交易纪录

yoyodave 发表于 2010-9-18 19:26
大眼睛:

你做外汇用多大的杠杆?

外汇上只看不做。 做的股指合约是8倍杠杆，再加上公司的垫资一共50倍。

我也是做 美股的 不过我不做spy,但需要对照spy做个股。日内交易的笔数还是需要看你交易的方法。

" Historically, the week following September's Triple Witching has a high probability percentage of being a down week. "

People make all sorts of statements on the net, not all of them are correct. I always verify the statement first before I decide what to make of it.

Just for fun I tested S&P500 over 1980-2009. There are 30 Septembers over this period. 20 out of the 30 post-Triple Witching 5-day returns are indeed negative, so it's 67%.

I'm not sure if they even had Triple Witching before 1980, so I did not test further back.

5-day percentage returns (open of day 1 to close of day 5) sorted in descending order:

7.78
2.42
1.95
1.68
0.64
0.58
0.26
0.07
0.02
0.01
-0.12
-0.26
-0.28
-0.33
-0.38
-0.52
-0.56
-1.17
-1.63
-1.69
-1.83
-2.03
-2.13
-2.13
-2.24
-2.44
-3
-3.35
-3.81
-4.35

Average return: -0.628%
Standard deviation (sample): 2.28%

Note that the 5-day period after Triple Witching is usually the same as the calendar week, but not always, due to public holidays and such.

feng-pan 发表于 2010-9-18 07:57

xiaoyue10086 发表于 2010-9-18 01:40
学习了   两位大牛真是厉害啊

惭愧，离厉害还差得远呢。。。。 现在也就只能算在这个行业里刚入门吧。  什么时候交易的提成能把自己的基本生活解决了，再考虑自己厉害不厉害的问题，估计至少得半年以后吧，也可能还要一年或者更长时间。 现在只有一手标普迷你合约的购买力，一个月撑死赚1000美元。要解决生活问题至少需要把购买力翻到10手合约，还要保证每月持续稳定赢利才行。任重而道远啊

话说回来，伦敦的生活成本真不是一般高，生活质量的性价比又及其低。。。。可怜了我这种过惯小镇生活的人。。。。唉，为了理想，忍了。。。。

诶  我是做外汇的   第一个仓两周爆掉  现在这个仓也小一个月也就维持生活   自己觉得还是有进步的  但是比你们差很多    技术都是相通的   有机会一起探讨吧   呵呵

273# ectopic

Nice work!!   The average return shouldn't be too much away from 0. Otherwise there will be a risk free strategy just to sell at these 5 days every year. And that's too much and too strongly against EMH.

275# feng-pan
That's an interesting point. Average 5-day returns over past 30 years is about 0.17%, so 0.628% seems significantly different. But the problem is you can only trade once a year. Who would use a trading system that generates only one trade a year and gives you an expected return of 0.628%? Probably no one would bother. So 0.628% certainly does not dispute EMH.

ectopic 发表于 2010-9-19 18:22
That's an interesting point. Average 5-day returns over past 30 years is about 0.17%, so 0.628% seems significantly different. But the problem is you can only trade once a year. Who would use a trading system that generates only one trade a year and gives you an expected return of 0.628%? Probably no one would bother. So 0.628% certainly does not dispute EMH.

Of course. Also bearing in mind the average return should overcome the transaction cost and risk-free return to stand against EMH. Right now the T-note 10 year is about some 2% yearly return(??), so the strategy's expected return would be a lot smaller than the T-note.  In other word, there is no point of using it.

看the market wizards这本书，Paul Tudor Jones在一笔cotton期货亏损了60-70%本金之后，对自己这样说：

"Mr. Stupid, why risk everything on one
trade? Why not make your life a pursuit of happiness rather than pain?"

这句话有点感悟。。。。不遵守纪律的交易，确实就是让自己生活成为"a pursuit of pain"！而这，岂不是跟我们开始交易的初衷正好相反吗？

"Don't focus on making money; focus on protecting what you have.”

---Paul Tudor Jones

明天起要做一个长期的事情。  打算再改善一下追踪趋势系统的追踪止损方法，希望进场后沿每跟K线的高/低点追踪止损。所以需要开始长期的统计这个命题为真命题的概率：

在标普５分钟图里，在趋势开始后，价格创新高／低后再次回归移动均线（ＥＭＡ１０），并在均线的支撑／阻力作用下重回趋势方向的情况下；如果K线价格反趋势方向走高/低于前一根K线的高/低点，则价格在再次回归均线前不会再有趋势的新高/新低。

如果这个命题为真的概率很大，那么在5分钟图的趋势中采用K线止损就远远比移动均线止损要优越得多。

想了想其实用计算机程序来验证这个命题也可以，不过首先我写不出这个这么“麻烦”的程序；再者，其它的逻辑判断都好写，唯独是这个“在趋势开始后”的判断无法客观用程序语言来写，否则大家就人人都发财了，但很明显那是不可能的。  所以这个念头还是作罢了。