[探讨]走向高手的必由之路————怎样提高执行力？

谁能代替你地位

[探讨]走向高手的必由之路————怎样提高执行力？

来自：MACD论坛(bbs.macd.cn) 作者：谁能代替你地位 浏览：8686 回复：12

个人以为在期货操作中，有两点是至关重要的：一是合理的具体的可以带来稳定赢利的操作系统，一是执行力。
到底怎样才能提高执行力呢？在制订自己必须遵守的纪律的时候，哪几条比较实用呢？有没有什么公认的纪律戒条呢？等等。
欢迎大家讨论，指点。
多谢。

gliadiator

头寸调整引论 Introduction to Position Sizing: The Secrets of the Masters Trading Game（金融悖论 译）Van K. Tharp, Ph.D. Author of《通往金融王国的自由》 人们总是在寻找成功交易的真正秘密，但其心理偏差总使他们关注错误的地方和错误的事情。结果，他们寻找那些准确度等于或好于75%的不可思议的交易系统，或者是寻找许多被认为可以帮助最佳选股的入市(entry)系统。最佳选股和交易成功并无关系，而且也没有人做到以那样的准确度选股。

你也许会质疑，“你怎么能这么说？”。实际上，所有市场奇才们都会认同，使交易成功的关键因素是：1）黄金交易规则——“减小亏损并使盈利扩大”；（2）调整头寸（position sizing，或持仓调整）或者按你交易系统的头寸调整功能的指令去做；（3）把遵守前两条作为交易纪律。你何时可曾想过，上述黄金交易规则基本就是讲述离市――如何放弃亏损和驾驭盈利增长。你何时可曾想过，头寸调整基本就是控制指定交易中的风险金。

    我已设计好了《头寸调整》游戏――在你入市之前帮助你学会成功交易秘密的“大师交易秘诀”游戏。这个游戏完全不强调入市点或选股，而是要求你关注交易最重要的方面—头寸调整和使盈利扩大。我们的游戏共分10级，难度逐级增大而难于掌控。然而，一旦你掌握了这些原则，你将知道你已经掌握了某些成功交易的关键技巧。为了完成这个游戏，你必须掌握四项关键原则。这包括：（1）理解风险倍量（R-multiples）的重要性；（2）理解数学期望与概率的差别；（3）学会如何使盈利扩大而不流失；（4）利用头寸调整，确保你进行低风险金交易。《头寸调整》游戏（即 “大师交易秘诀”游戏）被设计成使你在游戏环境里运用上述原则做交易，在家里就体验赢钱或输钱。 《大师交易秘诀游戏下载地址 http://www.iitm.com/regform.asp 需要注册登录一下，只能试玩前面四级，后面几级游戏需要购买》

风险倍量（R-multiples）：首先，你必须理解什么是风险倍量。R代表风险，你入市交易所承担的风险。它反映了你为了保全资本打算退出的点位。例如，如果你在50美元买了一只股票并且计划在股票降至47美元或更低时止损出局，这时你这笔交易中的风险倍量R值是3美元（50-47=3）。（为了便于理解，作为特例，如果亏损量是1R（后文中常做此约定），则盈利的风险倍量（R-multiples）就是收益风险率----译注）
你想使亏损减小（即一个风险倍量或更小）并且使盈利为大风险倍量（两个或更多）。当市场背你而跳空或越过你的离市点位时，亏损可能会大于一个风险倍量（1R）。当你犯了心理上的错误并没有在离市点位出局时，亏损也可能会大于一个风险倍量（1R）。过度的费用（佣金和折价）也会导致大风险倍量的亏损。

这个游戏不必像市场里各种股票一样来回波动。相反，它像是运行一个具有某些特性的交易系统。

    当你使盈利增加的时候，你希望盈利远大于一个风险倍量。例如，如果R是3美元（像前例中所述），那么15美元的盈利将是5个风险倍量的盈利，现在假设你的交易系统中有25%的交易时间是正确的。如果你赢利，那么你将获得价值5个风险倍量（5R）的盈利。如果你亏损，你只要付出1个风险倍量（1R）即3美元的代价。在我们这个例子里，你的系统每赢1次（获利15美元）就对应输3次（每次输3美元，三次共输9美元），你仍获利6美元。想象一下，你只有25%的交易时间是正确的，而你仍能赚钱！这就是为什么减小亏损（即小风险倍量的亏损）和扩大盈利（即大风险倍量的盈利）的原则如此重要。甚至在你只有25%的交易赚钱时，你仍然盈利。

    第一级《头寸调整》游戏（即 “大师交易秘诀”游戏）教你调整头寸和大风险倍量的重要性。你的输赢用风险倍量来表示，这些数值在每一级的指令里描述，并可以在模拟游戏的统计窗口里看到。这样，一次1倍风险金的亏损是一个风险倍量（1R）的亏损，一次5倍风险金的亏损是5个风险倍量（5R）的亏损。类似地，一次1倍风险金的赢利是一个风险倍量（1R）的盈利，一次10倍风险金的赢利是10个风险倍量（1R）的盈利。
例如，在游戏第一级里，你的交易（平均来讲）有60%获赢，其中大多数（平均来讲全部交易的55%）是1R的盈利。这样，有55%的机会你将赢得你的风险金。如果你的风险金是1000美元，根据1R的盈利，你将获利1000美元。在第一级里，所有交易中的5%将获10R的盈利，也就是说，如果你的风险金是1000美元，当这种交易出现时，你将获利10倍于风险金亦即10000美元。这既简单又轻松。然而，在第一级里35%的交易有1R的亏损， 5%的交易有5R的亏损。你在在第一级游戏里，将有机会学习5个风险倍量（5R）的交易亏损所带来的心理苦恼。
请注意，在第一级游戏里，具有怎样的60%获赢概率和大风险倍量的赢家。也就是说，你有潜力成为10-R盈利的幸运儿。在以后的游戏等级里将不会是这样。结果，这产生了下一个话题——数学期望。数学期望 vs 概率：数学期望是个数学计算式，它表明单位美元风险金的平均获利数量。数学期望综合考虑了输赢概率和收益风险率的大小。娱乐场赌博游戏（Casino gambling games）都是负的数学期望游戏----除非你能做些什么改变胜算，否则你不可能一直玩下去还赢钱。在交易中，你必须玩不同于赌博的游戏。为了长期能赚钱，你必须使游戏具有正的数学期望。

   大多数人常犯寻找最佳游戏策略（或交易系统）的错误。然而，如果输了会产生大风险倍量，这类策略则可能是负数学期望（这意味着最终你会输钱）。更重要的是，有些最好的交易计划有利于你获得大收益风险率，但它往往只在25-40%的时间里赚钱。（这算什么鸟东西！心理学研究表明，人类心理对正面和负面撞击所响应的力度之比为1：2.5，此等系统给人的心理正负撞击比率是1：3.75~10，还玩得下去吗？骗人吧，老Tharp ！！！同理，只有交易系统的成功率大于71%（2.5/3.5）时，交易者的心理才会真正趋于自然平衡。这也是多数情况下心理控制力弱者必输的原因。之所以人类心理对正面和负面撞击所响应的力度比为1：2.5，大概是由于远古人类都是从小给吓大的，恰如古人所说，人生不如意之事乃十之七八也。其实，事情好坏更可能是掺半，只是人类对负面心理打击的本能夸张，才形成了那样的古训。----译注）

   让我们来看一个例子。假设你买了一只股票并打算在它跌去一美元之后止损。例如，你是在50美元买了这只股票，你将在49美元止损。然而，当你走运时则期望这只股票可以上涨30%。这在我们这个例子中上涨30%就是上涨15美元。现在我们设想一下这种情形：如果你错了，你会每股亏损1美元；如果你对了，那么你每股将赢利15美元。假如你有30%的交易时间获利——十次交易中会有三次赢利。那样在十次交易中，其中有三次交易你每股平均可以挣得15美元。你总共就是每股赢利了45美元。同样的十次交易中，七次交易你将会平均亏损1美元，也就是你总共会亏损7美元。那样，十次交易后你每股就赚了38美元——虽然在交易中你只正确了30%。请牢记，在市场里赚钱的公式里，有利于你的大收益风险率远比“交易正确”更意义重大。

    你能够赚到如此多的钱的原因是由于你的离市。你的离市产生了很高正数学期望值的交易方法。所以让我们稍微彻底的探究一下数学期望的概念。

   基本上，计算数学期望时，要把每一个（不论正负）风险倍量乘以其发生概率，并求和。所有发生概率之和必须为100%，否则，就是你漏掉了什么。在我们的股票例子里，数学期望值=30% x 15 + 70% x (-1)=3.8。这意味着，经过许多交易之后（根据大数定理，大约30次以上—译注），平均每次交易的盈利是风险金的3.8倍。你也可以用另一种方法计算数学期望值，把全部交易的风险倍量加到一起（赢利的为正数，亏损的为负数），再将累加和除以交易次数。

   计算数学期望值似乎有些复杂，可我们有好消息给你。《头寸调整》游戏会为你计算数学期望值。
数学期望的一个重大含义必须理解，数学期望和概率并不需要都对你有利，如前所述，你必须使交易具有正的数学期望，而并不需要获赢概率大于失败概率。在前面那个股票例子里，你只有在30%的时间里获利，胜算不对你有利，但游戏有正的数学期望----使你每次交易有平均3.8倍于风险金的赢利。
在第二级之后的每一个等级都把概率和数学期望分别设置。这是一个你要掌握的更高级的交易概念。从第五级起，你将有设置概率以及设置数学期望的选项。你将会知道尽管你经常赢，但数学期望不利于你的时候会有多危险。
让你的利润扩大：在前面的六级游戏里，容易得到一个大的赢利风险倍量。假如你击中了它，你将大赢。如果你击中了一个10R赢利风险倍量，你将赢得10倍于风险金的赢利。
在最后四级游戏里，你将必须通过让利润扩大来挣得大的赢利风险倍量，就像进行真实交易那样。亏损交易会很快发生，但盈利交易则要花时间开拓。当一个盈利交易开始时，它可能仅仅是1R赢利，你必须等待另一天（即游戏中的另一天交易）以决定交易是否继续，你打算用投入的风险金去赚多少钱。

其一

　　“墨菲法则”、“派金森定理”和“彼德原理”并称为二十世纪西方文化中最杰出的三大发现。它源于1949年，一名叫墨菲的美国空军上尉工程师，发现：假定你把一片干面包掉在地毯上，这片面包的两面均可能着地。但假定你把一片一面涂有一层果酱的面包掉在地毯上，常常是带有果酱的一面落在地毯上（麻烦）。换一种说法：如果某件事有可能变坏的话，这种可能就会成为现实。这就是墨菲法则。它的适用范围非常广泛，它揭示的了一种独特的社会及自然现象。它的极端表述是：如果坏事有可能发生，不管这种可能性有多小，它总会发生，并造成最大可能的破坏。

其二

　　1．你若想提前知道，哪些交易有可能遭受损失，墨菲法则可告诉你：

　　1）那些不曾建立保护性止损委托的交易；

　　2）由于不谨慎而持有过多的头寸；

　　2．墨菲法则在股市的应用：

　　你怕跌，它偏偏跌给你看；你盼涨，它偏不涨；你忍不住卖了，它也开始涨了；你看好五只股，买进其中的一只，结果除了你手中的那只外，其它四只涨得都很好。...

　　3．问：我看好三只股，买进其中的一只，结果除了手中的那只外，其它都涨得很好，怎么处理？
　　我的经验是：同时看好的几只股中，买那只最没把握的。或这几只股在你心
目中排名最后的那个，可能效果最好。股市中期望最高的事情，也最容易让人失望。

其三

　　若水、迟到兄说：

　　1．你找见丢失东西的地方是你寻找的最后一个地方。

　　2．假如一周五个交易日，前三天涨，涨，涨，你没注意；后二天，跌。瞧：墨菲法则起作用了！

　　3．庄家断头也是很多人没想过的事。把股票押给银行，就不能不想到它有朝一日会跳票。既然有可能性，就有实现的机会。庄家们舒服了几年了，我们也没注意，有一天跳水了，瞧：墨菲法则又起作用了。

　　4．所以说：这也是一种概率。每天都有好、坏结果的发生，二者的可能性同时存在。好的结果，没人注意。一旦出现坏的结果，只不过因结果太强烈，给人印象太深刻，就造成了一种必然的结论。
　　在流动的市场中，坏的地方就是你下结论的地方，也就是所谓墨菲法则起作用的地方。

胡伦说：

　　1．我的感受是，墨菲法则重视的是可能性，包括那些小概率事件，强调事物的变化及不确定性，拓展我们思维或观察的视野，防患于未然。同时它又告诉我们不要人云亦云，要看人所未见，想人所未想，而那些地方可能会出现赚钱的机遇。出其不意也同此理，这正是某些人的法宝。

　　2．迟兄所说的注意力问题，正是墨菲法则的一个方面。我们关注什么，是有选择的，世界呈现在我们面前的信息是非常丰富的，但我们通常以我们的六识及内心需求与认识、接受能力做有限的选择，并通常是线性的片面的，主客不协调的。所以有时事情发生后，我们注意并开始后悔。因此我强调墨菲法则的目的主要是打破我们内心认识世界的自我屏障，尽可能让注意力发散、流动，观察到全局的变化。它象一个风险市场的守护神，让你备好逃路，然后坐享收获的喜悦；又象黑暗之中的探照灯，照亮你心灵的死角，让你发现常人遗忘的机会。墨菲法则指出了人类的困境，人性的弱点或所遇的悖论，它的指向往往是物极必反后的方向或出常人意料之外的方向。因此，墨菲法则值得玩味。

　　3．墨菲法则让我们的注意力发散、流动，观察到全局的变化。----它也只是个名相，更象一个筐。一切不确定的东西都可往里装。它在冥冥之中提醒我们，面对任何事情，应该考虑的更周到、更全面，要采取一定的保险措施，防止偶然失误给我们带来的灾难和损失。　　

其四

　　墨菲法则的另类表述：

　　1、如果第一次便成功，显然你已经做错某事。

　　2、如果某事不值得去做，则不值得把它做好。

　　3、绝不记住忘掉的事。

　　4、当一切都朝一个方向进行时，最好朝反方向深深的看一眼。

　　5、今天是你前半生的末日。

　　6、寻求单纯----然后不信。

　　7、教育无法取代才智。

　　8、要是知道自己所值几何，你就会变成一文不值。

　　9、寂寞是你赶不走的东西。

　　10、自动消失的问题会自动回来

[ Last edited by gliadiator on 2005-3-22 at 21:03 ]

笨笨.

2楼不错，支持一下

谁能代替你地位

上面的文章有些罗嗦。还是谢谢你！

gliadiator

People are always looking for the "real" secrets of trading success, but their mental biases always have them looking in the wrong places and at the wrong things.  Consequently, they search for magical trading systems with 75% accuracy or better or for great entry systems that they think will help them pick the right stock.  Picking the right stock has nothing to do with success and neither does the accuracy of your stock picking.

You might be saying, "How can you say that?"  Well, practically all Market Wizards agree that the key ingredients to your success are (1) the golden rule of trading - "cut your losses short and let your profits run;" (2) position sizing? or that part of your trading system that tells you how much; and (3) the discipline to do both.  When you think about the golden rule of trading, it basically describes exits - how you abort losses and ride winners.  When you think about position sizing?, it basically controls how much you risk on any given trade.

I've designed Position Sizing?: The Secrets of the Masters Trading Game to help you learn the secrets to trading success before you play the markets.  This game totally de-emphasizes entry or "stock picking" and instead requires that you focus on the most important aspects of trading - position sizing? and letting your profits run.  Our game has ten levels that get progressively more difficult to master.  However, once you've mastered these principles, you'll know you've mastered some of the key skills to trading success.

To complete this game, you must master four key principles.  These principles include (1) understanding the importance of R-multiples; (2) understanding the difference between expectancy and probability; (3) learning how to let profits run without letting them escape; and (4) using position sizing? to make sure you have a low-risk trade.  The Position Sizing?: The Secrets of the Masters Trading Game is designed to drive these principles home by giving you the experience of making (or losing) money in a game environment where losing is safer.


R-Multiples:  First, you must understand the principle of R-multiples.  R stands for risk, the risk you take on any trade when you enter the market.  It reflects that point at which you plan to get out in order to preserve your capital.  For example, if you buy a stock at $50 and you plan to get out if it drops to $47 or below, then your R value in this trade is $3.00 (i.e., $50 minus $47 = $3.00).

You want your losses to be small (i.e., an R-multiple of one or less) and your profits to be large R-multiples (2 or more).  Losses can be bigger than 1R, when the market gaps against you and goes through your "get me out" point.  Then can also be bigger than 1R when you make a psychological mistake and fail to get out when your stop point is reached.  Excessive costs (commissions and slippage) can also result in big losing R-multiples.

This game is not necessarily like the movement of various stocks in the market.  Instead, it is like running a trading system that has certain characteristics.  

When you let your profits run, then you want your profits to be much bigger than 1R.  For example, if R is $3 (as it was in our example above), then a $15 profit is a 5R profit.  Now suppose you have a trading system in which you are right 25% of the time.  When you win, you make 5R (i.e., in our example $15).  When you lose, you lose 1R or $3.  In our example with your system that is right one time (i.e., a $15 gain) for every three losses of $3 each (i.e., a total of $9 in losses), you still make a profit of $6.  Imagine that!  You are right 25% of the time and you still make money.  That's why the principle of cutting your losses short (i.e., so you will have small R-multiple losses) and letting your profits run (i.e., so you will have big R-multiple gains) is so important.  You still make money, even when you only make money on 25% of your trades.

The first level of Position Sizing?: The Secrets of the Masters Trading Game teaches you position sizing? and the importance of large R-multiples. What you win or lose will be expressed as R-multiples and these values are described in the level instructions for each level and are also viewable in the statistics window while playing the simulation.  Thus, a loss of 1 times what you risk is a 1R loss.  A loss of 5 times what you risk is a 5R loss.  Similarly, a gain of 1 times what you risk is a 1R gain.  A gain of 10 times what you risk is a 10R gain.

In level one, for example, sixty percent of your trades (on the average) will be winners.  Most of them (55% of all trades on the average) will be 1R gains. Thus, on 55% of your trades, you'll win whatever you risk.  If you risk $1,000, then you will win $1,000 on a 1R gain.  In level one, 5% of all trades will be 10R gains.  In other words, if you risk $1,000 when one of these trades come along, you'll make ten times what you risked or $10,000.  It's simple and easy.  However, 35% of your trades in level one will be 1R losers and 5% of your trades will be 5R losers.  Hopefully, you'll get a chance to learn the psychological agony of having a 5-R trade go against you in this level.

Notice how level one has probability on your side (60% winners) and the big R-multiple winners as well.  That is, you have the potential of a 10-R winner in your favor.  That won't be the case in the future levels.  As a result, it brings up our next topic - expectancy.


Expectancy Versus Probability: Expectancy is a mathematical formula that tells you how much you will win on the average per dollar risked.  It takes into account both the probability of winning (or losing) and the size of the R-multiples. Casino gambling games are all negative expectancy games - you cannot make money in the long run unless you can do something to change the odds.  In trading, you must play a different game from gambling.  You must have a positive expectancy game on your side in order to make money in the long run.  

Most people make a mistake by looking for games (or trading systems) that make them right.  However, such games can have a negative expectancy (meaning that you'll lose money overall) if some of the losers have large R-multiples.  More importantly, some of the best trading ideas have large R-multiples in your favor, but only make money 25-40% of the time.

Let's look at an example.  Suppose you buy a stock and plan to get out when it drops against you by a dollar.  For example, if you buy a $50 stock, you'll get out when it drops to $49.  However, when you are right you expect that stock to move 30%.  In the case of our $50 stock, a 30% move is an additional $15.  Now think about this situation.  When you are wrong, you lose one dollar per share!   When you are right, you make $15 per share.  What if you were only right 30% of the time - you make money in three of ten trades.  Thus, in ten trades you'd make $15 per share an average of three times.  Your total gain would be $45 per share.  In the same ten trades, you'd lose $1 per share on the average seven times.  Your total loss would be $7 per share.  Thus, over the ten trades you'd end up making $38 per share - even though you were only right 30% of the time.  Large R-multiples in your favor are much more significant than "being right" in the equation for making money in the market.  Remember that!

The reason you will have made so much money is because of your exits.  Your exits gave you a trading method that had a very high positive expectancy.  So let's explore this concept of expectancy a little more thoroughly.

Basically, when you calculate expectancy you will multiply each R-multiple (both negative and positive) by its probability of occurrence.  You then sum the results (i.e., subtracting the values of the negative R-multiples) to get the total expectancy.  All of the probabilities, of course, must add up to 100%.  If not, it means that you have missed some.  In the case of our stock example, you multiply 0.3 times 15, which is 4.5, and 0.7 times minus 1, which is minus 0.7.  When you add 4.5 and minus 0.7, you have a total expectancy of 3.8. This means that you will average in gains, over many trades, 3.8 times your risk on each trade.  You can also calculate expectancy by simply adding up the R-multiples (with winning being positive numbers and losing being negative numbers) and then dividing that sum by the total number of trades.  

While the calculation of expectancy might seem complicated to some of you, we have good news.  The game will calculate the expectancy for you.  You can find the expectancy of each level in the statistics window.  You'll also know what the probability is of each trade.  Since the trades are random, you could easily get 10 losers in a row and that won't follow the expectancy.  However, at the end of the level, you'll probably be pretty close to the expectancy of that level.  It's just like real trading in that you won't know whether the next trade will be a winner or not.  However, to help you the game will also give you the expectancy of the trades to date as they are randomly picked.  Thus, you will know how far the trades are off from the likely expectancy that was built into the game.

There is a critical aspect to expectancy that you must understand.  Expectancy and probability are not necessarily the same.  As I said earlier, you must have expectancy on your side, but you don't need to have probability on your side.  Let's look at the simple stock market example given earlier.  You win 30% of the time, but when you win it's a 5-R gain.  You lose 70% of the time, but when you lose it's a 1-R.  You only make money 30% of the time.  Thus, the odds are against you.  However, the game has a positive expectancy - giving you an average of 3.8 times your risk each trade.

Probability and expectancy will be separate in every level after level two.  This is a more advanced trading concept for you to master.  Beginning with level five, you'll even have the option of going with the probability (i.e., winning most of the time) or going with the expectancy. Hopefully, you'll learn how dangerous it is to bet against the expectancy, even though you get to win (or be right) more often.



Letting Your Profits Run:  In the first six levels, getting a big R-multiple will be easy.  If you hit one, you get the big win.  If you hit a 10R multiple, you will win 10 times what you risk.  

In the last four levels, you'll have to earn your big R-multiples by letting your profits run - just like in real trading.  Losing trades will happen quickly, but winning trades will take time to develop.  When a winning trade starts, it will probably just be a 1R win.  You now have to wait another day (i.e., in the case of the game, trade) to determine if it will continue and how much of your gain you want to risk.  When a winning streak starts, the chances of it continuing are good.  However, you'll need to decide if you want to risk it all or just a portion of your profits.

谁能代替你地位

我倒！本来英语就不太好，还是这么长的文章。哎，算了，不看也罢。

zhs0510

学习，谢谢

千山独行

Originally posted by gliadiator at 2005-3-22 21:19
People are always looking for the "real" secrets of trading success, but their mental biases always have them looking in the wrong places and at the wrong things.  Consequently, they sear ...

我注册了，不过下载太慢了，才1点几K速度，64M啊

有朋友下载过吗，
能共享 一下吗

呲牙咧嘴132

Originally posted by 谁能代替你地位 at 2005-3-22 21:14
上面的文章有些罗嗦。还是谢谢你！

ja

谢谢分享!

bockju

下载成功，试一下

白云生处

谢谢!真诚地谢谢你给我们这么好的文章！