risk management Archives - アルゴリズムと機械の外国為替戦略

リスク管理 – HOLDにすると決定, いつ倍

10 月 10, 2014 によってエディ・花 5 コメント

There’s a proverb among old forex traders: If you put two newbies in front of the same trading screen and arm them with the same tools, and if each takes the opposite side of a given trade, both will probably lose money, regardless of the final direction of the price move.

まだ, if you put two highly-experienced traders into positions in opposite directions, very often both of them will win the trade or at least break even, in spite of their contradictory trading positions.

なぜ?

The difference between rookie traders and pros is risk management. In the trading game, successful risk management is the key to survival. Many beginning traders pay lip service to the idea of managing risk effectively, yet few have the discipline to follow through entirely, even with the power of mechanical trading systems.

Regardless of the exact forex trading strategy or system, loss-taking is a critical component for long-term success.

Any forex newbie can exit from winning trades, but it takes an experienced trader to slip out of losing trades relatively unscathed. In this article I’ve outlined several perspectives on risk management strategies used by successful forex traders across a wide range of markets.

Forex risk management

Most forex traders have a clear idea of their own investment objectives and tolerance for risk. と, most already know that appropriate risk management is crucial for success in any form of trading.

The best trading risk management means using a standard process to identify and analyze risks, then either accepting, mitigating, or rejecting them. For traders, it comes down to finding and assessing opportunities, then quickly acting on or declining those trades.

Basic risk management is two simple steps – Discovering and determining the risks within an investment, then responding to those risks in the best possible way to meet the investment objectives.

Some risks are considered intrinsic risks, or built into the system, while other types of risks are extrinsic in origin. 任意のイベントで, forex traders have a variety of tools and metrics for assessing risks and setting parameter values. From that point onward, it’s up to the mechanical trading system to work its magic.

Mechanical risk management

Even when relying on mechanical systems, successful traders must be well disciplined and adhere to carefully-planned forex risk management and trade-exit strategies. That’s because people have a natural emotional aversion to taking trading losses, even when necessary.

Mechanical trading systems can help manage risks by better choosing and executing trades, and constantly monitoring positions. They add a layer of impartiality to lightning-fast analysis and trade execution. まだ, there is always room for human error in system design.

Speed plus reduced human oversight equals an increased possibility of trading loss. Mechanical risk management methods must be carefully vetted and tested before they’re implemented.

Most traders are closely focused on the “front end” of forex trading, それです, how to find a winning trade and enter a position at the right point. Other than basic stop-loss orders, few traders think carefully about how best to exit from the trade.

For the long-term survival of any trading system, 手動または機械かどうか, the most important issue is how and when to exit from trades. Although less glamorous than the work of crafting a winning entry strategy, the task of building a successful risk management and exit strategy is crucial for success.

Lose your bad trades as soon as possible

Most traders are already aware of the mathematical difficulty of overcoming losses – As shown in the drawdown in Table 1 以下, the more the trading-account equity is drawn down, the higher the percentage of subsequent gains required simply to break-even.

Table 1

Lose 25%, must regain 33% とんとん
Lose 50%, must gain 100% とんとん
Lose 75%, must gain 400% とんとん
Lose 90%, must gain 1000% とんとん

たとえば, after losing 50% 取引口座の株式の, the eventual winning trades would need to earn 100%, すなわち. double the account size, simply to break even. 悪化, at a 75% drawdown level, a trader would need to quadruple his or her account equity just to reach its original level.

明らかに, very few traders could achieve such a comeback. It’s far better to manage drawdowns by exiting each trade appropriately. Taking each loss at the optimal time allows the trader to stay in the game as long as possible, even after a long string of losing trades.

The runaway loss

Most traders have heard war stories about a single bad forex trade eating up days, months or even years of profits in one gulp. When a runaway loss occurs, it’s more likely the result of error in human judgment rather than from a glitch in the mechanical trading system.

通常, catastrophic losses result from poor or non-existent risk management, failure to use “hard” stop-loss orders, and multiple trades in which the losses from the average losers are greater than the gains from the average winners.

A runaway loss shows lack of discipline. Instead of becoming enchanted by the dream of scoring “one big winner,” the more prudent strategy for trader survival is to focus on avoiding big losses.

The Golden Rule of Risk Management: Position risk limit

Ironclad stop-loss orders prevent runaway losses. According to the trader’s appetite for risk, the mechanical trading system can set risk limits according to account equity, position size and other parameters, as described later in this article.

Many forex traders advocate a “Golden Rule” of risk management based on position size or position risk limit. They recommend the at-risk account equity should never be more than 1% (conservative) または 2% (liberal) on any single trade position.

From a psychological standpoint, the trader can be indifferent to the outcome of any particular trade when only one or two percent of the account equity is at stake.

と, from a mathematical perspective, it’s important to point out that by risking only 1% 宛先 2% per trade the system can lose repeatedly without approaching the drawdown levels shown in Table 1 上記.

Regardless of the mechanical forex system being used, the trader should use only speculative capital. When asked by newbie traders how much money they should use to trade a given system, one well-experienced trader recommends choosing a funding amount which if entirely lost wouldn’t affect the newbie’s sleep at night.

Risk management styles

There are two general styles of successful risk management. Some managers refer to these opposite styles as either the “home run” approach or the “singles and doubles” approach.

1 つの手, a forex trader may choose to take frequent small losses and break-evens while working to harvest all profits from the relatively few big winning trades. または, a trader may decide to seek many little gains and use infrequent but relatively large stop-losses with a system designed to accumulate the small profits and outweigh the losses.

The trading psychology is more important than the mechanical trading strategy itself. Taking many small losses tends to cause numerous painful twinges, interspersed with occasional moments of pure ecstasy.

対照的に, the “singles and doubles” risk management style offers plenty of minor joys, punctuated by some nasty psychological blows.

The best choice of trading style largely depends on the trader’s personality. A new trader will usually quickly discover which general style best fits his or her personality.

One of the major benefits of forex trading as compared with stock trading is that the forex marketplace easily accommodates both types of trading styles, using many different trading systems.

Since currency pairs trading is a spread-based marketplace, traders shouldn’t be too constrained by the number of round-trip transactions required by any given strategy.

たとえば, in the EUR-USD market, traders might find a 3-pip spread that’s the same as the cost of three one-hundredths (3/100) of one percent (1%) of an underlying position. This cost is generally uniform, in terms of percentage, regardless of whether the trader is dealing with one-million-unit lots or 100-unit lots of the same currency.

だから, if a given trading strategy required 10,000-unit lots, the amount of the spread would be $3, yet for that same trade executed only using 100-unit lots, the spread would be a tiny $0.03.

This is in sharp contrast to the stock market, where the commission on 1000 shares or 100 shares of a stock valued at, 言う, $20 might be fixed at a total commission of $40.

That means the effective commission cost for the stock-market transaction might range between 0.2% 宛先 2%, thus affecting the trader’s choice of risk management style.

Variability in commission percentages makes it difficult for small traders in the stock markets to scale into their positions because of these skewed commission costs. まだ, forex traders benefit from uniform pricing, so they can use either risk management style.

This freedom of risk management style has drawn many independent traders away from equity markets to forex markets.

4 basic types of stops

Another foundational choice to be made by forex traders based on personality and trading strategy is the type of stop to be used for risk management. There are four basic types of stops:

Equity stop

An equity stop is the simplest type of stop for mechanical trading systems. For any given trade entry, the system calculates a fixed percentage of the account equity, usually between 1% と 2%, as outlined earlier in this article.

たとえば, for a $10,000 forex account, the trader’s system could risk up to $200, or up to 200 点数, on a single mini lot (の 10,000 単位) of the EUR-USD currency pair, or up to 20 points on the standard lot with 100,000 単位.

Aggressive traders sometimes consider 5% equity stops, それです, a position risk size of not more than 5% 口座の株式の. This limit is often considered the upper limit for prudent risk management.

Recalling the equity drawdown shown in Table 1 上記, it can be seen that with a 5% equity stop 10 consecutive losing trades will cause a 50% drawdown in the trading account.

また, it should be said that the biggest drawback of using an equity stop is it enforces an arbitrary exit point based on risk management alone, instead of exiting the market as a logical response to price movements.

まだ, mechanical trading systems can thrive by using equity stops, especially when combined with other indicators to confirm trading signals.

Chart stop

Mechanical trading systems and expert advisors (EA) use a myriad of technical indicators to generate hundreds or thousands of potential stop levels. The best risk management methods combine the features of both equity stops and technical indicators to calculate chart stops.

One typical example of the chart stop is a swing high/swing low level. 下のグラフで, 、 $10,000 trading account with a mechanical system using a chart stop might sell one lot and risk 150 点数, について 1.5% of the account’s equity.

Volatility stop

Mechanical trading systems often rely on more sophisticated logarithms to calculate risk parameters based on volatility instead of price movements alone. In any high-volatility marketplace, where prices show wide ranges, the trading system must adapt to the ambient volatility.

This helps the trader avoid being stopped out prematurely by market “noise.” And, the same holds true in low-volatility markets, where the system should constrict the risk parameters in order to avoid giving back profits before successfully exiting from positions.

One of the easiest ways to monitor volatility is by using Bollinger Bands, which rely on standard deviation calculations to measure variations in price. The two charts below illustrate high volatility and low volatility stop levels by using Bollinger Bands.

As seen in the first chart, a volatility stop lets the trading system employ a scale-in method in order to achieve better overall blended pricing and a quicker break-even level.

もちろんです, since total position risk shouldn’t be more than 2% of the equity in the trading account, the system choose smaller lot sizes to best fit the total position risk.

Margin stop

A margin stop is a form of risk management used by some cautious traders to reduce the risk and psychological pressure when beginning to trade an entire account by using a single new strategy or system. If used carefully, it can be effective in most markets.

Since forex markets operate twenty-four hours per day, it means that forex dealers could liquidate traders’ positions fairly quickly in case of margin calls. このために, forex customers are rarely in danger of generating a negative balance in their account, since computers automatically close out all positions.

The margin-stop risk management strategy is based on the trader’s total capital being divided into various allotments for each of one or more new or different trading strategies and systems.

たとえば, assume the trader is investing a total of $10,000 into forex trading, and he or she wishes to focus individually on trying 5 different trading systems and strategies in order to determine objectively which is the best “fit” for the trader.

だから, the trader will open the forex account by wiring only $2000 from his or her bank account, assuming that each of the 5 receives the same funding proportion. If a forex broker offers leverage of 100-to-1, 、 $2000 deposit might allow the trading system to control two standard 100,000-unit lots.

さらに良い, depending on the trader’s risk tolerance and management, the system may trade using a 50,000-unit lot position. That might allow room for as much as 100 点数.

As successive strategies are funded and launched exclusively, it’s easier to account for wins and losses due to individual approaches. It allows developers to refine their systems. と, traders enjoy more peace of mind by knowing that an unforeseen “blowup” won’t terminate their trading.

任意のイベントで, the primary purpose of the margin stop is to prevent a runaway loss from occurring during the launch of a new strategy or trading system. It also helps enforce discipline in risk and money management.

Know when to hold and when to fold

結論としては, it can be said that trading success is based on surviving losing trades long enough to finally develop a consistently-winning system. Each forex trader should carefully consider his or her risk tolerance, and craft a risk management strategy to fit.

Mechanical trading systems make it easy to find good entry points, yet it’s just as important to have a sold risk management strategy, plus the tools to determine an exit point immediately after entering any position.

結局その程度です, taking the right loss at the right time is a necessary part of the game.

What are your thoughts about losses?

タートル取引戦略への総合ガイド

3 月 31, 2014 によってエディ・花 16 コメント

タートルトレーディング トレンド以下の戦略の家族に与えられた名前です. 価格は短期的なチャネルから抜け出すときに取引を入力するための単純な機械的なルールに基づいています. 目標は最初から長期的なトレンドに乗ることです.

タートル取引は良いトレーダーは、生来の才能を持って生まれたかどうか議論された2つの先駆的な先物トレーダーによって1980年代の実験から生まれました, または誰もが正常に取引するように訓練することができるかどうか. カメはシンプルを開発, 任意の規律のトレーダーが使用することができ、機械的取引システムを受賞, かかわらず、これまでの経験の.

「亀の取引」の名前は、いくつかの可能な起源に起因しています. 私にとって, それは、このシステムから「遅いが、必ず「結果の典型. 複雑なブラックボックスのシステムとは対照的に, カメの取引ルールでは、独自のシステムを構築するのに十分なため、シンプルで簡単です — 私は非常にお勧めします.

カメの取引の最も初期の形式は手動でした. と, 彼らは移動平均とリスク制限の面倒な計算を必要と. まだ, 今日の機械的なトレーダーは、成功した取引にそれらを導くために亀のパラメータに基づいてアルゴリズムを使用することができます. いつものように, 取引成功の鍵は、一貫性のある分野であります.

どの市場はカメ取引のための最適です?

あなたの最初の決定はトレードするためにどの市場であります. タートル取引は、流動性の高い市場の長期的なトレンドの開始時にスポッティングし、乗ってジャンプに基づいています, 通常先物. 長期的なトレンドの変化はまれであるので、, あなたは十分な取引の機会を見つけることができる流動性の高い市場を選択する必要があります.

私のお気に入りは、CMEにあり: Agriculturalsについて, 私はトウモロコシが好き, 大豆, ソフト赤冬小麦. 最高の株式指数は、E-ミニSです&P 500, E-ミニNASDAQ100, E-ミニダウ. エネルギーグループで, 私は、E-ミニ原油が好き (CL), E-ミニnatgasとヒーティングオイル.

と, 外国為替で, それは、AUD / USDです, CAD / USD, ユーロ/米ドル, GPB / USD, そして、円/ドル. デリバティブの金利グループから, 私はユーロダラーが好き, T-ボンズ, そして、5年債（注）. 最後に, 金属で最良の候補は常にゴールドです, 銀、銅.

カメの取引が成功したエントリ信号の限られた数との長期的な仕事であるので、, あなたは先物のかなり広いグループを選択する必要があります. これらは、上記の私のお気に入りです, 彼らは非常に液体なら他の人が同様に動作しますが、. たとえば, 過去に私はユーロ・ストックス取引きました 50 優れた結果と先物.

また, 私は、最も近いヶ月の契約を取引, 彼らは、有効期限の数週間以内でない限り. 上記のすべて, それは一貫性が決定的に重要です. 私はいつも見て、同じ先物を取引.

ポジションサイズ

カメの取引に, あなたがヒット、各ホームランのために何回も三振ます. それです, あなたはすぐに停止することがあります、そこから取引を入力するために、多くの信号を受信します. しかし, それらのいくつかの機会にあなたは正しい時, あなたはでの優勝取引を入力することがあります 正確に正しい瞬間 - トレンドの長期的な変化の始まり.

だから, リスク管理のためのあなたの生存率は、右の位置・サイズを選択するに依存します. あなたはホームランを打つ前にストップアウトにお金が不足しないことを確認するために、機械的な取引システムをプログラムする必要があります.

ボラティリティに基づいて定割合リスク

カメの取引におけるキーは一定のままボラティリティベースのリスク・ポジションを使用することです. それは契約の各タイプのドル価値に応じて自分の位置のサイズを調整することで、ドルのボラティリティを滑らかにするようにあなたの位置サイズのアルゴリズムをプログラム.

これは非常によく動作します. 亀のトレーダーは少ないのいずれかで構成された位置に入り、, より、高価な契約, あるいはそれ以上, あまり高価な契約, 関係なく、特定の市場における根本的なボラティリティの.

たとえば, 時亀取引が必要なミニ契約, 言う, $3000 余白に, 私はそのような契約を売る/買います, 私が必要とする先物契約で位置を入力するときには $1500 余白に, 私は買い/売り 2 契約.

この方法は、異なる市場での取引は、特定のドルの損失や利益のために同様のチャンスを持っていることを保証します. 指定された市場のボラティリティが低い場合でも、, あなたはそれより少ない揮発性、将来のより多くの契約を保持しているので、市場で成功した亀の取引を通じて、あなたはまだ大きな勝ちます.

計算し、ボラティリティを活用する方法 - 「N」の概念

文字を使用する初期のカメ N 市場の根本的なボラティリティを指定します. Nは指数移動20日間の真の範囲として計算されます (TR).

簡単に説明, Nは特定の市場における平均単日の価格の動きであり、, オープニングギャップを含みます. Nは、先物契約と同じ単位で記載されています.

あなたは、このような真の範囲を計算するために、あなたのカメの取引システムをプログラミングする必要があります:

真の範囲は、より多くのを=: 今日の高いマイナス今日の低いです, または、今日の高いマイナス前日の終値, または前日の終値マイナス今日の低. 要するに:

TR = (最大) TH – TL; またはTH – PDC; またはPDC – TL

デイリーNは次のように計算され: [(19 X PDN) + TR] / 20 (PDNは、前日のNであり、TRは当日の真の範囲です。)

式は、Nのために前日の値を必要とするので, あなたが最初の計算は単純な20日間の平均であることから始めましょう.

ボラティリティのために調整することで、リスクを制限します

位置のサイズを決定するために、, そのN値の面で根本的な市場のドルのボラティリティを計算するためのプログラムあなたのカメの取引システム. それは簡単です:

ドルのボラティリティ= [契約額のポイントごとドル] X N

私が「正常な」リスク嫌悪を感じる時間の間に, 私は設定します 1 に等しいとしてのN 1% アカウントの株式の. と, during times when I feel more risk-averse than normal, or when my account is more drawn-down than normal, 私は設定します 1 に等しいとしてのN 0.5% アカウントの株式の.

The units for position size in a given market are calculated as follows:

1 unit = 1% of account equity / Market’s dollar volatility

Which is the same as:

1 unit = 1% of account equity / ([契約額のポイントごとドル] X N)

Here’s an example for Heating Oil (HO):

Day High Low Close TR N

1 3.7220 3.7124 3.7124 0.0096 0.0134

2 3.7170 3.7073 3.7073 0.0097 0.0132

3 3.7099 3.6923 3.6923 0.0176 0.0134

4 3.6930 3.6800 3.6838 0.0130 0.0134

5 3.6960 3.6736 3.6736 0.0224 0.0139

6 3.6820 3.6706 3.6706 0.0114 0.0137

7 3.6820 3.6710 3.6710 0.0114 0.0136

8 3.6795 3.6720 3.6744 0.0085 0.0134

9 3.6760 3.6550 3.6616 0.0210 0.0138

10 3.6650 3.6585 3.6627 0.0065 0.0134

11 3.6701 3.6620 3.6701 0.0081 0.0131

12 3.6965 3.6750 3.6965 0.0264 0.0138

13 3.7065 3.6944 3.6944 0.0121 0.0137

14 3.7115 3.6944 3.7087 0.0171 0.0139

15 3.7168 3.7100 3.7124 0.0081 0.0136

16 3.7265 3.7120 3.7265 0.0145 0.0136

17 3.7265 3.7098 3.7098 0.0167 0.0138

18 3.7184 3.7110 3.7184 0.0086 0.0135

19 3.7280 3.7200 3.7228 0.0096 0.0133

20 3.7375 3.7227 3.7359 0.0148 0.0134

21 3.7447 3.7310 3.7389 0.0137 0.0134

22 3.7420 3.7140 3.7162 0.0280 0.0141

For HO the dollars-per-point is $42,000 because the contract size is 42,000 gallons and the contract is quoted in dollars.

Assuming a turtle trading account size of $1 百万円, the unit size for the next trading day (Day 23 in the above series) as calculated using the value of N = .0141 for Day 22 は:

Unit size = [.001 x $1 百万円] / [.0141 x 42,000] = 16.80

Because partial contracts can’t be traded, in this example the position size is rounded downward to 16 契約. You can program your algorithms to perform N-size and unit calculations weekly or even daily.

Position sizing helps you build positions with constant volatility risk across all the markets you trade. It’s important to turtle-trade using the largest account possible, even when you’re trading only minis.

You must ensure that the fractions of position size will allow you to trade at least one contract in each market. Small accounts will fall prey to granularity.

The beauty of turtle trading is that N serves to manage your position size as well as position risk と total portfolio risk.

The risk-management rules of turtle trading dictate that you must program your mechanical trading system to limit exposure in any single market to 4 単位, your exposure in correlated markets to a total of 8 単位, and your total “direction exposure” (すなわち. long or short) in all markets to a maximum total of 12 units in each direction.

Entry timing when turtle trading

The N calculations above give you the appropriate position size. と, a mechanical turtle trading system will generate clear signals, so automated entries are easy.

You’ll enter your chosen markets when prices break out from Donchian channels. Breakouts are signaled when the price moves beyond the high or low of the previous 20-day period.

In spite of the round-the-clock availability of e-mini trading, I only enter during the daytime trading session. If there’s a price gap on open, I enter the trade if the price is moving in my target direction on open.

I enter the trade when the price moves one tick past the high or low of the previous 20 日.

しかし, here’s an important caveat: If the last breakout, 長いか短いかどうか, would have resulted in a 勝利貿易, I do not enter the current trade.

It doesn’t matter whether that last breakout wasn’t traded because it was skipped for any reason, or whether that last breakout was actually traded and was a loser.

と, if traded, I consider a breakout a loser if the price after the breakout subsequently moves 2N against me before a profitable exit at a minimum 10 日, as described below.

To repeat: I only enter trades after a previous losing breakout. As a fallback to avoid missing out on major market moves, I can the trade at the end of a 55-day “failsafe breakout” period.

By adhering to this caveat, you will greatly increase your chance of being in the market at the beginning of a long-term move. That’s because the previous direction of the move has been proven false by that (hypothetical) losing trade.

Some turtle traders use an alternative method which involves taking すべて breakout trades even if the previous breakout trade lost or would have lost. しかし, for turtle trading personal accounts I have found that my drawdowns are less when adhering to the rule of only trading if the previous breakout trade was or would have been a loser.

Order size

When I receive an entry signal from a breakout, my mechanical trading system automatically enters with an order size of 1 unit. The only exception is when, as mentioned above, I’m in a period of deeper-than-usual drawdown. その場合, I enter ½ unit size.

次, if the price continues in the hoped-for direction, my system automatically adds to the position in increments of 1 unit at each additional ½ N price movement while the price continues in the desired direction.

The mechanical trading system keeps adding to my holding until the position limit is reached, say at 4N as discussed earlier. I prefer limit orders, although you can also program the system to favor market orders if you wish.

Here’s an example entry into Gold (GC) 先物:

N = 12.50, and the long breakout is at $1310

I buy the first unit at 1310. I buy the second unit at the price [1310 + (½ x 12.50) = 1316.25] rounded to 1316.30.

その後、, if the price move continues, I buy the third unit at [1316.30 + (½ x 12.50 = 1322.55] rounded to 1322.60.

最後に, if gold keeps advancing I buy the fourth, last unit at [1322.60 + (½ x 12.50) = 1328.85] rounded to 1328.90.

In this example the price progress continues in such a short time period that the N value hasn’t changed. 任意のイベントで, it’s easy to program your mechanical trading system to keep track of everything on-the-fly, including changes in N, position sizes, and entry points.

Turtle trading stops

Turtle trading involves taking numerous small losses while waiting to catch the occasional long-term changes in trend which are big winners. Preserving equity is critically important.

My automatic turtle trading system helps my confidence and discipline by removing the emotional component of trading, so I’m automatically entered in the winners.

Stops are based on N values, and no single trade represents more than 2% risk to my account. The stops are set at 2N since each N of price movement equals 1% アカウントの株式の.

だから, for long positions I set the stop-loss at 2N below my actual entry point (order fill price), and for short positions the stop is at 2N above my entry point.

To balance the risk when I add additional units to a position which has been moving in the desired direction, I raise the stops for the previous entries by ½ N.

This usually means that I will place all my stops for the total position at 2 N from the unit which I added most recently. まだ, in case of gaps-on-open, or fast-moving markets, the stops will be different.

The advantages of using N-based stops are obvious – The stops are based on market volatility, which balances the risk across all my entry points.

Exiting a trade

Since turtle trading means I must suffer many small “strike-outs” to enjoy relatively few “home-runs,” I’m careful not to exit winning trades too early.

My mechanical trading system is programmed to exit at a 10-day low on my long entries, and at a 10-day high for short positions. If the 10-day threshold is breached, my system exits from the entire position.

The mechanical trading system helps overcome my greed and emotional tendency to close out a profitable trade too early. I exit using standard stop orders, and I don’t play any “wait and see” games…. I let my mechanical trading system make those decisions for me.

It can be gut-wrenching to watch my account fatten dramatically during a major market move with a winning trade, then give back significant “paper gains” before I’m stopped out. まだ, my pet mechanical trading system works very well.

Turtle trading algorithms offer a quick way to build your own do-it-yourself mechanical trading system which is simple, easy-to-understand and effective.

If you have the discipline to keep your hands off and let your mechanical trading system do its job, turtle trading may be your best choice.

結局その程度です, turtles are slow, but they usually win the race……

機械取引システムと勝つ方法

3 月 18, 2014 によってエディ・花 13 コメント

多くのインクは、機械的な取引システム故障の原因を特定することに専念してきました, 実際には、特に後. それは矛盾に見えるかもしれませんが (または, 一部のトレーダーに, 単に低能), なぜこれらの取引のシステムが失敗する主な理由はハンズフリーにあまり依存しています。, メカニカルトレーディングの火災を忘れて自然. アルゴリズム自身ない客観的人間監督と市場環境の変化に伴い進化システムのために必要となる介入.

機械的な取引システム障害, またはトレーダーの失敗?

取引システムの障害を嘆くのではなく, 建設的なトレーダーが両方の世界のベストを持つことができる方法を検討するは: それです, トレーダーは、アルゴリズムで管理された機械的な取引システムの利点を楽しむことができます。, 矢継ぎ早の自動実行など取引の決定の感情解放, まだ失敗と成功について客観的な思考の人間に生来の能力を活用しながら.

すべてのトレーダーの最も重要な要素は、人間の能力進化. トレーダーすることができます変更し、財政的にまたは感情的に壊滅的な損失になる前に勝ち続けるために彼らの貿易システムを適応.

右のタイプと量をテストするための市場データを選択します。

成功したトレーダーは、市場の短期的な非効率から利益を収穫するのに反復的な規則のシステムを使用します。. 小型用, 有価証券及びデリバティブ取引の大きな世界で独立したトレーダー, スプレッドが薄いと競争激しい, 利益のための最高の機会は、スポッティングに基づく市場の非効率性から来る, 簡単に定量化するデータ, 可能な限り迅速に行動し、.

トレーダーが開発し、動作履歴データに基づく機械的な取引システム, 彼または彼女は、現在の市場の非効率性が引き続きアイデアに基づいて将来の利益を望んでいます。. 間違ったデータを設定または不適切なパラメーターを使用して、データを限定トレーダーを選択した場合, 貴重な機会が失われることがあります。. 同時に, 履歴データが存在しなく、非効率で検出されます。, その後、取引システムが失敗します。. なぜそれが消えた理由は機械のトレーダーに重要ではないです。. 結果問題のみ.

作成し、機械的な取引システムをテストするデータセットを選択するときに最も適切なデータセットを選ぶ. と, 取引ルールの市場条件の広い範囲の下で一貫した動作かどうかを確認するのに十分な大きさのサンプルをテストするために, トレーダーは、テストデータの最長期間を使用する必要があります。.

だから, 設計パラメーターの最も簡単なセットと同様、両方の可能な最も長く歴史的データセットに基づいて機械的な取引システムを構築するようにします. 堅牢性は多くのタイプの市場の条件に耐える能力を考慮して一般的に. 堅牢性を過去のデータと単純なルールの長い時間範囲にわたってテストシステムに固有にする必要があります。. 長時間にわたるテストと基本的なルールは、将来的に潜在的な市場条件の広い配列を反映すべき.

履歴データは明らかにすべての将来のイベントを含まれないために、すべての機械的な取引システムは最終的に失敗します。. 歴史データで作成されたすべてのシステムは最終的に歴史に無関心な条件を発生します。. 人間の洞察力と介入からレールを離れて実行している自動化された戦略を防ぎます. 騎士の首都では、人々が何かを知るライブ取引混乱状態.

その適応性、シンプルさ勝

成功した機械的な取引システムは生きているようなします。, 生物の呼吸. 世界の地層に満ちている生物の化石を, 自分の歴史の期間の間に短期的な成功に最適ですが, あまりにも適応と長期生存に特化しました。. クイックを受けることができるため、人間指導の単純なアルゴリズムによる機械的な取引システムが最高, 簡単な進化と環境の変化への適応 (市場を読む).

シンプルな取引ルールがデータマイニングバイアスの潜在的な影響を減らす. データマイニングからバイアスそれは歴史的な規則が将来の条件の下で適用されますどれだけ誇張するかもしれないので問題は, 機械的なトレーディングシステムは、短い時間フレームに焦点を当てたときに特に. シンプルで堅牢な機械的な取引システムのテスト用に使用されるタイムフレームで影響を受けるべきではないです。. -履歴データの特定の範囲内にあるテストポイント数まだ証明またはテストされている取引ルールの有効性を反証するのに十分な大きさにする必要があります。. 言い方を変えれば, 単純です, データマイニングのバイアスを上回る強力な機械的な取引システム.

トレーダーは、シンプルなデザインパラメーターを持つシステムを使用している場合, よう、 QuantBar システム, 最長の適切な歴史的な期間を使用して、テストと, 他に重要なできるタスクシステムの取引とその結果を今後監視の分野に固執することになります. 観測により、進化.

反対に, 「事前に進化して」システムの初期絶滅のリスクを実行する複数のパラメーターの複雑なセットから構築された機械的な取引システムを使用するトレーダー.

機械取引の最善を活用する堅牢なシステムを構築します。, 煩わされずその弱点に

機械的なトレーディングシステムの堅牢性と適応性を混同しないことが重要です。. システムの開発は '堅牢な' として記述されている多数の歴史的な期間に- と -現在の観測期間中であっても取引を獲得につながったパラメーターに基づいて、します。ないですこのようなシステムが正常に一度調整すること保証彼らは過去の自分の"ハネムーン期間貿易されています。” その中に条件はシステムの基になる、特定の歴史的な期間に合わせて起こる初期取引期間であります。.

単純な機械的な取引システムは簡単に新しい条件に適応, でも、市場変化の根本的な原因は明白でなく残る, 複雑なシステムでは不十分と. 市場環境の変化, 彼らは継続的に行う, 獲得していく可能性が最も高い取引システムは、シンプルで最も簡単に新しい条件に適応; 本当に堅牢なシステムは、とりわけ長寿を持っています。.

クイックを受けることができるため、人間指導の単純なアルゴリズムによる機械的な取引システムが最高, 簡単な進化と環境の変化への適応 (市場を読む).

残念なことに, 過度に複雑な機械的な取引システムを使用する場合の利益の最初の期間を経験した後, 多くのトレーダーが成功にこれらのシステムを微調整しようとしての罠に陥る. 市場の不明, まだ変更, 条件がありますが既に機械的な取引システムの全体の種、絶滅する運命. もう一度, シンプルさと状況の変化への適応性を提供する任意のトレーディングシステムの生存のための最善の希望.

成功と失敗を区別する客観的な計測を使用します。

トレーダーの最も一般的な落下は彼または彼女の取引システムへの心理的な添付ファイルです。. 取引システムの障害が発生した場合, それは通常のトレーダーは、客観的ではなく主観的な視点を採用しているので, 特定取引中に停止損失に関しては特に.

人間の本性はしばしば感情的な添付ファイルを特定のシステムを開発する業者を運転します。, 特にときトレーダーに投資している時間とお金のかなりの量機械取引システムを理解することは困難である多くの複雑なパーツ. しかし, それを客観的に検討するためにシステムの外のステップにトレーダーのため極めて重要です。.

いくつかのケースで, 貿易業者になるシステムの予想される成功の妄想, 主観的な分析よりもはるかに長く、明らかに失うシステムを取引を継続することのポイントにも許してしまう. または, 脂肪の wins の期間の後, トレーダーは、可能性がありますになる「結婚」旧歴システムにその美しさが損失の圧力の下でフェードしながらも. 悪化, トレーダーは、テストの期間をまたは既に失うことシステムの統計的パラメーターを選んでの罠に落ちることがあります。, システムの偽の希望を維持するためには、値の継続的します。.

客観的基準, 現在の失敗の確率を評価する標準偏差のメソッドを使用するなど, 機械的なトレーディングシステムの真の失敗があるかどうかを決定するための唯一の勝利方法です。. 客観的な目で, 機械的なトレーディングシステムで迅速にスポットまたは潜在的な障害にトレーダーの簡単です。, シンプルなシステムは、迅速かつ簡単に新鮮な歴システムをもう一度作成に適応させること、.

機械的な取引システムの障害はしばしば歴史的な損失やドローダウンに対する測定電流の損失の比較に基づいてを定量化します。. このような分析は、主観的につながる可能性があります。, 不正確な結論. 最大ドローダウンは、トレーダーがシステムを放棄するしきい値としてよく使用されます。. 方法システムまでドローダウンレベルを考慮せず, またはそのレベルに達するに必要な時間の長さ, トレーダーは、システムがドローダウンだけに基づいて敗者である結論とせず.

障害の指標としてドローダウンに対する標準偏差

実際, 受賞システムを破棄することを避けるために最善の方法は客観的測定標準を使用して実際にそれを取引しながら得られたシステムからリターンの現在または最近の分布を確認するには. バックテストからリターンの歴史的な分布に対して測定を計算比較します。, 確実性に従って固定しきい値値を割り当てる際の機械的な取引システムの現在の「失う」配布は確かに正常より, 予想される損失, したがって失敗として捨てられるべき.

だから, たとえば, 貿易業者が現在のドローダウンレベルでシグナル状態に問題あり、彼の調査をトリガーを無視することを前提としてください。. 代わりに, 歴史的テスト期間中そのシステムの取引中に発生と歴史的な損失に対して現在の連敗を比較します。. どのように保守的なトレーダーがによってください。, 彼または彼女は現在または最近の損失が超えていることに気付く場合があります。, 言う, 、 95% 「普通の」歴史的な損失レベルからの 2 つの標準偏差によって暗黙的に指定確実レベル. これは確かに強力な統計記号は、システムのパフォーマンスが低下するだろう, したがって失敗しましたと. 対照的に, リスクの大きい食欲と異なるトレーダーことがあります 3 つのことを客観的に決めることの規範からの標準偏差 (すなわち. 99.7%) 確実に適切なレベルとして取引システムを判断するため「失敗」

任意のトレーディングシステムの最も重要な要因’ 成功, 手動または機械かどうか, 人間の意思決定能力は、常に. 良い機械的な取引システムの値は、します。, すべての良いマシンのような, 彼らは人間の弱点を最小限に抑え、マニュアルの方法をはるかに超えて達成可能な達成に力を与える. まだ, 正しく作成されたとき, 彼らはまだトレーダーの判断に従ってしっかりした制御を許可して、彼または彼女が障害物と潜在的な障害の明確な舵取りをできるように.

トレーダーが損失するかどうかを評価する標準分布の統計計算の形で数学を使用できますが、通常、歴史的な記録によると許容, 彼または彼女はまだ作る純粋な機械ではなく人間の判断に依存します。, 単独でのアルゴリズムに基づく数学ベースの意思決定.

トレーダーは、両方の世界のベストを楽しむことができます。. アルゴリズムとメカニカルトレーディングの力は、発注・施工に関する人間の感情や遅刻の影響を最小します。, ストップロスの規律を維持することに関しては特に. それはまだ取引のシステムを人間の制御を保持するために標準偏差の客観的な評価を使用してください。.

変更のために準備します。, 取引システムを変更しておいて

ときに検出する客観性とともに、機械的な取引システムは、敗者に勝者から変更します。, トレーダーでは、規律と先見性に進化し、彼らは新しい市場環境に勝つために続けることができますので、システムを変更する必要があります。. どのような環境変化でいっぱいに, シンプルなシステム, その進化になります迅速かつ容易に. 複雑な戦略が失敗した場合, 簡単にそれを変更するよりも交換することがあります。, いくつかの最も簡単な最も直感的なシステムの, よう、 QuantBar システム, 比較的容易に将来の市場状況に適応するためにその場でを変更.

要約すると, 正しく作成された機械的な取引システムはシンプルかつ適応可能であるべきといえよう, さまざまな市場条件の下で利益を生成するのに十分な堅牢なされるように、右のタイプとデータ量によるとテストと. と, 受賞システムは成功の適切な基準によって判断しなければなりません。. アルゴリズム取引ルールや最大ドローダウンのレベルに依存するだけではなく, システムが失敗したかどうかについての決定は、トレーダーの人間の判断によるとすべきであります。, システムの現在のパフォーマンスの歴史的なテスト損失に対して測定した場合の標準偏差の数の評価に基づいて. 機械的なトレーディングシステムは実行に失敗した場合, トレーダーは、失うシステムにしがみつくのではなく必要な変更をする必要があります。.

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.

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.

Retail trader disadvantage

10 月 28, 2013 によってショーンオバートン Leave a Comment

Michael Halls-Moore invited a reply to one of my tweets last week, “Retail traders have an advantage over the pros? Me thinks not.” He wrote a great overview of why the institutional traders look longingly at the retail crowd and all the hoops that they don’t have to jump through.

His points are all valid, but he overlooked the big picture. Pricing is everything to a trader. Retail traders get the short end of the stick when it comes to the cost of doing business.

The cost of trading is massively disproportionate

Let’s say that you’re a would be quantitative trader and that you’re looking for opportunities. Let’s say you trade mini lots in the forex market with 60% accuracy and 1:1 risk reward ratios. If you’re not familiar with what a typical trading system looks like, those numbers means that you have an enormous edge.

Some of the less reputable forex brokers out there charge 3 pip fixed spreads. If you’re trading with a broker offering fixed spreads, I urge you to start price shopping. Fixed spreads are wildly overrated. You pay a huge premium for the certainty of a fixed spread. I can’t think of anything remotely plausible to justify them.

The larger forex brokers charge typical spreads in the neighborhood of 2 pips on the largest majors. Although most seem to find this reasonable, the comparison between a 2 pip average spread and institutional spreads is night and day.

Do you know what the average EURUSD spread looks like on the interbank market? It’s often 0.2-0.5 ピップ. Retail traders pay an average markup of over 300% on their trades.

Retail traders facing the institutions is a bit like David and Goliath.

Retail forex prices have declined in recent years. A few brokers like MB の取引と Pepperstone offer raw spreads with commissions tied to the dollar volume traded. These are, 私の意見で, are about the fairest prices available to low balance traders running an expert advisor.

The best deal available to semi-institutional forex traders (CTAs, large balance retail traders, など) is Interactive Brokers. The customer support is famously poor; they’re cheap for a reason. IB also offers raw spreads with a commission.

My experience with IB has been excellent, but you need to trade size for the economics to work. A 0.5 pip typical spread is great, しかし、 2 mini-lot minimum trade size and $2.50 minimum commission really adds up. Trading with IB doesn’t approach institutional type pricing until your average trade size approaches 1 標準ロット.

だから, how does pricing affect the final outcome with our 1:1 risk reward strategy that wins 60%?

Free trading: 後 100 取引, you’ve earned $600 and lost $400. The hypothetical net profit is $200.
Fixed spread: You’ve spent $300 in spread costs to enter 100 取引. The total net profit is -$100 ($200-$300).
Average retail: You’ve spent $200. There is no profit because you breakeven ($200 hypothetical profit – $200 コストの). しかし, your broker loves you for doing that many trades.
Good retail pricing: Let’s say the average cost of a trade is 1.3 pips after commissions. You’ve spent ~$130 placing 100 取引. The total profit is $70.

Even with good strategies, the profitability of your algorithm is as simple as choosing the cheapest broker.

Equities pricing

Trading stocks is even more expensive than forex. I remember back in the day when I thought Scottrade was cheap for offering $7 手数料. It gets worse and worse when you go through the list of stock brokers. Most of them try to get away with charging $7-10 1 トレード当たり. If customer service is important to you, then those are the shops to look at.

If your top priority is trading profitably, then again, broker selection is critical. The only way that a small guy can make it is by chipping away at the costs. Interactive brokers is again a great option, charging fractions of a penny per share traded. If you decide to trade 2 shares of Google (GOOG: $1,017 per share) または 1,000 shares of Fannie Mae (FNMA: $2.35 per share), the transaction costs are tiny. Two ticks in your favor is all it takes to cover the trade.

You might be thinking that I said two ticks in forex is expensive. How can I say that two ticks in equities is reasonable?

ボラティリティ. Two ticks in the stock market is a little hiccup. It’s not at all uncommon to see highly liquid stocks move 2-3% in a single day. Forex is only interesting because of the leverage. The currency pairs themselves rarely move more than 1%, and that’s usually on major news.

リスク管理

Every employee knows that they’re only one mistake away from getting fired. That’s the reason that everyone hates having a boss. There’s a single person with unilateral authority to financially murder you. Who’s going to look upon that as a good thing?

まあ, the truth is that bosses exist for a reason. It’s someone that calls you out when you do something stupid. もっと重要なこと, the boss has the power and influence to ensure that you stop doing stupid things.

The dream of entrepreneurship is not having a boss. You go on vacation when you can, you don’t have to play office politics, you don’t have to waste time selling good ideas. You just go out and do them.

Even with good strategies, the profitability of your algorithm is as simple as choosing the cheapest broker

I can tell you as a small business owner that the negatives stand out strongly in my mind. When you don’t have someone to hold you accountable, even if it’s a mentor, you make many more dumb mistakes than you should. It takes incredible discipline to hold the line consistently. Knowing that I’m not going to look stupid or have to explain myself to anyone probably gives me a lot more false confidence than I really need.

Self-employed traders working at home experience the same thing. Who calls you out when you’re trading just because you’re bored?

The decline in the trading account points out the obvious, but that’s not enough to necessarily stop the bad behavior. We’re social creatures. Most people need to speak with other people to maintain their sanity. When you’re trading at home alone, it takes a lot of effort to ensure that you’re getting enough social contact. A good boss prevents you from indulging in bad behaviors.

結論

Selecting the right broker is enough to determine whether or not a good strategy will wind up making money or not. It’s expensive to trade. The bigger you are, the better your pricing.

Retail trading prices have reached a point where it’s at least possible to trade profitably. それにもかかわらず, the number of strategy types out there is limited because the lower, shorter term strategies are prohibitively expensive to trade.

The quantitative traders and hedge funds get the more active strategy space to themselves. Their trading costs are so low that they’re really the only people that can afford to trade actively.

リスクの集中することができますシステムの設計に影響を与える

10 月 13, 2013 によってアンドリュー・セルビー 2 コメント

In a post titled Better Beta Is No Monkey Business that was published on The AllianceBernstein Blog on Investing, author Patrick Rudden took a different approach to looking at blindfolded monkeys throwing darts. The blindfolded monkey concept was popularized in Burton Malkiel’s book, A Random Walk Down Wall Street.

彼の本, Malkiel suggests that a group of randomly selected, blindfolded monkeys could throw darts at a newspaper’s financial section and end up with a portfolio that outperforms a portfolio selected by a group of experts. Rudden builds his piece on previous research that suggests that the monkeys would be likely to outperform the experts because they would be biased towards selecting smaller cap stocks.

Rudden argues that:

Leaving monkeys (blindfolded or not) aside, the research conclusion is an important one. What it shows is the limitation of cap-weighted indices where the size of a constituent is a function of share price. Such indices by construction put more emphasis on stocks with high prices and less emphasis on stocks with low prices. They will favor components whose prices have risen the most.

He illustrates past examples of concentration risk:

This concentration risk is often unintended. And it creates risks that can be bad for your wealth when investors stampede out of crowded positions, causing violent market swings. As my colleague, Dave Barnard, points out in a recent paper,2 the technology sector ballooned to more than 29% of the S&P 500 で 2000 (Display). Over the next two years, the sector lost more than half its value. 同様に, Japanese stocks lost about a third of their value in the two years after their weight in the MSCI World Index peaked at 44% in late 1989. Similar trends played out in the energy sector in 1980 and in financials in 2007, at the peak of the credit bubble.

Concentration Risk can be lurking beneath your trading system without you even knowing it.

He continues by explaining that while cap-weighted index fund may have some benefits, there is likely more to be gained from a different approach:

But we believe that any approach which loosens the connection between weight and price is likely to have a performance edge. たとえば, investors could permit some increase in tracking error or create smarter-beta benchmarks based on equal-, 値- or risk-weighted components, and with explicit mechanisms designed to avoid concentration risk. These solutions might be slightly more expensive than a typical passive index, but we think it’s a price worth paying to avoid the risks of a pure, cap-weighted approach. And it’s probably a better idea than giving a monkey some darts and a copy of the FT.

Like most forms of risk and biases, our goal as systematic traders is not to completely avoid them, but to simply be aware of them. Understanding concentration risks can have a major impact on basic trading system design.