In real transactions, many people hope to establish a trading system that can make a stable profit and find a holy grail. No matter from books, or from the Internet, or from other people's words, or from their own imagination, they are trying to build this system. It's a pity that most people don't know the criteria for judging the quality of a trading system, which makes them easily fooled and deceived by themselves in the process of finding it. Therefore, I am writing this article on the occasion of the 20 17 Spring Festival, hoping to give you some guidance.
-
Secret: What are the criteria for judging the quality of a trading system?
To judge whether a trading system is good or not, two conditions need to be met: first, this trading system cannot only make money on several varieties of 1-2, but will lose money on other varieties; Second, this trading system can't make money for a certain period of time, but it is a loss most of the time. And in this so-called most of the time, your account will be greatly withdrawn, not only the profit will be lost, but also the loss will occur. In the long run, it is an unprofitable trading system and a loss.
These two conditions will be the basis for judging whether a trading system is good or not, because any trading system can find a profitable variety, at least for a certain period of time, such as the moving average system. If a variety has a good trend and a stable trend, then a certain moving average is suitable for him; Furthermore, the trend of a certain variety has a specific moving average, that is, the trend of this variety is suitable for this moving average, while the trend of another variety is suitable for another moving average.
? Many people have this idea: "If a trading system can only make money on a few varieties of 1-2, but it will lose money on other varieties, then I can use this trading system and only make 1-2, so that I can make money without making other varieties." Most people have this idea, think it is very reasonable, reasonable and logical, and do it, including those who do programmed transactions.
Of course, on the other hand, if a trading system can really make money on a few 1-2 varieties for a long time, even if it only makes money on one variety and loses money on all other varieties for a long time, then it is completely feasible and sustainable for us to trade only on this profitable variety and give up all other varieties.
? But the crux of the problem is: how do you know that this trading system can make money on this variety for a long time? We often say that "this trading system can make money on * * varieties", in fact, it is a review of this variety in the past and found that it can be profitable. If you are very responsible, it will take a long time to make a review. For example, we have repeated all the time periods since the listing of this variety, and found that this trading system can be profitable on this variety (the relatively simple method is to write a program and run a history, and the test results are profitable). We think this trading system is suitable for this variety, and we can make profits on this variety, so we will come to the conclusion that "this trading system can make money on this variety for a long time". Because the past history is profitable, there is naturally no reason not to believe in its future. It is natural to think that this trading system can make lasting profits on this variety.
Of course, if this product has been on the market for more than ten years and has passed several rounds, then if you run the test with this trading system, you will find that it can be profitable, and the profit is very good, and the average annual rate of return can be above 40% (the profit must be significantly good, if it is barely profitable, it can't guarantee future profit, so it may be said that even if this trading system is in place. And you can make a profit on this variety, and the profit is good, then maybe you can say, "This trading system is only suitable for this variety, and you can only trade this variety." However, if this product is not listed for a long time, only four or five years, or even one or two years, such as iron ore, coke, coking coal and other products, the listing time is only about three or four years. In the past few years, you have tested your trading system and found that you can make a profit on one of them, and it is not bad, so you can't conclude that "your trading system is suitable for this product" because compared with the long market year, three or four years really don't go through the bull-bear cycle. Three or four years doesn't mean much. The trend law and configuration of a variety can be changed. The past market law is suitable for this variety, but there is no guarantee that the future market trend law of this variety will not change. Once it changes, your trading system is likely to suffer losses.
The trend law and disposition of a variety are easy to change, not to mention the small disposition is easy to change, even the big disposition is easy to change. For example, in recent years, the configuration trend of this variety is good, that is, "the trend of the market is good, there are few false signals, and the trend is safe", then this variety is very suitable for trends and is a good trend variety. Ordinary trend trading system suits him. But it doesn't mean that the future trend is still good. This trend may change. Disordered shocks, more false signals and more burrs may become his nature and will last for a long time, which can last for several years. If we follow the previous trend system, we will enter a long-term loss, and the loss will be huge. The properties of many varieties have changed, such as soybean I, which has a very good trend before 20 12 and is one of the most traded commodities in commodity futures. Extremely active, with large positions and turnover. However, from 20 12 to 20 16, it was his nature to oscillate in disorder and continued. For another example, before the second half of 20 15, the trend of PTA was good, and it was profitable to use the ordinary trend trading system. However, after the second half of 20 15, disorderly oscillation became his nature and lasted for one and a half years. If you use the common trend trading system, the loss is likely to be great. Cotton is in 20 12-20 13, which is his nature, but from 20 14, the trend becomes stronger, as well as copper, plastic L and so on.
? Behind the change of commodity allocation is the change of the contradiction between supply and demand, which is the change of the fundamental trend. After the contradiction between supply and demand is balanced, the trend of this commodity is basically not strong, and basically disorderly shocks are his nature. Only under the background of great contradiction between supply and demand can his disposal become a trend disposal, of course, it is only possible, because even if some varieties have great contradiction between supply and demand and come out of a trend market, then the trend of this variety may be a shock trend. Therefore, although in the past two or three years, a common trend system has been used to make a profit on a high-trend variety, you may not be able to make a profit by using the trading system as long as you stick to this variety in the future, because if the contradiction between supply and demand is not great and supply and demand are balanced, the trend will change and disorderly shocks will become his nature. Therefore, we can't think that you can make money on a certain variety with a certain trend system, and you can still make money, make money or lose money if you stick to it in the future, because it is very uncertain whether the nature of the variety will continue before, and there may be more luck in making money before.
? As mentioned above, if this product has been on the market for more than ten years, it can be profitable if the system is tested, and the profit is very good. Perhaps it can be said that "this trading system is only suitable for this product, and you can only trade this product". The reason why we say "possible" instead of "just" is that many people develop systems specifically for this variety, that is, we first have a trading system with special parameters for this variety, that is, we specially simulate the past history of this variety, and then constantly adjust the parameters until there is a very good profit. This is the problem of parameter optimization. If it is over-optimized, it will be distorted and invalid in the future (common in programmed transactions). Of course, if the system and parameters are not optimized, it is profitable and good to use the system to test the varieties that have been on the market for more than ten years. We are confident that "this trading system is suitable for him", but there is no guarantee that it will continue in the future, because the nature of this variety may change in the future.
Then the answer came out. What kind of trading system is a good one? It is a trading system that meets most varieties, not just one variety, but all varieties. That is, when the trading system is used for retesting or testing, the parameters remain unchanged, and most varieties can be profitable all the time since they are listed. There are about two varieties, and the test performance is very good. Then this trading system is a very good system, which is difficult to be distorted in the future and can be used with confidence, even if it is a cornucopia and a holy grail.
? Why? Because the trend of most varieties has represented a variety of complex and changeable properties and laws, it is difficult to have new tricks in the future properties and laws; The core of a trading system is trading logic, and a good trading logic will be universal, not only applicable to this variety, but also to another variety, and will be applicable to multiple varieties, which can cope with the different properties and laws of multiple varieties; When it is applied to most varieties, it shows that the trading logic of your trading system is universal and can cope with complex and changeable nature and laws, and the future nature and laws can also cope with it; If this trading system can only make a profit on one variety and lose money on other varieties, then there is something wrong with your trading logic. It is coincidence or accident to make money on this variety, or it is difficult to guarantee profit after you optimize the parameters. The reason why it is difficult to satisfy all varieties is that a few varieties are easily manipulated, trading is inactive and there are too many burrs, so the trading system is probably not suitable for him.
? To sum up, judging whether a system is good or bad depends on whether it conforms to multiple varieties, that is, it is suitable for multiple varieties and can be profitable for a long time. Then such a system has strong long-term stability and is a good trading system, which can be said to be the holy grail and cornucopia.