TRYING TO BEAT RANDOM ENTRY

Discussion in 'Risk and Uncertainty' started by hylt, Dec 1, 2005.

  1. 以下摘自《Trade Your Way To Financial Freedom》第200页

    TRYING TO BEAT RANDOM ENTRY

    I was doing a seminar with Tom Basso (see his sections in Chapters 3 and 5) in 1991. Tom was explaining that the most important part of his system was his exits and his position-sizing algorithms. As a result, one member of the audience remarked, “From what you are saying it sounds like you could make money consistently with a random entry as long as you have good exits and size your positions intelligently.”

    Tom responded that he probably could. He promptly returned to his office and tested his own system of exits and posltlon sizing with a “coin flip”-type entry. In other words, his system simulated trading four different markets and he was always in the market, either long or short, based upon a random signal. As soon as he got an exit signal, he’d reenter the market again based upon the random signal. Tom’s results showed that he made money consistently, even using $100 per contract for slippage and commissions.

    We subsequently duplicated those results with more markets. I published them in one of my newsletters and gave several talks on them. Our system was very simple. We determined the volatility of the market by a lo-day exponential moving average of the average true range. Our initial stop was three times that volatility reading. Once entry occurred by a coin flip, the same three-times-volatility stop was trailed from the close. However, the stop could only move in our favor. Thus, the stop moved closer whenever the markets moved in our favor or whenever volatility shrank. We also used a 1 percent risk model for our position-sizing system, as described in Chapter 12.

    That’s it! That’s all there was to the system-a random entry, plus a trailing stop that was three times the volatility, plus a 1 percent risk algorithm to size positions. We ran it on 10 markets. And it was always in each market, either long or short, depending upon a coin flip. It’s a good illustration of how simplicity works in system development.

    Whenever you run a random entry system, you get different results. This system made money on 80 percent of the runs when it only traded one contract per futures market. It made money 100 percent of the time when a simple 1 percent risk money management system was added. That’s pretty impressive. The system had a reliability level of 38 percent, which is about average for a trend-following system.
     
  2. 支持

    我个人是相当支持随机入场和头寸管理的,
    首先这样在组合中可以比较好的避免各品种资金曲线正相关的问题,

    其次,成功的交易本身并不是找到市场的方向,而在于能够在操作层面上区分赢利和亏损的交易 而可操作的就是对头寸的控制,其实止损和出场都是本质是的头寸控制,说大了 整个交易的过程操作 就是控制头寸 这是交易员唯一能做的
    开仓就是让头寸从无到有 平仓无非是从有到无

    举个例子 如果有种操作模式 亏了亏10元 赢了赢5元 50%赢率但是 这些亏的交易浮动赢利不会超过1元 赢的交易浮动亏损不会过1元
    那就好办,只要我们在亏损一元的时候止损就可以

    有个有趣的问题就是 一锅红豆 绿豆 你如何才能让一边全是红豆 一边全是绿豆?一旦分开了 就好操作了,交易无非就是这个,至于哪边是红豆哪边是绿豆并不重要。
     
  3. 当然了 方向是可以随机的,但炒豆的方法就需要认真的研究了
     
  4. 我也很支持.并且测试过,有良好的资金曲线.
     
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  6. 不是有个前提的嘛:"赢的交易浮动亏损不会过1元"
     
  7. 还是会改变赢率和赢时的盈利, 因为止损会改变交易的顺序,会出现原先没有的交易信号,交易的统计特性可能会完全不同。
     
  8. 除非进场和出场和下次进场没有次序上的逻辑关系。
     
  9. 确实如此。