should be followed. The following article will provide a walk-through of these basic steps.
Select Market Activity
The very first step in developing a strategy is to decide on the type of market activity you want to trade. Obviously, this includes selecting a symbol to trade, or to develop a strategy for, and choosing a time frame to trade (minute charts, daily charts, etc.). This is an important decision because it determines the type of strategy you will be developing. This section will help you to understand some of the conditions that can occur during different types of market activity, and the types of strategies that complement those markets. Once a familiarity with the basic market types has been established and a symbol and timeframe to trade have been selected, a strategy type may be chosen. Please note: It is extremely unlikely that any one strategy will work well across all market types. The key is to develop a strategy that works well during one type of market activity, while at the same time limits losses during other types of market action. This is a basic but extremely important concept.
Let’s take a look at the strategies that are appropriate to each type of market.
Trending Market
Trending markets are characterized by a large and sustained increases or decreases in price, over an extended period of time.
Momentum Strategies
Momentum strategies are designed for trending markets and attempt to take advantage of all the big trending moves that may occur. In creating a momentum strategy, the number one priority should be that the strategy never misses a big move. The easiest way to accomplish this is to always be in the market, that is, to always be either short or long. If you always have a position, you will always be there when the big move takes place.
The other method is to always have a “stop” order in the market, resting either above or below the current price (this is the same order as a stop loss, but it is used to enter the market rather than exit). Using a stop to enter the market will protect you because if the market moves quickly in either direction you will be stopped in before the big move begins.
Keep in mind that momentum strategies tend to lose money in choppy or directionless phases of the market. They have a small percentage of winning trades; that is, they make their money in a few big trades. This means that if you miss a big move, you may not have enough capital to hold out through the draw-down as you wait for the next big move.
Another design characteristic should be to limit your losses during the market’s sideways mode. Remember, no strategy will make money in every market condition. If the strategy is designed to make money in a trending market, it will lose money in the choppy phase. Your priority should be to minimize the losses in the directionless market.
Many momentum strategies make their money in one or two months of the year and break even or lose money for the rest. The most common indicators used in momentum or "trend following" strategies are moving averages, most often two—a short moving average and a longer moving average.
Momentum strategies have the following characteristics:
They make 80% of their profits on 20% of their trades. This is the difficult part of trend trading—a low percentage of winning trades. You need a lot of positive self-esteem and confidence in your abilities to trade a strategy that loses money on 60 or 65% of its trades. You should also be able to sit through significant draw-downs as the market drifts through a directionless period.
Many researchers have estimated that any market is in the trend mode 15% of the time and is directionless 85% of the time. A momentum strategy then, by definition, has a low percentage of profitable trades. In addition it is most likely the most psychologically difficult to trade, but if you think you can successfully trade without constant positive feedback, it can prove to be very profitable.
They attempt to limit losses during the market’s sideways mode; no strategy will make money in every market condition, but a good strategy will limit losses in market conditions for which it was not designed.
Momentum-based strategies are the most popular type of strategy. With a high percentage of losing trades, you might be wondering why it is so popular. Very simply, trend-following strategies can be very profitable overall, and this is why people attempt to trade them. Another reason is that people like to follow (and make money on) the big trends. It is human nature to want to cash in on the big moves in the market. It is innately satisfying to get in early on a trend and watch your profits soar.
Directionless Market
A directionless market is characterized by smaller and frequent up and down movements in price, with the general movement sideways, or within some defined trading range.
Countertrend Strategies
The main focus of a countertrend strategy is to profit from the pricengs that occur in directionless markets. Countertrend strategies start with the premise that markets are directionless 85% of the time. The strategy attempts to take advantage of this price movement and catch the smallngs that take place in sideways or choppy markets. This type of strategy has a higher number of winning trades, with small profits on each winning trade. It misses the full trend because it exits early in the trend as the market becomes quickly overbought or oversold.
A countertrend strategy is built on the premise of buying low and selling high. As you are buying when prices are low and selling when prices go up, you are actually trading against the trend. Essentially, you are picking tops and bottoms.
Although a countertrend strategy is easier to trade emotionally, many traders don’t trade this type of strategy because they fear missing the big move. Although countertrend strategies generally have a higher percentage of winning trades than momentum strategies, profit amount per trade are smaller as a result of the smaller and more frequent price movements of varying direction. A major drawback for this type of strategy is the potential to result in substantial losses during large trends.
In addition to momentum and countertrend strategies, there are other strategy types designed to take advantage of event-based market opportunities such as cycles, chart patterns or other definable market occurrences. These other strategy types are not necessarily associated with specific market types.
Time Frame to Trade
As you look at a chart and are evaluating market action type, it is important to consider the time frame of your chart. In fact, choosing which time frame is appropriate for you is almost as important as the type of market action and strategy you want to trade. You can take the same chart and time period, and when you change the time frame, say from 5-minute to daily, the market action type may be completely different. We’ll discuss three basic types of charts: intraday, daily, and weekly.
IntraDay Charts
Intraday charts are the 1, 5, 10, 30, and 60-minute charts that are compiled from intraday tick data. Intraday data, if used correctly, can give you a distinct advantage over using, for example daily charts. If you have the time, energy and appropriate trading platform, you can take advantage of this microscopic and active look at the markets.
However, successfully trading intraday charts, requires focused attention and a trading platform like TradeStation, capable of monitoring and automating your strategies, to alert you to potential buy and sell opportunities.
Daily Charts
Daily charts are common amongst many traders for several reasons. First, as most traders also have day jobs, they want to keep abreast of the market as much as possible without it intruding into their workday. The daily chart is perfect for this type of trader. You are able to review the markets each night and make your decisions for the next day. On the minus-side however, trading daily charts will provide fewer trading opportunities.
Weekly Charts
Weekly charts are much more difficult to trade because it takes more discipline. To trade weekly charts you make your decisions on the weekends and don’t make any changes until the next weekend. For most traders, this is very difficult to do. It’s hard not to look at the market during the week and be tempted to move a stop loss or a money management stop, or not to want to keep your profits and exit the market early.
Consider also, some strategies work better on a weekly chart than on a daily. Very few people have the patience and the discipline to trade weekly charts. By their very nature, weekly charts smooth the price fluctuations of the daily chart. If there is a long trending market, we should be in the trend longer. We might get into and out of the trend a little later than on the daily chart, but we will probably not get whipsawed as much in the directionless markets.
Once you select and the strategy type you want to use and the time frame you will be trading, you’re ready to start defining your trading rules.
Tips for Defining Your Trading Rules
A large part of strategy development involves writing your rules clearly, without any ambiguity. In fact, you should be able to state your rules so clearly that anyone, using only the Data Window and a calculator, should be able to generate buy and sell signals. It sounds simple until you try it. Unless you have stated your rules in a way that is completely unambiguous, you won’t be able to do it. And certainly, TradeStation won’t be able to interpret your rules either.
When people first start developing strategies, they tend to focus on the visual aspect. They try to describe their entry criteria, for example, based on the pattern they see in the chart. However, EasyLanguage is mathematical, so eliminating the visual aspect and focusing on the mathematical aspect goes a long way to making sure your strategy does exactly what you want it to do.
Another stumbling block for beginning strategy developers is that sometimes they try to develop the entire strategy all at once. If you find an idea that you think is significant, don’t rush to build a strategy around it. First, see if it’s a valid idea. For example, you may want to write a ShowMe study to identify the criteria on the chart. Then, you can see if it’s worth pursuing.
Once you decide an idea is worth pursuing and start writing a strategy, you still don’t have to build the entire strategy. For instance, you can define your entry points only and use just a standard exit like a trailing stop. Or maybe work on the short side only, leaving out the long side. Many strategy developers have a handful of favorite exits which they use with the entries they develop. In other words, they spend their time developing the entries.
TradeStation Basics
Keep the following in mind when you are developing your strategies
You can develop what are called reversal strategies, which will reverse your position but never exit you from the market.
To do this, you use Buy and Sell Short orders without an intervening Sell or Buy to Cover order. When you are already Long and your strategy generates a Sell Short order, the strategy engine first generates a Sell order for your current long position. Once UROut of that long position a Sell Short order is generated. For example, if you are long 100 shares, and the Sell Short criteria are met, the strategy would Sell 100 shares, and then Sell Short 100 shares. If you are Short 100 shares, and the Buy criteria are met, the strategy would Buy to Cover 1000 shares, then Buy 100 shares.
When testing a strategy, make sure you take into account commissions, margin (if applicable) and slippage. Many times, you’ll be evaluating a strategy, and it will look really good until you factor in the above costs.
Most importantly, don’t throw away an idea because it didn’t work right away. Play with it-- some ideas just need refining before you can see their true worth.
Developing Your Entry & Exit Rules
Once you have clearly defined the direction you’re heading with your strategy, that is, once you’ve decided on the strategy type and market type you are going to trade, and have a feel for the types of patterns you want to capitalize on, it’s time for a brainstorming session. You should sit down in front of your computer with TradeStation and start to develop the set of rules that actually make up your trading strategy.
Many traders at one time or another have become frustrated with strategy development. Not because they don’t like it, but because they have run out of new ideas to test or haven’t found anything that works for them. For example, most traders have tested the Dual Moving Average Crossover strategy sometime in their trading career. Usually, the trader will look at this strategy and believe that the only thing to test is the length of the two averages; they will experiment with many different lengths for the averages. When they don’t find any that work to their satisfaction, they discard the Dual Moving Average concept entirely and move on to something else. They keep looking for that single, Holy Grail indicator that they can instantly make into a strategy. We have all been there and have all discarded a lot of great ideas. However, more often than not, the discarding of an idea is a mistake.
For the most part, any indicator can be made into a profitable strategy. Yes, any indicator. When we discard the moving averages, it is usually a mistake because the moving averages by themselves only represent one piece of the strategy development puzzle. This piece is what we refer to as the “Entry” of a strategy. Many traders fail to develop successful strategies because they focus on single entry conditions and ignore adding additional conditions that can refine and improve the Entry. These additional refinement techniques are referred to as "Filters".
Understanding the Entry plus Filters Method
The secret to successful strategy development is to look at a method or indicator in an unconventional manner. The trick is to use it in a different and unique way. With Entries and Filters, you will look at strategy development in a completely different way. As you’ll soon see, it can provide you with a whole new world of exciting possibilities and ideas to test. It will lift you out of the rut of simply optimizing standard indicators and give you a method of organizing your creativity.
The Entry
The Entry is the condition or set of conditions that are necessary prior to considering taking a position in the market. It is the indicator or group of indicators that tell you to get ready to buy or sell. Entries don’t have to get you in the market; they can simply make you aware that a trade is in the making.
The Filter
The Filter can be looked at as a way to refine an Entry condition. The goal here is to achieve more selectivity in the trades you take, while finding a combination of conditions that has provided and optimal point for entering trades in the past.
Examples of Entries and Filters for a momentum strategy:
A fast moving average crossing a slow moving average
The ADX indicator in an up-trend
Prices moving outside of a price channel
Increasing or decreasing volume
Examples of Entries and Filters for a countertrend strategy:
The RSI moving into oversold territory (e.g. below 20) or into overbought territory (e.g. above 80)
SlowK crossing SlowD when using the Stochastic indicator
Prices reaching the upper or lower line of a moving average envelope
Examples of Entries and Filters for other strategy types:
An opening price gap over the high of the previous bar
The current bar’s range is greater than the average range of the last three bars
The difference between two moving averages on the current bar is greater than the average difference of the last 10 bars
There are countless other indicators and conditions that could be used as Entries and Filters. In the final analysis, you are limited only by your creativity. There is only one constraint that you should impose upon yourself. It is essential to recognize the type of strategy you are trying to develop and use the different indicators accordingly. You do not want to use a moving average crossover for a countertrend strategy unless you are using it in a unique way. You would not choose to use the Stochastic indicator for a momentum strategy unless you had completely re-configured how it is used. Most strategy traders do not recognize that a single indicator may only suffice to "set up" a trade. They are unaware that Filters may be used in a multitude of ways to actually further refine an Entry condition. Entries are only part of the equation and may not be particularly profitable in and of themselves.
Beginning strategy developers get discouraged when they try to develop profitable strategies from a single Entry only. They quickly run out of ideas to test, because they use up all their ideas as Entries without trying to combine them with various, complementary Filters. By trading only Entries, you lose the added precision, accuracy and increased profitability of a strategy that uses both an Entry and a Filter. If trading Entries by themselves worked, trading would be easy, and all traders would be rich.
Understanding Different Entry Order Types
The only limit to creating viable Entries is your creativity. There are potentially many techniques that make interesting Entries. However, Entries are also dependent on the type of order used. There are three basic orders that are commonly used for entries: Market orders, Stop orders, and Limit orders. Not all of these orders are available on every exchange. You should check the exchange you will be trading on for a list of the available order types.
Market Orders
A market order is used to enter the market without any restrictions on what the price should be. This order is commonly placed on the open of the day (market on open) or close of the day (market on close). Market orders may be capable of improved entry by adding another condition to them that will signal an implied direction.
For example, an effective use of a market order would be to “buy tomorrow at market if the open tomorrow is greater than the high of today.” This forces the market to indicate a direction, presumably in the direction of the Entry (in this case up) before we enter the market. While a market order may result in the fastest turnaround, we may not achieve the most desirable price.
Stop Orders
The easiest way to create a valid entry is to use a stop order. By its nature, a stop requires the market to pass through a certain price before an order is placed. Using a stop order is the best way to create innovative Entries and confirm the Entry rules.
An example of using a stop order as an Entry is the bar breakout entry. If today our setup turns bearish, we would place a sell order one tick below today's low. Unless prices move below this price, forcing a confirmation of the set-up, the strategy would not take a short position in the market. The same mechanics would hold true for a long signal. Stop orders are also the best guarantee that the strategy will be in for the big move.
Placing a sell stop (good until cancelled) below the current price provides the best assurance that you will be in on any move beyond that price. The floor brokers must fill your order as soon as they can once that price is hit. This guarantees you will be in on the move, although there is no guarantee as to the exact price (this difference between the stop and the fill price is called slippage).
Limit Orders
Limit orders are the opposite of stop orders. By their nature, limit orders require prices to be traveling in a direction opposite the current price. The primary intent of the limit order is to place a resting buy order somewhere below the present market price. This is an attempt to pick off a lower and better price than where the market is currently. You may also place a resting sell order above the current price to sell at better than current prices.
Limit orders are primarily used in countertrend strategies and may not always be effective in a fast moving market. Assume that the market is now trading at 258.00. The mechanics of a limit order are to place an order to buy a contract or share at 256.50 limit (or better). This means that the floor brokers who are filling your order will only attempt to buy your contract at a price equal to or less than 256.50. If the broker cannot buy the contract at or below the specified price, you will not be in the market. The same strategy is used with the limit sell order.
Unlike a stop, which becomes a market order at the prescribed price, a limit order must be filled at or better than the prescribed price. The market may trade at that price for only one or two trades, and then move away quickly. You may not get filled even though the market traded at your prescribed price.
Understanding Exits
Before even the first trade is taken, a strategy should involve a plan and contain a component for exiting that trade, given virtually any market outcome. Let's look at some different exit types.
Market Exit
A market exit is designed to close a trade based on an unfavorable change in market behavior. For example, if a bullish trade had been placed based on market strength, and the market had since turned choppy or weak, this exit would attempt to close the trade. In determining an exit, the Market Exit considers only market behavior and does not consider your position, or your profits or losses.
Profit Exit
Profit Exits are designed to close trades at a desired level of profitability. They generally fall into one of two categories. The first type involves setting a simple price target upon entering a trade. In this case, the Profit Exit would exit the trade once the price target is reached. The second approach, often used for trades of somewhat longer duration, involves setting a price target somewhere above your entry price, and closing the trade only when the market price exceeds and then falls below this price. Additionally, if the market continues to move in your favor the price of this Profit Exit may be raised. This approach, called a Trailing Stop, allows you to continue to participate in a favorable market move indefinitely, while risking only the desired amount of accumulated profits.
Protective Exit or Stop Loss
No entry conditions are correct 100% of the time. Protective Exits are designed to help identify those trades where the Entry condition(s) may have been incorrect, and to close the position at a manageable loss. Many trades that end up as winners spend some time in the red. The Stop Loss should allow the position enough room to experience normal market volatility before concluding it's a loser. The key here is to avoid setting the stop loss so close to the entry price, that normal market action causes it to be consistently hit, taking many trades out prematurely, at a loss, without giving the position time to develop.
Time-Based Exit
Time-Based Exits are used to exit trades after a predetermined amount of time has passed. These exits are useful in a variety of situations, from exiting a the close of the day, to limiting trade duration to a few minutes or hours, or even closing a trade based on the end of a calculated cycle, such as options expirations.
Evaluating Each Component
The basic premise is that most new strategy developers do not organize their strategies in this manner. They use a single Entry condition, but not both and Entry and Filter. The power comes when you combine the two.
A very effective method of evaluation is to compare the performance of each component of a strategy by itself as well as the final strategy—take a look at how the Entries and Filters perform on their own. Compare them with the performance of the final strategy, which includes both. With this type of comparison, you are able to gauge what the different characteristics of each component are and what they add to the mix. This will let you determine whether or not the whole is greater than the sum of its parts.
What you should find is that the combined Entry and Filter strategy is the most profitable. You should find that the combination of the components delivered the best results.
By a better strategy, we mean one that you could trade with confidence. Ultimately, the question you have to ask yourself is could you trade this strategy? Could you stick with the strategy you have designed? Just because the strategy is profitable and meets our strategy development criteria does not mean it is one we could or would want to trade. Just because it is profitable does not mean that you are emotionally able to trade it. Many traders create or purchase very profitable strategies, but because their personality doesn’t match the strategy, they still lose money, all the while lamenting the fact that they can’t stick to the strategy.
Summary
Trading the Entry plus Filter concept and making sure that you follow the rules gives far superior results when compared to trading single, Entry-only strategies. Using both an Entry plus a Filter enhances the performance of a strategy.
Always use the concept of Entry plus Filter to develop strategies. There are two distinct parts to strategy writing, and keeping these two components in mind will help you to organize your thoughts and design a sound strategy. Above all, this blueprint for strategy development opens up a whole new range of possibilities for you to test.
閑談《亞當理論》
上周拿到了《亞當理論》，不算厚的一本書，但卻有著極好的思想和別具一格的理念。我看了幾遍，覺得有收獲，願意在此隨便說說亞當理論。 【BINGO收集整理】
《亞當理論》的作者是韋爾德(J·W·Wilder) ，對搞技術分析的人來說，韋爾德應該是一位有名的人物了，尤其在技術指標領域稱之為鼻祖也仿佛不過分。韋爾德曾經是個機械工程師，精於數學分析，他於1978年出版的《技術交易系統新概念》一書，是有關技術指標的經典之作。就像大多數技術分析派人士一樣，在開始階段，韋爾德熱忠於技術指標的測市系統，憑著自己深厚的數學底子和執著的鑚研，他發明了一系列技術輔助指標：相對強弱指數(RSI)、拋物線(PAR)、搖擺指數(SI)、轉向分析(DM)、動力指標(MOM)、變異率(VOL)等等。上述技術指標尤其是相對強弱指數(RSI)大行其道，深受技術派人士的歡迎，因而使他一舉成名，奠定了韋爾德在技術分析尤其是技術指標測市領域不可撼動的地位。現在有誰要談技術指標問題，韋爾德的《技術交易系統新概念》是繞不開的。
但令人驚奇的是，這位“指標大師”卻在不久之後就發表了自打耳光的言論。1980年，韋爾德在香港演講時說了這麼一番話：“過去7年來，這是一套卓越的系統(指其發明的指標系統)，但要記住一點，交易系統具有一種難以捉摸的能力，每當我們教授該系統之後，它便會暫時停止發揮功能”。7年後，韋爾德絣棄了他親手發明的包括相對強弱指標在內的指標系統，創立了主張順勢而為的亞當理論，標誌即為我們現在看到的於1987年出版的《亞當理論》。
《亞當理論》開篇以一則童話故事說明順勢買賣的重要性： 【BINGO收集整理】
精確先生是“波浪理論”專家，以測市準確馳名於世。某日，根據波浪理論，估計指數短期上沖，於是購入股指合約。但之後股指連續下跌，並跌破技術支持位。精確先生感到不妙，臨近收盤仍呆坐於辦公室內，面對圖表不知所措。這時，精靈小姐（精確先生的女兒，5歲）推門而入，見精確先生狀，問“爸爸你感到不舒服？”“哦，沒事，你不懂。現在市勢應該向上走，可偏偏指數向下，真搞不懂。”“爸爸，屏幕上的線條就代表市勢？”“對。”“可我看線條分明要繼續向下走。”“你不懂的，根據波浪理論分析，指數處於昇浪中，應該向上突破上昇阻力才對，可指數卻接連下跌。”“我不懂什麼波浪理論，可現在線條一直向下，說明它還會繼續下跌，對不對？”精確先生望望女兒，又看看屏幕，拿起電話，吩咐經紀由多倉翻空。之後幾日指數繼續下跌，精確先生轉敗為勝。自此，精確先生不再研究什麼“波浪理論”，投資成績卻一日千里。
那什麼是“亞當理論”呢？“亞當理論”的精義有以下三條：
一. 在介入某個投機市場前一定要認清該市場的趨勢是昇還是跌,確認了市場後才能具體行動,即昇市中主要以做多為主,在跌市中則已沽空為主,切記買賣方向不要做錯,即在昇市做空,跌市買漲是最愚蠢而且相當危險的;
二. 買入後遇跌,沽出後卻昇,就應該警惕是否看錯大勢,看錯就要認錯,及早投降,不要和大勢為敵.不要固執己見, 要承認自己看錯方向,及早認識錯誤則可將損失減到較少的程度.建議在未買賣之前,就設法訂立止損位,並且不隨意更改既定的止損位,切忌尋找各種借口為自己的錯誤看法辯誤,因為那樣只會是自己深陷泥潭,損失更大.在投機市場中,不要把面子看得太重,看重臉面則損失票面;
三 拋棄迷信技術分析指標或工具的做法.各種技術分析,技術指標均有缺陷,過於依賴這些技術分析指標所謂的買賣信號,有可能將資金放入被套的危險.那些相反理論均價買入法或馬丁基的加碼方法教人越跌越買並不是好的投資理論和方法,這些做法應堅決摒棄.
另外，“亞當理論” 還有十大守則：
1.不可以加死碼。
2.入市買賣時，應預先設定止損位。
3.止損不能隨便更改，除非更改的方向對本身有利。
4.切忌積小錯成大錯。入市失利時可先行推後，然後重新研究買賣策略。
5.每次資金損失不應超過可用資金的百分之十。
6.不要試圖尋找市場的頂或底。
7.順勢買賣。
8.買賣要有彈性。任何測市工具都有出錯的可能，亞當也不例外，特別是在震蕩勢中，出錯應及時離場。
9.出，入不順手時，應立即停止買賣。 【BINGO收集整理】
10.知己知彼，百戰百勝。
亞當理論的精髓就是在投機市場中沒有任何技術分析指標可以相當準確地推測後市的趨向。每一套技術分析工具都有其固有的內在缺陷，依賴這些並不完善也無法完善的技術分析指標和工具去推測去向不定、變化莫測的後市趨向，顯然將出現許多失誤。所謂亞當理論的主要思想是指導投資者擯棄所有的主觀分析，不管這些指標或技術工具是定性還是定量地給出定義，都應該堅決地放棄迷信技術指標或工具的做法，及時認清身處的市勢趨向，並順勢而為。即認為在昇勢中逆勢沽空或跌勢中持相反理論的做多，常常因為情況和條件不同導致失敗，因為沒有人能夠準確地預料到市場漲、跌何時結束，盲目地、主觀地逃頂或抄底都在事後證明不是逃得過晚就是抄得過早，只有認清市場趨向並順勢而為，才能將風險減到最低限度。
可以想像韋爾德先生一生發明指標無數，許多已成為了經典，如RSI、DMI等，但先生晚年推翻所有心血，轉而崇尚亞當理論，其間辛酸痛苦實不必與外人道。如果沒有投機操作上的碰壁，估計也不會如此改弦易轍吧。其實，每個交易人士都會有韋爾德先生這樣的體會，為什麼本來百試百靈的指標系統最近不行了？為什麼外面賣的那些幾千幾萬甚至是幾十萬的公式，真正用起來好象也沒有“戰無不勝”？ 一些指標因為簡單而為散戶所熱愛，也因為簡單，就很容易被利用，機構往往逆向而動。如果總按照教課書的思路“跌破20買，昇破80賣”——如此刻舟求劍，不損手爛足算你運氣好了。美國長期資本管理公司百億級機構的破產，就源於他們的“唯指標化操作”。
技術分析指標或工具在某種程度上的無用，一個是因為設計上的侷限，二是因為指標是死的，人和市場是活的。而且，令人沮喪的是，這兩個死穴是胎裡毛病——改不了的。韋爾德先生終於能抦棄以往，開創出亞當理論，實在也可稱的上是“順勢而為”的範例。
亞當理論究竟有多少好處，我不必說，只要有“順勢而為”四個字，我們就應該明白其的重要性，我只是覺得這個理論存在有偏激的成分。或許是受儒家思想的熏陶多一點，我凡事講究個“中庸”之道，通常反對把事物一棍子打死。技術指標確實有不可避免的缺陷，但還不至於一無是處，沒有絲毫利用的價值。指標在使用中一般有兩個階段：有效階段和失效階段，我們不應該因為指標在失效階段干擾了操作，就把指標的功用一舉抹殺。倒髒水不能把盆裡的孩子也倒掉，對不？
我認為，在實際的交易中，亞當理論的思想可以作為我們操作的精神，是“幹”；而技術指標是判斷趨勢和操作的工具，是“枝”。韋爾德在《亞當理論》裡介紹了一種全新的測市工具。 他以市場本身的走勢作為預測未來走勢的基礎，以相反影像的原理，用一支筆和一張透明紙，提供了一個自動測市系統。但我看了半天，並不覺得這是種純粹的“不預測”只“順勢而為”的方法，說的不好聽些，仍然是使用技術分析工具在預測未來嘛，而且這個工具還並不怎麼優秀。如果講究“順勢”，用指標中的移動平均線，根據均線的運動方向或者彼此的交叉進行交易，不是更簡單和符合“不預測”只“順勢而為”的亞當理論嗎？亞當理論的思想就是要簡單，但我認為那個以相反影像原理制作的測市系統已經煩瑣了，另外，它預測判斷的準確性仿佛也值得懷疑。【BINGO收集整理】
可不管怎麼說，亞當理論仍然是個偉大的理論，如果市場的走勢上昇或者下跌都是十分明顯的話，隨市勢而動，應該可以獲利豐厚。交易者應該考慮這一個概念,作為買賣的指導，這樣可以減低個人對大市的主觀看法,就由大市來決定我們的看法。是昇是跌，是買是賣都不會因為我們主觀的偏見而受主宰。隨市勢而行，因勢利導,運用得高深時,可能是投機的最高境界了。
在此，我提供一種思路：以亞當理論作為指導我們交易的精神綱領，而用技術分析指標來判斷亞當理論所倡導的“順勢而為”中的那個“勢”——避免像韋爾德那樣從一個極端走向另一個極端。大家覺得呢？
《系統交易方法》讀書筆記
（一）交易系統
一、一種投資決策方法【BINGO收集整理】
投資的本質，是一個面對隨機事件和隨機過程的決策過程。系統交易方法其實是一種系統決策方法。
（1）整體性與明確性
交易系統是一套完整的交易規則，它具有整體性和明確性的特點。系統性的本質是整體性。比如，有人問：如何止損？這個問題是沒有答案的，因為要回答這樣的問題，一定要放在交易系統的框架內統一地考慮，才能解決。對於不同交易系統的投資理念及其所對應的交易規則來說，A的買點可能正好是B的止損點，且兩個系統可能都是不錯的系統。都有較大的正盈利期望值。至於明確性，則是決策中的另一個重要問題，“看著辦吧”，是很多投資人的習慣，僅就這個看著辦，就有可能出現短線失敗被套被迫做長線，這是不明確的交易規則容易引起的第一個問題：心理問題。還有一個問題，不明確的交易規則是不能檢驗的，而不能檢驗的交易規則，就連評價它，也很成問題。
（2）科學型、藝術型與隨意型三種決策方式
科學型的投資決策方式，它遵循的是理性邏輯，它的科學哲學基礎是歸納邏輯。最終體現為概率意義上的可重復性，記得常溫核聚變的兩位科學家，就是因為實驗的不可重複性而倍受詰難。
藝術型的決策方式，它對應的人腦活動區域是潛意識區，體現為一種直覺。但現代心理學和腦科學的研究表明：直覺也是一種邏輯思維。這是因為潛意識區的活動，最終大部分來自於意識區。見書《原本的真實》告訴我們，在人腦的意識層次中往回走，可以悟出（其實是修練）真諦。就我們目前所能理解的條件看，藝術型的直覺性決策，其實質是一種統攝，即將理性決策的程序省略大部分中間過程，直接從決策條件得出決策。半成品說他開始進入這種狀態，感到自然的決策，就做，但我們千萬不要以為這是一種隨意決策，而是已經對決策條件進行過多少次重複了的。就像五筆高手已經形成了快速的條件反射，字根、鍵盤“記”在了手上（其實是在腦中）。筆者曾說自己做不到，主要原因是目前還不想做，因為還要開發字根甚至碼表。用樂器演奏來說明這個問題，是最恰當的。
隨意型的決策方式，這是多數群眾採用的決策方式，而市場已經、正在也即將證明，多數群眾在多數時候總是錯的。這種決策的隨意性主要來自於情緒，而這種情緒又表現為受市場影響的群眾心理。據筆者觀察，投資者在股市中的決策的理性程度，還不如打麻將時的表現。兩者在投入和勝負所產生的結果上相距甚遠，為什麼居然是這樣？我想，這大概是因為在股市中，人們並不容易發現自己錯，當然也就難於改進，於是也就不斷重復著。除了股市里的規律相對麻將來說難於把握之外，更因為一種群眾心理效應。這是心理學的重要研究成果，即人們在群體中會失去自我，最後表現為群體效應。在股市中，我們會看到在指數高漲的過程中群眾表現出的群情激奮現象。如果我們參加過實質性的大規模群眾游行，也能切實地感受到這一點，要不，我們看一下閱兵，電視上那些軍人整齊划一的激動表情給我們留下了深刻的印象。
系統交易方法，就是一種科學型的決策方法。它在很大程度上可以避免隨意型決策及其經常導致的操作失敗事後又懊惱不已的情況。【BINGO收集整理】
（3）大巧若拙
從交易系統的研究出發，系統交易方法最後表現為一種程式化的決策方式。《華爾街操盤高手訪談》中提到一位，書作者問：你印象最深的交易是哪一次？他答：沒有。因為所有的交易對我來說都是一樣的。他採用就是程式交易。這種看上去近乎機械的決策方式，與機巧的隨機應變相比，我們通常認為後者更高明，但是，老子說：大巧若拙。他是隨便說的嗎？我們看來要再想想。
二、一種投資理念和方法論
（1）統攝於統計模型
人在股市，會接触到各種各樣的投資理念、方法和技巧，這些東西，多數是自相矛盾的。我們在這些東西面前，很容易眼花潦亂，迷失自我，所謂技多反害人。這時候，統攝是一個關鍵，這些東西需要被一個高一層次的東西來統攝。系統交易方法是統攝於統計模型的。這可以說是一種方法，但更是一種投資理念。我們看一下“指南針”，它的理念是籌碼論和博弈論，但最後還是要統攝於統計模型的，如老鷹出擊啦、米老鼠出擊啦，而且有勝率估計。如果只有前者而無後者，是很難解釋“指南針”的成功的。
（2）為什麼要統攝於統計模型
這個問題涉及到股市裡最深層次的問題，也涉及到科學哲學中最深刻、最重要的問題：上帝擲不擲骰子？上帝怎樣擲骰子？建立在歐氏幾何和微積分基礎上的牛頓力學太成功了，以至於我們深受其害，因為它將我們的思維定型在決定論的線性思維方式中，而與之同時代的思辯哲學，又給我們強化了這種A決定B，B反作用於A的模式之中。按照類似方式建立起來的經濟學，是如此的不堪一擊，而用簡單決定論、因果關係建立起來的股市理論則更讓人覺得可笑，97、98年時，有個幾%論，其意是說，國民經濟幾%的增長率，股市肯定牛市。這種論調，不要什麼反駁，你看一下從93年－94年，增長率不止幾%，股市指數跌去三分之二就知道了。
現在，我們已經很清楚了，我們需要的只是一個勝率較大的買賣點。如果是自上而下的方法的話，它只是從投資理念的角度“發現”了股價運動的某種“先驗概率”，然後用數理統計方法中進行“後驗概率”的檢驗；一種自下而上的方法，用的是概率頻數的概念，其本身已經純粹建立在統計技術意義上了。
（3）成功投資的本質和關鍵
在統計意義上，在對股市的本質認識是不確定性的意義上，我們知道了，怎樣才能進行成功的投資。
A、發現和分離價格運動的非隨機性波動
B、構造交易系統
C、檢驗。包括統計檢驗、外推檢驗和實戰檢驗
D、執行交易系統
這裡，明確性再次清晰地呈現在我們面前。以前，有人問，怎樣才能在股市裡成功呢？總覺得千言萬語，不知從何說起。是從盤古開天地呢？還是從出生講起呢？這下好了，就是上面的ABCD。
三、一種切實可行的技術手段
（1）統計本身就是一種技術手段
K線圖及其在此基礎上的分析技術，可以說是算術時代的分析技術，今天統計技術已經突飛猛進，這為統計模型的構造和檢驗提供了強大的技術支持。
（2）統計離不開電腦
構造和檢驗模型涉及到大量的資料和計算，如果沒有電腦的配合，是沒有現實可能性。記得在股市裡，出售K線圖是有利可圖的。可以想像，此時要畫一條均線（這個工作筆者自己做過），就要花很多時間了。如果是複雜一點的技術指標，再對這些指標進行數值優化，真不知道還有幾個人敢用手工做？因此，在那時候，談交易系統，肯定是痴人說夢。
更重要的是，軟體技術的同步發展，它使得非專業人員也可以不太難地使用統計技術手段了。今天，通過電腦的輔助，要想使自己的交易方法變得程式化，或者用電腦來作決策支持，已不是少數人的專利了。
四、一道濾網【BINGO收集整理】
（1）濾掉運氣和不運氣
我們經常在股市裡感嘆，唉，運氣太差。運氣是對我們有利的小概率事件發生和對我們不利的大概率事件不發生。很多時候，我們不知道一次操作的成功，是運氣使然，還是水準使然，交易系統，就是一道濾網，將我們的運氣和不運氣、股價運動的隨機性盡可能過濾掉。
（2）濾掉投資人的心理變化
由於交易系統的決策方法是一種簡單明確的程式化方法，它可以幫助我們過濾的掉操作過程中的各種細微、複雜、易變的心理作用，從而有效地幫助我們戰勝心魔。有位股民朋友告訴我：盤中現場做的買賣經常是錯的，而前一天想好的經常是對的，他分析原因在於：前者是右腦做的決定，後者是左腦的決定。是感性與理性的區別。這種心理變化如果被市場同化，這時候起作用的往往是右腦，其作用機制就像我們長途坐車一樣，到了一定程度就會出現一小時的生物節律，目前，已經發現多起火車上的神經錯亂現象了。
五、一種廟算
股市與戰爭之間有諸多相似之處，孫子兵法開宗明義，將廟算作為決定戰爭勝負的最重要問題先提出來。那麼，我們在股市裡怎麼廟算呢？筆者個人的體會是：很多時候只是一種模糊的多空力量的對比和心理傾向的強化與弱化。為什麼那麼多人聽那麼多的股評，真的是要博採眾長嗎？不是的，是為了獲得某種支持。但是他們往往以為這就是在進行廟算了。
一個交易系統經過多重的檢驗，就事先決定了不同交易機會和交易規則的勝率，這才是真正的廟算。雖然它也會有最大連續失敗次數、有集串現象。但長期下來，多次重複，交易的成功頻率和盈利的期望值是穩定的、先驗的。這不正是戰爭中的廟算吧？
孫子曰：勝兵先勝而後求戰，敗兵先戰而後求勝。不就正好對應於上面所說的兩種廟算嗎？
《系統交易方法》讀書筆記二：交易機會與交易波長
一、沒有看書的讀書筆記
這次寫讀書筆記沒有看書。雖然這本書我已經看過四次了。是假期裡突然想到的。本來在假期裡是不打算思考股市里的問題的，但這個問題它還是冒了出來。也許，它一直潛伏在潛意識里，平時沒找到冒出來的機會吧。這個問題就是交易機會問題。
二、交易與交易機會
（一）、炒股是一種交易
正確對待炒股票的態度應該是把每一次買賣當做一次交易。如果我們僅僅是由於一時的沖動，尤其是由於市場氣氛導致的情緒高漲而沖動之下進行買賣，這是交易的大敵。這種態度是永遠不可能成功的，即使偶爾因為運氣好，隨後也將被逐出市場。
如果把炒股當作交易，又是什麼意思呢？
1、做長線：就像經營一個企業。你得有確實的盈利模式、有現金流、有所需要的各種資源。當然，最重要的，你作為經營者本身還必須具有應付危機的能力。經營企業與股市裡的長線投資有相似之處，與做長莊就更像了。
2、中線和短線：它類似於我們的服務業和貿易。比如經營一個小餐館，投入不多的固定設備，每天的流動資金在正常的情況下很快能夠收回。一旦形成良性運轉之後，它所需的資金不多。
我印象最深的是做農產品運銷的。因為有一朋友跟我詳細談過他做這項生意的成功過程，當然包括了裡面的大量失敗。從產地進貨，然後根據目標銷地的需求和價格狀況，投入幾萬到幾十萬元的資金。幾天內做完一次交易，最後一年下來，看看賺了多少錢。
這太象我們的中短線交易了。
（二）股市致命缺陷是交易機會太少
假設一個人要做職業投資者，完全依靠炒股來生存和發展，那麼他遇到的首要問題就是：有多少交易機會？遺憾的是，跟實業領域相比，交易機會少得可憐。大量的事實表明：如果因為交易機會少而耐不住寂寞，勉力而為，會成為虧損的一大來源。
三、交易機會少的主要原因
原因不複雜。
1、是只能做多。如果調整市道與波段上漲市道的時間是各半的話，這意味著一個職業投資者有一半的時間沒有交易可做。如果再考慮的下面的因素的話，一半的機會也沒有。
2、是交易波長與交易成本問題。根據波濤先生的研究：一個非虧損的交易系統，它的交易波長應該是交易成本的5倍以上，最少也應該是3倍，這意味著：對於來回1.5％的交易成本和T＋1回轉來說，日波動需要7.5％，即要上榜的股票，才構成一個交易機會。換句話說，如果我們要做今天進明天出的短線交易的話，必須找到上榜股票。在這里問一句：這種交易機會有多少？我沒有統計過。此外，即使每天都有這樣的股票，里面還有一個概率問題：你的交易系統是否具有從1000支股票中發現可能只是一兩支這種股票的能力？
四、現階段針對股市構造交易系統有很大難度
既然交易機會少，那麼，針對交易機會通過系統方法、基於概率論基礎的系統交易方法，就存在一個致命的漏洞：選擇較長時間的交易周期的話，交易波長增加了，成本問題也解決了，但是樣本數量太少，統計學中一般要求30個以上的樣本。如果我們的交易系統構築在月線的基礎上，至少需要三年的走勢，而對於股市這樣一個一切都在摸著石頭過河的試驗場來說，三年之間，發生多大的系統性變化？【BINGO收集整理】
那麼我們選擇短的交易波長，這時候最致命的成本因素就來了。當我聽說有券商基金不收傭金時，覺得他們的做法還是很有深意的：這會增加多少交易機會啊！
五、為未來準備點什麼東西吧
如果做股指期貨，那些機會開始擺在我們面前，那麼我們如何才能成為其中為數不多的勝者呢？我們原來對市場的理解還有效嗎，方法還有用嗎？一個簡單的問題：日內價格是如何分布的？市場輪廓理論和TPO圖有用嗎？據我了解，目前的市場中人對分時走勢是沒有多少研究的。30分鐘測市理論，漲跌漲什麼的，算是一種有益的嘗試吧。但有效性有如何呢？
交易系統之三：交易方程式
一、交易公式
每個人對交易的理解不同，便會構造出不同的交易公式。
1、波濤的交易公式： 交易成功＝交易策略＋資金管理＋自我控制
2、史泰米亞的交易公式：交易成功＝市場理解*（自我認識＋交易策略）
相比之下，我更認同史氏對交易的理解，即市場理解是所有問題的關鍵，它的作用是以乘法的關係體現出來並同時作用於自我認識及交易策略的。我覺得如果不能深刻地理解市場，在很多情況下是基於黑箱原理構造交易系統的，我對這種情況下構造出來的交易系統的性能深表懷疑。而在史氏看來：資金管理本身，屬於交易策略中的有機組成部分。
當然，波濤強調資金管理，也就是更強調對風險的控制，這對交易者來說，怎麼強調也不過分。我們還注意到一點：兩人對“自我”，即交易者本身在交易中的作用，都賦予了足夠的重視。
3、系統交易方程式
本文想討論的是交易本身，即構成交易系統的幾個變量。在思考這個問題的過程中，發現居然可以至少構造出三個交易方程式：
（1）加法方程式
交易收益＝V1R1＋V2R2＋V3R3＋......＋VnRn （其中V，R分別為每次交易的投入額及損益額）
加法方程式是對交易的原始記錄，它本身不刻畫交易系統的任何性質，尤其是交易系統的統計性質。
（2）乘法方程式
交易收益率＝風險賭資率*所有交易的收益率期望*F（交易次數或者路徑）
這個公式是基於系統交易原理的，從總體上來刻畫交易系統性能的公式。其中，風險賭資率，可以用我們熟悉的倉位來近似。因為對於風險市場來說，一次下注額，往往小於總資本額，否則交易者很容易過早出局。收益率率期望值在交易系統中，一般用算術平均數。簡單地用交易次數來作第三個因子，也是可以的，但考慮到復利效應，以及交易系統在實際過程中可能出現的集串或者收益率偏差作用的順序，因此這里將其描述為交易次數或者路徑的函數。
將收益率期望展開更能說明問題：收益率期望＝勝率*成功交易的收益率均值－（1－勝率）*失敗交易的虧損均值
對於那些成敗收益率相等的交易來說（比如賭大小），只要勝率小於50％，那麼，必然是一個虧損系統。
（3）指數公式
當交易成功率很高（比如在90％以上），風險賭資率也很高（接近100％，即任何交易都滿倉水平），且收益率方差較小（尤其是單次損失很小）時，交易系統的回報變成了一個指數增長模型，即交易收益＝初始賭本*（1＋R）的N次方。此時，R為收益率，N為總交易交易次數。
這個交易系統是一個神奇交易系統，神奇到什麼程度？以初始賭本為1000元、R＝8％、N＝400計算，那麼交易收益＝2.3萬兆元，即2.3*10的16次方。相當於60億地球人每人400萬元左右。
二、一組直觀資料
假設一個簡單的交易系統，比如賭大小，或者划拳，或者賭骰子。【BINGO收集整理】
每贏一次得1元，每輸一次失1元。（即在乘法方程式中盈虧收益皆為1元），現在你有100元，那麼“交易”過程和交易的一些資料如下：
1、勝率、風險賭資率與收益率的關係：
勝率 風險賭資率
5％ 10％ 14％ 20％ 30％ 40％
63％ 3.24 8.22 14.50 25.28 27.99 9.95
60％ 2.40 4.50 6.23 7.49 4.37 0.78
57％ 1.78 2.46 2.67 2.22 0.68 0.06
可以注意到：當勝率較低，且風險賭資率較高時，在不利的集串情況（連續輸N次）下，是很容易出局的。
2、既定勝率下，交易次數與風險賭資率的關係：
次數 風險賭資率
5％ 10％ 15％ 20％ 25％ 30％
50次 1.55 2.12 2.57 2.74 2.56 2.09
100次 2.40 4.50 6.59 7.49 6.56 4.37
200次 5.76 20.25 43.38 56.10 43.06 19.10
400次 33.21 410.25 1881.52 3147.0 1854.41 364.83
這些資料我沒有算過，是引自《技術分析精要》，這兩組資料說明了1、在不同勝率下，有相應的“最佳”風險賭資率，2、交易次數的累積對於有一定勝率的交易系統最終收益的巨大作用。3、勝率的巨大作用。（63％與57％已經差很遠了）。
三、交易方程式的要素及著眼點
1、風險賭資率：從風險賭資率出發，可以構造交易系統的風險管理策略。風險賭資率受到單次交易的最大風險的影響最深。分析一個交易以及交易系統的性能，它的收益與風險結構是首要考慮的因素。不同的交易類型或者說交易機會，它所要求的風險賭資率是不同的。即資金管理策略是不同的。在上面的例子中，是盈虧相同的。那麼我們構造一個指數交易系統時，它應該是多少呢？我目前知道一些：期權賣方的風險最大，因此它由類似保險公司一樣的大金融機構來擔當。當然，這些公司自己對最大風險，是有嚴密估算而且有辦法對沖的。期權買方由是收益不定，風險確定的一種交易，其收益風險結構類似於博彩。因此，其風險賭資率應該是很低的，比如，月收入的5％。至於指數期貨，我只知道從最大風險角度看：隔夜的大於日內的，對於日內來說，開盤區的大於其它區域的。具體到期貨交易的定量風險管理策略，則跟交易對象的波幅及交易規則有關。
2、勝率：勝率對一個交易系統的作用可能不小於交易系統的平均盈利水平。因為在交易次數的指數增長作用下，一個單次收益率不高、但勝率極高的交易系統，也可以成為“神奇交易系統”。這一點，充分體現了薄利多銷的原則。
從勝率入手，是構造交易系統的一個主要出發點。
3、成功交易平均收益率與失敗交易平均收益率
從交易方程式中，還可以從這一角度來構造交易系統，當成功交易平均收益率遠大於失敗交易平均收益率時，即使勝率小於50％，也會是一個不錯的交易系統。這裡面引出交易的“二八原則”以及止損策略、風險報酬率等大家耳熟能詳的一些交易原則。
4、交易次數與路徑
除了高勝率之外，交易次數對於神奇的複利效應來說，其作用是決定性的。因此，從這個意義上來說，短線交易系統比中線，長線交易系統有更大的優勢。此外，系統交易方法的本質是從統計角度，即科學的角度來刻划交易，因此，短線交易系統由於樣本數量大，更容易滿足“分離非隨機波動”這一系統交易的本質。
路徑問題，是一個很有意思的問題。假若LTCM在俄羅斯停止兌付債券利息前解散，那麼，關於他們的神話將千古流傳。小概率事件是一種集串現象，至於集串為什麼在你身上出現，只能用“緣”來解釋。緣，是隨機過程中的路徑。
四、利文斯頓對賭行交易系統
1、交易規則：根據電報報價的交易所實際行情，100美元面值的股票，1美元可買一股，與對賭行老板對賭。可做多或者做空。賭客完成一次反向交易時，對賭行老板按照漲多少元付多少元給賭客。在平倉前，只要出現反向波動1元，則賭金被賭行老板贏得。
這是一種自動止損的模擬股票交易。
2、利文斯頓。他對於數字的記憶天才是令人驚嘆的。從他能夠橫掃全美對賭行的情況看，其交易系統無疑是一個勝率極高的交易系統。而且他至少不會把風險賭資率設定為100％。由於盈利時收益率大於虧損時收益率，因此已經具有“神奇交易系統”的某些特點了，但從一單次失敗交易的損失情況看，它一直對風險賭資率有的提高有著很強的制約。利文斯頓投機生涯中的見次破產以及最後結局，除了經常被迫成為市場的多數這一因素外，與他的交易系統中受到較強的風險賭資率制約是有很大關係的。
五、從交易方程式出發對兩類基本交易系統策略和相應投資理念的簡短評價
1、“二八原則”類交易系統：它的關鍵是盈利時收益高，虧損時損失少。對應於交易的實際情況是：善於捕捉大的價格運動趨勢，交易失敗時及時止損並並且止損較為頻繁。它需要配套的投資理念是“贏到盡”或者“好風駛盡帆”。這種交易系統似乎以中長線交易為主。【BINGO收集整理】
2、“薄利多銷”型交易系統：它的關鍵是高的勝率，因此必須配套以極低的交易成本，大量的交易機會。不難推理，其交易系統必須“精確”地捕捉到“必漲”或者“必跌”點。最後在交易次數的神奇複利效應下聚沙成塔，集腋成裘。此外，這類交易系統在失敗交易時的損失，應該比前類交易系統更小。當然，既然要多銷，要大量交易次數，它必然是一個短線甚至超短線交易系統。
3、如果一個交易系統同時兼具兩者特點，那麼，它離一個神奇交易系統就很接近了。
