做什么棒球和交易系统提取款项的共同点? 很多比我以往任何时候都意识到.
如果你还没有读过的书或看过电影 魔球 (我强烈推荐), 职业棒球采用统计的方法来招聘和周围的游戏 2000.
奥克兰运动所采取的做法任何一支球队前. 他们经历了巨大的成功,在他们的第一个系统驱动的季节, 尽管即将发生的故障无数专家预测.
我开始阅读 的信号和噪声 by Nate Silver last night. 棒球章拿起其中 魔球 离开. 达斯汀·佩德罗亚, 明星二垒手的波士顿红袜, 进入场景不太可能成功故事.
大多数球探忽视他. 他是短暂的. 他有一个大肚子和罗圈腿. 没有人看的家伙,认为 “职业运动员”.
与系统粘
Pedroia击了一个落魄 .198 当红袜把他带到了大联盟在八月 2006. 第一个月的 2007 赛季开始时,甚至更糟糕 .172.
这样的球队崽, 谁直到最近被臭名昭著的随意决策过程, 有可能削减Pedroia在这一点上. 对于许多俱乐部, 每一个行动是由一个大小相等方向相反的过度反应见面. 红袜, 另一方面, 是 由他们更系统的方法处分. 当红袜看着Pedroia在这一点在本赛季, 詹姆斯告诉我, 他们居然看到了很多喜欢. Pedroia是使大量的接触与棒球 – 它只是没有被落下的命中. 号码, 最有可能的, 将开始趋势途中.
“我们每个人都有的数据失去信心的时刻,” 詹姆斯告诉我. “你可能知道这个, 但如果你回头看看前一年, 当达斯汀打 .180 什么, 如果你回去看看他的摆动和错过的比例, 这是大概在 8 百分, 可能是 9 百分. 正是在这一时期的春天一样,当他挣扎. 它总是在逻辑上明显 – 当你挥杆硬如他那样, 有世界上没有办法,你让那么多的接触,并保持击中0.180。”1
交易系统亏损
每个交易者都经历了一个低迷 – 即使是其中最好的. 当你的交易系统压降达到令人不安的水平, 你如何应对?
我有机会领导管理的基金销售在世界上最大的外汇经纪商之一. 该产品是 感悟基金 并且它是 真棒. 当基金起飞和高层管理人员突然被卷入, 该基金有 $40 百万旗下管理近 1,000 投资者.
如果有一件事,你可以依靠与外汇交易, 那就是他们将失去. 每时每刻. 它毫无疑问.
该公司收到的实时信息,在所有客户端的位置. 当太多投资者持有多头或空头头寸, 该基金做了完全相反.
就是这样. 该 自动策略 是愚蠢的简单, 但回报是惊人的. 激进基金保持在杠杆 2:1, 又是有望赢得 40% 每年.
厄运
手断前两个月, 该基金经历了急剧缩编 -8%. 像大多数人一样, 投资者认为 40% 作为回报 40/12 = 3.3% 每月的利润. 他们不想想这种情况发生的自然衰退 – 就像一个Pedroia经历.
该 “惊” 提款造成了大规模羊群效应. 这并不重要,该战略的基本面没有改变. 外汇交易智能上个月再也没有醒来,知道如何游戏系统. 运气不好刚好的最佳策略. 然而, 投资者跑了从一个世界级的战略退出.
是在系统桌面上的球员担心他们建立战略? 没办法! 当Pedroia通过他的低迷去, 他能有反应过度,并开始与他的击球立场搞乱. 他可以调整他的距离到板或任意数量的事情.
Pedroia知道他的系统还是不错的. 该系统的人知道他们的策略是惊人的. 尽管所有的压力, 他们保持坚挺,并自爆过去缩编由我转交给了销售工作时间.
什么元素的交易匹配 “摆动和错过的比例”? 红袜队显然用它来证明他们的系统坚持. 在景气基金的情况下,, 它是底层系统的知识.
如何定量交易员不太明显的基本理论知道,他们的制度是健全的? 我很想听听您的意见.
1. 摘自 的信号和噪声 通过纳特·西尔弗, 页面 104.
life rockss 说
Awesome observation by red socks and great thought by you to apply it to trading, did you finally find answer on how to implement it ?
肖恩·奥弗顿 说
Not yet. I’m still chewing on potential analogies for purely quantitative strategies.
我很高兴你喜欢的帖子.
Nelly 说
肖恩喜, i currently use ninjatrader, and i have been trying to develop an indicator that will recognize a signal and trigger an entry as soon as the signal shows up, more like a faster way to enter the market. Is there anyway you can help me on this?
肖恩·奥弗顿 说
Do you have a specific formula in mind for the indicator?
斯科特 · 说
肖恩喜,
With cycle work, so long as the projected cycle high centers around a peak (and/or the projected cycle low, centers around a trough), I consider the methodology to be in synch with the market.
低, a trade might not reach desired levels of price projection —– such as lower-highs and higher-lows, but the time-cycles are still working.
短发 说
The question was, “如何定量交易员不太明显的基本理论知道,他们的制度是健全的?”
How about the inventors of the system explain exactly how their trading systems work and let the investor make an intelligent decision instead of investing on faith. My one system took over 3,000 trades without loss, but guess what, the inventors explained exactly how the system worked. 对我来说,, that is what safety is all about, the others are gamblers, and for gamblers, when the streak is broken, it’s time to take your money off the table. Draw-down is not a problem when we understand the whole processes.
肖恩·奥弗顿 说
Great comments, 短发! 谢谢你的分享.
斯科特 · 说
“My one system took over 3,000 trades without loss”
Looks like I’ve got much more work to do ;~)
斯科特 · 高卢 说
For a long time in my trading (模拟帐户) I consistently lost 80% 的时间. Despite my best efforts and reasoning. I even played the game of taking the opposite position; if I predicted I should buy then I would actually sell. 还 80% 损失. I always wondered why this happened given a 50-50 chance. I must say I’m doing better now, a little better than 50%.
肖恩·奥弗顿 说
嘿斯科特,
Most losses like that are exclusively due to over-trading. I’d encourage you to try a much higher time frame if you ever get stuck in the 50-50 range again.
N.H.C 说
“如果有一件事,你可以依靠与外汇交易, 那就是他们将失去. 每时每刻. No doubt about it.”
I love your honesty. My prop team use to trade against order flow, not as a market maker shaving between bids and offers but taking the exact opposite sides of large retail block trades in the futures market. Statistically, we knew our risk control were much more robust than the average retail guy, and indeed we were profitable. 然而, it does not mitigate the emotional strain when draw downs occur, this is a fundamental aspect in trading that is the most challenging to cope with… sometimes the retail guy wins. It’s playing for the long term that will edge out the retail!
亚伦蓓 说
So the most profitable system would be one that not only wins, but can also predict draw downs. This is when you take some time off from trading. Then come back refreshed ready for more profit. 现在, if we only knew when our systems would start losing. Are market cycles this predictable? Or with enough data on a system, could this be charted and predicted?
山姆 说
好文章!