-Financial Empire
The name of the insect system comes from the truth told in the "dinosaur effect", so it seems to be a system that pursues stability. For designing a trading system, the futures market needs to consider more problems, so it is much more difficult than the stock market. Let's talk about this "insect system" designed for the futures market.
The core idea of insect system is trend tracking system, which is absolutely inconspicuous. We will always keep our position in futures contracts. Simply put, a certain degree of rise will lead to more flat turnover; A certain degree of decline will be flat; Regardless of whether it continues to rise or fall, it is necessary to hold positions unconditionally. The determination of the so-called "certain degree" needs to find a specific parameter. In my opinion, it is feasible as long as the tracking scale can accommodate the risk of overnight gap. What needs to be pointed out here is that the choice of tracking method needs to be intuitive, so don't make trouble for yourself. For the sensitivity, if this parameter is slightly adjusted, other parameters behind it need to be adjusted, and what is needed here still varies from person to person.
Risk control adopts flat strategy. In this way, I rely entirely on the probability advantage, not any specific market. I believe that if I am right, then I am right in all ten cases. This flattening strategy fully embodies the philosophical thought of "governing by doing nothing" that needs to be described later. Because of abandoning thinking and not relying on any specific market, the stability of the system is excellent. After all, accidental events that can cause large fluctuations in funds cannot happen at the same time. Theoretically, the wider the dispersion, the better the effect. We can allocate funds in agricultural products market, industrial products market and (futures) financial derivatives market, and make more detailed dispersion in the varieties of their respective markets.
Capital management adopts the equal investment method. If only from the perspective of fund management, the betting strategy of winning or losing has obvious advantages; However, from the perspective of trend tracking system, the trend market usually appears after the market is sorted out, that is to say, after several consecutive losses, big profits can appear. In this way, the way of winning or losing is more advantageous. I don't want to see the minimum number of positions that ultimately generate profits; I don't want to fall into the mire of sorting out, or even be swept out of the house by the market. Then the best way is the equal investment method. In fact, the design of this system has already reflected the thinking mode of winning and losing.
The specific operation mode is as simple as that. Let me talk about the principle of this system. For trend followers, we are not afraid of rising, falling or even finishing. After all, small finishing can make us endure, and big finishing can make us profitable. Please note that what we are afraid of is the "just right" ending!
There is no doubt that there will be differences in the trend of contracts of the same variety in different months! At this time, positions can be opened in different months of each variety. The reason is very simple, because the trend between different months is different, so it is absolutely impossible to have a "just right" finishing interval at the same time. It is possible to send a false signal for one month and no signal for another month; It is also possible to buy it on the ceiling for a month and have a false signal for a month, which only makes us lose a little. In this way, at least the extremely "absurd" transaction of "maximum price and minimum price" cannot occur at the same time.
For the whole agricultural product market, they have a certain degree of correlation. The strong trend of agricultural products is often manifested as a * * * decline. But as far as the overall market of agricultural products is concerned, it is likely to be divided. What will happen if we disperse our funds in agricultural products contracts such as beans, jade wheat and sugar cotton in a completely thoughtless way?
If the market doesn't know what the future will be, why should we see through the future of the market? The beauty of this method lies in: if the market is orderly, I will be orderly, and if the market is disorderly, I will be disorderly. In fact, this is the legendary harmony between heaven and earth. When the agricultural product market as a whole appears consolidation, we may hold long and short positions in different varieties or even in different months. At this time, risk hedging can basically make me not afraid of the sharp fluctuations in foreign markets at night. And if the agricultural products go out of the trend market as a whole, my position direction will be adjusted one after another. As long as the trend continues, I can make a lot of money. Of course, at this time, due to the same direction of positions, there may be a substantial withdrawal of funds. There is also a wonderful pen here, which is the mystery of victory or defeat. When I may have a big loss, it must be the moment when we have made a profit, or the moment when I can bear it most. When sorting out the market, my long and short positions are chaotic, and it is impossible to have a large withdrawal of funds. More interestingly, even if the overall agricultural product market is in the consolidation stage, individual varieties will show different trend characteristics. For example, in the first half of this year, soybean oil bulls can make big profits, and corn bears can also make big profits. Through theoretical calculation, we can know that when a variety goes out of a less spectacular trend, the cost of beating the other two or three varieties can be washed away immediately by buying high and selling high.
Make historical statistics on the system, and then calculate various parameters. We can easily find that the correct rate is 40%; The odds are 3 times; The maximum possible withdrawal of funds is 30%; /kloc-the loss probability is less than 5% after 0/8 months; The annualized rate of return is about 30% except for the year when the extreme trend market appears, and the rate of return in the year when the extreme trend appears will exceed 100%, or even more; The operation frequency is once a week on average, with long capital turnover time and low transaction cost. Most importantly, the system has not been optimized and does not even need to rely on any specific market, so the stability of the system is excellent!