The initial net worth of the two managers is the same as the net worth at maturity, but the net worth of the futures fund of manager A has experienced a sharp rise and fall in the middle, which increases the risk of investors in the investment process and the psychological pressure of investors and managers. Managers may have emotional fluctuations, fail to properly implement the trading signal of the trading model, and generate non-market risks. Investors are likely to redeem the fund investment halfway, but they cannot get the final return.
The net value of manager B's futures fund is relatively stable in the middle, the risks faced by investors are reduced, the mentality of investors and managers is stable, the manager does not pursue short-term high returns, but the net value grows steadily, and the probability of manager completing the trading mode is greater than that of manager A's futures fund.
The evaluation items of trading model generally include: net profit, yield, total trading times, ratio of profit and loss times, standard deviation/standard deviation rate, return callback rate and risk indicator D.
Standard deviation/standard deviation rate
Standard deviation/standard deviation ratio is often used to evaluate the returns and risks of futures fund trading model, because the smaller the standard deviation/standard deviation ratio, the more concentrated the probability of return distribution of trading model, the closer the actual return of futures fund trading model is to the theoretical return, and the lower the risk. The evaluation steps are as follows:
1. Calculate the expected return of the trading model.
E=∑Xi×Pi, where e is the expected income, Xi is the income of the i-th transaction, and Pi is the probability of the i-th result income.
2. Calculate the return standard deviation of the trading model.
δ=∑(Xi-E)2×π
3. Standard deviation rate
v =δ\e
4. Weigh the advantages and disadvantages of trading mode
Choose a trading model with high returns and low standard deviation rate.
Risk indicator d
The premise of evaluating the return and risk of futures fund trading model with standard deviation rate is that the distribution of trading model must conform to normal distribution, that is, the return distribution is symmetrical, so it is meaningless to evaluate the return and risk of trading model that does not conform to normal distribution. The standard deviation rate of negative return trading model is often less than that of positive return trading model, so the risk index D is introduced here.
D = | ∑n ∑c |, where ∑n is the product of times when the return of the trading model is less than 0, and ∑c is the product of times when the return of the trading model is greater than 0.
The advantage of introducing the risk indicator D is that the income of the trading model can be compared without making any assumptions about the income distribution of the trading model.