作者 MojoBubble (puffs) 看板 Stock 标题 Re: [心得] 追求长期稳定的绩效 时间 Fri Nov 5 19:52:59 2004 ─────────────────────────────────────── ※ 引述《stasis (一天多一点)》之铭言： : 大家继续来脑力激荡一下吧 ^^ : 延续上文，靠着统计方法，我们的确可以有一定的信心水准 : 去判断 "某个时间" 里的政党支持率，选民年龄与性别分布，blahblah : 但是上面的数据是会随着时间改变的，例如选民平均年龄越来越高 : 泛绿支持者的比例越来越多等等（这只是举例），原本的民调变得不适用 : 回到原来的问题，先假设我们已经有了良好的风险控管系统 : 我想问的是 "如何让一个系统能够通过时间的考验？" : 如果定期修正的话，是不是违反了机械式操作的原则 "不因个别状况去修正系统" ？ Q: What are the trading rules you live by? A: a. cut losses. b. Ride winners. c. Keep bets small. d. Follow the rules without question. e. Know when to break the rules. Q: Your last two rules are cute because they are contradictory. Seriously now, which do you believe: Follow the rules, or know when to break the rules. A: I believe both. Mostly I follow the rules. As I keep studying the markets, I sometimes find a new rule which breaks and then replaces a previous rule. Sometimes I get to a personal breakpoint. When that happens, I just get out of the markets altogether and take a vacation until I feel that I am ready to follow the rules again. Perhapes some day, I will have a more explicit rule for breaking rules. I don't think traders can follow rules for very long unless they reflect their trading style. Eventually, a breaking point is reached and the trader has to quit or change, or find a new set of rules he can follow. This seems to be part of the process of evolution and growth of a trader. : 一个系统过去让你赚了很多钱，但是在最近的一段期间 : （或许是年，或许是季或更短，看个人周期） : 这个系统让你亏了50%（对某些基金来说，这代表清算）甚至更多 : 面对这种状况，你应该做些什麽？坚持下去？修正？还是乾脆换一套？ : == : 其实我删掉的部分比较重要，不过Mojo大把该讲的差不多都讲完了 XD == 作者 damir (Probabilist) 看板 CFAiafeFSA 标题 Re: [闲聊]财工的迷惑 时间 Fri Jun 27 10:30:26 2003 ─────────────────────────────────────── Sorry for not being able to type in Chinese. Here's my two cents: 1. Model is always an approximation to the reality. No model is perfect. That's why we call it a model. Good traders always take the output of the model with a pinch of salt. In fact, lots of derivatives traders are originally from the quant team. They even have a deeper understanding of the assumption and the limit of the model than junior quant. BTW, before the model can be implemented at the trading desk, we need to do lots of tests to "torture" the model to make sure that it is OK for trading. Though every model has its own limit, an experienced trader will know how to deal with this. That's the Know-How. I am not saying that those people would not make mistake. But a good trader will always do his/her own best to survive on the market. 2. For those people who may think that the information structure in our measure- theoretic probability theory-filtration-is too simple to explain the delicacy of the information flow, you may want to take a look at Shafer and Vovk "Probability and Finance-It's only a game!" As they have already built up a game-theoretic framework for CAPM and BSOPM. -- 波段单王道：多头做多、空头做空、盘整少做、赚钱加码、赔钱停损 小弟在永丰金证券，来开户就不定期提供个人观察潜力股名单 以及操作建议，股票期权手续费都有优惠唷，意者请mail ^^ http://blog.pixnet.net/stasis --

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