看板 Trading 關於我們 聯絡資訊
※ 引述《fihalon (道)》之銘言: : http://i.imgur.com/UEuKNNK.png
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: 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. -- FB: http://0rz.tw/l3Kcq █◣ \◣◣\◣▼◣◣█◣ ╬╬ ˊ どんだけ── ◥█◣ )) ██╴▲██ "囧█ ╬╬ ˊ 好文要推── ◥█◣ ◢██▼██▼███[email protected] ╬╬ EVERYBODY SAY ◣█ █▇▇█▇▇ " ╬╬ 市場求生手冊─ (( ╲ ╲ ▇▇▇ ╬╬ http://stasistw.blogspot.com/ █████ ████▅▄▃▂▁ -- ※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 58.115.27.162
ETHZ:又一個潛水的行家浮出.推! 02/23 22:49
ETHZ:失敬,原來是版主.快拜! 02/23 23:02
b89207040:XDDDDD 02/24 01:13
MarketWizard:這篇推,分析有理. 02/24 02:43
sdtty:這篇酸意十足! 02/24 06:40
MarketWizard:這篇看不到酸意.Ed一出嘴就直戳敵人要害,不虧是大師 02/24 12:11
wolfspring:強強強 XDDDDDD 好喜歡最後一段英文 XDDD 02/24 23:19
wolfspring:簡明扼要不帶絲毫火氣到有點優雅的地步 又能直指核心 02/24 23:19
kkkk123123:說穿了"觀察歷史"這件事本身就是歷史最大的誤區 02/25 04:03