アルゴリズムと機械の外国為替戦略 | OneStepRemoved

取引で欲を制御します。

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戻って、 1987 映画ウォール街, Michael ダグラス’ 文字, Gordon 月光, 彼を与えた (で)有名です “欲が良い” スピーチ. それはすべての推力は、その貪欲でした, “生活のための貪欲, お金のため, 愛のため, 知識…人類の上方サージをマークしました。”

ダグラスは最初にそれを言ったので、その文のメリットが主張されてきたと私は他の上一面を守るためにここにいないです. この記事の私のポイントは、どのように欲を関連付けることです 過剰, 貪欲として 、 プライム動機 トレーダーに敗北につながることができます. 究極の敗北は、その取引口座を爆破されています.

告白タイム: ちょうどので、私は欲を閉じて、個人的ランインを持っていたことを知っています, 私が話を関連付けるすることができます. 非常に初期の私の取引のキャリアの中で, 私は古典的な新人の失態をしました. 私は貿易に置きます (あまりにも大きいです), 秒後にNFP (あまりにも揮発性), 作ることを望みます 20 GBPUSDのピップ. この取引は、働いている場合, 私は思いました, それは私の取引の週になるだろう! どのような天才のアイデアと私は考えていた天才!! まあ, 貿易はにそれを作りました +17 ピップとストール. しかし, 欲によって導かれます, 私はのために開催されました 20 ピップ (あまりにも頑固な). 最終結果 – 私は失いました 23 ピップ (あまりにも愚か). 欲のレッスンは、ハードと安価な方法を学びました.

ここで私が働いているトレーダーから欲の感情上の2つの引用符があります…

“欲は私に何よりもコストがあります。”

“どのように私は欲を制御することができます??? それは取引で私のナンバーワンの問題でした。”

だから私たちをどのように行います, 私たちはただの人間, 貪欲のこのあまりにも人間の感情を制御して行きます?

最初です, あなたはこれらの引用符ですべてで識別することができた場合, それはあなたが欲が否定あなたの取引とその認識に影響を与えていることは問題の解決に向けた大きな一歩であることを認識していることを意味します.

貪欲であることを停止

チェックで、この有害な感情を維持するために、, 一定の取引計画を持ちます 書き出さ 問題を解消するに向かって長い道のりを行きます. 任意の取引を配置するあなたがそれを参照できる場所近くの計画を前にしてください. 計画では、時間をかけて自分のアカウントにピップを入れている、あなたがテストしている戦略と1になります. すべての貿易は勝者ではありませんので、これでは、私はすべての単一の貿易にプラスのピップを意味するものではありません. しかし, 全体的です, 戦略は、あなたのアカウントのサイズに追加されました.

今、私たちは取引計画を釘付けしていること, 我々はしなければならない – MUST – だけ正確にその計画に合わせて取引を取ります. 貿易は、最大測定しない場合, 我々 ありません 貿易を取ります – そのような単純な. 私たちは私たちの予め決め計画に基づいて、より高い確率トレードをしたいです. これは、ランダムに感情に基づく取引に飛び込む解消されますので、 “それは一種の[OK]を探します”, または、 “私はちょうど貿易になりたいです” 症候群.

Scrooge McDuck is greedy

お金の管理

の絶対最大値を超えるを置いてはいけません 5% 任意の時点でリスクのある取引口座の. これは、あなたが一度に開いているどのように多くの取引に関係なく意味します, 彼らの場合 ALL 敗者であることが判明 (はい, それが起こりうる), あなたはより多くを失うことはありません 5% 取引口座の. それがリスクになるとことに注意してください, 以下は、より多くのよりも優れています. だから 3% 危険性がより優れています 5% と 1% 3％よりも優れています…あなたのアイデアを得ます.

また, いつもとの貿易 1:2 代わりにリスクリワードレシオ. あなたが危険にさらしている場合、これが意味します 50 貿易上のピップは、あなたが探している必要があり、少なくとも 100 その取引上の利益のピップ.

(その後、記事や論評は、具体的かつ詳細に取引でお金の管理の概念に対処します。)

最後に, 貿易が所定の位置に停止し、制限にトリガした後に – 私は十分にこの次のポイントを強調することはできません – 放っておく!! ただ、貿易は貿易にされる前にあなたの場所に入れて元のパラメータに応じて、それ自体を再生させます…感情は存在しないだったとき.

分を取ると、このシンクを聞かせて…

あなたがチャートを見ていたとき, トレンドをチェックします, 支持と抵抗のレベル, 関連する基本的な発表など, あなたがいました 全く感情なし. あなたは何を持っていました “ゲーム内のスキン” その時点で. その時に一緒に入れた計画は事実に基づいていました. 取引が入力されると , しかし, 感情はお金のように高いギアにシフトすることができます – あなたのお金 – 行には. ベースの事実に変更を加えます, 市場での価格行動によって誘発された瞬間の感情的な変化に瞬時に基づいて無表情な取引計画は、貿易への賢明な方法ではありません. これは、貿易に致命的な方法です.

管理と貪欲の感情に対処することは取引の次のカップルを介して解決されるものではありません. しかし, 欲が否定あなたの取引に影響を与えることができるかを意識すると、あなたの取引計画の一部として元のアイデアを実装することにより、, あなたは貪欲自由貿易の目標に向かって正のステップを取ることになります.

 

すべて最高と良い取引,
リチャード ・ Krivo

Doubling Down on Yourself

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I have heard about strategies that invest with multiple trend following funds and allocate capital between them inverse to performance. These strategies will pull money out of funds that have performed well over a period of time and reallocate that money to funds that have underperformed during that time.

The idea behind this type of strategy is that trend followers that have been performing well are due for a correction and funds that have been performing poorly are likely to be coming out of a correction. This allows an investor to have a larger portion of capital invested when a fund logs its biggest gains.

double down

The strategy of doubling down on yourself sounds great in theory, but it also has some major flaws.

A 最近のポスト from Dorsey Write Money Management explored a similar concept that allows traders to double down on their own strategy. The post covers an article by Craig Israelsen that that suggests contributing additional funds to your account after losing periods to maintain a minimum overall return.

How Israelsen’s Strategy Works

What Israelsen proposes is geared towards long term investors. He suggests choosing a benchmark number like 8% that an investor will target as an annual return.

During any years where an investor falls short of the 8% 戻り値, they should contribute enough funds to make up the difference. しかし, if the account returns more than 8% they are not obligated to contribute anything further.

This type of strategy will create a smooth equity curve that always moves higher. It takes advantage of the power of dollar cost averaging on the downside, and then lets the upside take care of itself.

Applying The Strategy To Forex

While this strategy is interesting in theory, most Forex traders don’t think in terms of annual return. They are looking to book profits on a daily basis. How could we adjust the strategy to fit that model?

The simple answer would be to set a daily benchmark for the return instead of using an annual return. If your goal is to make a certain amount of money everyday, force yourself to contribute the difference if you come up short.

This would ensure a consistently positive equity curve, so the account value would never erode. しかし, there are also some drawbacks to this strategy.

Problems with the Strategy

The most obvious issue with this type of strategy is that it assumes that you can afford to contribute enough capital on a regular basis to make up for any losses incurred by your trading. 場合, at any point, you are unable to enough capital to cover the losses, then the whole strategy falls apart.

Furthering that thought, if you have enough capital coming in to make up for losses in your trading, then why aren’t you investing that capital in your trading in the first place? Why wait until you are losing before investing it? Are you spending that capital foolishly during profitable periods?

While Israelsen’s idea sounds very interesting from a theoretical perspective, it may not be very helpful in actual trading.

ピラミッドの戦略はあなたのリターンを制限します。?

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損失を限定しながら利益を最大化しようとすると、多くのトレーダーが使用する非常に人気のある方法は、取引のうちピラミッド. しかし, すべての一般に認められた方法と同様に, 目を満たしているよりもをピラミッドに実際に多くあります。.

多くのインスタンスでピラミッドやポジションのうち実際に全体的なリターンを減らすしたり戦略の最大ドローダウンの増加. 大量のそれが実際にあなたの戦略を助けているかどうかにライトを当てることができる分離およびピラミッドのアプローチの各側面をテストする方法を知っています。. 時々 利点は私たちの頭にしか存在します。.

pyramiding strategy

一般的に良いアイデアと考えられている位置ピラミッド, マイクは、いくつかのインスタンスにすることができますであること効果的なを示していますが、.

マイク ・ ブライアントのさまざまな側面を見ていたシステムのトレーダーの成功に非常に洞察力に富んだ作品を公開 出口戦略をテスト それは 2 つの手順でスケール アウト. 記事の衝撃的な部分はマイクが出口戦略の一つの側面は完全に除去されたとき、実際に、システムが最高に実行を発見したと.

基本的な戦略

マイクは彼の記事に使用する戦略は貿易に設計されています 15 ミニ ラッセルの短い側の分バー 2000 先物. それは信号を受信し、半分の状況の 1 つのセットと別の一連の状況の下の位置の他の半分に基づいて位置を終了するとき、彼の戦略が完全ショート ポジションを確立します。.

マイクの戦略が新しいショート ポジションを取るとき, それはすぐに設定します。 最初のストップ 利益目標. 利益ターゲットをヒットした場合, 位置の半分の利益を考慮します。. 位置の他の半分損得なしのポイントにその最初のストップを調整しを使用して、 トレーリング ストップ 任意の追加の利益を確保するため.

この戦略を表すテーブルから利益の一部を取り、実行するそれらの残りの部分を残す基本コンセプト. これは一般的に良いアイデアとして受け入れてください。, マイクは、それは実際にシステムの全体的なパフォーマンスを傷つけていたことを発見したが、.

複数の終了をテスト

出口のそれぞれが全体的な戦略を持っていたことの影響をテストするために, マイクが 2 つの別々 の戦略として、それらをプログラムし、組み合わせたシステムとしてそれらをテストしました。. 各戦略が各エントリ上半分ポジションを取るし、特定の終了条件に従いますにプログラムされていた.

各出口戦略に割り当てられる合計の位置の量を最適化するために彼に許可されたプログラムを使用してください。, マイクは、最高の全体的なシステムが割り当てると判明 100% その出口をトレーリング ストップに基づいてシステムを資本金の. したがって, 長期的には逆効果だった特定の利益レベルでテーブルから半分の位置を取る.

マイクは、彼はの下で最大ドローダウンを維持する必要がある彼の最適化プログラムで指定 30%. それを最大として使用, 複合システムの純利益を返される $82,000 彼のバックテスト データ. 同じ最大ドローダウンを維持し、トレーリング ストップ バージョン全体終了資本配分生産の純利益 $129,000.

もちろんです, これはピラミッドが常に悪い考えであることを意味しません。. これは 1 つの特定の市場および時間枠に集中している 1 つだけの戦略. 重要な概念は、我々 はすべて私たちの仮定をテストする方法を見つける必要があります。.

ブラックジャックの戦略を使用すると、高い利益率を絞り出します

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The famous MIT Blackjack Team based their systematic approach to blackjack on the idea that they wanted to risk significantly more capital in situations where they had a quantifiable edge. We can use a similar strategy to put more of our capital to work in high probability situations, and we don’t have to worry about getting thrown out of the casino.

The MIT Blackjack Team had players that would place table minimum bets for hours waiting for a deck to become advantageous for the players. When that occurred, they would signal a teammate to join the table and bet the maximum. This allowed them to risk as much money as possible under conditions where they knew they had an edge, without alerting the casinos to their strategy.

blackjack strategy

We can use a common blackjack strategy to increase our position size in situations where the probability of success is better.

In a recent post on Trader Edge, Brian Johnson explained a quantitative trading strategy that is very similar to what the MIT Blackjack Team was known for. Brian suggests that traders should use a filter to identify the trades with the biggest edge for the trader. This filter will produce very few trades, so it won’t be a tradeable strategy itself, but it can be used to identify the most potentially profitable trades.

Brian’s Filter Example

The example that Brian uses to illustrate his concept is a basic strategy that buys securities that are experiencing short-term pullbacks during long-term uptrends. While he doesn’t give the specifics of this strategy, he does tell us that it produced 790 trades with a profit factor of 3.78 during his backtesting period.

Brian explains that adding a Stochastic filter to his strategy has a varying effect on its performance depending on what value is used for the filter. He produces a chart that shows that using any value between 60 と 100 for the filter has zero effect on the strategy. しかし, as the value of the Stochastic filter is lowered from 60, it begins to impact the strategy by increasing the profit factor and lowering the number of trade signals.

Brian finds that the sweet spot for his Stochastic filter appears to be a value of 20, which produces a profit factor of 7.77 上 324 取引. He explains that this is where most traders force themselves to make a difficult decision.

Filter or No Filter? Both!

Brian now has two strategies. The strategy with no filter makes less return on a per trade basis, but signals many more trades. 反対に, his filtered strategy makes far more profit per trade, but generates fewer signals.

What he suggests is the same idea that the MIT Blackjack Team would utilize: Trade both strategies! His simple, but brilliant concept is to take all of the trades that the unfiltered system produces and increase his position size on the trades that meet the criteria of his Stochastic filter. This will allow him to risk more capital in higher probability situations, and less capital in lower-probability situations.

This concept could be applied to almost any trading strategy and filter combination with proper backtesting. Brian makes a point to remind us that we should be cautious not to increase position size past an acceptable overall risk.

Are You Picking Up Pennies in Front of a Steamroller?

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Strategies that can demonstrate huge winning percentages through unbiased backtesting are extremely appealing. Imaging the streaks that you could run up if your system was winning on better than 80% その取引の!

Of course we all know that these types of strategies are almost always accompanied by the same tragic flaw: potential for catastrophic losses. That flaw makes these types of strategies great for video games and practice accounts, but not for trading our hard-earned capital. There is no reset button when you are trading real money.

picking up pennies

Many high win percentage strategies are described as “picking up pennies in front of a steamroller” because of their potential for severe losses.

These types of strategies are often referred to as “picking up pennies in front of a steamroller,” which provides a vivid mental image of the potential pitfalls. In a recent post, Dan from Theta Trend thought it would be an interesting case study to see how one of these “steamroller” strategies would have fared over the course of 2013.

Dan’s Accelerated pTheta Strategy

The strategy that Dan tested was a version of his pTheta strategy. Here is how he describes it:

The penny system sells out of the money vertical spreads in the $SPX every week using 10 delta weekly options with 8 days to expiration. Every Thursday the system sells a vertical spread.

If the market is closed on a Thursday (Thanksgiving), the strategy sells the verticle spread on the next day. Dan explains that his strategy uses the Parabolic SAR indicator as a trend filter to determine the direction of his trade:

If price is trading above the daily pSAR, the system sells put spreads below the market and call spreads are sold if price is trading below.

This gives us the basic outline of a simple options strategy that makes one trade every single week with a very high winning percentage.

Backtesting Dan’s Strategy

Over the course of 2013, Dan’s Accelerated pTheta Strategy would have made a total of 52 貿易. これらの取引の, 44 would have been profitable and 8 would have been losers. That works out to a win rate of 84.62%. 33 of the trades were on the long side, and the remaining 19 were on the short side.

The average winning trade returned a profit of 0.425%. The average losing trade cost the account 1.701%.

Dan tested two different positions sizes for the strategy. His 5% Max Loss version traded 2 spread and his 10% Max Loss version traded 5 スプレッド. 、 5% Max Loss version returned 10.19% for the year with a maximum drawdown of 15.68%. 、 10% Max Loss version returned 25.48% for the year with a maximum drawdown of 35.41%.

The Equity Curves

The equity curves Dan provides do a great job of illustrating the steamroller point. Both versions of the strategy were cruising right along when they were suddenly smacked with severe losses in early April. Dan explains that there were actually two huge losses in a row that month.

In order to explain how severe those losses were, Dan provides the returns for the year if those two trades weren’t made. その場合, 、 5% Max Loss version would have returned 20.81% for the year with a 5.82% maximm drawdown. 、 10% Max Loss version would have returned 52.03% for the year with a 13.14% maximum drawdown. Those returns sound great, but they are just wishful thinking because those two big losses actually did happen.

Dan explains that the major flaw with strategies like this is that when things get bad, they do so in a hurry. It is also a concern that the very low point of the equity curve is exactly where most traders would give up on the strategy. If you started trading the 10% Max Loss version with $10,000 in January of 2013, after the two big losses in April you would be left with less than $8,000. Would you have the courage to keep trading?

 

 

Enhancing Forex Returns Through Pyramiding Positions

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The goal of every quantitative trader is to maximize the average profit per trade of their strategy. One way to increase the profitability of both winning and losing trades is through the process of pyramiding positions.

This concept, which was made popular by famous trader Jesse Livermore, allows your system to make a trade prove itself before you commit the entire position size. その方法, if a trade is unprofitable from the start, you are not likely to lose as much as if you had entered the full position all at once.

pyramiding positions

While pyramiding positions is popular among stock traders, the concept is often overlooked by quantitative Forex traders.

An article that was posted by Chris Svorcik on Winner’s Edge Trading last week explored some of the pros and cons of scaling in and out of trades in this manner. The article also covered some of the different ways that this strategy could be implemented by Forex traders.

Different Ways To Pyramid Positions

The first portion of Svorcik’s article explains how pyramiding positions can open up quite a few more options for a given strategy. He explains that a strategy basically has three options: trade immediately, wait to trade on a pullback, or wait to trade on a breakout. Each of these options work better with some specific strategies than others.

What pyramiding does is allows those options to become what Svorcik calls a “trading decision tree.” This means that if your strategy uses a breakout as an entry signal, you can then have a second entry positions that is signaled by either a pullback or second breakout. This way of scaling into a position gives a trader plenty of flexibility to fine-tune a strategy.

Svorcik continues by explaining that the same options exist to scale out of positions. This could mean cutting a position in half as it loses ground, or it could mean taking some profits off the table as a position runs higher. This allows a strategy to implement multiple profit targets or stop-losses.

Svorcik also points out that pyramiding does not have to be used on both sides of a trade. It can be used exclusively for entries, or exclusively for exits if either option improves your strategy.

プロたち & Cons of Pyramiding

利点

明らかに, the biggest positive associated with pyramiding in and out of positions is that your capital will be better protected. This can allow you to keep your losses smaller, while still getting capital into your winning trades.

Another advantage the Svorcik points out is that the use of pyramiding will introduce a new level of flexibility into your trading plan. This should enable it to better handle volatile and changing markets.

Adding a pyramiding component to your strategy will allow you to improve your potential profit 全体的です, while at the same time limiting your overall risk.

不利な点

On the down side, Svorcik points out that pyramiding positions will make your strategy more complicated. That means it will likely require more of your time and attention.

Another negative aspect of pyramiding is that you will be incurring more transactions, which will drive up your implementation costs.

最後に, by pyramiding into winning positions and taking some profits off the table early, you will be costing yourself potential profit. You will have to backtest different pyramiding options to determine if the pros outweigh the cons in your particular situation.

Contemplating Stops: Are They Hurting Your System?

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I tend to be pretty paranoid about risk of ruin. That is why I almost always suggest adding some form of stop-loss protection to the systems I write about. It just makes sense to me that you should do everything possible to protect your trading capital.

Some of the strategies I have profiled seem to leave themselves open to holding large losing positions. My simple solution to this problem is always to add a simple stop-loss component. しかし, that could be detrimental to the overall performance of the system.

A recent guest post on System Trader Success forced me to take a deeper look at whether stops are actually worth using. The post was written by Rob Hanna from Quantifiable Edges.

停止

The logical idea of adding stops to reduce your risk of ruin my actually hurt your system’s overall performance.

Rob explains that he primarily trades mean reversion strategies similar to the ones that Larry Connors has published in his books. He explains that Connors has written about the tendency of stops to reduce overall performance. Rob has done his own research on the topic as well:

When looking to trade overbought/oversold techniques, stops generally don’t work well.

If the system suggests the security should bounce when it drops to $20 and it continues to $18, then it is REALLY overdue for a bounce. Any level of stop ensures you are selling an extremely oversold security that is making a low.

Those are buying conditions for oversold systems – not selling conditions.

The trend following crowd won’t agree with what Rob is saying about a security being “really overdue for a bounce,” but it will make sense to mean reversion traders. Rob also points out a stop strategy that seems to have the least negative impact on his oversold systems:

Wait until the security bounces for a bar or two. Look for a higher high, higher low, and higher close – or at least 2 of those 3.

Then place a stop under the swing low that was just made. In cases like this even if the security doesn’t hit your target exit price, it still ensures that you won’t have to suffer through the entire next leg down.

While it seems logical and can sometimes help avoid catastrophic trades in the long run, you’re normally better off just waiting for the mean reversion to occur and exiting at your target level.

He also makes the point that position sizing is extremely important and suggests using options to place trades instead of stops:

Not using stops does not equal not controlling risk. Position sizing becomes very important.

Traders could also consider using options to trade their short-term positions. Options provide a natural stop (zero).

Rob closes his piece by reminding us that he is specifically talking about mean reversion systems. He agrees that stops can be very effective when used with trend following systems.

The interesting take-away from this piece is that the type of strategy you are trading should be what influences your choice of stop-loss strategy more than your personal risk tolerance. If you are struggling with the risks your system takes, changing strategies might be a better option than adding stops.

貿易お金の管理欲と恐怖

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In my last post, I went over money management issues when building a solid trading strategy. If you did not see the post, you can read it here: 取引戦略のお金の管理を決定します。

Money management is such an important part of your trading system, I thought I would go over some other concerns. There is much more to proper money management than just picking a lot size. As a matter of fact, it is a synergistic relationship between many aspects of your trading system working together and your trading personality.

Here is what I mean…

These are some of the things that need to work together in order for your to have good money management:

  • Your stop loss size
  • Your take profit targets
  • Your win/loss ratio
  • Your risk/reward ratio
  • How many trades you take on an account
  • Your trading personality (More on this below)

All these things need to be working in alignment so you can safely grow your account. Money management is really RISK management and should be approached by focusing on the worst case scenario.

What would happen to my trading system during a losing streak?

わかっています, it is a lot more exciting to focus on how much money you can make. But if you are not prepared for an eventual losing streak, poor money management can quickly eat up your account. But if you only focus on preventing loss, you are going to end up sacrificing gains. And therein lies the problem.

You need to walk a tightrope with your money management so the gains fulfill your GREED and your losses don’t trigger your FEAR.

Poor Money management creates fear

Are you watching the trading screen with fear in your eyes?

Money Management In Terms Of Greed And Fear

You’ve probably heard you need to keep emotions like greed and fear out of your trading. 残念なことに, I think this is impossible. 現実には, you need to learn to live with the emotions of greed and fear, and that has a lot to do with aligning your money management with your trading personality.

Fulfillment Of Greed

Let’s say you have a $10,000 account and only want to trade 0.01 lots per trade with a 50 pip stop loss and 75 pip take profit. This is a very conservative money management strategy. [はい], you would not be risking too much on your trades, but would you be satisfied with the gains? Would you be able to trade like this long term and fulfill your trading goals?

最後に, you need a money management strategy in place that has the potential to fulfill your trading and financial goals. それ以外の場合, you are not going to feel satisfied with the efforts you put into your trading. This can lead to abandoning trading all together, or implementing risky trading practices to look for the profits you are missing.

Avoidance Of Fear

だから, you want a money management strategy that can fulfill your economic goals, but you don’t want to be kept up at night. Any time you place a trade and put real money at risk there is a certain amount of excitement. (Even if you are using an expert advisor to place and manage your trades, you still are emotionally invested in the trading when you look at your account and the results).

しかし, every trade you place can not be “do-or-die”. Trading is a long term activity and you’ll never last if you are overstressed by each trade you place. You need to be able to handle the trading emotionally by not risking too much on any one trade. 本質的に, you need to find a level of fear you can live with.

あなたが見ることができます。, the money management strategy you use is a compromise between wanting to make as much money as possible and not putting your money unnecessarily at risk to the point you cannot sleep at night.

Every trader is different. There is not ONE money management strategy that is right for everyone. This is a personal choice you will have to make for yourselves.

I will say this though…

In my experience with would-be traders, I find most people tend to set their trading goals extremely high. They are either looking for an extremely high win rate, or the ability to make large percentage gains each month on a consistent basis. These goals usually lead to using risky trading and money management techniques.

In order to align your money management with your trading personality, you need to first take a look at your trading personality. Are your goals realistic and achievable?

In most cases, I think it is necessary to lower your expectations for trading and work on using a money management strategy to achieve these lowered goals. (You’d be surprised how much following this one bit of advice can increase your chances of trading success).

In keeping with the money management theme, I want to talk next time about win/loss ratio versus risk/reward ratio. In the meantime, leave comments about money management in terms of greed and fear. Have you ever thought of money management in these terms before?

ベイズ推論を使用して、停止を設定するには

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Most methods for placing stops are based on either money management principles or technical analysis. Using Bayesian Inference is an alternative solution that lets you update your stops periodically to account for new price data. This assures that you always have a mathematically optimal stop set.

How Bayesian Stops Work

Bayesian Inference allows you to make a prediction about an uncertain future event and then adjust the probability of that prediction happening as more data is introduced. Applied to trading, Bayesian Inference allow us to project an expected positive outcome of a position as we establish it, and then adjust our expectations as time passes and more price data is introduced.

In a perfect world, every position we establish would move in a straight line from our entry point to our target profit point, increasing the same amount each day. 明らかに, this doesn’t happen.

If we break down that ideal daily increase, we can use Bayesian Inference to determine the probability of getting to our original target based on where a position actually is relative to its ideal position. We can use that information to mathematically determine when our position has strayed too far from its expected path.

How Bayesian Stops Are Calculated

The first step in calculating where to place your Bayesian stops is to determine your initial position, target price, and expected time frame.

As a system trader, I don’t like the idea of forecasting prices. In order to apply this idea to system trading, I replaced the idea of “forecasting” と “projecting backtesting results.” This means that we are using fact based, tested numbers for our projections, not pulling numbers out of the clouds.

Once we have those numbers, we can calculate our ideal path with respect to whatever timeframe we are trading. This is done by dividing the projected profit by the time frame. We will also need to estimate the price range that will compose the middle 50% of our prior probability bell curve.

After the first time period passes and we receive our first data point, we can plug that into our Bayesian probability formula to calculate the mean of the posterior probability distribution.

The Bayesian formula looks like this:

Posterior Probability = ( Probability of E given H * Prior Probability) / Marginal Likelihood

While breaking down this formula in depth can be an enjoyable way to spent a weekend for a stats nerd like myself, you could also google “bayesian stop excel spreadsheet” and download a spreadsheet that will do all of the complicated math for you.

When all of the complex math is behind us, we just need to make sure that the mean of the posterior probability distribution stays above the ideal path that we projected. Our stop is the point where the mean posterior probability distribution drops below the ideal path. その時点で, our trade is mathematically too far removed from the projected path to recover.

Example Using The 10/100 SPY System

Since I just wrote about the backtesting results of the 10/100 SPY Long Only System, let’s use that as an example.

The system last gave a buy signal on December 7, 2012. The price on that day (adjusted) was 140.78.

Backtesting results have shown that the 10/100 system has an average profit of 3.2% and an average trade length of 12 週間. Using that data, we can expect the system to increase 4.51 以上 12 週間, または .38 / week.

By pulling the historic price data, we can put together the following chart:

Bayesian probabilities

A spreadsheet helps to calculate the Bayesian probabilities

あなたが見ることができます。, in each of the first four weeks of this trade, the mean of the posterior distribution was higher than the ideal path we projected. This held true even after the third week when the position was showing a loss. As we all know, this trade ended up being extremely successful.

利点 & Disadvantages For System Traders

あなたが見ることができます。, using Bayesian Inference to set stops could be very beneficial to a systems trader. It gives us the ability to take the results of our historical backtesting and project those results forward.

It also gives us the ability to establish trailing stops that will always be adjusted to the mathematically optimal position based on what the market is actually doing.

反対に, this method implements some extremely complicated statistical analysis. This goes against the simplicity that is the root of most trading system approaches.

There is also a strong possibility that anyone implementing this method will not give enough respect to the fat tail, or black swan, events that actually happen far more often than a standard distribution says they should. したがって, this could end up being an overly risky method.

取引戦略のお金の管理を決定します。

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これまで私たちはあなたの取引システムの仕組みを特定した固体取引システムの構築については、このシリーズで. それによって私が意味します… あなたが取引を行っているとき、, 貿易どのようなタイム フレーム, 市場に取得するとき, ここであなたの最初のストップロスを入れて、利益を取るために、どのように配置された後、あなたが取引を管理しようとしています. 今では、任意の取引システムの最も重要な部分について少し話をする時間であります… お金の管理.

あなたのお金の管理戦略は成功と失敗の違いを意味することができます.

私はまったく同じ取引システムのルールを与えた場合 (お金の管理なし), 二つの異なるトレーダーに, 各トレーダーは非常に異なる結果になるだろう. 他の自分のアカウントを吹き出すながら1トレーダーは非常に有益であることが可能です. 違いは、彼らが使用するお金の管理戦略です. お金の管理は、あなたの取引システムの最も重要な側面である理由はここにあります.

お金の管理は、基本的にはリスク管理であります. 取引を見ての初心者方法は、あなたが作るこ​​とができますどのくらいのお金に焦点を当てることです. より専門的なアプローチは、あなたが失うことができるどのくらいのお金に焦点を当てることです. 私の考えでは, それはあなたの収益の期待を下げ、少ないお金を失うことに注力するのが最適です.

資金管理

バンジージャンプは、合理的の反対で (ボーリング) お金の管理

だから, 各取引上のリスクをどのくらいのお金を行います? 結局のところ, あなたが市場に入るときに使用しようとしているロットサイズを把握する必要があります. この決定を行う際に考慮すべきことがたくさんがあります.

お金の管理の考慮事項

アカウントの残高:

トレーダーは自分の取引口座のサイズに応じてお金の管理に異なるアプローチを取るように見えます. 小さなアカウントを持つトレーダーは、積極的になる傾向があります, 大きなアカウントを持つトレーダーが保守的になりがち. (私のアドバイスは、あなたが大規模なアカウントで快適な取引を感じるお金の管理戦略を採用することです, 関係なく、あなたの開始アカウントサイズの).

ストップロスサイズ:

あなたのストップロスを使用すると、貿易に危険にさらして喜んでいるピップの数を決定. この値は、あなたのリスク戦略にフィットするPIPごとに使用することができますどのような多くのサイズを決定するために使用されます. たとえば, あなただけのリスクにしたい場合 $200 そして、使用 20 ピップを停止, 各ピップは、の値を持つことができます $10.

テイク利益サイズ:

あなたが得ることを望むものに危険にさらして喜んでいるものとの関係は、あなたのリスクは比に報いることです. 良い全体的な戦略を考慮して、これら2つの値をとる必要があります (損失の大きさを停止し、利益の大きさを取ります), 正開始リスクを確実にするために報いるために.

一度に置いてどのように多くの取引:

一度に複数の取引を服用している場合, これはあなたの全体的な戦略に分解する必要があります. 一度に配置することができる取引の最大数をしながらあなたは各取引のためのお金の管理を把握する必要があります. たとえば, あなたが使用したい場合 2% 貿易とテイクごとの残高の 5 当時の取引… あなたが本当に危険にさらしています 10% 任意の時点でアカウントの.

通貨ペア:

別の通貨ペアが異なるピップ値を有します. それはどこ必ずしもそうではありません 0.01 たくさんの等号 $0.10, 0.1 たくさんの等号 $1 と 1.0 たくさんの等号 $10.

あなたのリスク許容度:

明らかに, これは個人的な選択であります. 一部の人々は他よりもより多くのリスクを扱うことができます. あなたはあなたの取引の性格とあなたのお金の管理戦略を揃える必要があります. あなただけのリスク管理とあなたの人格の間の良好な適合は時の試練に立ちます.

4 一般的なお金の管理戦略

ここにあります 4 単純明快なリスク管理戦略…

固定ロット:

あなたは、単にそれぞれの貿易のための固定ロットサイズを決めます, ような 0.02 取引あたりのロット. これは、すべてのメソッドの最も単純ですが, それはその問題を持っています. たとえば, 使用ストップロスの大きさに応じて, リスクは、取引ごとに異なっています. (貿易 20 との貿易よりも実質的に低いストップロスリスクピップ 80 ピップの損失を停止).

あなたが使用固定ロットを使用した場合, それは非常に保守的な設定を使用することをお勧めします. あなたが高すぎるロットサイズを使用する場合, あなたが連敗を打つとき、あなたは簡単にトラブルに取得することができます.

固定金額:

あなたが各取引のために危険にさらして快適に感じるの金額を決定することができます. たとえば、あなたは危険でした $100 1 トレード当たり, アカウントの残高が許可されている場合. ストップロスの大きさに応じて, あなたは、に対応するロットサイズを把握する必要があります $100.

この方法は、感情的に役立ちます. あなたはあまりにも多くのストレスを生成しない金額を選択した場合, 各取引は、潜在的な損失の点で同じです. 一つの貿易は別のより多くの重要性を取ることはありません.

Xロット毎のYバランス:

あなたは、あなたの口座にドル量当たりの特定のロットサイズを使用することを決めることができました. たとえば, あなたが使用したいと言うことができます 0.01 ロットあたり $1000 アカウント内. この方法では, アカウントの残高が増加するにつれて、たくさんのサイズが大きくなります. ときにあなたのアカウントに達します $2000, あなたが取引を開始します 0.02 たくさん.

あなたのアカウントにご出発のバランスを取る必要があります, 典型的なストップロスの大きさ, 一度にかかる​​どのように多くの取引, など. あなたは、任意の時点であなたのアカウントのあまりを危険にさらしていないことを確認して. アカウント最悪のシナリオを考慮することなく、このような戦略を使用してにジャンプしないでください… あなたは任意の日に配置されたすべての取引を喪失場所, または連敗を打ちます.

取引毎の一定割合:

あなたは危険に喜んでトレードあたりの割合を決めるところです. たとえば, あなたが危険にしたいと言うことができます 2% 1 トレード当たり. あなたが取る 2% アカウントの残高の、あなたがトレードごとに使用することができピップあたりのロットサイズを把握するためにあなたのストップロスで割り.

各取引が比例同じ値を持っているので、このアプローチは、プロのトレーダーに人気があります, 使用ストップロスとは無関係. のストップロスとの貿易 20 ピップとの貿易と同じです 200 リスクのあるアカウントのパーセンテージの観点ピップ. プラス残高の増加に伴って, ので、あなたのロットサイズと潜在的な利益はありません.

お金の管理が大きなトピックです, これは長くなっています. 私は他の側面に触れるために別のポストと、このトピックの重要性をしなければならないつもりだと思います. 私は、取引戦略のエントリがよりエキサイティングなことを知っています, それはあります “退屈な” あなたの取引システムの成功にすべての違いを意味することができますお金の管理のトピック.

あなたが追加するお気に入りの資金管理戦略か何かを持っている場合, コメントを残して、それを共有してください. 何 お金の管理 戦略は、あなたの取引の性格に最適です?