头寸管理策略一览贴

Money Manager 7 内置的资金管理策略
1. Fixed Fractional
2. Percent Risk
3. Percent Volatility
4. Asymmetrical Leverage
5. Optimal f
6. Secure f
7. Kelly Strategy
8. Maximum Favorable Excursion
9. Constant Leverage
10. Equity Curve Strategies
11. Martingale and Anti martingale
12. Winning and Losing Series
And many more...

 

"The Foundations of Money Management"提出的17种策略：
1. Money management for gamblers
2. Fixed number of lots
3. Bet it all
4. Number of lots per fixed sum of money
5. Equal parts
6. Percentage of risk
7. Percent of volatility
8. Controlling the drawdowns
9. Kelly's method
10. Optimal f
11. The Safe f
12. Optimal f with volatility
13. Fixed Ratio
14. The method of Larry Williams
15. Playing the "market's money"
16. Pyramid building
17. Regulating the position size on the basis of its risk and volatility

 

《Trade Your Way To Financial Freedom》提出的4种：
1: One Unit per Fixed Amount of Money
2: Equal Value Units for Stock Traders
3: The Percent Risk Model
4: The Percent Volatility Model

 

Trading Recipes 内置的2种策略：
1. Fixed Fractional
2. Worst Case Analysis（仅用于历史测试）

 

Trading Blox Builder内置的4种策略：
1. Single Contract
2. Fixed Fractional
3. Volatility Adjusted
4. Turtle

 

http://www.stator-afm.com/money-management-articles.html
Fixed Units

A very simple model which calculates the total purchase price for the parcel. This model cannot be described as a position size model as the number of units are known prior to calculation.

For example, an application of this model would be the purchase of 10,000 shares of ABC at $3.50. Applying the Fixed Units model we calculate that the total parcel size for this purchase is going to be (10,000 x $3.50) $35,000 before any additional costs such as brokerage etc.

Formula:
Total Parcel Cost = Quantity x Price


Fixed Dollar

This is the Fixed Units model in reverse. Another simple application of a position size model. The Fixed Dollar model calculates the number of units to purchase based upon knowing the price and total parcel cost.

For example, an application of this model would be to decide to invest a total of $15,000 in ABC stock. The current price of ABC stock is $3.50. Using the Fixed Dollar model we can calculate the number of units to purchase.

The number of units to purchase is ($15,000 / $3.50) 4,285. You will always have to round the number of units down to the nearest whole number.

Formula:
Quantity = Total Parcel Cost / Price


Fixed Dollar & Units

This is a unique model which calculates the price to be paid. Rather than calculate the quantity we use this model to determine the purchase price when the only items we know are the quantity and the total parcel cost.

For example, an application of this model would be to decide to invest a total of $15,000 in ABC stock and purchase 10,000 units. Using the Fixed Dollar & Units model we can calculate the purchase price required to fulfill this order.

The purchase price for this parcel is ($15,000 / 10,000) $1.50. This model is best utilised when you enter a parcel into a portfolio management program, this is usually performed after the parcel has been purchased so it acts as a reconciliation against the contract note. This model is only available within Stator.

Formula:
Price = Total Parcel Cost / Quantity

Fixed Percent Units

This model will calculate the optimal number of units to purchase based upon a specified percentage of your overall trading/investing float. The Fixed Percent Units model is a further extension of the Fixed Dollar model described above. This model introduces two new concepts, the total trading/investment float and the float percentage.

Total trading/investment float.
This is predominantly defined as the total amount of funds you have set aside for trading, irrespective if you have any money allocated to trades or not.

Float Percentage (Float %).
This is a percentage of your total trading/investment float that you have decided to allocate to this trade.

For example, you have decided to invest $100,000 in total. Of this $100,000 you have decided to allocate 5% to purchase some stock in ABC. The share price for ABC is currently at $3.50.

First we determine that the total purchase cost for this trade is going to be (5% of $100,000) $20,000. Applying this to the model we can calculate that we need to purchase ($20,000 / $3.50) 5714 shares.

Formula:
Quantity = (Total trade/investment float x Float %)/ Price


Fixed Dollar Risk

This model will calculate the optimal number of units to purchase based upon a specified risk amount for the trade. This money management model introduces two new concepts called the Stop Loss and Risk Dollar.

Stop Loss.
As previously mentioned above the stop loss acts as a signal to exit the trade. A stop loss can be a price which will trigger an immediate exit from the trade. Stop losses help to preserve capital and provide a calculated approach to trade management which helps many traders/investors overcome the effects of trading psychology. It is essential for this money management model for the stop loss to be determined before the trade is entered.

Risk Dollar.
The risk dollar equates to the total amount of money which is going to be lost if your stop loss is activated. The stop loss is a price which triggers an exit from the trade. Integral to this model is the acknowledgement that the stop loss is a good trigger and it will result in you losing a certain amount of your money. Always remember that a stop loss will help preserve your money so that you can trade another day.

For example, you have decided to purchase some shares in ABC with the current share price at $3.50. You have decided that you are willing to risk $1,500 on this trade and set an initial stop loss of $3.20 for the trade. The Fixed Dollar Risk model will calculate the number of units to purchase which will result in losing only $1,500 if the stop loss is triggered.

The Fixed Dollar Risk model does this in the following way.

1. It determines the price difference between the share price and the stop loss price ($3.50 - $3.20) = $0.30.
2. It will equate the $1,500 to this 30c. ($1,500 / $0.30) = 5,000

The optimal number of units to purchase is 5,000.

Testing the model
You can perform a simple test on this model to check its validity. It is also useful to do this until you become more comfortable with this method of calculating positions. To test is a simple matter of determining the total parcel cost which in this example is ($3.50 x 5,000) $17,500. Secondly determine the total parcel cost at the stop loss value which is ($3.20 x 5,000) $16,000. Lastly the difference between these two amounts should be the risk dollar.

Formula:
Quantity = Risk Dollar / (Current Price - Stop Loss)

Fixed Percent Risk

This model is a further extension of the Fixed Dollar Risk model. This model uses a percentage of the total trade/investment float to determine the risk dollar. This approach is useful if you intend upon reinvesting all profits back into the market (pyramid profits) as the risk dollar will increase or decrease relative to the total amount of funds you have to invest.

Risk Percentage (Risk %).
This value represents the percentage of your total trade/investment float that you are willing to risk on each trade. Similar to the risk dollar which is a static value the risk percentage is fluid and will adjust to the amount of money you wish to invest.

An example of this is if you have decided to purchase some shares in ABC with the current share price at $3.50. You have decided that you have $100,000 to invest in shares and are willing to risk 1.5% on this trade. You set an initial stop loss of $3.20 for the trade. The Fixed Percent Risk model will calculate the number of units to purchase which will result in losing only $1,500 if the stop loss is triggered.

The Fixed Percent Risk model does this in the following way.

1. It determines the price difference between the share price and the stop loss price ($3.50 - $3.20) = $0.30.
2. It determines the risk dollar based upon the total trade/investment float and the risk percentage value you have defined. In this example it is ($100,000 x 1.5%) $1,500.
3. It will equate the $1,500 to the 30c difference. ($1,500 / $0.30) = 5,000

The optimal number of units to purchase is 5,000.

Testing the model
You can perform a simple test on this model to check its validity. It is also useful to do this until you become more comfortable with this method of calculating positions. To test is a simple matter of determining the total parcel cost which in this example is ($3.50 x 5,000) $17,500. Secondly determine the total parcel cost at the stop loss value which is ($3.20 x 5,000) $16,000. Lastly the difference between these two amounts should be the risk dollar, which in turn will be the risk percentage of the total trade/investment float.

Formula:
Quantity = (Total trade/investment float x Risk %) / (Current Price - Stop Loss)

 

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GOOGLE翻译功能提供将鼠标移动到文字上，查看原始语言
http://www.google.com/language_tools?hl=zh-CN
systransoft则语言种类更丰富
http://www.systransoft.com/index.html

 

好象只有 Mechanica / Trading Recipes 可以管理 Multi-System, Multi-Market。

 

不用找那么多，吃透Optimal f，再用上Monto Carlo Simulation，这辈子就够了。