目前正建立自己的交易系统,先针对上升趋势构思一个做多系统,然后将系统反向成做空的系统。 A股市场无做空机制,所以数据不具代表性,所以在A股市场上收益差异很大。 不知道其它市场是不是具备对称性? 各位谈谈自己的经验!
通常是不对称的,下面的话摘自"Statistical Arbitrage I - A MATHEMATICIAN ON WALL STREET" - Ed Thorp ......"To control risk, we limit each stock we own to 2.5 per cent of our long portfolio. If every long position were at 2.5 per cent then we would have 40 stocks long. But we are continually entering and exiting positions so at any one time we can have between 150 and 300 stocks on the long side. Even with this level of risk control, plus additional constraints that tend to limit industry or sector concentration, we can have some nasty surprises. These come in the form of unexpected major company developments that we can’t predict, such as a disappointing earnings announcement. If we were to suddenly lose 40 per cent of a 2.5 per cent position, the portfolio could drop 1 per cent. Fortunately we rarely get more than one of these “torpedoes” per month. We also get about as many favorable surprises, leading to comparable windfall gains. We limit each short position to 1.5 per cent of the portfolio so we would have 67 positions if all were at full size. In practice we typically have 150 to 300 positions because we’re always in the process of building new positions and taking off old ones. Our limit on the size of short positions is lower than for long positions because a sudden adverse move in a short position can be greater than for a long position. The worst outcome for a loss on a stock held long is for the stock to suddenly become worthless, leading to a loss of 100 per cent of the original value of the position. Similarly, if a stock sold short doubles in price, the seller loses 100 per cent of the original value of the stock sold short. But the stock could triple or quadruple in price, or worse, leading to losses of 200 per cent, 300 per cent or more, of the original value of the stock sold short" ......
对于这方面我的理解是这样的,商品与证券市场是不对称的,外汇市场没有研究过。我曾经测试过一个系统,做天胶 。 从第一根K线开始交易,两种方案,只做多不做空,盈利5000就止盈,亏损2000就止损。只做1手。从每根K线开始就做多,止损或止盈的当天接天进新的多单,。也就是一直在场的策略。十几年算下来在天胶的操作上是盈利的。 相反的,从第一根K线就开始做空,不做多。止损2000,止盈5000。止损或止盈后接着再做空,也是一直在场的策略。十几年下来整体是亏损的。 我是这样想的,整体上市场上涨的时间要多于下跌的时间,上涨的幅度要大于下跌的空间。原因方面我想可能是从长期看货币是倾向于贬值的。通货膨胀是长期的趋势。而[这一点在期货与证券市场上都是共性。但是外汇市场就不得而知了。
楼上的朋友你的想法很不错的。我是这样理解的,市场是不对称的,所以你若是想得到一个对称的结果,只能是系统也是非对称的。而且只有市场与系统在某一个特定的时候才能出现对称的结果。 比方说从中长期看商品是上涨的,所以说系统设计时要想得到做多与做空对称的结果,只能是加重做空时持仓的权重,用高持仓比率来换取小的下跌空间时交易对账户利润的贡献比。但是这样会产生一个致命的后果,非对称的系统设计在系统衰退期最坏的情况下会毁掉你的账户。 我的理解是市场是非对称的,我们的系统也是非对称的。做空与做多是一个系统的两个方面,但并不是一个系统与其相反方向的同一个系统的结合。即系统并不是A与-A的结合。(用A时盈利。用-A时也盈利 )。而是系统=A+B (A做多策略,B做空策略)只要这个系统在历史数据验证是正收益即可。其它的可细枝末节可完善。 欢迎交流:)
股票市场无疑不是对称的。 因为有成长性因素,股票市场长期看都是向上的。 从公众心理的角度来看, 期货市场也是不对称的。 我们可以看到,一些不会直接影响具体品种价格的所谓"坏"消息(比如加强监管,资金流出),通常都是导致下跌,而不是上涨。
那你做的肯定是模拟交易,其实市场的波动不对称性大部分研究仅仅从频序上来分析,没有考虑时间因素,考虑时间因素后你会发现,市场上涨的周期很长,下跌的周期很短,这在交易上就会发生买了卖不出,卖了没卖成的现象,如果你模拟交易的话这就不成问题,如果实战,问题就大了。