作者 MojoBubble (puffs) 看板 Stock 標題 Re: [心得] 追求長期穩定的績效 時間 Fri Nov 5 19:52:59 2004 ─────────────────────────────────────── ※ 引述《stasis (一天多一點)》之銘言： : 大家繼續來腦力激盪一下吧 ^^ : 延續上文，靠著統計方法，我們的確可以有一定的信心水準 : 去判斷 "某個時間" 裡的政黨支持率，選民年齡與性別分布，blahblah : 但是上面的數據是會隨著時間改變的，例如選民平均年齡越來越高 : 泛綠支持者的比例越來越多等等（這只是舉例），原本的民調變得不適用 : 回到原來的問題，先假設我們已經有了良好的風險控管系統 : 我想問的是 "如何讓一個系統能夠通過時間的考驗？" : 如果定期修正的話，是不是違反了機械式操作的原則 "不因個別狀況去修正系統" ？ 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. : 一個系統過去讓你賺了很多錢，但是在最近的一段期間 : （或許是年，或許是季或更短，看個人週期） : 這個系統讓你虧了50%（對某些基金來說，這代表清算）甚至更多 : 面對這種狀況，你應該做些什麼？堅持下去？修正？還是乾脆換一套？ : == : 其實我刪掉的部分比較重要，不過Mojo大把該講的差不多都講完了 XD == 作者 damir (Probabilist) 看板 CFAiafeFSA 標題 Re: [閒聊]財工的迷惑 時間 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. -- 波段單王道：多頭做多、空頭做空、盤整少做、賺錢加碼、賠錢停損 小弟在永豐金證券，來開戶就不定期提供個人觀察潛力股名單 以及操作建議，股票期權手續費都有優惠唷，意者請mail ^^ http://blog.pixnet.net/stasis --

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