Автоматическая или все таки ручная торговля? - страница 2
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Прямые или всё таки косые?
Самое главное ПРЕИМУЩЕСТВО робота перед ручной торговлей, это возможность провести тестирование стратегии на длительном периоде.
Что это дает Трейдеру?... ---- Появляется УВЕРЕННОСТЬ в своей торговой стратегии.
Дополнительный момент - это возможность отладки стратегии с оптимизацией параметров опять же на длительном периоде, что при ручной стратегии практически не возможно выполнить.
Почему так важно - именно на длительном периоде?...
На длительном периоде будут меняться ритмы рынка : от флэта до тренда с возможными форс-мажорами... Прохождение стратегии всех этих ритмов без слива как раз и дает уверенность трейдеру в правильности разработанной стратегии.
Прямые или всё таки косые?
Если брать 200%-500% движения то зачем вам роботы? Психология самая страшная часть этого варианта люди не держатся своей стратегии
Конечно машины Джимми Саймонса математика желательны но они не доступны простым смертным даже людям с талантом. необходимо много ресурсов
В идеале я свою торговлю вижу пока ручной но с позитивным сотрудничеством с алготрейдерами где алго решают свои задачи а я как ручной трейдер устраняю алго недостатки
Ручной труд он может отхватит максимум 4 инструмента несколько стопов несколько стратегии и еще есть время на сон, но работа более качественная чем у алго
Алго это торговля круглые сутки охват всех возможных рынков увеличение частоты торговли без эмоции но качество исполнения не сравнимо с опытным трейдером
С роботом нельзя выпить - плохой с него собеседник.
Пока роботы торгуют, трейдеры имеют время выпить друг с другом, и на торговле это не отразится.
Немного из истории системы "Черепахи" которая явно намекает нам о том что торговая система должна быть гибкой чтобы выжить. Я не стал переводить текст надеясь на то что ваш переводчик лучше моего. Ниже представлена выдержка из книги "Cracking The Money Code" Ларри Уильямса. Я горячо надеюсь вы поймете наконец что для вас лучше робот или ручная торговля;)
Richard Dennis used this technique to worl dwide fame in the 1970s with what has become known as the TURTLE TRADING SYSTEM. At that time, markets had great and powerful trends and this technique worked rather well then. Dennis used a 50-day high to buy and a 50-day low to sell for his long-term system. His stop was 1 2 the time period, or a 25-day low to exit if long, and a 25-day high to exit if short.
The Turtle System, Explained in Detail
The Turtle Trading System, perhaps the most famous of all time, may have met a rather untimely demise.
Richard Dennis spun one of the most amazing commodity stories of all time. His claim was to have begun trading on the Mid Am Exchange, parlaying a scant grubstake of a couple of thousand dollars to what some say was well over $200,000,000. His new found wealth was carefully doled out to politically correct liberals as his persona grew to gargantuan proportions. He carefully ingratiated himself, and his money, to the powers to be, jump starting his career and legend.
His success, he claimed, was due to his systematic trading approach, one with which he traded and managed funds on a purely mechanical basis.
The Creation of the Turtles
After a few years of such success, Dennis decided that anyone could trade, that he could raise traders just like he saw turtles raised in a farm on a trip to Asia. To gather up his brood, he ran classi ed ads throughout the world, seeking bright people to whom he would teach his system. Eventually there were two groups of guys and gals; a total of 23 terrapins were selected, brought to Chicago and placed in the incubator of daily classes with Dennis, the Master Turtle (MT).
As newcomers, they were first taught about contract specifications, expirations, margins, all the basics. After several weeks, and signing strict non-disclosure agreements (which have now expired) the great one revealed the system.
What he told them was that there were really two systems, a short term one and a long term one. He said the strength of the system is that it would always catch a trend (thats true) and that it would hold up in the future, as it was not optimized. It just was. Hence the parameters of the system would be xed and would perform well in the future.
That was one of the big points he made these numbers worked best that they could be optimized, but should not that they were xed and that was the best way to trade the system now and forever.
Rules of the System
Fasten up your seat belts, hold on to your ch arts heres the system in its entirety.
BUY LONG RULE
SELL SHORT RULE
EXIT SHORT RULE
Buy at the Highest High of the Last 20 Days
EXIT LONG RULE
Exit at the Lowest Low of the Last 10 Days
Go Short at the Lowest Low of the Last 20 Days
Exit at the Highest High of the Last 10 Days
Thats all there is to it, ball fans. Taint no more. Thats the en tire short term trading system revealed in detail to you just as one of the Turtles revealed it to me except I gave him over $300,000 for it; that s a story for another time.
Well, there may be one more ab solute rule; dont take the next trade after a big winner. And another one; well take a ll the signals, but some we w ill bypass. The MT said, You will have to figure th at out on your own.
A Little History on the Turtles
This infamous group, once turned loose by Dennis, became registered fund managers and at one time managed in excess of $2.5 Billion; yes thats billion dollars. The great PR Dennis possessed washed over to the edging turtles who raised an unprecedented amount of money to begin trading public funds.
If my memory serves correct, the first year or so they all had about the same performance, which was good. Then each turtle made slight changes and adaptations to the basic system. Performance was still not bad. But the Master Turtle, who had raised about $50,000,000 of public funds through Drexel-Burnham, went into a tailspin, losing about half that amount. Drexel had no choice; they closed down the fund.
The rest of the turtles continued trading, some making money, some having problems, but on balance staying ahead of the game. Meanwhile, the MT crawled back into his shell until 3 years later when he again emerged. In true Phoenix-like fashion, massive funds were raised, but once more a tailspin drawdown came out of nowhere.
Investors lost about 40% of the funds ponied up and again the fund was closed. Meanwhile the turtle clones of Dennis began having problems and for the first time began seeing the red side of the ledger as clients money was lost.
What Went Wrong?? No one will ever know for sure, but it looks like two things.
First, in the case of Dennis, the records indicate to me that he began plunging, maybe playing catch up, and shifted from conservative money management to very aggressive. I have heard this from people close to the MT, and certainly the performance of the hard
system points in that direction. On top of all that, the system suddenly stopped working. Why would that happen?
The data on the chart may reveal the answer. I ran the system from 1972-2001 on all of the actively traded commodities and some great facts popped up.
Here are the Individual Market Results
Market Time $+/- %Winners
SILVER 1972-2001 281,630 35% GOLD 1975-2001 66,965 40% SWISS FRANC 1975-2001 99,685 44% BRT POUND 1975-2001 172,376 45% J YEN 1976-2001 159,490 44% L CATTLE 1986-2001 30,815 29% BELLIES 1971-2001 -13,604 36% COPPER 1988-2001 200 34% COCOA 1973-2001 -4,400 34% SUGAR 1972-2001 94,202 40% S BEANS 1971-2001 86,796 42% BEAN OIL 1973-2001 29,579 38% WHEAT 1971-2001 20,746 38% CORN 1971-2001 32,955 38%
Market Time $+/- %Winners
COTTON 1972-2001 25,585 37% LUMBER 1972-2001 42,211 36% COFFEE 1976-2001 271,860 43% BONDS 1984-2001 52,184 46%
On balance it looks like the system does well. Of the 18 markets, it made money in 14 of them and some very large amounts in several markets. The accuracy is too low for some peoples liking, (38%) but the profits look rather large total wins were $1,436,255 with total losses of $49,019, a staggering gain 29 times the amount lost! The net profit (alltables use a commission fee of $50) would have been $1,387,236 on a $90,000 account no wonder the brokers were so willing to smile and dial up money for the great one.
The Storm Below the Surface
While at first blush all looks well, the chinks in the turtles armor may be seen as we sift through the trading history. I looked at the performance of just the last 5 years to see how the system did out of sample from the 1983 revelation by Dennis to the turtles. Here we have a new ball game of great consequence.
And for the Last 5 Years or so
The next table is the same markets for 2005 up to June 2010. Again, there is a net profit, in this case $7,902 for the 5 years, but considering there were about 45 trades per market, if we divide the profit by the total trades, ( 18 x 45) the bottom line profit is $9.75 per trade hardly worth it, one would think.
Market $+/- %Winners SILVER -1290 40% GOLD +9815 48% SWISS FRANC +16628 44% BRITISH POUND - 7095 41% JAPANESE YEN +10498 51% LIVE CATTLE -17685 23% BELLIES -12188 34% COPPER -1070 37% COCOA -2060 30% SUGAR -413 33% SOY BEANS +3355 36% BEAN OIL -5004 32% WHEAT +630 43% CORN +1203 35% COTTON -9100 32% LUMBER +16206 42% COFFEE -229 39% BONDS +5698 46%
Stock Market, Too To make matters worse, as well as learn a lesson, lets look at the S&P 500 performance since the inception of trading in 1982. Keep in mind the turtles did not know then what you are about to learn now. The bottom line is there have been 226 trades with typical turtle of accuracy of 33% winners and a net loss of $142,670!
The lesson to be learned, I think, is that clearly the 20/10 time period is very wrong for this market that one needs to be much shorter, day to day, or much longer in his/her time frames.
Road Kill or Alive & Kicking? Clearly, the system has not done well over the last five years or so. My favorite turtle, Russell Sands, says its one of two things;
Either one, the system stopped working, i.e., th e markets have changed, or two, it is in a typical system drawdown phase.
A few students of mine were recently able to ask an insider to turtle secrets some more questions, and were told the collapse of Dennis came about because he was not flexible he rode the system down to death. There are time periods other than 20/10 that have not been revealed. There may have been an over commitment of money on some trades.
Why I Think it Failed
My sense of all this is that the failure is due to two considerations. First, we have not had the same long-term trend moves as in the past. Second, and more compelling, is that I suspect the system was curve fit all those years ago. My wager is there was a reason Dennis chose the 20/10 numbers. The reason was that those tested out the best on a computer run it was an optimized system and Dennis may never have even known it. After all, another person had developed the method. Richard just traded the system. Here is a recent test of the system combined on numerous markets fro m Jez Liberty in Australia.
http://www.automated-trading-system.com/turtles-just-lucky/
All the values of the Turtle System are very close to what my dear departed friend Dick Donchian began using in the 1940s. All the rules for the system can be found here:
http://bigpicture.typepad.com/comments/files/turtlerules.pdf
Trend Following The Only Way To Go?
There are a great deal of money managers and educators that will tell you the only way to make money in futures is with some form of trend following mechanical system. Listen to them at your own peril. Here are the actual results of the largest trend following funds for 2012. You would have done better to have kept your money on T-bonds or a Bank account! I see eight made a little money while 16 lost. Not good odds in my book.Немного из истории системы "Черепахи" которая явно намекает нам о том что торговая система должна быть гибкой чтобы выжить.
Несколько моментов по " истории системы "Черепахи" "...
1. Скорее всего сама система не новая, а передали абы-что... Все таки, эксперимент был бесплатный...
2. Поэтому и система "гибкая" - хлипенькая, не надежная, в которую постоянно необходимо вмешиваться в ручном режиме, чтобы избежать слива...
Для советника, такие системы противопоказаны - одна головная боль...
Несколько моментов по " истории системы "Черепахи" "...
1. Скорее всего сама система не новая, а передали абы-что... Все таки, эксперимент был бесплатный...
2. Поэтому и система "гибкая" - хлипенькая, не надежная, в которую постоянно необходимо вмешиваться в ручном режиме, чтобы избежать слива...
Для советника, такие системы противопоказаны - одна головная боль...
Говоря о гибкости системы я имел в виду не необходимость вмешательства в ручном режиме а умение приспосабливать систему к изменяющимся условиям. Вот например Ларри Уильямс добавив к этой системе фильтр основанный на фундаментальных данных (Вовлечённость трейдеров (COT)) заставил работать систему вновь.
How I Use The Turtle System Despite all of the above, I still think there is value to this system or approach. The turtles are dumb in that they were taught no one could predict the market, so just follow the trend, via the channel breakouts. Enough chips on enough numbers and one will pa y off! But thats a wager, not a strategy. Since even a beginning follower of my material can see that most market highs and lows come with Commercial Set Ups, I think the ultimate use of a Turtle type of strategy is to use it only to get an entry in the direction of the set up. If the market set up is bullish, use such an approach for your entry, as it clearly says the trend is now up, and vice versa for a sell.
This combines a fundamentally set up market with a technical measure of trend analysis for entry and stop loss points. Thats the way to trade a combination of ingredients! That's what I think is the best way to use the Turtle Trading System.
It does have its problems; first of all, its correct only about 40% of the time, wrong 60%. It takes an account of at least $100,000 to follow all the markets it needs to. Finally, if markets are not trending, you get beaten to death.
A Turtle With Nine Lives? A case in point is the early part of 2001 when many of the Turtles (students of Dennis) proclaimed the Turtle was dead the system had lost money for several years, and Dennis himself had lost millions of dollars in his fund. The Turtles had all become short-term traders; the system fell into widespread disrepute. No trend moves for 2-3 years had made turtle soup of these fund managers.
Then along came late 2001 and 2002 and the system kicked in, thanks to trend moves, and once more the system was profitable just as everyone stopped following it!
I like the approach, as it is simple, precise and easy to follow. The Turtles assumed the markets defied any prediction so they just took the technical buys and sells.
Mock Turtle I think we can predict the general areas of major tops and bottoms with the fundamental set ups.
Therefore, I will use a version of the turtle strategy, but only if the set up occurs. To my way of thinking, the set up is more important than a channel break. But if I can get a channel break to the upside when the fundamentals are bullish, the odds are now way in my favor.
My rules are quite simple; they can be applied to any market where we can identify the fundamentals. It goes as follows:
BUY RULES
1. IftheMarkethasaBullishSetup
2. BuyattheHighestHighoftheLast12Days
SELL RULES
IftheMarkethasaBearishSetup
SellattheLowestLowoftheLast12Days
Thats all there is to it well, except when to exit, which I will discuss a little later. But suffice it to say, if you are long you can then use a 12-day low as your trailing stop, and vice versa.
Bullish? Bearish? Gosh, it just occurred to me that I have not yet de ned these terms; I assumed you knew that Bullish means a rally and Bearish a decline. The term comes from one whom many consider the greatest American Novelist of all times, Mark Twain.
Twain, a market follower by the way, compared the markets to the Bull/Bear fights that were held in California in the mid 1800s. He noticed the bulls in these fights tried to kill the bears by goring them with their horns, raising or thrusting up.
In these fights to death, the bear would stand on his hind legs and swipe those monster fully powerful paws down, slashing and gashing the bull. Hence, to rise up or rally is bullish, to bring down is bearish.
Examples: The Good, the Bad and the Ugly...
Let's look at some examples to imprint into your mind just how the channels can help you identify a trend change; telling you when to get in, as well as when to get out.
Figure 91 below is of Soybeans in the fall of 2011. Notice the Commercial Index was at a high level telling us the Big Boys had been buying in the October/November time period, indicating we would want to take trend change signals.
In other words, we had our bullish set up.
Говоря о гибкости системы я имел в виду не необходимость вмешательства в ручном режиме а умение приспосабливать систему к изменяющимся условиям.