アルゴリズムと機械の外国為替戦略 | OneStepRemoved

The guy that bet on Leicester City every year

によって Leave a Comment

Leicester City Football Club

Leicester City started the 2015 season with terrible odds of winning the Premier League Championship. Bookmakers only game them odds of 5,000:1 of winning.

To put that in context, you are more likely to die riding a bicycle than you were to win a bet on Leicester City. または, you can think of betting on Leicester City every year. If you bet on them every single year for 5,000 年, you would expect them to win a grand total of… once.

2014 was hardly an indicator of their pending success. They were nearly relegated to a lower division (すなわち, kicked out of the Premier League). And yet, they did win the championship last year.

Leicester City’s Biggest Fan

John Micklethwait

Meet John Michklethwait. He’s the former editor-in-cheif at The Economist and he’s currently editor-in-chief for Bloomberg. 明らかに, he’s a very smart man. And yet, despite the odds and repeated disappointments, John bet on his old love, Leicester City, every single year dating back to the 1980s. That’s roughly 30 years of nonstop losing.

It wasn’t a lot of money each year: just £20. We all have our indulgences. I see the value of having skin in the game. £20 on a season is enough to make one care, but not so much that he’s upset about losing it.

Then something disruptive happened. John moved to the US last year for his position at Bloomberg. The chaos of the move threw him out of sorts, and he accidentally forgot to bet on Leicester City in 2015. He bet on them every single year dating back nearly 30 年. And yet the one year that he forgets to bet, not only did Leicester City win, but the bet paid out 5,000:1.

Let’s step back and calculate the cost of that oversight for Mr. Micklethwait.

£20 * 5,000 = £100,000.

A hundred… thousand… pounds. That kind of winning would put a nice dent in your mortgage, wouldn’t it?

The risk of low probability strategies

Everyone hears anecdotes about successful trend traders. Even winning only 30-40% 時間の, they walk away big winners over time.

planet earth

You live HERE. Math isn’t good enough. You also need to wonder if your strategy can handle real-world problems.

What if they took that even lower? They could move their stop losses closer to the market. They’d reduce the size of the average loser, but the winning percentage might also drop to 10-20%.

数学的に, this could work out identically. 30% winners that earn 5x the average loser make for a profit factor of 1.5. A strategy with のみ 10% winners that make 15x the typical loser also have a 1.5 プロフィットファクター.

数学的に, this could work out identically. 30% winners that earn 5x the average loser make for a profit factor of 1.5. A strategy with only 10% winners that make 15x the typical loser also have a 1.5 プロフィットファクター.

They’re the same. Aren’t they?

Planet Earth isn’t the same as planet Math. 現実の世界で, people get sick and miss trades. または, they move across the Atlantic and forget to place a £20 bet.

People move. They get sick. Computers break. Things can and will go wrong with trading.

Richard Dennis once commented that the Turtle Traders would often make their annual returns off of one, single trade. A single trade!

When your performance depends on positive outliers, you’re massively vulnerable to accidents. What happens if you’re sick that day? Or your internet goes down? Or your broker locks you out of your account on the worst possible day?

Life happens, brother. A plan that depends on perfection is no plan at all. You need to make yourself robust to failure. Or even better, you’d make yourself antifragile.

Winning percentages

I mentioned that you can do really well winning 30-40% of time. Why then, does my own trading strategy, ルール, win 68% 時間の?

Because I’m exploiting compound, exponential growth. It’s not just how much you win, but the order in which you win it.

Let’s take two examples:

  1. A ranging strategy with a profit factor of 1.3 that wins 68% 時間の.
  2. A trending strategy with a profit factor of 1.3 that wins 30% 時間の.
Range vs trend outcomes

Look at the red circles. Trending strategies are prone to extreme outcomes, both positive and negative.

Each strategy risks about 1% on any given trade. と, the average of the range and trend strategies are identical in the long run.

しかし… and this is an important “しかし”, the expected worst case scenario with the trending strategy is substantially more likely compared to the range trading strategy. 効果で, the average is more average with a ranging strategy than with a trending strategy.

何故ですか? Because unusual losing streaks are devastating to trending strategies. Have you ever had a losing streak? It happens to everyone.

By using a strategy with a higher winning percentage, you’re making yourself robust to streaks of losers. と, not to mention, your average length of a winning streak is considerably higher.

Even though you’re getting the same mathematical outcome, you’re making things much easier on your trading psychology when you adopt a strategy with a higher winning percentage.

ルール & Exponential Growth

Dominari backtest

You may have thought to yourself, “68%? That’s kind of a strange number to pick.”

You’d be right. The choice of 68% winners was not a coincidence. それは, 実際, the win rate on my Dominari strategy.

Dominari is about more than just buying and selling. Trading is also about managing a portfolio and position sizing. Position sizing is phenomenally important over your trading career.

My backtest results for Dominari show that for every $2,500, the account increased to $17,855.35 後 3 年. That kind of compound growth doesn’t happen by accident. That’s why I’d like to share the good news with you in my webinar this week.

I’m going to show you how to put that exponential awesomeness to work in your trading account. Sound good? ここをクリックしてください。 to register for the FREE webinar.

QB Pro 1 月 15 レビュー

によって 2 コメント

1 月黒で終了, USDCHF 混乱の余波は鼻の固体パンチを与えたが. It wasn’t the revaluation that got me. It was watching the chop and deciding that it was ok to turn the system back on.

Knowing what I knew at the time, the decision to turn the USDCHF trading back on was sensible and informed. The trouble came from the rumors of SNB intervention, which caused a 400 pip rally. Whether or not the SNB will institute a trading band for the franc against the euro is unclear.

I don’t want to get caught up in a market where the largest buyer’s goals are irrational. だから… QB Pro is not currently trading francs.

Total performance for the month was 7.23%. I’m sorry to see that some of the new investors joined just in time to catch the worst trade in the system’s history. That obviously doesn’t feel very nice for them or myself. I’m working hard to reduce the risk of that happening again.

I’ve long mentioned my interest in reducing the 8.5% monthly blow-up risk on the current leverage. QB プロ 2.0 is in the works, a system that

  1. Significantly reduces parameter sensitivity
  2. Trades the systems as a portfolio rather than individual currencies

My goal is to turn QB Pro from a robust strategy into an antifragile 戦略. 残念なことに, no charting package allows me to do portfolio level analysis in the way I wish. So.. I’ve spent the last two months writing a custom backtesting platform.

forex backtester

My whiteboard planning for a custom forex backtester

The initial results look excellent. But before I get too excited, I have one of my trusted developers reviewing the code to ensure that my out of sample tests are accurate. If the tests are indeed accurate, I hope to roll out the system live within the next 60 日. Stay tuned for updates to the system.

Negativa を介して – 減算による改善

によって Leave a Comment

多くのトレーダーは、常に自分のシステムを改善するためにコンポーネントを追加しようとすると罠に巻き込まれる. それ’ 多くの場合、正反対のことをより.

負の影響の取り外し

“だから知識の増加によって減算よりもはるか添加による – 間違っていることが判明する可能性があります私達が今日知っているが、右になることはできません知っているが間違っていることを考える, 少なくとも簡単には。” – Nassim タレブ

Antifragile の本 VI, Nassim タレブことが肯定的な影響を追加するよりも結果はるかに大きな影響を持つことができます負の影響を削除すると主張しています。. これは、我々 は我々 は有益証明するのに有害であると信じる何かをより有害証明するために有益であると信じる何かをはるかに多くなりそうです。.

この主張は、証拠の年によってバックアップされます。. たとえば, 50 代で (見られるように、 マッドメン), 喫煙の有害性が広く承認されませんでした。. 人々 は自分の健康のためだったどのようにひどい理解しなかった, 肯定的な利点があったと考えられて実際にいくつかの喫煙と. 有利であると証明された後、負であると考えられていたものの例を見つけることは難しくなっています。.

via negativa encourages removal of complexity

人々 が実際に喫煙が健康だったことを信じた時もあった.

同じ概念は、取引で見つけることができます。. 今何十年も, 金融アナリストが宣伝されています。 “複利の威力” 購入してホールド戦略から. しかし, 重度につながるすべてのブラック スワン イベントでクラッシュします。, ますます多くの投資家は、そのロジックのエラーを見ています。. 戦略は、欠陥があると考えられていたし、後で収益性の高いことを証明のはるかに少数の例があります。. いずれかの考えることができます。?

未来は過去に

“効果的に私の答えは、古典を読むようにするだろう. 未来は過去の中です。” – Nassim タレブ

タレブによれば, アイデアが存在している時間の長さとその値を勉強している人には直接の相関があります。. システム取引にその概念を適用します。, 私たちの時間を市場のパフォーマンスの十年にわたって実証済みの実績があるシステムに集中すべき.

体系的な戦略取引についての素晴らしいことの一つですが、バックテストする彼らが歴史的に実行した方法を参照してくださいこれらの戦略. 中にはこれらの結果を考慮するバイアスのたくさん, 過去のデータことができます私たちにこれらの戦略を将来的に可能性があります実行する方法の優れたアイデアを与えるまだ.

過去 1 世紀以上も実行は、システムが次の世紀にわたってよく実行するのより良いチャンス. 過去世紀にわたる不振システムは次の世紀にわたってパフォーマンスが低下する可能性がずっと高い.

ボラティリティを平滑化 & 増大する脆弱性

“私たち自身の利益に対して自分たちの快適な生活を作る人間によって試みから、文明の結果の病気呼ぶもの, 以来、快適な fragilizes 何です。” – Nassim タレブ

人間として, 当社の取引システムの変動を滑らかにしようとする自然なモチベーションを持って我々. 夜は破滅のリスクを心配で私たちを維持することは揮発性の高いシステム.

あなたが得ることができるので、いくつかの変動を滑らかにする際に、良い夜の残りの部分は重要です。, あまりにも遠く取得頻度はすることができます。. 何度も, トレーダーも多くのボラティリティのフィルターを追加、ブラック スワン イベントに対して非常に脆弱になる過度にカーブ フィット システムを作成. トレーダーは、低ボラティリティで快適なシステムがしばしば最も壊れやすいタイプのシステムであることを覚える必要があります。.

喫煙をやめる & 削り代

“タバコを吸わない人々 に伝える最後の 60 年の最大の医療貢献をするようです。” – Nassim タレブ

長期的な健康のため禁煙がひどかった簡単な実現は、他のすべてよりより多くの生命を保存可能性があります。 “イノベーション” 当時の結合. 同様に, 簡単な実現の重要な損失を取ることはあなたのポートフォリオの長期的な生存のためにひどいが最後の 60 年に発明された任意のテクニカル指標よりも重要かもしれません.

すべての最新のデリバティブ価格モデルに焦点を当てあなたの損失を削減の重要なポイントを欠場した場合、あなたの取引のために何もしません. したがって, Negativa を介してすべてのこれらの新しいをカットする必要があることを示唆しています。, 革新的なアプローチとあなたが事実を知っている焦点は、あなたを傷つけるでしょう, お金を失う.

人々は脆弱になりたいです

によって Leave a Comment

While reading through Nassim Taleb’s applications of convexity, the planning fallacy, and Jensen’s inequality, I began to wonder why more people don’t take these concepts and actually put them to use. Why are people content to employ fragile trading strategies and on a larger scale, fragile life strategies?

Taleb introduces the concepts of linear vs nonlinear and convexity vs concavity in Book V of Antifragile. Some things, the fragile, break under stress. There are other things, the antifragile, that perform better under stress.

People constantly set themselves up to be brutally hurt by Black Swan events. It’s almost like these people are choosing to be fragile.

Why Don’t People Want To Become Antifragile?

If anyone in the world can order Taleb’s book from Amazon for less than $20, why aren’t more people interested in protecting themselves from future Black Swan events by becoming more antifragile? Even if they can’t afford the price of the book, there is an amazing amount of free information available on the internet. All anyone needs to access it is a free library card and a little bit of effort.

Ed Seykota famously said that “everyone gets what they really want out of the market.” His argument is that people ignore all of the available evidence that their trading system is flawed because they subconsciously want to fail. Is it then possible that people ignore antifragility because they want to be fragile?

This idea has a broader application than just trading systems. In all aspects of life, people are perfectly content to live in the bliss of their own ignorance.

Stockholm Syndrome

In a Facebook post this weekend, Michael Covel suggested that the definition for Stockholm Syndrome could be applied to buy and hold investors:

Fragile people seek things other than profits

You ultimately get what you want out of the markets

This same thinking can be applied to Taleb’s fragility. When presented with all of the evidence documenting how fragile their investments are, most people will still passionately defend their strategies. It is almost as if they have been brainwashed into believing that they deserve to suffer from the occasional Black Swan event.

Taleb takes this argument even deeper when he discusses fragility with respect to randomness.

Better Than Random

“The hidden harm of fragility is that you need to be much, much better than random in your prediction and know where you are going, just to offset the negative effect.” – タレビ

Taleb points out that in order to successfully trade a fragile strategy, you have to perform dramatically better than random. You have to have a tremendous edge. You have to be brilliant.

While some people have proven that they do have such an edge, the majority of traders post results that are far worse than a completely random strategy. This leaves them completely vulnerable to the next Black Swan event. Yet they continue to trade this way.

Worse Than Random

“The hidden benefit of antifragility is that you can guess worse than random and still end up outperforming.” – タレビ

This is the strength of many systematic trend following strategies. In recent weeks, I have looked at the 83/17 ブレイク アウト システム と、 10/100 SMA 長い唯一のシステム. These two systems are profitable on 41.46% と 42.53% of their trades respectively, yet both systems are profitable overall.

The positive risk to reward ratio built into each system gives its returns the convexity that Taleb discusses. These systems are antifragile.

Capitalizing On The Trend

There are antifragile trading systems that are widely available for free on the internet, but people don’t take advantage of this. There are also more antifragile lifestyles available, but most people prefer to stick to the normal, fragile world they know that involves a 401k and keeping up with the Joneses.

While solving this global sociology problem is a little bigger than the scope of this post, our trading can benefit from recognizing its existence. Since trading is a zero sum game, our profits are someone else’s losses. By being aware of the fragile strategies most people employ, we can position ourselves to take advantage of the same Black Swan events that will ruin our fragile counterparts.

以下が詳細です: ハロー効果 & グリーンランバー

によって Leave a Comment

それは多くの場合、システムトレーダーはエントリーポイントと終了ポイントを完璧にしようと、あまりにも多くの時間を費やすと言われています. 我々はそのアイデアを拡張し、私たちは、取引活動の全てにあまり力を入れているかどうかを見てみたらどう?

教室で教えられているよりも、実際の取引から学習することがよりがあります. あなたは今、正常に取引することができます, あなたよりもより多くの知識を持っている何千人もの人々があるという事実にもかかわらず、.

二つのことはしていないとき “同じ”

Antifragileの書IVに, ナッシムタレブは、制度の学習から得ることができる実用的な知識の欠如に対処する章のかなりの部分を費やしています. 標準の大学のアプローチとは対照的に、彼は強く、学習の自己指向スタイルを提唱.

体系的なトレーダーとして、, 体系的なトレンド以下の戦略は高価な大学で教えられていないので、我々は、タレブは言及自己指向アプローチに従うことを余儀なくされています.

“あなたが脆弱である場合、あなたはantifragileているときよりもはるかに多くを知っている必要があります. 逆に, あなたはあなたがより多くを知っていると思うとき, あなたは壊れやすいです (ERRORに).” – タレビ

タレブは、トピックに関する知識が必ずしもその分野での成功にはつながらないという彼のポイントを説明するためにハロー効果とグリーン木材誤謬の両方を使用しています. 取引で, それは市場が異なる方法で動作する理由について議論する人気のあります.

何かが増加の脆弱性をなぜ起こるか理解するこの必要性. 多くのトレーディングシステムを作るために antifragile, 私たちは知らないものに私たちが知っているものに、より少ない焦点を合わせる必要があります. 私たちは、未来を知りません.

ハロー効果

“もっと面白い会話, 彼らはより多くの培養, 彼らは、実際のビジネスでやっていることで、彼らが効果的であることを考えることに捕捉されるより (心理学者が呼ぶもの 後光効果, でそのスキルを考えての間違い, 陶器のワークショップや銀行部門の管理にスキーがスキルに確実に変換すると言います, または、良好なチェスプレイヤーは現実の生活の中で良い戦略家であろうと). – タレビ

ハロー効果の最も一般的に使用される例, 最初のエドワード・ソーンダイクによって研究されました, 誰かの文字の特徴の我々の意見は、その魅力の影響を受けている場合に発生します.

ハロー効果は、ブランドマーケティングによく適用されます. アップルのiPodの驚くべき人気は、そのほかの製品の多くに大きな成功をもたらしました. 私は個人的にはApple製品でこの効果を経験しています.

長い時間のiPodユーザーされた後, 私は数年前のiPadを購入し、完全に吹き飛ばされました. iPadのための私の熱意は、私は次のiPhoneを取得するために必要なことを私に確信しました. 半年後, 私は、iPhone 4Sの誇りの所有者でした, 私に話して、それの内部に女性を持っています. 今私は、iPodを持っていたこと, アプリ, iPhone, 購入するノートパソコンの種類の決定は、すでに私のために作られました. 私はMacBook Airのを望んでいました.

ハロー効果は、アップルのためにうまく働いている間, タレブは、脆弱性を増加させることを示唆しています. 上記の引用の最後の部分で, 彼が実際の生活の戦略とチェスをするスキルを比較. 取引への明らかな接続は、取引に関する知識が収益性の高い取引に変換しないことです.

ブラック・ショールズ・モデルの広範な実用的な知識はあなたがディナーパーティーでインテリジェントな音になります, しかし、より多くのことが実際に成功したオプションを取引するために必要とされるがあります. はるかに少ない知識を持つトレーダーは上の彼の取引を考えていないだけで簡単に利益を得ることができます.

彼は裁判で実験し、タレブが示唆するような方法を誤り無料です. あなたはアプローチがはるかにantifragileで行くように学びます. これは、グリーン木材トレーダーがどのように動作するかであります.

グリーンランバー

Green lumber fallacy

あなたはそれを取引する木材産業についてのすべてを知っている必要はありません.

グリーン木材誤謬は、タレブは、取引商品のトレーダーになります参照です “緑の製材” 首尾よく, それがいることを呼ばれた理由を彼は知らなかったにもかかわらず、. この例の背後にある理論は、一般的に市場に関連付けられている情報は、その市場には関係のほとんどを持っているかもしれないということです. タレブも誰スイスフラン業者の例を示します “地図上スイスを置くことができませんでした。”

“だから、私たちは状況で1ミスに必要な知識の源緑の製材誤謬を呼びましょう – 木材の緑 – 別のもの, 外から見えにくいです, 少ない扱いやすいです, 以下narratable。” – タレビ

再びここに, 我々はそれの豊富よりも成功は知識の欠如からより多くの来るのを見ます. この考えは、テレビで議論された問題と戦略の多くは、単に私たちのトレーディング成績には関係がないことを思い出させてくれる. むしろデータに自分自身を溺死より, 成功したシステムを構築するための正しい方法は、以下のデータを見ることです. 少ない本当に多いです.

Making Trading Systems More Antifragile

によって Leave a Comment

In order to make trading systems more antifragile, we must focus on changing their risk exposure. If your primary concern in trading is your system’s profitability, then you are setting yourself up for an epic failure. The first and foremost concern of any trading system absolutely must be the risk within a system.

破滅のリスク

In Book III of Antifragile, Nassim Taleb presents the argument that profit is a secondary goal in business. He argues that anyone who primarily focuses on profit is underestimating their risk exposure.

This concept applies directly to trading systems. Far too many traders use potential returns as the measuring stick for a trading system. Following Taleb’s argument, traders should put far more emphasis on the nature of the system.

“This fragility that comes from path dependence is often ignored by businessmen who, trained in static thinking, tend to believe that generating profits is their principal mission, with survival and risk control something to perhaps consider – they miss the strong logical precedence of survival over success.” – タレビ

While generating profits is certainly the end goal of any system, the ability to generate those profits requires the survival of the system. If the system goes bust at any point, then those future profits mean nothing.

Even if the system generates huge profits for years, if there are significant risks that could eventually catch up to it, then the system is just trading on borrowed time. The most important criteria for assessing a system’s fragility is its risk of ruin.

risk reward comparison

Risk and reward should be balanced against the long term objective of continuing to trade.

、 least desirable way to protect against risk of ruin is to decrease the fragility of the system. This may sound like common sense, but far too many traders never make the connection.

As I covered earlier this week, there are three way of doing this: increasing the system’s win rate, increasing the system’s profitability, or decreasing trading size. Of these options, the only one that is completely in the trader’s control is the amount of risk their capital is exposed to.

Sensitivity to failure is best analyzed by adjusting the accuracy percentage and payout ratios. If you trade a trending system and the average payout drops by 20%, what happens to the system? Many trending systems completely fall apart.

時々, a difference of 10% between the historical returns and future observations makes the difference between decent profits and huge losses. This is far more true when the expected percent accuracy falls and the payoff falls, あまりにも. Minor errors in observation lead to drastically different outcomes.

Fragility is Relative to Upside/Downside Risk

In the preceding chapter, Taleb explains that fragile systems have more to lose than they can gain. The opposite is true for antifragile systems. They have more to gain than to lose. They have a limited downside.

“You are antifragile for a source of volatility if potential gains exceed potential losses (その逆).” – タレビ

This further supports the argument that risk of ruin should be the primary concern when evaluating a trading system. Regardless of the system’s apparent upside, if the downside is too great, the system is no good. If the potential exists to lose everything, there is no possible upside that can balance that.

Long Term Capital Management

Taleb uses the example of a gambler to illustrate that no matter how good his strategy is, if he is exposed to the risk of losing everything then nothing else matters. The same can be said of anyone who’s trading system exposes them to too much risk.

It doesn’t matter how efficient the strategy is or how impressive the returns are if the risk of losing everything is too great. Risk of ruin trumps all other factors because it has the ability to end the game.

Long Term Capital Management (LTCM) provided an excellent example of this concept in the late 1990s. The fund was believed to have superior strategies implemented by brilliant traders and many investors expected the strong returns to continue indefinitely. The problem is that no one was concerned with the downside risk, leaving the fund vulnerable to a Black Swan event, which happened in 1998.

The combination of some unexpected events with a big appetite for leverage proved to be disastrous for LTCM and its investors. LTCM believed that it had smoothed out volatility and could provide consistent returns. As we all learned, the short-termist obsession with pretty Sharpe ratios on high leverage came at the cost of making a blowup inevitable..

Antifragile Trading – Enhanced By Volatility

によって 2 コメント

In Antifragile, author Nassim Nicholas Taleb presents the argument that the opposite of fragile is not simply something that is unaffected by stress or pressure. He argues that there is a quality called antifragile where something actually improves as a result of that stress or pressure. Taleb categorizes things on a scale from fragile to antifragile, with a mid-point he calls robust.

When this idea is applied to trading, the first comparison that jumps out at us is between buy and hold investors and systematic trend following traders. Systematic trend following traders excel under extremely volatile situations, are virtually ignored by intellectuals in their field and are capable of handling deviations because they are not predictive in nature.

An Illustration of The Antifragile Concept

Taleb illustrates his concepts of fragile, robust, and antifragile through Greek and Roman mythology.

Fragile is represented by the story of Damocles, who was invited to a dinner at which there was a sword hanging over his head that was held up by a horse’s hair. Damocles is considered fragile because at any second the hair could snap dropping the sword onto him.

The concept of robust is represented by the Phoenix, which is a bird that is able to be reborn from its own ashes. No matter how many times you attempt to destroy the Phoenix, it continues to return to its original state, unharmed.

Antifragile is represented by the Greek Hydra, which had multiple heads. Every time one of its heads was chopped off, two more would grow back. Any attempt to hard this creature actually made it grow stronger. This is the core concept of antifragile.

An Application To Trading

One of the characteristics that can help measure the fragility of something is how it responds to volatility. This allows us to easily apply this concept to trading, because volatility is actually measured in most markets.

VIX Monthly shows antifragile periods of strength

A monthly VIX chart dating back to 1985

If we look at a long term chart of the VIX, we can see four distinct areas of extreme volatility: The Market Crash in 1987, The Asian Currency Crisis in 1997-98, The Dot-Com Bubble & Crash from 1998-2002, and the Financial Collapse in 2008. These highly volatile periods were high stress situations that would have made antifragile trading strategies better while making fragile strategies worse.

It is no coincidence that it was during these exact periods that systematic trend following traders posted some of their best years, and at the same time, buy and hold investors lost fortunes.

Systematic trend following strategies are not only built to handle these kinds of high stress, high volatility situations. They become stronger from them simply because they provide traders with a way to change direction. This ability to go with the flow during even the most chaotic times is a stark contrast to the rigidity of a buy and hold strategy where the investor has no choice but to sit and watch their portfolio crumble.

Overcompensation & Overreaction

“Intellectuals tend to focus on negative responses from randomness (fragility) rather than the positive ones (antifragility).” – タレビ

再びここに, we can see a clear application of this with respect to trading during high volatility periods. In each of our four high volatility trading periods from the past 25 年, most of the intellectuals and so-called market experts were focused on the negative responses, which were the buy and hold investors who were losing their fortunes left and right.

During each of these periods, there was very little focus on traders who were benefiting from the increased volatility. The antifragile traders seemed to go unnoticed, and we know now that systematic trend following traders where the ones who were benefiting from these volatile markets.

Layers & Deviation

Taleb also discusses the complexities that can arise when looking at fragility through different layers and dimensions. He illustrates that since what is good for the antifragile is bad for the fragile, then what is good for the fragile is likely bad for the antifragile.

We have already discussed the huge success that antifragile trend following strategies have seen during times that were terrible for fragile buy and hold strategies. When the inverse situations occurs where markets have little volatility, we have seen that systematic trend followers and buy and hold investors can produce rather similar results. The key difference though, is that the antifragile systematic trend followers have the ability to adjust when a black swan shows up.

“When you are fragile, you depend on things following the exact planned course, with as little deviation as possible – for deviations are more harmful than helpful.” – タレビ

He continues to explain that the fragile is very predictive and that being so predictive is exactly what causes fragility. This is the problem with buying and holding with the expectation that a position will go up over time. The entire strategy is predictive in nature, and that is exactly why it becomes fragile. It can’t handle a deviation from what it predicts.

それどころか, a systematic trend following approach can, by definition, handle any deviation from what is expected because it simply goes along with that deviation. This ability to adapt and change is magnified during periods of high volatility, which is when systematic trend following is at its best.