Category: Money Tips Date: 2007-07-02
The so-called program trading, the 70s from the United States stock market on the development of systematic trading evolved, compared with a variety of complex technical analysis methods, procedures, transactions may be more feasible, but also simpler and more suitable for small and medium investors in the market to use. Securities and futures markets are now used mostly programmed trading system is fully mechanized, meaning that 100% digital, formulaic and objective-oriented, but so far on the market used in the vast majority of transactions are less mechanized successful, the main reason is because the design of trading systems or in the performance of the success rate is not satisfactory, or its return rate will not lead investors.
Or should I say back to trading systems, the most essential issues, the measure of a trading system is the most essential indicators of the system can make money easy and stable manner. The ability to make money the easiest to understand is that two modes: first, the number of times to make money than lose money more than the number of times, and every profit and loss rather than less, so that eventually down to earn certainly afford to lose more than that; second is not to make money the amount of times as the most important measure, the only required each time to earn a little more than afford to lose the final to earn money, generally more than the loss of the money line. Analysis of the above two situations, we can see, the first one is to pursue the transaction success rate of simple examples, in this that we just assume that is zero and the market trading places, the want to achieve the success rate of beat the market is more difficult, Because of this market in the long term price trend of relatively strong randomness, from the U.S. stock market to send with the classic dart duel between senior market analyst in the securities shown. And if we simply pursue the success rate, its cost must be a high opportunity cost of the transaction, because we want to market a full range of analysis, to identify some of the market in addition to random outside of the law to carry out transactions in accordance with this law, trying to beat the market, success, in short, with less to follow the laws of analysis and forecast of market prices and then the latter part of the trend transactions; The second situation is the core of the system as a measure of transactions from single transaction to be extended to a more transactions for a long time go, this double-edged sword, "profit" is from the overall analysis and verification of a trading system is good or bad, so that the transaction also known as flexible and not subject to too many aspects of conditions, trading opportunity cost is relatively low, the construction of trading systems is relatively simple, post-amendment to the system is also more convenient, "disadvantages" is such a system itself, the requirements of the transaction success rate is relatively low, could lead to investors in the transaction process of continuous multi-pen trading loss, the psychological impact on investors is relatively large, such a situation appears often lead investors to cast doubt on the trading system, or even just give up trading systems turn to the other mode of operation.
Transactions in the program design, design before what kind of strategy is important, we found that the vast majority of program trading systems are to follow the trend in the core and built, this is more of a consensus recognized by everyone, Because a clear trend is a good chance to make easy money, anyone want to pass up, but we also found another common phenomenon in a market that is most of the time the market is in a state of non-trend movement, so that the market motion feature how should we sure? This is also the process of design work should focus on solving a problem, most of the procedural design ideas are taken into account this point, but the city can be attained in the oscillator to achieve relatively good operating performance of the system is still very little. Combination of the above-mentioned characteristics of the market price movement, I feel that in order to follow the trend of building more in line with front-end trading systems to make money the second mode, that is not in the pursuit of trading success rate as the core, but as far as a trend of the stock market simply pocketed in In mishandled or Quotes complex cases without loss or less loss, to fewer times a large number of small profits to make up for losses, in general, to make it more profit earn less.
In determining the overall construction of ideas, it should be for a complete trading system to quantify each part, including:
1, the largest single and overall trading position is established, I think that a fixed percentage of the total capital combined with a single species, the average oscillation amplitude to determine the more appropriate.
Second, unlocked the cells and the timing. Now follow the established trend, then the price should be our greatest concern of indicators that can break through to a high price as a signal opening the granary, but the signal can be unlocked the cells and various other conditions to filter false signals, or the obvious risky unlocked the cells and filtered signals, such as price and moving averages can be combined to determine the distance.
3, Opening times and timing. On the Opening, it is more difficult to grasp one steps, I tentatively agree that jiacang should be carried out after the trend has been established, breaking through significant pressure or support, and this pressure or support can be used directly in the technical analysis of price ? This will not be with the entire program trading system to produce the larger conflict? Because of this, after all, is a subjective thing, but also difficult to quantify before the operation, and program trading system, the construction of a departure from the original intention, what may be feasible is also debatable.
Fourth, stop-bit setting. Stop-loss of the entire trading system, the more important part, and to determine the maximum position of similarity, we can stop at the same time set to a fixed proportion of the different characteristics according to different types of differential treatment, and adjust the stop point position after Opening.
5, profitability unwinding of positions. With regard to liquidation, because it is following the trend, then we can not let the price of small fluctuations from affecting the overall operation, but in the number of how to define a small or large adjustments callback, or a price reversal, it is quite difficult. Of course, the use of statistical methods that we can calculate the size of historical data and the corresponding fluctuations in the price of performance, but such historical data on how much the operation after the reference is also worth further validation of the meaning.
On the whole, in order to follow the trend of thought to design the trading system, its success rate is definitely not 50%, because the market will inevitably lead to the movement characteristics of such an outcome, but the trend is a clear, when the profit rate but it may well high. If you do not take into account transaction costs, then the futures market itself is a zero-sum market and earn money people earn money and people lose money is the same loss of money, but a long time for such a market can make a set of security earn no loss of the trading system has always been controversial, because the historical experience shows that no matter how successful traders will appear again in this market, the market as long as there is bound to carry out their transactions, and in what traders out of the market before the things that can happen, and now can make money trading system in the next period of time may not be easy to use, so that this market simply do not and can not have it set at any time under any circumstances can be applied successfully for trading system, can be seen constantly trading system for the verification and correction is very important.
The last point and program trading may be the biggest advantage is that we can help the users of the system to maximize the greed and fear to overcome the weaknesses of human nature.
