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One line of code makes all the difference

2 月 9, 2017 によって ショーンオバートン 4 コメント

I was really excited about my Pilum strategy two months ago. The research looked great and everything was ready to rock and roll. Demo testing began and then… not much happened.

The Quantilator is (mostly) finished, which finally gave me time to circle back and review what happened with Pilum.

Live demo trading of Pilum

Live demo trading of Pilum. 12月 9, 2016 to Feb 7, 2017

The expected outcome was that I would win 75% 時間の. Trades were infrequent, so I thought maybe I’m just having bad luck. But then my win rate remained stuck around 50%. Simple statistical tests told me this was unlikely to be bad luck.

I used the research time to pour over my research code and to compare it with live trades. What I found was that a single line of code (AHHHHHHHHHHHHHHH!) was incorrectly calculating my entry price, dramatically overstating the profits.

、 flawed code produced this equity curve from a single combination of settings:
Flawed Pilum backtest

When the actual, correct result looks like this with those same settings:

The accurate backtest of Pilum

The accurate backtest of Pilum

I’ll be honest… I like the flawed backtest a lot more!

The new, single-setting backtest isn’t as good, but it’s still trade-worthy. There are some characteristics that I dislike and features that I love. Let’s dig into those.

What I dislike

The frequency of trades is very low. Out of 19 months there were a total of 43 取引. 43 trades to comprise a backtest on 40+ instruments is a very small number.

If it weren’t for the statistical pattern backing up the frequency, I would not consider the test. しかし, there are 20,000 bars each on the 44 instruments. あります。 880,000 total bars used to analyze whether my Pilum pattern offers any predictive value.

The most valuable predictions, しかし, are also exceptionally rare. That’s why I’m not able to get the trading frequency higher, which would potentially smooth the returns.

What I love

My previous systems like QB Pro and Dominari traded actively for relatively small wins. Trading costs exercised a massive impact on the overall performance.

The accurate backtest of Pilum

The accurate backtest of Pilum

Now look again at the correct equity curve (the image to the right). Do you see the final profit of roughly 0.14? That’s a 14% unleveraged return over a 19 ヶ月の期間.

Allocating 2:1 または 3:1 leverage on this strategy could average annual returns of 15-25%.

Detecting hidden risk

A key measure of risk is skewness. You may not use that term yourself, but it’s something most of you already understand. The biggest complaint about people trading Dominari was that the average winner relative to the average loser was heavily skewed towards the losers.

Dominari wins on most months, but when it lost in December it was devastating. I implemented what I thought was a portfolio stop after the December 9th aftermath. Then I had a smaller, but still very painful, loss in January. The portfolio level stop loss of 3% should prevent future blowouts now that I know what goes wrong.

I still believe in Dominari. しかし, I obviously lost the work of most of the year due to those events.

Knowing that skewness is a good measure of blowout risk (even if you’ve never seen it in a backtest, like happened with Dominari), Pilum looks extremely encouraging.

This is a histogram of profit and loss by days. You should notice a few things.

The tallest bar is to the right of 0. That means that the most frequent outcome is winning.

worst and best days

The biggest winning day is dramatically better than the worst losing day. The worst outcome was a loss of 2%. The best outcome is gains near 10% in a single day (unleveraged!).

This is the statistical profile of an idea that’s much more likely to grab an avalanche of profits than it is to get blown out.

It gets even better

low correlation

Would you say that the blue and red equity curves are highly or loosely correlated? Look closely.

Writing this blog post made me think carefully about the Pilum strategy. I decided that maybe I should see if all of the profits are coming from different settings at the same time. There’s very little risk of overfitting the data as my strategy only has 1 degree of freedom.

The blue bars are the equity curve of Setting 1.

The red bars are for Setting 2.

Do you think these are tightly or loosely correlated?

If you said loosely correlated, then you are correct. Notice how each equity curve shows large jumps of profit. Did you notice how those profit jumps occur on different days?

The blue setting skyrockets on a single day in November 2016. It leaves the red equity curve choking in its dust.

But then, look what happens as I advance into December. The red curve dramatically catches up to the blue curve and even overtakes it.

The correlation between the 2 strategies is only 57%.

Combine multiple settings into 1 portfolio

Combined settings Pilum equity curve

This is a much nicer equity curve!

Loose correlations are a GIFT. Combining two bumpy equity curves into a single strategy makes the performance much, much smoother.

The percentages of days that are profitable also increases. Setting 1 is profitable on 58.0% of days. Setting 2 is profitable on 53.5% of days.

しかし… combining them makes Pilum profitable on 68.2% of days. 素晴らしい!

That also provides more data, which puts me in a stronger position to analyze the strategy’s skewness. Look at the frequency histograms below. They’re the same type of histograms that I showed you in the first section of this blog post. As you’ll notice, they look a lot different.

Pilum most probable daily profit and loss

The most probable outcome for any given day is a small winner

The tall green bar is the most probable trading outcome for any given day with filled orders. The average day is a positive return of 0-1%.

The small red bar is the worst trading day of the combined strategy.

The small green bars are the best trading days of the combined strategy.

Look how far to the right the green bars go. The largest winner is more than 3x the biggest loss. と, there are so many more large winners compared to losers.

Giant winners are far more likely than comparable losses.

The Plan

I immediately pushed Pilum into live trading this combination of two strategies. I expect that adding a second degree of freedom and running about 30 different versions of the strategy – all with different settings – will add to the performance and smooth the returns even further.

Dominari hasn’t been working on my FXCM account, which is very difficult to accept because the lacking performance seems to be a buried execution issue. Pilum, しかし, trades very infrequently. It’s unlikely that execution quality will make a dramatic difference in the long term outcomes.

だから, I’m going to convert the FXCM account to trading Pilum exclusively. That will be offered as a strategy on Collective2 within the next few weeks, a company with whom I’ve been working closely. Their users are more investor rather than trading oriented – they’re far more likely to view low trading frequency as a good thing. I suspect that most people here have a different opinion and want to see a lot of market action.

I’ll write an update on Dominari shortly.

以下の下でファイルさ: Pilum, 戦略の取引のアイデア タグが付いて: 相関関係, カーブフィッティング, 自由度, ルール, equity curve, 周波数, FXCM, histogram, レバレッジ, QB プロ, リスク, スキュー, 統計情報

Analyze your Trading Algo with 3D Charts

6 月 28, 2016 によって リオル Alkalay Leave a Comment

These days, any mention of the term 3D is associated with entertainment. But in fact, when it comes to charting, and more specifically to charting your trading algo, 3D charting is not only insightful but provides important practical advantages.

The most common chart to measure a trading algo is profit over time. That lets you know how much money the algo is making over a specific duration, usually from a few weeks to several months. As the chart below illustrates, it gives you a good idea how well your trading algo performs over time and it gives an indication of the periods when it was underperforming.

The thing is that, while profit over time are the two most important dimensions, they leave plenty of dimensions out—dimensions that can help you answer important questions. Such as why, during a specific period, was your trading algo under-performing? Or how much risk are you taking in a given time? 多くの場合, the answers to such questions can be the difference between profit and loss, between success and failure of a strategy.

Trading Algo

Trading Algo in 3D

First things first. Before we start running 3D charts on our algo it’s important to go over a few practicalities and make the 3D chart work for you.

Assuming you’ve already exported the data of your algo Profit and Loss to Excel you’re likely to have two columns of data, 例えば. Time and Profit. Adding a third column will allow you to run a 3D chart, whether it’s volatility, risk or whatever additional dimension you deem necessary.

Once you have your three columns you click to generate a chart—you must choose a type called 3D surface chart. As you will notice, almost always, the Time stamp will be the X-Axis, Profit the Y-Axis and our third parameter will be the Z-Axis.

Now comes the important part—making the chart comfortable to work for us.You must remember that our goal in using a 3D chart in the first place was to identify areas of either exceptional profits or exceptional losses to optimize our algo.

As can be seen in the charts below, Excel divides the Y axes into ranges and each range is colored. The best practice is to choose the same color for levels that are not exceptional and select a contrasting color for the highest range and another for the lowest range. This allows us to spot the exceptional.

The Z axes changes the angle of the chart; the steeper the angle, the higher our Z parameter—say risk or whatever else we choose.

そして最後に, make the 3D chart clearer through formatting the Plot area. Play with the Y rotation angle as well as the Debt Level until you are comfortable working with the chart

Trading Algo Case Studies

Once you are clear as to how to make a 3D chart, it’s time to decide which dimension is relevant. 通常, besides time and profit, the following dimensions are worth considering—risk, volatility and duration.

たとえば, the chart above shows a profit over time of a specific strategy; let’s call it Strategy A. 突然, out of the blue, the profit plunges rapidly. It’s not clear why, yet.

Then we add another dimension—risk. リスク, in this case, will be the Dollar amount risked in a given moment. 今のところ, the reason is apparent; just before the profit collapsed, risk was rising, 同様に. Maybe leverage jumped, maybe several positions were opened simultaneously; it depends on the strategy. But by using a 3D chart we were able to easily detect where trouble was coming from.

Trading Algo

Using 3D charts is not only good to spot weaknesses in a strategy but strengths. Let’s take a look at another strategy, which we’ll call Strategy B.

We will test how Strategy B performs during volatility. この場合, the volatility will be the standard deviation of each pair we trade. What we see is interesting. When volatility is high, Strategy B performs exceptionally well and not so well when volatility is average to low.

Trading Algo

In such a case, we should consider using the strategy only during high volatility to optimize returns.

More uses could be to measure duration per trade. If the duration is getting longer at certain areas perhaps the trigger for the entry or exit is not working well. The benefit with using a 3D chart here is that we put the opening time stamp on the X-Axis and the closing time stamp on the Z-Axis so we can actually analyze duration per trade over time. A 3D chart then is much more accurate than a two dimensional chart where duration is a trailing average.

結論として

There are endless samples and ways in which 3D charts can allow you improve your trading algo and identify both weaknesses and strengths within your strategy. 確認して, you can manage with a 2-dimensional chart. But the benefit of 3D charting is that, many times, it allows you to zoom in and identify areas of change much easier.

以下の下でファイルさ: あなたの概念を歴史的にテストします。 タグが付いて: アルゴリズム, レバレッジ, ボラティリティ

7 Things You Need To Become A Successful Forex Trader

6 月 13, 2016 によって ニコライ ・ Kuzentsov 1 コメント

If you make the decision to start trading forex to earn extra income it is vital that you set yourself up to succeed. To do so you need to be aware of the 7 things you need to become a successful forex trader.

The desire to succeed

まず, it is elementary that you commit fully to the process of becoming a forex trader. That means that you are willing to put the time in to learn all important aspects of currency trading and the global currency market. You will only have the motivation to put the time in to learn, if you truly have the desire to succeed and make money trading currencies.

A genuine interest in forex, economics and the financial markets

Secondly, and this ties in with the first point, if you want to succeed as a currency trader it is vital that you have a genuine interest in the financial markets. If you are doing it just to make a quick buck, without actually putting in the regular work of reading financial news, analyzing charts and reading daily currency market updates, then you will most likely not succeed. Furthermore, you will need to learn about macroeconomics, as economic data and central bank policies are key drivers of the foreign exchange market. それゆえ, having a genuine interest in what moves the financial markets is a key component to becoming a successful currency trader.

The economist

The right online broker

There is a vast choice of online brokers that charge different spreads and commissions and have different product ranges. それゆえ, it is important to choose an online broker that is right for you. To do so, you need to choose a broker that covers the asset classes and currency pairs you wish to trade, charges you comparatively low fees, offers tight spreads, has a good reputation and is regulated by your country’s financial regulatory body.

It is also important that the online broker you choose offers easy-to-use chart analysis tools, timely market news updates and possesses good customer service. The best way to choose a broker is to check independent broker reviews and comparisons online.

Trading capital (but less than you might think)

To start trading forex you need a certain amount of capital. しかし, it is must less than you might think if you choose to trade with leverage. Leverage in the foreign exchange market refers to the ability to move, たとえば, 米ドル 100 dollars worth of a currency using only USD 1. This would be leverage of 100:1, which is a popular leverage amount in the currency market. Other common leverage amounts are 50:1 と 20:1. Using leverage you can move large amounts of a security by only putting down a small initial amount per trade. This small amount is referred to as the initial margin.

The best way to use leverage is by trading so-called CFDs (contracts for difference) as they allow you to set your leverage, as you require it. By adopting a CFDs trading strategy you are able to profit off small moves in the currency pairs you are trading without putting down a large amount of capital on each trade. それゆえ, this is the best way to trade currencies if you only have a small amount of available trading capital.

trade cfds

The right trading strategy

Once you feel comfortable with the currency market’s terminology and mechanics and you have deposited your trading capital into your online brokerage account, it’s time for you to apply the right trading strategy.

When it comes to trading currencies there are many approaches you can take. たとえば, you can apply more of a momentum trading strategy and put on trades just after market moving news, such as economic data announcements, or you can use a technical indicators-based trading strategy and follow a set of indicators that give you buy and sell signals for the currency pairs you follow. もちろんです, there are many more approaches you can take. It is important for you to find a strategy that suits your style of trading and is in line with your risk-return profile.

The discipline to stick to your strategy

Once you have found a trading strategy that works for you, it is important that you have the discipline to stick to your trading strategy. A great way to ensure you don’t let emotions get in the way of you following your strategy is to set target prices and stop-losses, where your broker automatically buys or sells the currency you hold against another, once these trading levels have been hit.

online trading

The emotional stability to handle losses

最後に, if you truly want to succeed as a forex trader you need to develop the emotional stability to handle losses. No matter how good your trading strategy is you will have days where you will generate losses. It is important to accept down days and not let your losses affect you emotionally, as this could impair you when you put on further trades.

以下の下でファイルさ: 外国為替市場のしくみ? タグが付いて: ブローカー, レバレッジ, 戦略

Dominariに大きな変化

3 月 9, 2016 によって ショーンオバートン 24 コメント

私はそれを言いました ここで と ここで と ここで. 私Dominariとの最大の問題は、取引コストであります. 物事は、私は2つのいずれかの操作を行いまで本当に離陸するつもりはありません.

  1. 取引コストを削減
  2. 各取引に多くのお金を作ります

私は去年の9月か10月頃からDominariに取り組んできました. 数ヶ月のために私の脳をラッキングした後、, 私は多かれ少なかれ取引の収益性を改善するアイデアをオフに書きました.

市場が閉じた後にそれが突然金曜日に先週変更しました. 自分のシステムが住んでトレードするための最良の理由は、不採算力創造の苦悩. 気持ちは私にデイモンド・ジョンのの多くを連想させます (シャークタンクから男) 新刊 ブロークのパワー. 人生はあなたの道を進んでされていない場合, それはトップになるために最善のことができます誰が機知と創造的です.

誰も破っや極度のストレス下で感じたいとは思いません. 限り、我々はそれらの感情を憎むように, 彼らは多くの場合、パフォーマンスの最強ドライバーです. それは私がDominariで、今どのように感じます. 私はそこに得るために非常に近いですし、その不足している成分を修正する方法がわかりませんでした.

そのストレスがなかったら, 私は先週の金曜日、私のシンプルでありながら非常に強力な洞察力を持っていないだろう.

そして、笑わないでください. 変化はとてもダム、あなたは私と一緒に間違っているのだろうかしようとしていることは明らかです. あなたは、システムの設計の厚いにいるとき, 醜い真実は時々あなたが雑草で迷子ということです. または他の植物学のメタファーを使用するには, あなただけの森の代わりに木を参照してください。.

私の主要な洞察力はわずか指値注文を使用するには、出口戦略を変更することでした, 以前のに対し、私はバーの近くに基づいて終了しました. 私はポイントが最終的に沈んだことを最終的に十分に頭の上に私を打つ2繰り返し行動に気づきました.

私の貿易が最適な位置に閉鎖機会の数は大幅にテーブルの上に残された金額を上回るように見えました. 私のための重要な洞察力はどこに最適なその指値注文を配置する場所を実現しました。. そして、あなたのそれらのための私のニュースレターに, 密接に関連して起こります 自動利益を取ります 私はすべての週の話を​​してきたこと.

バックテストの前提条件と結果

backtestsをしている私の運転マントラは、仮定の数を最小限にすることです. 小売トレーダーのためのスプレッドはより劇的に変化しています 2008 今日へ. GBPCHF上の私たちの典型的なスプレッドのようなものだったとき、私はFXCMでブローカーとして働いて覚えて 8-9 ピップ. 私は今、日常のようなものを支払います 2 ピップ. それは偶然に推測することなく、途中で何が起こったかをモデル化することは不可能です.

私はそれがはるか​​に説得力のある生信号を分析するために見つけます, 両方の歴史と最近の市場のデータについて, その後、取引コストは、今日の市場で有利である可能性があるかどうかを解釈します. “生信号” 理想的な信号であります, 完璧な実行を前提として1, 何も滑りません, ロールオーバーはありません, スプレッド、ノーコミッションありません. 当然の結果では、過去の実績を誇張しているということです, しかし、利点は、核となるアイデアは、合理的なリスクで市場を予測することができるシステムであるかどうかを非常に明確な考えを持っているということです.

ポートフォリオで使用される全レバレッジがあります 7:1. 私が持っている場合 $50,000 トレーディング勘定とポートフォリオ内のすべての通貨ペアでポジションを開催しました, その後、これらの取引の想定元本は等しくなります $350,000 (50へ * 7).

もう一つ重要な点は、私がの固定位置・サイズを使用することです $12,500 1 トレード当たり. 貿易のサイズが増加しないか、バックテストの間に減少しません, 私はお金の管理の変数を追加することなく生の信号の影響を分離することを可能にします.

ここでは、バージョンと私の貿易指標です 1 ルールの. フルサイズで表示するには画像をクリック.

バージョン 1 backtest of Dominari

Dominariの最初のバージョンは、の利益率を持っていました 1.26.

ここで後Dominariバージョンの変更です 2.0.

Dominariの私の新しいバージョンがに利益率を増加させます 1.59 有意に低いドローダウンで.

Dominariの私の新しいバージョンがに利益率を増加させます 1.59 有意に低いドローダウンで.

私の最良のシナリオは、利益率が他のジャンプになることを期待することでした 10 ポイントまたはその近傍, 多分に利益率を伸ばします 1.35 またはその辺. それは二重よりも損益分岐より上にエッジを見ることが信じられないほどエキサイティングです (行くから $0.26 にエッジ $0.59 セントエッジ).

私がについて最も興奮するとリターンのスキューです. ほとんどの平均回帰システムは、エッジを探したが負けトレードの影響に圧倒されています. それはバージョンであった場合 1.

Skew of Dominari version 1

最大の敗者はバージョンで最大の勝者を上回ります 1.

Dominariのこの新しいバージョンでは、非常に最初のものです 平均回帰 私が今までに受賞した尾開発した戦略 (すなわち, 最大の勝者) ほぼ失う尾を等しく (最大の敗者). それはほとんど常に、平均回帰戦略と反対です. 別の方法は言いました, 極端な転帰のリスクプロファイルが大幅バージョンで改善しました 2.

Fat tails in Dominari v2

最大の勝者の影響は、バージョンの最大の敗者とほぼ同じです 2.

そして、ほとんどのトレーダーが最も気にすることをメトリック, ドローダウン, 乱暴に改善されています. バージョン 1 のドローダウンを示しました。 5.72%. 新バージョンでは、その割合であります 1.77%.

Out of sample backtest for Dominari version 2

サンプル性能のうち、サンプルの性能とほぼ同じです, 大幅に異なる市場の状況にもかかわらず、.

私は最近のデータにサンプルのうち、私のテストを歩いていると, カバーします 2013-2015, バージョンのパフォーマンス特性 2 で、サンプルテストとほぼ同じです. 利益率は、同一でした 1.59, そして最大ドローダウンはありました 2.01% ため 2013-2015.

期待される性能パラメータに理論を翻訳

もう一度, これらのメトリックは、上記の完全な実行となし取引コストの理想的な世界であります. 現実世界の性能が低いリターンと高いドローダウンを持っています. ライブ取引データを有することに利点が、私は今、私の予想貿易精度と利益率のインテリジェント推定値のいくつかの種類を作ることができるということです. どれだけ誇張がある可能性が高い理想化されたリターンです?

私は現実の世界で期待利益率を計算するために通過したプロセスであります 5 ステップのプロセス. 私は英会話のステップを書き出すしようとした場合、何の意味を作るつもりはないと思います. 代わりに, 私はあなたが新しい戦略に期待される性能にライブ取引データを外挿する方法については、ステップのプロセスによってステップを表示することができ、スプレッドシートを共有することを選択しました. ここをクリックしてください。 スプレッドシートを表示します.

私のライブ取引の予想収益率は間であることが期待されます 1.29 宛先 1.39. からジャンプする必要があり、ライブ取引のための期待%の精度 62.55% 宛先 70.8%.

トータルアクセス実習で最初の亀裂を取得するトレーダーは、これらの無料のニュースレターを購読しているされています. あなたがサインアップしていない場合, このページの右上にあるオレンジ色のボックスにメールアドレスを記入してください.

以下の下でファイルさ: ルール, あなたの概念を歴史的にテストします。 タグが付いて: バックテスト, 脂肪のしっぽ, GBPCHF, レバレッジ, 平均回帰, プロフィットファクター, スキュー

あなたの取引戦略が動作を停止するとき

8 月 28, 2015 によって リオル Alkalay 4 コメント

素晴らしい戦略を持っていた, それよく働いていた、それはあなたのお金を作っていた. 問題? 突然, 市場の状況が変わって、あなたの戦略は、もはや作品. あまりにも不安定な市場, あまりにも不安定. それはまるであなたの戦略を作り出すことができる唯一の事は赤のフルスクリーン. あなたの戦略を分解して、必死に固定が必要であるように思える.

それはあなたの「最愛」戦略を溝に時間か, 1 つは、常に, 今まで, うまくいったので. 答え: それほど速くありません。. それらの認識していない場合でも特定の市場状況にあなたの戦略作成されました. だからどうすればあなたの戦略を与えるとき? ちょうど病気の患者を診断するには任意の「医者」のような病んでいる戦略を診断する必要があります。. しかし、あなたを怖がらせるための言葉「診断プログラム」をさせてください; 時代のほとんどない働いているかの診断は簡単です.

取引戦略の失敗: 症状と解決策

動作を停止しました取引戦略の重要な症状です比を獲得は非常に急激に減少 (すなわち. 収益性の高い取引). これは通常、エントリまたは終了のいずれかの条件がもはや実行可能なことまたはあなたのレバレッジが高すぎることを意味します。. もちろんです, 両方うまくいかないことが, あまりにも. どっちがどっちと何が間違ってを知ってどのように? ここでは、いくつかのヒント.

これらの事に焦点を当てる: 期間, 勝率します。 貿易頻度. トレード時間は、非稼働戦略の最も一般的な症状の一つ, 貿易の平均の時間であります。. 監視する重要なことは、平均から逸脱する期間の開始時. これは、あなたの戦略はカウントされていたサイクルが変わった今示して. 勝利率と貿易周波数測定と組み合わせると (単位時間あたりどのように多くの取引が実行されます。) 戦略に間違って行く傾向にあるより一般的なメカニズムを適切に診断することができます。. これらのメカニズムは、レバレッジ, エントリまたは終了.

レバレッジの問題

期間は比を獲得とともに下落しているが、あなたの取引の頻度は変わらなかったと仮定します。. たとえば, もっとまたはより少なく平均 1 日、これがあなたの頻度が変わっていないし、変更されていない 3 つの取引を実行します。. このする必要があります何をします。? 単純にこの; あなたの取引戦略の活用は現在の市場のボラティリティの高すぎます。. この問題を修正することですあなたのレバレッジを下げるしより深い停止損失を取る. この方法であなたのリスクは変わりません小さい位置交換するためにより揮発性市場にあなたの戦略を調整するため.

エントリの問題

今のところ, たとえば勝利比率とともに下落している期間も、あなたの取引の頻度が急増しています。. つまり、あなたのエントリ高いボラティリティの中で偽の信号を作成してより揮発性の市場に合うように調整が必要. 一般的に使用する指標を平滑化によってこれを行う.

出口の問題

最後に, たとえば、頻度が落ちている中、落下勝利比率と並んで高いあなたの取引の期間が急増しています。. つまり、はずすことまたはあなたの取引戦略を閉じるためのキューは十分に敏感ではありません。. 本質的に, あなたの貿易を開いたまま長時間あなたに対して最終的に変わるまで. 短い期間で実行して終了トリガーをより敏感なことですあなたがやらなければ.

結論

時々, 上で説明した例のように, あなたの取引戦略を簡素化し, あなたの収益の安定化に向けた長い道のりを行くことがありますマイナーな心痛に集中できます。. あなたは気づいているかもしれませんが, ここでの焦点のほとんどより揮発性になる市場にされています。. ボラティリティ戦略が作業と調整と引っ張ることのほとんどを焦点を理由に停止する主な理由は、します。. しかし, もちろんです, それぞれのケースは、独自のメリットにする必要があります。. 簡単な微調整が動作しない場合, それは一般的に市場の条件の種類ごとに戦略が賢明.

以下の下でファイルさ: お金を失うことを停止します。 タグが付いて: レバレッジ

なぜあなたは非合理的な取引します。

8 月 10, 2015 によって リオル Alkalay Leave a Comment

長年にわたって, どのように多くのブログの記事があることを説くを読めば, 改宗し、取引で規律を特? 早期退職を検討したいすべての 1 つのドルを持っていたかどうかに違いない, よ? 規律は非常に重要な取引で実現します。; それが常識です。, 本当に. 取引で非合理的な意思決定の落とし穴を避ける方法を教えていませんが、. そのため駆動する不合理な決定を取引するかを理解する必要があります。. そのため周りを掘る場合, すべての取引のブログ、全会一致で同意, その理由は、欲. まあ, 賛成です, 思うために使用方法をだったこと. しかし、私はすぐに説明します。, 現実には何が真実から遠いこと.

悟りの瞬間

私のキャリアの多くの年にわたって、少なくとも千人のトレーダーのパフォーマンスを分析する機会を持ってください。. 直感的に, 私は不合理な決定の理由がただ欲よりもより深い根をしなければならなかったと考えられて. 問題は、ドットを接続するためにハードだった. 私は、作品を通してつまずいたまでである、 ダン Ariely, デューク大学教授. Ariely, 彼の多くの本や文章を, 時間と再度どのように、なぜ我々 は非合理的な決定を下すを示しています. Ariely は具体的に扱う取引ジレンマ我々 すべての顔, 彼の洞察力は、ドットを接続する私を助けてください。. 今描いた絵で, 取引で何か、落とし穴を回避する方法を行う理由は、あなたを啓発したいです。.

過度に興奮

Ariely 締結以降のものと同様に、その特定の決定我々 は当初特定問題について感じる方法に影響します。. 我々 は取引に彼の結論を適用できます。. あなたは貿易にまだ始まったばかりだし、レバレッジの高いあなたの非常に最初の貿易を始めることにしたとしましょう. と, ねえ! その時なります! お金を得ています。! それはエキサイティングな爽快な, それではなかった? 問題? それは優先順位を確立します。.

今あなたを交換するたびに興奮しているとウキウキする期待するよ. 魔法のタッチを持っているかのように; 右目だけで購入する下部を押すし、財産を獲得. しかし、現実の生活で? 会計士の心の状態を必要があります。; 慎重かつ不審です, 決断をするデータのみに依存します。. 問題はすでに取引はエキサイティングなあなたの脳にそのブルー プリントを持っています。. だから, ほぼ自動的に, あなたは無意識のうちにリスクの高い取引を自分自身をプッシュします。. または他の正当な理由なく貿易を開く, その出版社の取引に向けて盛り上がるのためだけ.

ヒントをハックします。 #1: 非常に少量で開始します。 (実質のお金, ないデモ); あなたはそれを失った場合気になるわずか十分. それは十分なはず, しかし, 利益をする場合あなたが興奮します。. 低レバレッジの後ろの考えであります。. 数ヶ月のためにそれを行う, より合理的な意思決定に最終的に慣れます。. それは興奮して取引を関連付けることはありませんので. "楽しい感を失う可能性がありますが,「それは本当に合理的なトレーダーになるため唯一の方法. 一番下の行は「アドレナリン中毒」トレーダーになった. 「感動」から自分引き離すに数ヶ月を与える必要があります。

X 因子複合体

小売取引と考えているように我々 の世界のすべての成功したトレーダーは特別な何か, いわゆる X ファクター. それはいくつかのユニークなキャラクターになります。, 偉大なトレーダーは、才能や特性. もちろんです, 我々 はすべてがこの X ファクターを持っているくらいと考えてしたいと思います, 全くのナンセンスであります。. すべての統計と定数分析については取引. 期間.

多くの場合, 我々 (無意識のうちに) 我々 は本当にただ普通のトレーダーをしていること概念を払いのけることができる決して停滞の結果します。. 我々 は常にゲームでだけ私たちが利益を得るときは、, 少しでも, 私たち「ギフト」のせいです。我々 は少しを失うべきである場合, まあ, それは本当に大したことがないです。. それは生きているような錯覚を保持するため、長時間にわたってそのようなトレーダーが考えることができます。. 彼らはゲームの外ではない限り、, 彼らはそれにこだわるだろう. 彼らは新しい戦略を試してみるつもりではないです。. 確認して, それはより多くの利益を作り出すことができるが、それはまた深い損失を意味可能性があります。. 彼らはむしろ停滞していたいので, 現状を維持し、, たとえば、それは.

多くの人にとって, これは自分のエゴを養うための完璧なシナリオ. 私たちを得る場合, 我々 は日曜日にバーベキューを投げるし、自慢 (満足げに眺める) 私達の友人にそれについて. しかし、我々 は失う場合? まあ, 誰もあなたのブローカーは、あなたを除いて知っていることについて.

ヒントをハックします。 #2: あなたのビジネスとして取引を考える. いくつかの金融のバック グラウンドを持っている友人を見つけるし、彼と一緒にあなたのパフォーマンスを共有. さらに良い, あなたの会計士と共有します。. あなたの肩越しに見ている誰かに, 失うことのマイナス面があることを認めることを強制しています。. それはあなたの停滞を避けるために必要なインセンティブを与えることがあります。. 別の考え方が必要な取引はビジネス- そしてそれは-場合. すべてのビジネスは、お金を稼ぐビジネス. あなたの友人/会計士はする必要があります再び忘れた場合その不変の事実を伝えるようにしてください。.

貿易

以下の下でファイルさ: お金を失うことを停止します。 タグが付いて: ビジネス プラン, ダン Ariely, レバレッジ

フリーブローアップ保険?

1 月 19, 2015 によって ショーンオバートン 17 コメント

ホームEURCHFペグハンマーで崩壊不快真実と先週のドラマ: you can lose more in your account than you deposit.

Trading on leverage is inherently dangerous. Although an instant 20% move in a major currency is a once in a lifetime event, it goes to show just how quickly the markets can charge over alleged safety features.

Did placing a stop loss at 1.19 for an open EURCHF trade do any good last week? Not a bit! As soon as the market breached 1.20, it instantly gapped down 10%.

When markets go bidless, it means that there is no liqudity in the market. That’s jargon that means everyone is too scared to do any buying or selling. There literally is no price at the moment where anyone is willing to trade.

It was at 1.20. The next thing you see is 1.08 and the price falling fast.

I was fortunate enough to be awake at 3 午前. when the proverbial cow-pie hit the fan. Although I’m an alogrithmic trader, I confess that my immediate instinct was to hop on the bandwagon and buy!, 購入します。!, BUY! all the Swiss francs that I could handle (when you go short EURCHF, you’re selling euros and buying francs).

Every inch of my body wants to go short with the $EURCHF collapse, but I run an algo system and I’m sticking to it.

— OneStepRemoved.com (@_OneStepRemoved) 1 月 15, 2015

The way I coped with the urge was to IM a friend and pass a running commentary on the insanity. Posting on Facebook and Twitter also kept me busy. 基本的には, it was a strategy to keep myself wholly occupied and distracted so that I wouldn’t be tempted to jump in.

I’ve seen mega moves before and, more importantly, I know from experience how badly people can get hurt. My favorite war story from working as a broker was a wealthy client in Kuwait that opened an account with $250,000 the night before NFP. He went long on 100:1 leverage and of course the report was the complete opposite of expectations. The market gapped instantly and before his trade could close, his account balance was -$20,000.

You don’t read stories like this on the forums because… who on earth wants to go advertise their financial destruction on the internet? It’s embarrassing and, if we’re honest with ourselves, that person is probably doing everything humanly possible to not think about their situation.

raised hands

Nobody raised their hand to tell me about catastrophic losses in the CHF

 

Free insurance

The primary reason to trade with 最大レバレッジ is because it’s like free insurance against devastating losses. You never know when a peg will go bust or the next 9/11 is going to happen.

Let’s game this out. You were long USDCHF on Thursday and there was no stop loss in the world that could protect you against an instant 10% ギャップ. Consider two scenarios:

  • You had a $30,000 account balance and were trading an institutional level of leverage like 5:1. That means your position value was 30k * 5 = $150,000. The instant gap created a loss of 10% * $150,000 = $15,000.
  • You had a $3,000 account and were trading the “crazy” leverage of 50:1. The position value was also $150,000 and yields a $15,000 損失.

Now let’s talk about what happens in the real world. In the first sceario, the money is on deposit with the broker and you 100% have lost $15,000. It’s a guaranteed fact and you can safely kiss the money goodbye.

2 番目のシナリオ, you may legally owe the broker $12,000 (3k-15k=-12k). しかし, what is the broker’s likelihood of recovering the money? If you’re in the UK and you trade at Pepperstone in Australia, they’d have to sue you in an Australian court. The attorney’s fees alone would be several thousand dollars. And most convincingly, you probably don’t have any assets that the court could award to the broker.

Even if you are in Australia, think about all the bad PR hitting the forums when the big dog starts suing little retail traders. There’s almost no business-case for pursuing the negative balances of retail forex traders.

You’re going to see a lot of hooplah this week about brokers “forgiving negative balances.” It’s great PR and it’s the best way for them to play it. They know darn well that there’s almost no chance of recovering that money. It’s the best way to turn lemons into lemonade because the brokers lost an epic amount of money.

How to protect yourself

Chris ジマー, the programmer here at OneStepRemoved, sent me this as soon as the day ended.

I was already on board with it but this recent event makes your method of pulling money out of FX accounts look very obvious.

I just checked and the USDCHF dropped over 1600 pips on that bar. That really hits close to home as we could have easily been Long that pair and something tells me any stop would not have been filled.

Trade on leverage and, for goodness sake, withdraw the money at regular intervals. Nobody can take it away if you don’t keep it in their hands.

以下の下でファイルさ: 外国為替市場のしくみ?, 現在の市場で起きていること? タグが付いて: eurchf, 外国為替, フラン, レバレッジ, 最大レバレッジ, usdchf

最大レバレッジを使用して利益を成長し、リスクを軽減

1 月 12, 2015 によって エディ ・花 9 コメント

The gains can accumulate quickly when a prop trader is using a strategy based on maximum leverage with limited account size. In order to preserve and build those gains, it’s important to remove them from the trading account according to a good plan.

As described in previous articles in this series, the high-leverage, low-balance strategies used by leading prop traders can be applied to multiple trading accounts using different systems, with each account capitalized by not more than a couple thousand dollars.

The amount in the account typically ranges between $1,000 to several thousand dollars. その方法, there’s no psychological obstacle to using the max leverage on each trade.

Reduce the risks from drawdowns

When you have a winning system, profits pile up. It’s tempting to “let it ride” by using the same system to trade ever-bigger position sizes in the growing account.

しかし, when the entire capital is available in the trading account, it means that the capital is exposed to the inevitable system “blow up,” which typically causes a steep drawdown. Even if the trader escapes financial catastrophe, he or she may become so risk-averse afterward as to become indecisive and ineffective.

Pull money out each month

The smart way to avoid excessive drawdowns due to trading system “blow ups” is to pull money out of the account at the end of each successful month. その方法, when a major drawdown occurs, it won’t take all your money, just the couple thousand dollars that you can afford to lose.

Successful prop traders like Shaun sweep the profits out of each winning trading account monthly and move them into a non-trading account, where they remain safe. だから, each month the trading accounts open with their individual capitalization set at a given amount.

Pull out at least enough to cover one “blow up”

Once you’ve launched your forex system, you’ll want to think about earmarking enough money to cover at least one trading system failure. After you’ve secured that amount to be used for a recapitalization of your trading account, every subsequent gain is “free money,” at least in a psychological sense.

The first milestone is to pull enough money out of the trading account to cover at least one catastrophe. If you’ve been enjoying mostly winning months, next you should allocate 50% of your profits for high-risk systems.

You can’t lose what’s not at risk

覚えておいてください: When a prop trader is using maximum leverage, the only money that’s safe is the money already pulled out of the trading account. Profits should be pulled from each winning trading account, each month.

When a prop trader wins consistently using high leverage with a limited-size account, the gains from relatively small individual trades may compound quickly. Profits gathered from the overflowing small trading accounts can compound into large sums, and it’s important to manage those profits effectively.

If you’d like to learn more about using maximum leverage to pull profits each month, just contact Shaun.

以下の下でファイルさ: 外国為替市場のしくみ?, お金を失うことを停止します。, 未分類, 現在の市場で起きていること? タグが付いて: blow up, ドローダウン, レバレッジ, 取引を支える, リスク

どのようにプロのような利益を引く

12 月 16, 2014 によって エディ ・花 4 コメント

あなたの外国為替の管理について前回の記事で説明したように"取引を支える「ビジネスのようなベンチャーします。, using maximum leverage can truly minimize your at-risk capital. Successful prop traders leverage their accounts and risk every dime of allocated capital each month.

The idea is that a winning trading system will accrue profits quite rapidly, but if the position sizes are increased along with the expanding account size, eventually a “blow up” will intervene to cause a steep drawdown.

The key is to mechanically limit the amount of capital allowed to accumulate in the trading account during winning periods. Prop traders set a par account size, and at the end of each month they “sweep” the overflow from gains into a separate, non-trading account. The account opens each new trading month at the same par size.

これにより, gains are preserved intact while serious drawdowns are limited to the account’s monthly highwater mark. Profits from winning months are retained, and are protected from risk.

Setting a limit on capital at risk reduces the risk of a trading system “blow up”

By sweeping excess cash from the account, a prop trader reduces the risk from a catastrophic drawdown. The traditional practice of small, independent traders is to treat the entire account as a single unit which they attempt to grow as large as possible. まだ, this can be dangerous.

At some point, every system suffers a “blow up.” When this happens, everything may be lost if the trader hasn’t stashed away some of the previous profits. Prop traders avoid this catastrophic scenario by limiting the trading account size.

As a trading account grows, the savvy prop trader pulls profits out in order to keep them safe. たとえば, at the end of a given month, assume that a trading account whose par value has been set at $5,000 may now total $6,00. だから, the overflow $2,500 is swept into a separate account not accessible for trading or margin.

The trader then begins the new month with the par $5,000 and once again the account should begin to accrue gains at the same consistent rate, by using the same trading system.

Crazy margin for outsize gains

By trading a winning system while using maximum leverage and limiting the amount of capital at risk, an entrepreneurial prop trader can harvest profits from a wide range of forex markets. と, traders who are supported by prop shops have access to highly sophisticated risk-management tools to help them grow even faster.

以下の下でファイルさ: 外国為替市場のしくみ?, お金を失うことを停止します。 タグが付いて: blow up, レバレッジ, 取引を支える, 自己勘定取引

勝利の取引システムを作成するには、方法

3 月 11, 2014 によって エディ ・花 2 コメント

脂肪質の利益のための機会のため、多くのトレーダー、外国為替に魅了されて, 株と比較すると特に. まだ, when trading forex the inherent leverage can affect traders’ emotions, leading to over-trading, loss-chasing and second-guessing. A mechanical trading system can provide the winning solution.

Why build a trading system?

Manual trading works well for many stock traders, especially those using buy-and-hold strategies for a limited number of favorite picks, yet forex traders need better tools and stronger discipline in order to be profitable.

In any industry, a well-built machine is more efficient than any human

A well-built mechanical trading system offers a trader the best of both worlds: technology and math give the trader the ability to spot and take advantage of market inefficiencies and harvest gains in a busy, cluttered environment, while freeing him or her from the emotional roller-coaster ride of trading.

Find your own niche

There are plenty of trading systems available nowadays; the key to forex trading success lies in finding or adapting the “right” system for your own needs and style. Once you’ve decided the parameters for success, including your overall goals and objectives for trading, personal tolerance for risk, and the amount of capital to be devoted to trading, a system can be built to fit you like a glove.

When building a system, there’s plenty of room for specialization and individualization – If everyone were trading the same way, spreads would soon disappear. Like fast-moving mosquitoes buzzing around a lumbering elephant, many traders earn an excellent living by capitalizing on opportunities inevitably created by the movements of much-larger players in the marketplace; the key is to gather an actionable set of patterns and indicators that fits your personal style.

If a pattern is noticeable, then it’s probably actionable

The first step is to search through past trading data in order to identify patterns and conditions which appear to consistently offer profitable trading opportunities. Historical price and volume charts often show patterns which appear to signal upcoming price moves, and technical indicators will help clarify an otherwise-fuzzy picture.

Try looking at different combinations of indicators over different historical time periods to see if they may give predictive power in spotting market turns or changes in trend. A “caveman-style” approach to quickly testing your hunches can be as simple as finding a noticeable pattern on a printed chart, then holding a sheet of paper over the upcoming section and “guessing” what will happen next; when you’re right, you may have found a winning pattern.

テスト & 最適化

Once you’ve identified a fairly-predictable pattern by looking at charts, it’s time to think about how to trade it profitably. You should consider how it fits with your personal trading style, including risk management. The patterns and indicators upon which your system is based can be simple or complex, as long as they work in the marketplace and fit your circumstances.

How to create a winning trading system

The next step is to translate these patterns and scenarios into mathematical coding, to form a set of trading rules which can be fully tested. You can do this yourself, or you can rely on the services of a coding expert to help accomplish this. After you’ve created the foundation for a system, it can be tested objectively by changing the inputs to find the optimal conditions for trading, such as the best combinations of currency pairs, 停止, and other variables.

You can use software to quickly test multiple combinations of indicators. The key is to identify predictable patterns which will give you the confidence to trade when you see them appear, 長いか短いかどうか, then fine-tune them to maximize your gains. It’s important to realize that more complexity isn’t necessarily better – A super-complex system probably won’t fatten your wallet if it only signals a trade once every ten years and your computer happens to be offline when that finally occurs.

Don’t become married to your system

最も重要なこと, if your indicators aren’t working out during testing as you had hoped, don’t become emotionally invested in “proving” that they work. 代わりに, step back and take a broader look – Perhaps it’s time to use a different combination of indicators, or change your approach altogether.

During testing and optimization, it’s important to leave untouched some of your historical market data as untested “out-of-sample” data while you work through testing your system using in-sample data. For statistical purposes during testing, you can only use data once before modifying your system; then of course it becomes part of your in-sample data. If you contaminate your test data, それです, if you rely on a certain date range of data to first develop and test your system, then later re-test your modified system with the same data, the results may be skewed. だから, use your out-of-sample data only for final testing and tweaking 後 you’ve built your system, so you can be sure that such data is “pure” and not already accounted for in the system.

Be sure to back-test any prospective new system over reasonably long periods, so you’ll have an idea how it performs long-term. と, check the results when using different lengths for your moving averages. また, it’s worthwhile to test your system widely across different forex pairs, even those you don’t typically trade – You may be surprised to find that your system does especially well in a market that you haven’t tried before.

Implementation

Even though testing and minor tweaking should be thought of as an evolutionary process that continues during the life of your trading, at this point you’re ready to implement your system by using it to trade with real money. If you’ve done your homework well, and you stick to the rules that your testing has proved will work under specific conditions, then you’ll be confident in proceeding forward.

Stick to the proven rules and you’ll be successful

Societies rely on laws to govern the behavior of their citizens because they’ve learned over time (tested and optimized) what works. 同様に, in order to be successful with forex you should adhere to the consistent trading rules that you’ve established in a scientific manner. If you stick to the rules, your mechanical trading system can help you win the forex game.

以下の下でファイルさ: 外国為替市場のしくみ?, メタト レーダーのヒント, あなたの概念を歴史的にテストします。 タグが付いて: インジケーター, レバレッジ, mechanical, out-of-sample, リスク管理

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