[基础学习]资金策略
太多讨论行情的内容，正如Murphy在他的书中宣称，非常重要的环节“资金策略(管理)"却无意中被忽视了，所以贴出来一起学习。看书(藏经阁有)手打，速度慢见谅。中文后附。
资金管理与交易策略
Money Management and Trading Tactics
INTRAODUCTION
The previous chapters presented the major technical methods used to forecast and trade financial markets. In this chapter, we'll round out the trading process by adding to the task of make forecasting the crucial elements of trading tactics (or timing) and the often overlooked aspect of money management. No trading program can be complete without all three elements.
THE THREE ELEMENTS OF SUCCESSFUL TRADING
Any successful trading program must take into account three important factors: price forecasting, timing, and money management.
1. Price forecasting indicates which way a market is expected to trend. It is the crucial first step in the trading decision. The forecasting process determines whether the trader is bullish or bearish. It provides the answer to the basic question of whether to enter the market from the long or short side. If the price forecast is wrong, nothing else that follows will work.
2. Trading tactics, or timing, determines specific entry and exit points. Timing is especially crucial in futures trading. Because of the low margin requirements and the resulting high leverage, there isn't much room for error. It's quite posible to be correct on the direction of the market, but still lose money on a trade if the timing is off. Timing is almost entirely technical in nature. Therefore, even if the trader is fundamentally oriented, technical tools must be employed at this point to determine specific entry and exit points.
3. Money management covers the allocation of funds. It includes such area as portfolio makeup, diversification, how much money to invest or risk in any one market, the use of stops, reward-to-risk ratios, what to do after periods of success or adversity, and whether to trade conservatively or aggressively.
The simplest way to summarize the three different elements is that price forecasting tells the trader what to do (buy or sell), timing helps decide when to do it, and money management determines how much to commit to the trade. The subject of price forecasting had been covered in the previous chapters. We'll deal with the other two aspects here. We'll discuss money management first because that subject should be taken into consideration when deciding on the appropriate trading tactics.
简介
前面章节探讨了金融市场预测与交易的主要技术方式，在本章我们将要就使价格预测如虎添翼的另两关键元素"交易策略"和经常为人所忽略的"资金管理(策略)"予以探讨，以使交易趋于圆满，这三个关键元素在交易中缺一不可。
成功交易3要素
任何成功的交易过程必须充分考虑到3个重要因素： 价格预测、时机、资金策略。
1. 价格预测指示出市场趋势。这是交易决策关键的第一步，它决定是牛是熊，它回答了揸多还是沽空这一基本市场问题。如果价格预测错误，那随之而来的都是徒劳。
2. 交易策略，或者说时机，它抉择特定的入市出市点。时机抉择在期货交易中尤其关键，低保证金所产生的杠杆作用，对于犯错留有的空间极小。很有可能的是，尽管市场方向对了，但错过了时机，依然会造成损失。时机的抉择在本质上几乎全是技术活，那麽，即使交易者是基本面型的，也还是要用技术工具来选择入市出市点。
3. 资金管理(策略)涵盖了资金运用配比的所有方面。它包括如投资组合构成、风险分散、单一市场风险限度、保护性停止(损益)、收益-风险比，以及持续一段时间的顺逆交易之后如何对待，保守型还是激进型。
简单来说，价格预测解决做什麽(多或空)；时机抉择当然是什麽时候做；资金策略确定怎麽做。
价格预测前面章节已讲过，在此仅就另外两要素进行研讨，资金策略在先，因为确定适当的交易时机必定有资金运用在内。
待续...
[ 本帖最后由 futu 于 2006-8-25 11:08 编辑 ] 辛苦 欢迎新的朋友啊, 欢迎,做交易的果然都是知识分子啊 谢谢板主 楼上兄弟 看不懂 看不懂
酱子好点儿吧 MONEY MANAGEMENT
After having spent many years in the research department of a major brokerage firm, I made the inevitable switch to managing money. I quickly discovered the major difference between recommending trading strategies to others and implementing them
myself. What surprised me was that the most difficult part of the transition had little to do with market strategies. The way I went about analyzing the markets and determining entry and exit points didn't change much. What did change was my perception of the importance of money management. I was amazed at the impact such things as the size of the account, the portfolio mix, and the amount of money committed to each trade could have on the final results.
Needless to say, I am a believer in the importance of money management. The industry is full of advisors and advisory services telling clients what to buy or sell and when to do it. Very little is said about how much of one's capital to commit to each trade.
Some traders believe that money management is the most important ingredient in a trading program, even more crucial than the trading approach itself. I'm not sure I'd go that far, but I don't think it's possible to survive for long without it. Money management deals with the question of survival. It tells the trader how to handle his or her money. Any good trader should win in the long run. Money management increases the odds that the trader will survive to reach the long run.
Some General Money Management Guidelines
Admittedly, the question of portfolio management can get very complicated, requiring the use of advanced statistical merasures. We'll approach it here on a relatively simple level. The following are some general guidelines that can be helpful in alloacting one's funds and in determining the size of one's trading commitments. These guidelines refer primarily to futures trading.
1. Total invested funds should be limited to 50% of total capital. The balance is placed in Treasury Bills. This means that at any one time, no more than half of the trader's capital should be committed to the markets. The other half acts as a reserve during periods of adversity and drawdown. If, for example, the size of the account is $100,000, only $50,000 would be available for trading purposes.
2. Total commitment in any one market should be limited to 10-15% of total equity. Therefore, in a $100,000 account, only $10,000 to $15,000 would be available for margin deposit in any one market. This should prevent the trader from placing too much capital in any one trade.
3. The total amount risked in any one market should be limited to 5% of total equity. This 5% refers to how much the trader is willing to lose if the trade doesn't work. This is an important consideration in deciding how many contracts to trade and how far away a protective stop should be placed. A $100,000 account, therefore, should not risk more than $5,000 on a single trade.
4.Total margin in any market group should be limited to 20-25% of total equity. The purpose of this criteria is to protect against getting too heavily involved in any one market group. Markets within groups tend to move together. Gold and silver are part of the precious mtals group and usually trend in the same direction. Putting on full positions in each market in the same group would frustrate the principle of diversificaion. Market commitments in the same group should be controlled.
These guidelines are fairly standard in the futures industry, but can be modified to the trader's needs. Some traders are more aggressive than others and take bigger positions. Others are more conservative. The important consideration is that some form of diversification be employed that allows for preservation of capital and some measure of protection during losing periods. (Although these guidelines relate to futures trading, the general principles of money management and asset allocation can be applied to all forms of investing.)
资金管理(策略)
在一个重要经纪商的研究部门呆了多年后，我不可避免的捉刀上阵，亲手打理资金。很快，我就发现提供交易计策与亲自实施的重要差异。我大吃一惊，转变中最难的部分与市场策略无关，我用来分析市场确立入市出市点的方法没能奏效。真正促成这种转变的是我感知到了资金管理策略之重要。我很惊讶于例如账户规模、投资组合、单笔交易资金量会对最终结果产生如此大的影响。
无庸讳言，我对资金管理的重要性深信不疑。这个行当中只对客户提供买卖和何时买卖建议的经纪人、经纪行随处可见，但很少提及究竟每笔单子运用多少资金合适。
一些交易者认为资金管理是交易中最为重要的成分，其关键性甚至超过了交易本身。我不确定自己有否理解如此之深，但是，缺少了资金管理，我不认为能在市场中生存太久。资金管理关乎存亡，它指明交易者如何应用他或她的金钱。优秀的交易员终将在长途跋涉的磨砺后取胜，而资金管理增大了交易员忍受长期考验过关的胜算。
常用资金管理指南
不得不承认，投资组合管理是一个需要借助到先进统计工具的非常复杂的问题，我们仅在相对简单的层面上进行探讨。以下是分配资金及确定交易规模时有用的规则，这些规则首重于期货交易:
1. 运用资金上限为资本金的50%。剩余资金购买国债。这意味着任何时候持有风险资产比例不能超过资本金的一半，另一半以备亏损等不时之需。举例来说，如果账户资本金为100000美元，那末，只有50000美元可作交易之用。
2. 单一市场风险资产限于10%-15%。也就是说，一个100000美元的账户，投入到同一个市场中的保证金应在10000-15000美元之间，以避免交易员在一项交易中过度投入。
3. 单一市场风险上限5%。这意味着交易失败时允许5%的损失，也是出于交易单量和停损尺度设置的慎重考虑。100000美元的账户，每次交易不得承担超过5%的风险。
4. 同一类市场风险资产限于20-25%。这项标准实为避免过度介入同一类市场。同类市场倾向于同步运动。黄金和白银同属贵金属市场，且常常同方向运动。满仓持有同一类市场的不同品种头寸事实上违反了分散风险规则，同类市场风险应予控制。
在期货行里，这几条相当实用，但也可以按交易员所需予以调整。有些交易员与他人相比非常激进，持大比例头寸，其他人就较为保守。重点考虑在于分散风险以保护资本以及交易失利时提供补救措施。(尽管这几条期货相关性强，但是，资金管理和资产配置的通用规则适用于各种投资形式。)
待续... 好 Diversification Versus Concentration
While diversification is one way to limit risk exposure, it can be overdone. If a trader has trading commitments in too many markets at the same time, a few profitable trades may be diluted by a larger number of losing trades. A treadeoff exists and the proper
balance must be found. Some successful traders concentrate their trading in a handfull of markets. That's fine as long as those markets are the ones that are trending at that time. The more negative correlation between the markets, the more diversification is achieved. Holding long positions in four foreign currency markets at the same time would not be a good example of diversification, since foreign currencies usually trend in the same direction against the U.S. dollar.
分散vs集中
分散投资作为限制风险暴露的一种方法，也可能会做过头。如果交易员同时持有多个市场的头寸，数量居多的失败交易会冲减掉了了有限几张盈利单所得。两可两难，中庸关键。一些成功的交易员仅仅介入屈指可数的市场交易，只要趋势明显这一方法极佳。而相关性越差的市场之间，更多使用分散策略实为有效。同时持有4个外汇市场的好仓并不是一个分散风险的好例子，外币对美元汇率通常是通向运动的(是不是可以作为看淡美元的集中策略蠥__偶个人认为)。
Using Protective Stops
I strongly recommend the use of protective stops. Stop placement, however, is an art. The trader must combine technical factors on the price chart with money management considerations. We'll show how this is done later in the chapter in the section on tactics. The trader must consider the volatility of the market. The more volatile the market is, the looser the stop that must be employed. Here again, a tradeoff exists. The trader wants the protective stop to be close enough so that losing trades are as small as possible. Protective stops placed too close, however, may result in unwanted liquidation on short term market swings (or "noise"). Protective stops placed too far away may avoid the noise factor, but will result in larger losses. The trick is to find the right middle ground.
保护指令
强烈建议使用保护指令。保护指令的设置，其实质是一项艺术，交易员要融会图表技术与资金策略于一身。在时机选择部分我们会谈到如何设置。交易员要充分考虑到市场躁动，市场震荡中停止单应较为宽松。同样，又面临一个取舍问题。交易员想要设置一个紧跟的停损以使损失限在最低，而过于紧窄的停损可能会被短时摆动(噪音)触发导致出局；宽松的停损可以避免噪音，但也会带来大的亏损。关键还是中庸之道。
待续... 今天滴：
REWARD TO RISK RATIOS
The best futures traders make money on only 40% of their trades. That's right. Most trades wind up being losers. How then do traders make money if they're wrong most of the time? Because futures contracts require so little margin, even a slight move in the wrong direction results in forced liquidation. Therefore, it may be necessary for a trader to probe a market several times before catching the move he or she is looking for.
This brings us to the question of reward-to-risk ratios. Because most trades are losers, the only way to come out ahead is to ensure that the dollar amount of the winning trades is greater than that of the losing trades. To accomplish this, most traders use a reward-to-risk ratio. For each potential trade, a profit objective is determined. That profit objective (the reward) is then balanced against the potential loss if the trade goes wrong (the risk). A commonly used yardstick is a 3 to 1 reward-to-risk ratio. The profit potential must be at least three times the possible loss if a trade is to be considered.
"Letting profits run and cutting losses short" is one of the oldest maxims of trading. Large profits in trading are achieved by staying with persistent trends. Because only a relative handful of trades during the course of a year will generate large profits, it's necessary to maximize those few big winners. Letting profits run is the way that is done. The other side of the coin is to keep losing trades as small as possible. You'd be surprised how many traders do just the opposite.
风险-收益比
最优秀的交易员们仅从40%的交易中获利。是的，多数交易以亏损结束。大多数时间都是错的，那他们是如何挣到真金白银的呢？缘于期市低保证金作用，一个轻微的反向运动也会导致扫地出局。那末，要想抓住期待已久的机会，对市场反复详尽的观测是必不可少的功课。这就带给我们一个关于风险-收益比率的考量。事实上大多数交易是亏损的，取得领先的唯一方法就是确保成功交易赢得的美刀远多过失败所致。为达成这个目标，多数交易员采用风险-收益比，对每一单交易设定盈利目标。权衡潜在风险与收益，通常标尺为1：3，也就是说潜在收益要在损失3倍以上才值得考虑。
"让利润充分增长，将亏损限至最低"是生意行里的一句老话。利润大头来自于跟定持续的行市。一年里只有为数不多的单子获大利，放足这些大盈单十分必要且卓有成效。与之相辅相成的另一面就是及时了结导致失败的亏损单。你一定会大吃一惊，逆市而为的交易者们多如过江之鲫。 向高人学习 关注，后续？ 原帖由 股市道士 于 2006-8-28 21:33 发表
向高人学习
道士兄说得对，向高人学习
John Murphy在一个高效的资本帝国混，应该是一高人吧 看到一本访谈材料New Market Wizards，有点儿意思，暂时穿插一下
Preface
TO MY FAMILY Joe Ann Daniel Zachary Samantha
Who are all very special to me
With love
Here's what I believe:
1. The markets are not random. I don't care if the number of academicians who have argued the efficient market hypothesis would stretch to the moon and back if laid end to end; they are simply wrong.
2. The markets are not random, because they are based on human behavior, and human behavior, especially mass behavior, is not random. It never has been, and it probably never will be.
3. There is no holy grail or grand secret to the markets, but there are many patterns that can lead to profits.
4. There are a million ways to make money in markets. The irony is that they are all very difficult to find.
5. The markets are always changing, and they are always the same.
6. The secret to success in the markets lies not in discovering some incredible indicator or elaborate theory; rather, it lies within each individual.
7. To excel in trading requires a combination of talent and extremely hard work-(surprise!) the same combination required for excellence in any field. Those seeking success by buying the latest $300 or even $3,000 system, or by following the latest hot tip, will never find the answer because they haven't yet understood the question.
8. Success in trading is a worthy goal, but it will be worthless if it is not accompanied by success in your life (and I use the word success here without monetary connotation).
In conducting the interviews for this book and its predecessor. Market Wizards, I became absolutely convinced that winning in the markets is a matter of skill and discipline, not luck. The magnitude and consistency of the winning track records compiled by many of those I interviewed simply defy chance. I believe the Market Wizards provide role models for what it takes to win in the markets. Those seeking quick fortunes should be discouraged at the onset.
I have strived to reach two audiences: the professionals who have staked careers in the markets or are serious, students of the markets, and the lay readers who have a general interest in the financial markets and a curiosity about those who have won dramatically in an arena where the vast majority loses. In order to keep the book accessible to the layperson, I have tried to avoid particularly esoteric topics and have included explanations wherever appropriate. At the same time, I have strived to maintain all core ideas so that there would be no loss of meaningful information to those with a good working knowledge of the markets. I think this book should be as meaningful to the layperson as to the professional simply because the elements that determine success in trading are totally applicable to success in virtually any field or to achieving any meaningful goal.
Acknowledgments
My thanks to those who graciously agreed to be interviewed for this volume, freely sharing their thoughts
and experiences while refraining from requests forcosmetic changes when presented with the finished
manuscript for review. (Not all those I interviewed proved as accommodating; the exceptions do not appear
in this book.) In a number of cases, the traders I interviewed had nothing to gain from participating, at least not monetarily, as they either do not manage any public funds or are not open to further investment. I am particularly appreciative of their cooperation.
I would like to thank my wife, Jo Ann, for reading the original manuscript and providing some well-
directed suggestions, all of which were taken. Mostly, I must thank Jo Ann for enduring yet another year as a "book widow," not to mention keeping the kids quiet so that I could sleep in the mornings after those all-
night writing sessions. My three wonderful children-Daniel, Zachary, and Samantha-were as understanding as
could possibly be expected for any group aged eight, seven, and three in accepting all those hours stolen
from our time together and activities foregone as a result of my involvement in this work.
Finally, I would like to thank the following friends for their suggestions and advice regarding potential
interview candidates: Norm Zadeh, Audrey Gale, Douglas Makepeace, Stanley Angrist, Tony Saliba, and
JeffGrable.
序
致我的家人
对我来说你们都是非同寻常的
我爱你们
我的信条：
1. 市场是非随机的。我不理会教条主义者对完美市场的臆测争执，把他们挨个排起来足够到月球打个来回，很简单，他们是错的。
2. 市场是非随机的，因为基于人的行为，而人的行为，尤其是群体行为，是非随机的。从来不是，将来也不会。
3. 市场从来没有圣杯或超级秘诀，只有可辨认的形态结构可以凭籍。
4. 市场上条条大路通罗马。与市场的大度相对的是找到通往罗马的路是很艰难的。
5. 市场善变而不变。(是不是很接近僧肇法师的"旋岚宴岳而常静,江河竞注而不流"？)
6. 成功不在于发现难以致信的惊人指标或复杂繁冗的理论上，正相反，它在你的内里。
7. 优秀来自天份与刻苦，其他领域也是如此。那些希望花300甚至3000美刀买个最新系统以求成功的人，爱打听内部小道消息的人永远也摸不到成功的边，南辕北辙他们最在行。
8. 在交易上成功是一个很划算的目标；但是，如果不是伴随着生活的成功，它恐怕是真的极其不值。
为写这部书《新市场奇才》和之前的那部《市场奇才》，我访问了众多的成功者。由他们的成功，我确信在市场中成功靠的是才干与自律，而非运气。他们持续的、大量的成功纪录彻底否定了机会主义。如何付出才能在市场中成功，毫无疑问这些成功者为我们做了现身说法。入市即刻发达的想法一开始就应该彻底摒弃。
我的努力针对两种人：全身心投入市场的专业交易员，严肃认真的把市场当作老师的人。后者，有一个共同点，对金融市场感冒:)，对在一个绝大多数人失败的竞争行当中脱颖而出的优秀者富有好奇心。
致谢
感谢百忙中抽出时间接受采访的大度的他们，无偿分享他们宝贵的思路与经验
感谢我媳妇朱安:))))，为我读原始材料并提供建设性意见，都采纳勒。尤其要感谢她，又做了一年的"书媳妇"，更不要说我彻夜写作后的早上，为了让我早点儿休息，她独资照看我那仨8到3岁的小崽崽，让他们保持安静(a mission possible?)。感谢小崽崽们允许我偷偷占用一块儿团聚的时间写这部书。感谢所有这一切。
感谢朋友们的支持与建议。 强啊, 电视台放<英雄>，恰巧又听到那句有名的
手中无刀 心中也无刀
已臻化境的人物，自非凡夫俗子妄可希冀
唏嘘之后，还是回转头来老实学习吧
TRADING MULTIPLE PISITIONS:
TRENDING VERSUS TRADING UNITS
Letting profits run isn't as easy as it sounds. Picture a situation where a market starts to trend, producing large profits in a relatively short period of time. Suddenly, the trend stalls, the oscillators show an overbought situation and there's some resistance visible on the chart. What to do? You believer the market has much higher potential, but you're worried about losing your paper profits if the market should fail. Do you take profits or ride out a posible correction?
One way to resolve that problem is to always trade in multiple units. Those units can be divided into trading and trendng positions. The trending portion of the position is held for the long pull. Loose protective stops are employed and the market is given plenty of room to consolidate or correct itself. These are the positions that produce the largest profits in the long run.
The trading portion of the portfolio is earmarked for shorter term in-and-out trading. If the market reaches a first objective,is near resistance and overbought, some profits could be taken or a tight protective stop utilized. The purpose is to lock up or protect profits. If the trend then resumes, any liquidated positions can be reinstated. It's best to avoid trading only one unit at a time. The increased flexibility that is achieved from trading multiple units makes a big difference in overall trading results.
多层次交易：趋势vs交易单
让盈利充分增长，并不像说起来那末容易。设想在一个市场，趋势启动并在短时间内积聚了可观的利润，突然，上升停止了，震荡指标显示已超买，况且图上正面临阻力，你怎末办？你认为市场还有很大创新高的潜力，但是有担心万一不成账面利润打了水漂。你是获利平仓还是忍过可能的回撤？
一个解决方法是多层次交易，把单子分成机动和跟势两类。跟势单长期持有，并设以宽松的停止保护为市场的整固与校正留出足够的空间。这一层的单子是交易生涯中回报最丰厚的。另一层的是组合中专门用来短时进出的机动部队，市场到达第一目标，接近阻力超买时，部分利润先落袋为安，或者紧跟的保护触发，就是为了锁定或保护利润。如果趋势恢复，清算的单子还可再次开出。
最好避免单一的头寸，多层次的持仓具有的灵活性在整个交易中是单一方式无法比拟的。
[ 本帖最后由 futu 于 2006-8-30 22:19 编辑 ] 继续ing
WAHT TO DO AFTER PERIODS OF SUCCESS AND ADVERSITY
What does a trader do after a losing or a winning streak? Suppose your trading equity is down by 50%. Do you change your style of trading? If you've already lost half of your money, you now have to double what you have remaining just to get back to where you were in the first place. Do you get more selective choosing trades, or keep doing the same things you were doing before? If you become more conservative, it will be that much harder to win back your losses.
A more pleasant dilemma occurs after a wining streak. What do you do with your winning? Suppose you've doubled your money. One alternative is to put your money to maximum use by doubling the size of your positions. If you do that, however, what will happen during the inevitable losing period that's sure to follow? Instead of giving back 50% of your winnings, you'll wind up giving it all back. So the answers to these two questions aren't as simple or obvious as they might first appear.
Every trader's track record is a series of peaks and troughs, much like a price chart. The trend of the equity chart should be pointing upward if the trader is making money on balance. The worst time to increase the size of one's commitments is after a winning streak. That's much like buying into an overbougt market in an uptrend. The wiser thing to do (which goes against basic human nature) is to begin increasing one's commitments after a dip in equity. This increase the odds that the heavier commitments will be made near the equity troughs instead of the peaks.
一段时间的顺利或是倒楣怎末对待呢
很快就见利或是遭到迅速打击怎末办？假设交易资产贬损50%，你会改变交易风格吗？如果已亏掉一半的钱，首先你必须使现有倍增才能恢复到原来的样子。是不是更谨慎的选择交易，或者一如既往？如果保守太过了，要扳回损失相当难。
很快的盈利带来了一个比较好受的两难，如何对待你的胜利？假定你获利一倍，你或许会选择头寸翻倍以最大程度上运用资金。如果你这末做，你如何应对必定会碰上的亏损时段？不仅仅是50%，你会把所有的都还给市场。
所以，答案并不是像乍一看到那末简单明了。
每个交易员的交易曲线也是有一系列的峰、谷组成，很像价格图。如果交易员善于运用，这个资产曲线的趋势就会上指。最糟糕的增加投入的时机是在胜利后的得意之时，那就像在一个超买的多头市场中买入。理智的做法是资产有所下降后增加投入(与人的本性相悖)，这有助于提高资金投入在波谷的机会。（？？）
炎夏欲褪秋风又起
转眼又是一个月末，偶也月牙变成小太阳
成功跳出:*26*:三级，立此纪念:P:P继续学习 kanle 这样看真麻烦。要不打包吧。