From the name point of view, investors keep the opening amount at the same level every time they trade. The biggest advantage of this method is that it is simple and practical to operate. So, in practice, how do we determine this fixed amount? Ordinary traders can determine the fixed transaction amount according to the following two aspects:
1, the biggest psychological loss.
2. Calculation of stop-loss price of trading varieties.
Below, taking the copper futures contract of Shanghai Futures Exchange as an example, briefly explain how to apply this method:
An investor's futures margin account has a margin of 2 million yuan, and the maximum psychological loss of each transaction is 10000 yuan (the investor's trading cycle is 5 days). Suppose there is a 68% possibility that the fluctuation range (variance) of copper within 5 days is 2%, then what is the investor's opening rate?
First, calculate the possible loss amount in the investment cycle: suppose the current copper price is 25,000 yuan/ton, then if the probability fluctuates around 2% at 68%, then the loss amount is 500 yuan, and the trading ratio of this trader is:
F = (10000/500) * 25000 * 5%/200000 = 20 * 25000 * 5%/200000 = 0.125 or 12.5%.
This method is simple and applicable, especially for ordinary investors, and easy to understand and operate. More importantly, this method takes into account the psychological endurance of investors. Using this method, investors can maintain a good trading mentality in the whole trading process, and analyze and grasp the market more accurately and reasonably.
Method 2: exposure in fixed proportion.
This method means to keep the proportion of your own funds unchanged every time you trade.
How to determine the proportion? Examples are as follows: According to previous transactions, the number of times you made a profit in the 10 transaction was 6 times; The formula of the fixed proportion method is as follows: (f is the proportional value)
F = (P—( 1 —P) )= 0.6 —0.4 = 0.2 or 20%.
Then, your opening ratio is 20%.
Note here that if your success rate is lower than 0.50, then under this formula, F.
Because the above formula only considers the success rate and does not consider the profitability, this is not perfect. Therefore, the improved formula after adding profitability is as follows:
F = ((a+1) * p–1)/a Note: A is the profit ratio.
Suppose A =5 P =0.3 and F = 0.2.
The above method, which we call Kelly method, is based on historical data and predicts the future trend through a certain formula, but in actual transactions, the income situation is unlikely to be consistent with the historical average.
In the next article, I will provide you with a way to satisfy the independence of each transaction and solve the problem that it is difficult to get the best opening price from historical data by averaging.
Method 3: the best proportion method-Kelly correction method.
This method uses specific trading methods instead of historical data methods to obtain the best trading ratio.
In Kelly's revised method, it is assumed that the profit ratio and success rate of each transaction are changing, which is in line with the scene of matinee trading. It concludes that the proportion of each transaction is unique.
In the calculation, Kelly correction method has two methods:
1, estimate the risks and benefits of the plan.
This method assumes that the trader estimates the possible risks and benefits before trading.
Case: If a trader buys a soybean contract, there may be 20 yuan's gain and 8 yuan's risk loss. His past success ratio is 0.45, so the return ratio is A 1 = 20/8=2.5.
We recalculate the profit rate according to the success rate:
A = success ratio * return ratio-failure ratio *1= 0.45 * 2.5-0.55 *1= 0.575.
Then: f = ((2.5+1) * 0.45—1)/2.5 = 0.575/2.5 = 0.23 or 23%.
2. Historical income method.
Through the statistics of a series of historical data, this method is an optimal one.
HPR (holding period income) refers to the income in the selected data period.
HPR (I) = 1+F * (maximum loss of revenue/data)
TWR (relative value of final wealth): the relative value of final income. TWR =(HPR 1)*(HPR 2)*(HPR 3)……*(HPRn)
We will choose the maximum f value of TWR.
Transaction quantity hpr
1 1+f *(0.25/-0.35)
2 1+f *(0.35/-0.35)
3 1+f *(0.40/-0.35)
4 1+f *(0. 15/-0.35)
5 1+f *(0.30/-0.35)
TWR: suppose f= 0. 1, 0.25, 0.35, 0.40, 0.45.
Then: when f= 0. 1, TWR = 1. 13.
When f= 0.25, TWR = 1.28.
When f= 0.35, TWR = 1.3 108.
When f= 0.40, TWR = 1.33697.
When f= 0.45, TWR = 1.32899.
When f= 0.40, TWR = 1.33697 is the maximum, so f is 0.40. Then, under the above circumstances, the opening ratio of funds is 0.40.
The above three methods systematically introduce the design method of futures fund account opening. As a mature investor, his success is based on effective fund management. Whether ordinary investors or institutional investors invest in financial derivatives, they must do a good job in the management design of their own funds before trading, so that the investment is always within the controllable range. Only in this way can you really enjoy the huge benefits brought by financial derivatives.