What is a Trading System?
What most people think of as a trading system, I would call a trading strategy.This would consist of eight parts:
A market filter
Set up conditions
An entry signal
A worst-case stop loss
Re-entry when it is appropriate
Profit-taking exits
A position sizing algorithm, and
You need multiple systems for different market conditions.
A market filter is a way of looking at the market to determine if the market is appropriate for your system.For example, we can have quiet trending markets, volatile trending markets, flat quiet markets, and flat volatile markets.And, of course, the trending markets can either be bullish or bearish.Your system might only work well in one of those market conditions. As a result, you need a filter to determine whether your system has a high probability of working. Should you trade your system or not?
The set up conditions amount to your screening criteria.For example, if you trade stocks, there are 7,000+ stocks that you might decide to invest in at any time.As a result, most people employ a series of screening criteria to reduce that number down to 50 stocks or less.Examples of screens might include William O’Neil’s CANSLIM criteria2 or a value screen for stocks with good PERs or a good PEG ratio or a fundamental screen having to do with management and its return on assets.You might also have a technical set up, just prior to entry such as watching the stock to go down for seven straight days.
The entry signal would be a unique signal that you’d use on stocks that meet your initial screen to determine when you might enter a position—either long or short.There are all sorts of signals one might use for entry, but it typically involves some sort of move in your direction that occurs after a particular set-up occurs.
The next component of your trading system is your protective stop.This is the worst-case loss that you would want to experience and it defined 1R (or your initial risk) for you.Your stop might be some value that will keep you in the stock for a long time (e.g., a 25% drop in the price of the stock) or something that will get you out quickly if the market turns against you (e.g., a 25 cent drop).Protective stops are absolutely essential.Markets don’t go up forever and they don’t go down forever.You need stops to protect yourself.Entering the market without a protective stop is like driving through town ignoring red lights.You might get to your destination eventually, but your chances of doing so successfully and safely are very slim.
The fifth component of a trading system is your re-entry strategy.Quite often when you get stopped out of a position, the stock will turn around in the direction that favors your old position.When this happens, you might have a perfect chance for profits that is not covered by your original set-up and entry conditions.As a result, you also need to think about re-entry criteria.When might you want to get back into a closed out position? Under what conditions would this be feasible and what criteria would trigger your re-entry?
The sixth component of a trading system is your exit strategy.The exit strategy could be very simple.For example, it might simply be a 25% trailing stop where you adjust the stop to 75% of the closing price whenever a stock makes a new high.The stop is always adjusted up, never down.
However, you may have many possible exits in addition to a trailing stop.For example, a large volatility move (e.g., 1.5 times the average daily volatility) against you in a single day is a good exit.Crossing a significant moving average (e.g., the 50 day) might be a great exit. Technical signals are good exits (e.g., breaking a significant trend line.)
Exits are one of the more critical parts of your system.It is one factor in your trading of which you have total control.And it is your exits that control whether or not you make money in the market or have small losses.You should spend a great deal of time and thought on your exit strategies.
The seventh component of your system is your position sizing algorithm. Position sizing is that part of your system that controls how much you trade.It determines how many shares of stock should you buy.A general recommendation would be to continually risk 1% of your portfolio.Thus, if you have a $25,000 portfolio, you wouldn’t want to risk more than $250.
Let’s say you wanted to buy a stock at $10. You decided to keep a 25% trailing stop, meaning if the stock dropped 25% to $7.50 you would exit your position.Since your stop is your risk per share, you would divide that $2.50 risk into $250 to determine the number of shares to purchase.Since $2.50 goes into $250 100 times, you would purchase 100 shares of stock.Notice that you would be buying $1,000 worth of stock (100 shares @ $10.00 each) or four times your risk of $250.This makes sense since your stop is 25% of the purchase price.Thus, your risk would be 25% of your total investment. If you want to know more about position sizing, I’d suggest that you read and review the book Trade Your Way..., the Definitive Guide to Position Sizing and the Introduction to Position Sizing E-Learning Course.
Finally you need multiple trading systems for each type of market.At minimum, you might need one system for trending markets and another system for flat markets.
sdsxtt 发表于 2014-4-2 09:06
烦请再讲讲“承受失败风险”的尺度、比“简单分仓”复杂一点的资金管理以及您的信号的类别----------是指 ...
实际上是风险管理情况下去寻找，改正，纠正，适应市场的过程，本质上是概率化的生存方式。
发生信号可以用指标或者适合交易者的分类方式，首先应该是顺势而为。
pitdoor 发表于 2014-4-8 12:54 static/image/common/back.gif
实际上是风险管理情况下去寻找，改正，纠正，适应市场的过程，本质上是概率化的生存方式。
发生信号可以 ...
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中秋快乐！#bb#
前方有雾 发表于 2014-9-7 12:58
中秋快乐！
国庆快乐:)
pitdoor 发表于 2014-9-29 00:44 static/image/common/back.gif
国庆快乐:)
#*19*#
祝楼主国庆节快乐，从楼主的帖子学习了很多，感谢楼主！
国庆快乐！
时空的互换，是股市趋势中极为重要的问题。将能量－即成交量加进去，称为三维互换。
支持学习贴。。。。{:7_317:}
记录
学习了。。。谢谢
这是什么了？？？
:#QIAOPI
申农的魔鬼兼谈零风险的陷阱
魔鬼的思想来自于量子力学：是麦克思韦在描述一台永动机模型时，设置一个活动的门，隔断两部分的空气，当一个快速的分子从右边往左边接近时魔鬼开门让分子进入左边，如果是慢速分子，魔鬼就将门关上，将分子留在右边。于是在这种情况之下，一台机器便能不停地运转，永动机发明成功。
我们无法证明合理性，但据说宇宙空间中的暗物质暗能量要占到90%，有哪个科学家有办法利用之估计永动机的梦想要成真，当然这是题外话。
申农（1916-2001）是信息科学的创始人，当然也象牛顿一样对股市的波动的预测无能为力，因为大抵只有傻瓜、偏执狂或神经病才能在股市中生存（你得不停地做同样假定成功的动作 ）。科学家有时候是偏执的，所以有时候他们能从股市中赚到钱。申农，这位令我们尊敬的科学家就从股市中赚到了钱，据说他只用比较短的时间，当然这得益于他对自然界深刻的理解。
但是他当然非常善于应用模型，例如根据上面的魔鬼思想做出一个资金管理模型：你初始买入股票，使股票和资金等值。以后不管股价涨跌，都买卖股票使二者达到平衡(不考虑交易成本，这一点有时可忽略不计)。例如股价涨一倍，你就卖掉市值的1/4[因（1，1）→(2,1)→(1.5,1.5)，于是卖掉（2-1.5）/2=1/4]，使市值和手上的资金持平；又或股价跌到一半，你又补进股票市值的1/2[(1,1)→(0.5,1)→(0.75,0.75)，(0.75-0.5)/0.5=1/2，使二者达到平衡。由此不停地进行下去，当股价回到原位时你便赚到了钱，而持股不动或持币不动的投资者资金状况不变。如用$1000，当股价跌一半再回到原位，资金量变为$1125，赚$125。
这个模型实质上是一种等价鞅模型，非常之诱人。如果能成功，估计我们以后可以买这种永动机做成的车子，能节省无限多的能源，我们同样可以不用干活就能在股市中得到大笔财富了 因为根据它来操作，几乎毫无风险可言，是一种零风险方法。
既然这么诱人，那么我们愿意对其做进一步深入的探讨。
假定操作中涨了P次，跌了Q次，每次使股票市值和资金量平衡（实际操作你不一定要用1倍、2倍，你可以使用R值来测量 ），又假定资金量为m。很容易算得最后总资金量为3^(P+Q)/2^(P+2Q)*m，为了赚钱，务必使系数大于1。利用函数单调性，取10为底的对数就得到（P+Q）lg3>(P+2Q)lg2，即.59>Q/(P+Q)，或者P/（P+Q）>0.41。就是涨的情况占涨跌总数要达到41%以上才可以赚钱，可见零风险是不存在的，你选股的策略也要几乎达到涨比跌多或者差不多的情况才能保证操作成功，不然资金量真的象永动机一样亏损下去了。
本帖最后由 pitdoor 于 2015-4-12 08:34 编辑
申农模型
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没想到楼主能坚持下来，真有毅力