真正的海龟交易者第05章



  5 The Rules

  第05章 原则

  “We have a pretty strict definition of a systematic trader. They basically follow a set series of rules, established in a computer program, that tell you when to buy or sell, how many, as well as when to get out.”

  Michael Garfinkle, Commodities Corporation

  “系统交易者的定义很严格。他们要遵守一套原则,建立电脑系统,这个系统能告诉你何时进场买或卖,买卖多少,何时出场。”

  迈克尔·加芬克尔,商品公司

  While the rules taught by Dennis and Eckhardt were not meant as a statistics class, the Turtles did learn some basic statistics including two “errors”:

  虽然丹尼斯和埃克哈特教的原则不是统计学经典,海龟们还是学到了基础的统计学,包括2个错误:

  A Type I error, also known as an error of the first kind or a false negative, is the error of rejecting something that should have been accepted.

  错误1,拒绝本应该被接受的东西。

  A Type II error, also known as an error of the second kind or a false positive, is the error of accepting something that should have been rejected.

  错误2,接受本应该被拒绝的东西。【www.gupiaozhidao.com交易之路 投资经验荟萃】

  If the Turtles made those errors on a regular basis, they would be finished with mathematical certainty. Said another way, they learned that it was better to risk taking many small losses than to risk missing one large profit. The concept of statistical errors was an admission that acknowledged ignorance could be quite beneficial in trading.

  如果海龟们总是犯以上的错误,他们就不懂数学上的确定性。换句话说,接受很多小亏损的现实总比错过大利润好。统计学上的错误就是认为无知对交易有利。

  At the root of Dennis and Eckhardt’s statistical thinking was Occam’s razor (a principle attributed to the fourteenth-century English logician William of Ockham). In more contemporary jargon people express it as, “Keep it simple, stupid!” For Dennis and Eckhardt’s rules to work, to have some statistical reliability, they had to be simple.

  丹尼斯和埃克哈特的统计学思想就是奥卡姆剃刀(是14世纪奥卡姆提出的一个逻辑定律)。现代术语则是:“保持简单,做个傻瓜!” 丹尼斯和埃克哈特的原则要想起作用,要想有统计学上的可靠性,就要保持简单。

  Expectation: How Much Does Your Trading Method Earn in the Long Run?

  期望值:你希望你的交易方法长期下来赚多少?

  “What can you expect to earn on each trade on average over the long run from your investing decisions or your trading rules?” Or, as a blackjack player would say, “What is your edge?” A first step for the Turtles was to know their edge.

  “你的投资决定或交易原则长期下来平均每笔交易赚多少?”或者是21点玩家说的:“你的优势是什么?”海龟们的第一步就是知道自己的优势在哪里。

  A good analogy is being a batter at the plate in a baseball game, as trades and success rates aren’t much different from batters and their averages. Dennis expanded on this: “The average batter hits maybe .280 and the average system might be successful 35 percent of the time.”

  以篮球赛做比喻,因为交易和成功率与运动员的平均命中率差不多。丹尼斯是这样解释的:“就好比篮球平均的命中率是0.280,而交易系统的平均成功率是35%。”

  More importantly what kind of hits did you get in hitting .280. Did you hit singles or home runs? In trading, the higher the expectation, the more you can earn. A trading system with an expectation of $250 per trade will make you more money than a system with a $100 per trade expectation (all other things being equal in the long run). The Turtle rules themselves had a positive expectation per trade because their winning trades were many multiples larger than their losing trades. Expectation (or edge, or expected value) is calculated with a straightforward formula:

  关于0.280的命中率,还要看是哪种进球。是篮板球还是三分球?(张轶注:不懂球类术语,原文是说棒球)在交易中,期望值越高,赚的就越多。每笔交易期望值是250美元的系统比每笔交易期望值是100美元的系统赚的钱多(其它条件相同,长期的结果)。海龟原则的每笔交易是正期望值,因为赚钱的交易比亏钱的交易赚的多。期望值(也叫优势)用以下公式计算:

  E = (PW X AW) - (PL X AL)

  Where:

  E = Expectation or Edge

  PW = Winning Percent

  AW = Average Winner

  PL = Losing Percent

  AL = Average Loser

  E=期望值或优势

  PW=胜率

  AW=平均盈利

  PL=败率

  AL=平均亏损

 

责任编辑:股票知道网

知识

  • 股票

精品书籍

热门视频