A wave of trends rebounded, waiting for shorting. Use the same breakthrough method.
Trader A shorted A, B and C three times, failed twice and succeeded once, with a winning rate of 33%. However, he used the stop-loss method of leaving after a false breakthrough, so each stop-loss position was very small, and the subsequent trend was earned. The length of CE divided by its stop loss position gives a higher reporting wind ratio. That is, he made big profits with constant small losses.
Trader B shorted at point A once, with a stop loss of 1. Because he never touches a stop loss, he trades once and succeeds once. In this case, the winning rate is 100%. However, because his stop loss is relatively high, dividing the length of CE by his stop loss will reduce the rate of reporting to the wind. He kept the winning rate at great risk of loss.
In this transaction, both of them made money, but if the market reverses beyond point D, who will lose more? It's obviously trader B.
It can be seen that if the same trading system is used to enter the market and different strategies are adopted, the winning rate will be inversely proportional to the ratio of reporting the wind.
Therefore, it is meaningless to judge the profitability of a trading system simply by talking about the winning rate, and it is also meaningless to simply talk about the ratio of reporting to the wind.
The basic principle of futures trading: timely compensation, so that profits continue to grow.
Successful trading requires very high forecasting accuracy? I want to say, "This is a misunderstanding".
Don't spend too much time on "market forecasting", but spend time on "risk control and fund management" to get twice the result with half the effort. "
Error in judgment is an inevitable phenomenon in the trading process, and excellent traders should maximize profits as much as possible, not win twice.
Professionals earn a lot of money because their average profit is far greater than their average loss. "
So what is a simple fund management model?
Here is a brief introduction.
(1) What is our warehouse like?
Most people think that under a certain success rate, the bigger the position, the more you earn. In trading, it is not that the bigger the position, the more you earn. In fact, the appropriate position size has a certain relationship with the success rate of making orders and the profit-loss ratio.
Suppose our order success rate is 50%. We did right the first time, made mistakes the second time, made too many orders the third time, and made mistakes the fourth time. ....
Our position has four forms: 100%, 50%, 25%, 10%. Let's take a look at the results of the following four transactions:
The outcome of four kinds of transactions:
100% position died very early, almost instantly; 50% of the positions, the account did not move much, although it did not die, but there was no profit; 10% position can make a stable profit, but it earns less, earning 6%. The biggest profit is 25% of the position, and the profit is about 20%.
Now everyone understands why we can't be heavy, right? Because even if your success rate is higher than 50% and reaches 90%, even if you were right the first 9 times and lost the last time, you will lose the whole game and your account will be cleared. Besides, it is difficult for you to achieve a success rate of 90%, and it is difficult to make profits nine times in a row.
In fact, the best position ratio is related to the success rate p and the profit-loss ratio R. Profit-loss ratio R is the ratio of average profit to loss. The higher the profit-loss ratio, the more you earn and the less you lose, so the position can naturally be large; The success rate is naturally simple. The more successful it is, the bigger the position will be.
(1) Why can't I have a heavy position?
1, if you look in the right direction, you can't make money. Frequent stop loss, each loss is very large. Because of the large leverage, timing is extremely important for futures. In the upward trend of the market, it is common for the market to fluctuate by 4%. But if you have a heavy position, even in Man Cang, 4% fluctuation will make your account lose more than 30%, which is a great loss, so you may be forced out before 4%. After the results fluctuated, the market continued its original upward trend. As a result, I found the right direction, but I didn't make any money and lost a lot. Facts have proved that 80% stop loss can be resisted.
2. When you meet a black swan, your profit may go to zero overnight. Although black swan rarely happens, it is normal to happen several times a year. Although you have successfully avoided it for many years, it is normal to meet it every few years. Even if you have earned dozens or hundreds of times before, once you meet a black swan, you will not be given the opportunity to leave; Or you lose your mind and can't bear to cut it off. In just a few days, two consecutive down limits, or a drop of 10%, are enough to return to zero.
3, heavy positions, a stop loss, a big loss, your mentality may deteriorate, it is common to retreat 30% after heavy positions, your mentality is easy to be irrational, eager to earn back, and as a result, you fall into a vicious circle of more urgency, more loss and more urgency.
(2) Under what circumstances can a heavy position be held?
As can be seen from the above formula, when your success rate is extremely high and the profit-loss ratio is extremely high, your optimal position is a heavy position.
There is a flaw in the Kelly formula above, which ignores a condition, that is, the absolute value of stop loss, and there is no absolute value of stop loss in the formula. Even if your profit-loss ratio is large, such as 50, and your success rate is high, such as 80%, then you can hold a heavy position at this time. At one extreme, if your stop loss is 50%, if you stop loss twice in a row, you will explode.
Therefore, the requirements for our heavy positions are:
First: the success rate of direction judgment should be higher, and the number of stops should be less, so that the total retracement is smaller. Success rate, when the market is like this, your judgment success rate is very high. When there are multiple theoretical resonances, the probability of success rate is higher (we will talk about others later).
Second: the profit-loss ratio is high.
For a transaction at that time, the profit-loss ratio was very uncertain. At that time, we can only determine the success rate and stop loss, but not the future profit, because we often say that how much we earn is given by the market and how much we lose is under our control.
That's why we say that profits can run freely. It's because we can't judge the future profit margin and the profit-loss ratio of a transaction simply based on technical analysis. Therefore, the concept of profit-loss ratio has an ex post meaning, which is difficult to know beforehand.
Therefore, pure technical analysis can not know the profit-loss ratio of a transaction in advance, which mainly depends on the fundamentals, because the fundamentals determine the future price direction and range, so this needs the assistance of fundamentals, and pure technical analysis can not do it.
Third: the stop loss range of 1 hand is very small, so make sure that the stop loss is very small every time.
Each loss = 1 stop loss range * how many lots (positions)
The stop loss of 1 hand is very small, and even if the position is large, the total loss can still be controlled within a certain range.
Because the stop loss range is too small, it may be stopped frequently, so the result: although each stop loss is small, it can be stopped many times. For example, it takes five stops to catch a market, that is, the total loss exceeds 15% and the withdrawal is 15%. If you lose 5% every time and lose 5 times in a row, that's 25%. The retreat is too big.
Therefore, it is necessary to improve the success rate and ensure that the total extraction is less, so the success rate of direction judgment is higher. This depends on your grasp of the key points. If you grasp it well, you can achieve two conditions: high success rate and small stop loss.
The fourth condition: the heavy position must have a safe profit within days.
If the so-called black swan appears overnight, and the domestic market stops at this time, although your stop loss position is very small, at this moment, you can't stop loss, so the price will be far away from your stop loss position the next day, so the small stop loss position you originally set is useless.
Therefore, it can be seen from the above that when there is an efficient breakthrough and the stop loss is small, even if it is stopped several times in a row, it will not have a big impact. After you still have a safe profit in the day, you can make a trend overnight. Therefore, it can be seen that the conditions for heavy positions are extremely harsh.
(3) How to increase the position: use the inverted pyramid to increase the position.
Short-term is not suitable for jiacang, and the trend is suitable for jiacang. There are usually several situations that need to be added:
1. When the fundamental changes have been found, but the technical aspects have not been reflected-as we all know, the speculative market is not always rational, and it often has its emotional side. For example, when the foundation is good, the graphics often shake and may even fall down, and vice versa. At this time, if you want to occupy a favorable position and don't want to bear more shock risks, you must adopt the technique of phased investment.
2. There is a signal on the technical side, but it is not confirmed, so I am not sure. On the one hand, I don't want to miss the opportunity; On the other hand, when the judgment is wrong, the loss is small.
Method of adding positions: the positions should be smaller and smaller, but not larger and larger. For example, the pyramid is upside down, 15-20% bottom warehouse, 10% plus 5%.
Because: in a rising band, the rising amplitude is fixed (although we don't know). The higher the price, the smaller the room for rising, and the greater the probability of turning down. If it gets bigger, the greater the risk that your order will become a loss.
Suppose you are short, 10% position, up 10%, and earn 10%. However, if you increase your position by 20% to 30%, the price will drop by 3.3% at this time, and then all your profits will be spit out. If you are not careful, you will lose.
However, if 20% of positions are increased by 10%, then 20% is earned, and then you add 10% to 30%. Then when the price drops by 3.3%, you quit 10% and gain 10%. Only if it falls by 7% will your profits be fully retreated. And you have enough time to leave early before falling by 7%.
It should be noted that as a trend, lightening positions is more suitable for some people compared with pyramid overweight: if the pyramid overweight, such as long, the market will continue to fall after overweight, and profits will be greatly withdrawn, which will seriously affect the mentality and make it difficult to hold the list. If you gradually reduce your position, you lock in some profits, but you are not afraid of falling, because you can take orders at a lower position and feel more comfortable psychologically, but you can hold orders. Although the pyramid is more scientific, it is more comfortable to lighten the posture.
However, if there is a chance of great certainty, high cost performance and small stop loss in the middle, you can add more positions, which is not in line with the inverted pyramid overweight. At this time, your jiacang is also put into storage.
(4) Fund allocation: multi-species strategy (prevention of black swan)
Suppose the probability of one species of black swan is 5%, the probability of two species of black swan is 5%*5%=0.25%, and the probability of three species of black swan is 5%*5%*5%=0.0 125%. The probability of 0.0 125% is too low to happen.
Therefore, if the multi-species strategy is adopted, the probability of meeting the black swan is extremely low, which is impossible; In reality, the multi-variety strategy will make your account stable, and there will be no big fluctuations, that is, one variety will stop loss, and the other variety will seize the trend and achieve overall profit.
Of course, that calculation method assumes that the correlation of these different varieties is 0, that is, irrelevant, in order to achieve low probability. If the correlation is greater, the problem of low interest rate cannot be realized. For example, gold and silver are highly correlated, and there will be black swans in gold. Even if you have two varieties, the probability of occurrence is still 5%, not 0.25%. Holding multiple varieties at the same time, the smaller the correlation, the better, and the more you can avoid risks. For example, the correlation between agricultural products, chemicals and metals is weak. Sugar and cotton are irrelevant in agricultural products.
In the proportion of funds, some funds are invested in agricultural products, some in chemicals and some in metals, which can avoid systemic risks.
Technically, if you allocate several varieties, several varieties stop loss, and other varieties seize the trend to make profits, then your account will grow steadily.
Of course, considering the effectiveness and energy of people's ability, don't hold multiple varieties at the same time, generally three varieties are better. If we pass them, we will be easily distracted.