Re: [心得] 縱向單點 Position Size (交易策略回春術)

[stasis (流雨風雪)]

※ 引述《fihalon (道)》之銘言：
:    http://i.imgur.com/UEuKNNK.png
:    http://i.imgur.com/UE9gNEr.png
:    http://i.imgur.com/06MB21n.png
:    http://i.imgur.com/F3wyaLj.png
:    MDD金額會創高 但DD%已經很久沒創高了 實單帳戶亦是如此
一點小意見,我不太確定你的標的是甚麼,看實單帳戶先推測是台指

2012的報酬率是149%
http://i.imgur.com/UE9gNEr.png

2012的報酬率大概有80%集中在10月,看數字10月大概賺了100%
應該不是當沖系統(不然金額累積走勢不應該出現噴出的狀況)
http://i.imgur.com/PWoFsJO.png

台股走勢(切周線圖)
推測是10月中到10月底的走勢,指數跌不到10%,槓桿估計超過10倍
http://tw.stock.yahoo.com/t/idx.php

建議跑回測的時候自己加點壓力測試,以台指為例,
就是系統加碼到槓桿最大的時候,模擬碰到319或430時的狀況,
這種狀況下,若我沒猜錯你會crash...
(我不需要知道你實際的系統,只要評估你可能的最大槓桿就能得出這個結論,
 如果你有避險或真的是當沖系統應該就沒差,除非交易所掛掉 XD)

我以前也有一陣子很熱衷跑回測,發現一個很有趣的現象,就是測試區間拉長時,
在某些值績效會差很大,看逐筆交易就會發現績效特別好的參數,
碰上系統性風險都剛好做對邊...背後的意義大家可以思考一下

最後轉篇Ed Seykota的文:

System Trade

Hi Ed!

Today I bought 4 contracts of Cocoa. Entry 890. SL 772. Total Risk: 472
{4*(890-772)} Euro. My system is now up and running. When my SL-risk
decreases I will put on new trades so my total SL-risk always is between
40-50% of my total equity.

Can you suggest how to test this system more careful.

I'm not sure that my money management is optimal.

==

Hmmm ... you are risking 40-50% of your Equity on one trade.  Professional
trend traders  typically risk around one percent as much as you risk.

You can test your system a couple ways.

1. You can back-test it on a computer and notice it goes broke on small
whipsaws.

2. You can run it in real-time, as you are doing.  When you go broke, your
test is complete.

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推 MarketWizard:這篇推,分析有理.
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