关于Hedgehogging的读后感.doc

关于Hedgehogging的读后感 Hedgehogging读后感 这几天在读对冲基金风云录(Hedgehogging),作者巴顿.比格斯书中描述了他在04年5月油价40美元做空的痛苦经历。当时他从基本面的各个方面表明油价到达高点，石油的合理价在32美元。做空的过程中市场不顾一切的上涨，巴顿.比格斯引用巴菲特的市场先生的观点说服投资者，价格偏离只会使投资变得更有吸引力，别忘了，我们信奉的是价值投资，而不是趋势投资。他也这么做了，随着油价上涨不断增加空头仓位，也带来了巨额亏损。幸运的是油价又回到42美元，加上中间看多期权对冲，总计损失2%。这过程让他们经受了巨大精神折磨，和损失许多客户。【交易之路.收集整理】 如果油价回到42美元不是平仓，而是继续坚持以前的看法油价跌到32美元持有大量空头仓位，可能就像他说的一样被当作顽固的疯子，滚进垃圾堆，从对冲基金经理人队伍中永远消失。股票作手回忆录让我们懂得了，若是对自己的判断缺乏信心，没有人能在这种游戏中走得太远。这一信条成就了利物莫尔20年代末大空头市场取得巨额的财富，也最终导致了最后破产消亡。“我们是勇敢果断的价值投资者还是顽固不化的狂人？”但是市场走势和自己的判断完全相反的时候，你是相信自己的判断还是相信市场？真如孟子所说虽有智慧,不如乘势？投资者应该怎么做才能最大限度保护自己？ WayOfTheTurtle WayofTheTurtle,byCurtisM.Faith 算是比较好的一本讲交易（trading）的书。原来我对交易是很不相信的，最近有点改变看法。我原先的看法主要是受： （1）一些讲交易策略的书所传导的错误信息； （2）本身接触到真正靠交易赚到钱的人很少。而我现在的认识是：单纯的交易确实是能赚钱的，因为它是以人类重复出现的心理偏向为基础的。 大多数讲交易策略的书，把交易吹嘘为一种可快速致富的途径，就注定了交易要失败。真正成功的交易策略是试图从持续重复出现的心理偏向中获利，其收益率取决于这种心理偏向出现的： （1）频率， （2）幅度。 基于这种思路的交易是能成功的，其交易中的一些思想，对价值投资者也有借鉴作用。 基本的交易策略： （1）趋势式（追涨杀跌）； （2）反趋势式（高抛低吸）。虽然看上去相反/相矛盾，但如果你能够控制好风险（止损），我想从理论上讲，确实都是有可能成功的，因为这两个策略都是有心理偏向基础的。 但交易策略的问题是： （1）交易策略的最佳执行者是“电脑程序”交易，因为它可完全摆脱这些策略赖以成功的心理偏向影响； （2）不同于靠自己的意志力摆脱心理偏向（很难），程序交易是很容易实施的，这样市场上这些策略所依赖的心理偏向可能很快地小到无利可图。因此，交易策略需要在实施这些策略的人/程序较少的市场里，更容易有效。（中国市场？程序交易较少？）*交易之路收集整理* 另外，交易策略即使确实能赚钱，但还需要考虑的一个问题是：其机会成本如何。通过交易所获取的收益是否能比其他策略，比如价值投资更高？因为，股票价值投资者的收益=股票市场整体的增值收益+选择股票获取的收益。而交易策略基本上是一个零和游戏，其收益几乎完全来自于“选择收益”，这样要取得同股票价值投资者同样的收益，选择能力就要更高。 书中有启发的内容： 不要试图预测市场的变化，成功的交易员不知道市场会怎么变化，也不试图去预测它，他只知道，以他的交易策略，从长期来看，是能够赚钱的。所以对他来说，这次交易的对错/盈亏是没有意义的，他只关心长期的概率。绝对避免： （1）受最近事件的影响， （2）要让自己正确的心态， （3）希望预测未来。 成功的交易员的亏钱的交易次数要超过赚钱的次数，因为他设定了退出点。他依赖给他抓住的交易机会所产生的收益能弥补其一系列的小的损失。 衡量风险的指标： （1）最大损失的金额， （2）最长的亏损时间， （3）标准差， （3）R-square。 历史数据测试显示，以固定的时间（比如5天）作为止损点，比以金额（比如损失5%）作为止损点效果更好。 特定交易策略会有其生命周期，在一段时间里成功，吸引更多资金，慢慢失去效果，越来越多的资金退出这一策略，又开始有效。以组合的观念进行交易，以不同的交易策略在不同的市场中交易，可以分散某一市场中/某一组合暂时效果不佳的风险。 几种特点的市场： （1）基本面驱动：外汇/利率，中期趋势交易最容易； （2）投机驱动：股票/商品期货，中期趋势策略较难 （3）综合衍生品市场：指数期权/期货，包含多种基础证券，投机特征相互抵消，中期趋势策略最难。 80年代黄金交易很难，因为大家对78年暴涨的情况记忆犹新，稍有上涨就有人买进，很难形成大趋势。一直要到2000年后，最后的黄金/商品分析师都已转行，新的大趋势出现。 TAMINGTHETURTLEMIND ExcerptedfromtheNewlyReleasedWayoftheTurtle Humanemotionisboththesourceofopportunityintradingandthegreatestchallenge.Masteritandyouwillsucceed.Ignoreitatyourperil. Totradewellyouneedtounderstandthehumanmind.Marketsareprisedofindividuals,allwithhopes,fearsandfoibles.Asatraderyouareseekingoutopportunitiesthatarisefromthesehumanemotions.Fortunately,someverysmartpeoplebehavioralfinancepioneershaveidentifiedthewaysthathumanemotionaffectsonesdecision-makingprocess.ThefieldofbehavioralfinancebroughttopopularattentioninRobertShillersfascinatingbook,nowinitsSecondEdition,titledIrrationalExuberanceandgreaterdetailsofwhichwerepublishedbyHershShefrininhisclassicBeyondGreedandFearhelpstradersandinvestorsunderstandthereasonswhymarketsoperatethewaytheydo.Justwhatdoesmakepricesgoupanddown?(pricemovementscanturnanotherwisestoicindividualintoablubberingpileofmisery.) Behavioralfinanceisabletoexplainmarketphenomenaandpriceactionbyfocusingonthecognitiveandpsychologicalfactorsthataffectbuyingandsellingdecisions.Theapproachhasshownthatpeopleareproomakingsystematicerrorsincircumstancesofuncertainty.Underduress,peoplemakepoorassessmentsofriskandeventprobabilities.Whatcouldbemorestressfulthanwinningorlosingmoney?Behavioralfinancehasprovedthatwhenitestosuchscenarios,peoplerarelymakepletelyrationaldecisions.Successfultradersunderstandthistendencyandbenefitfromit.Theyknowthatsomeoneelseserrorsinjudgmentareopportunities,andgoodtradersunderstandhowthoseerrorsmanifestthemselvesinmarketpriceaction:TheTurtlesknewthis. EmotionalRescue Formanyyearseconomicandfinancialtheorywasbasedontherationalactortheory,whichstatedthatindividualsactrationallyandconsiderallavailableinformationinthedecision-makingprocess.Tradershavealwaysknownthatthisnotionispurebunk.Winningtradersmakemoneybyexploitingtheconsistentlyirrationalbehaviorpatternsofothertraders.Academicresearchershaveuncoveredasurprisinglylargeamountofevidencedemonstratingthatmostindividualsdonotactrationally.Dozensofcategoriesofirrationalbehaviorandrepeatederrorsinjudgmenthavebeendocumentedinacademicstudies.Tradersfinditverypuzzlingthatanyoneeverthoughtotherwise.TheTurtleWayworksandcontinuestoworkbecauseitisbasedonthemarketmovementsthatresultfromthesystematicandrepeatedirrationalitythatisembeddedineveryperson.Howmanytimeshaveyoufelttheseemotionswhiletrading? Hope:IsurehopethisgoesuprightafterIbuyit. Fear:Icanttakeanotherloss;Illsitthisoneout. Greed:Immakingsomuchmoney,Imgoingtodoublemyposition. Despair:Thistradingsystemdoesntwork;Ikeeplosingmoney. WiththeTurtleWay,marketactionsareidentifiedthatindicateopportunitiesarisingfromtheseconsistenthumantraits.Thischapterexaminesspecificexamplesofhowhumanemotionandirrationalthinkingcreaterepetitivemarketpatternsthatsignalmoneymakingopportunities. peoplehavedevelopedcertainwaysoflookingattheworldthatservedthemwellinmoreprimitivecircumstances;however,whenitestotrading,thoseperceptionsgetintheway.Scientistscalldistortionsinthewaypeopleperceiverealitycognitivebiases.Herearesomeofthecognitivebiasesthataffecttrading: Lossaversion:Thetendencyforpeopletohaveastrongpreferenceforavoidinglossesoveracquiringgains Sunkcostseffect:Thetendencytotreatmoneythatalreadyhasbeenmittedorspentasmorevaluablethanmoneythatmaybespentinthefuture Dispositioneffect:Thetendencyforpeopletolockingainsandridelosses Outebias:Thetendencytojudgeadecisionbyitsouteratherthanbythequalityofthedecisionatthetimeitwasmade Recencybias:Thetendencytoweighrecentdataorexperiencemorethanearlierdataorexperience Anchoring:Thetendencytorelytooheavily,oranchor,onreadilyavailableinformation Bandwagoneffect:Thetendencytobelievethingsbecausemanyotherpeoplebelievethem Beliefinthelawofsmallnumbers:Thetendencytodrawunjustifiedconclusionsfromtoolittleinformation. Althoughthislistisnotprehensive,itincludessomeofthemostpowerfulmisperceptionsthataffecttradingandprices. Inanothereditionofthisnewsletter,welllookateachcognitivebiasingreaterdetail. WayoftheTurtle,WaytoGo IrecentlywroteaforewordforabookthatIthinkisoneofthetopfivetradingbookseverwritten.ItsCurtisFaithsnewbook,WayoftheTurtle.CurtiswasoneofthemoresuccessfultradersinRichardDennisexperimenttoseeifhecouldtraingoodtraders.AndsinceIwaspartoftheselectionprocess,butneverknewwhathappenedoncetheystartedtraining,Iwasfascinatedtogettheseinsights. SowhydoIbelievethatitisoneofthefivebesttradingbookseverwritten?First,itpaintsaveryclearpictureofwhatisnecessaryfortradingsuccess.Curtissaysinveryconcisetermsthatitsnotaboutthetradingsystem.Instead,itsaboutthetradersabilitytoexecutethetradingsystem.Duringtheinitialtrainingperiod,Curtisearnedalmostthreetimesasmuchastheothersbined,yettheydallbeentaughttodothesamething. Thinkaboutit:Tenorsopeoplewhohadallbeentaughtacertainsetofrules,includingfixedpositionsizingrules,allproduceddifferentresults.Theanswerastowhyis,ofcourse,thattradingpsychologyproducedthedifferencesintheresults.AndCurtisreallybringsthispointhomeinhisbook. ThesecondreallyfascinatingaspectofWayoftheTurtleisthatitprobablyhasthemostluciddescriptionofhowsomeoftheprinciplesofbehaviorfinanceapplytoandinfluencetradingthatIveeverread.Curtisevengoesintoalengthydiscussionofsupportandresistanceandwhytheseexistbecauseofinefficienciesinourdecisionmaking.Itismustreadmaterial. ThethirdaspectoftheWayoftheTurtlethatIreallylikeisFaithsemphasisongametheoryandusingittoexplainhowatradershouldthink.Forexample,hesuggeststhatyouconcentrateonthepresenttrading,ettingthepastandthefuture.Whyshouldyoudothis?Youshouldknowfromyourhistoricaltestingthatyouwillprobablybewrongmostofthetimeinyourtrading.Butyoushouldalsoknowthatsomeofyourgainswillbehuge,whichwillresultinapositiveexpectancy.Curtistellsthereaderwhytheymustunderstandandhaveconfidenceintheexpectationoftheirsystem.Anditsthisconfidencethatwillmakethemlongtermwinners. Otherexcellenttopicsalongthesamelinesinclude: HowtheTurtlesweretrainedandwhattheyactuallylearned. Thereal“secrets”oftheTurtles(andIvealreadygivenyoulotsofclues). Anexcellentdiscussionoftheproblemsinvolvedwithsystemdevelopmentandwhypeoplemakemistakesintheirsystemdevelopmentbecausetheydontunderstandbasisstatisticalprinciplesinvolvedinsamplingtheory. Asuperbdiscussionofwhymostsystemsfailtoperformadequately.Andeventhoughmostgoodsystemsaredroppedforpsychologicalreasons,therearealsomanybadsystemsouttherethatlookgoodatfirstglance.Soifyouwanttoknowwhyandhowtospotthem,thenyoumustreadthisbook. Andlastly,thereisaninterestingdiscussionofrobustmeasuresofsystems.Andifyouunderstandthismaterial,youwillgoalongwaytowardbeingabletodesignalong-termprofitablesystemforyourselfthatwillwork. Heikin-Ashi蜡烛图 Mostprofits(andlosses)aregeneratedwhenmarketsaretrending-sopredictingtrendscorrectlycanbeextremelyhelpful.Manytradersusecandlestickchartstohelpthemlocatesuchtrendsamidoftenerraticmarketvolatility.TheHeikin-Ashitechnique-averagebarinJapanese-isoneofmanytechniquesusedinconjunctionwithcandlestickchartstoimprovetheisolationoftrendsandtopredictfutureprices. CalculatingtheModifiedBars Normalcandlestickchartsareposedofaseriesofopen-high-low-close(OHLC)barssetapartbyatimeseries.TheHeikin-Ashitechniqueusesamodifiedformula: xClose=(Open+High+Low+Close)/4 oAveragepriceofthecurrentbarxOpen=xOpen(previousBar)+Close(previousBar)/2 oMidpointofthepreviousbar xHigh=Max(High,xOpen,xClose) oHighestvalueintheset xLow=Min(Low,xOpen,xClose) oLowestvalueintheset ConstructingtheChart TheHeikin-Ashichartisconstructedlikearegularcandlestickchart(exceptwiththenewvaluesabove).Thetimeseriesisdefinedbytheuser-dependingonthetypeofchartdesired(daily,hourly,etc.).Thedowndaysarerepresentedbyfilledbars,whiletheupdaysarerepresentedbyemptybars.Finally,allofthesamecandlestickpatternsapply. Hereisanormalcandlestickchart: HereisaHeikin-Ashichart: puttingIttoUse Thesechartscanbeappliedtomanymarkets;however,theyaremostoftenusedintheequityandmoditymarkets.Tradersoftenprogramthesenewinstructionsintoexistingtradingprograms,suchasMetaTrader,orusemanyonliools(listedinthereferencesectionbelow).Finally,itcanbeappliedviaMicrosoftExcelorothersimilarspreadsheetprograms. Therearefiveprimarysignalsthatidentifytrendsandbuyingopportunities: Hollowcandleswithnolowershadowsindicateastronguptrend:letyourprofitsride! Hollowcandlessignifyanuptrend:youmightwanttoaddtoyourlongposition,andexitshortpositions. Onecandlewithasmallbodysurroundedbyupperandlowershadowsindicatesatrendchange:risk-lovingtradersmightbuyorsellhere,whileotherswillwaitforconfirmationbeforegoingshortorlong. Filledcandlesindicateadowntrend:youmightwanttoaddtoyourshortposition,andexitlongpositions. Filledcandleswithnohighershadowsidentifyastrongdowntrend:stayshortuntiltheresachangeintrend. Thesesignalsshowthatlocatingtrendsoropportunitiesbeesaloteasierwiththissystem.Thetrendsarenotinterruptedbyfalsesignalsasoften,andarethusmoreeasilyspotted.Furthermore,opportunitiestobuyduringtimesofconsolidationarealsoapparent. Conclusion TheHeikin-Ashitechniqueisextremelyusefulformakingcandlestickchartsmorereadable-trendscanbelocatedmoreeasily,andbuyingopportunitiescanbespottedataglance.Thechartsareconstructedinthesamemannerasanormalcandlestickchart,withtheexceptionofthemodifiedbarformulas.Whenproperlyused,thistechniquecanhelpyouspottrendsandtrendchangesfromwhichyoucanprofit! 介绍一种交易策略TheTripleScreenApproach TheTripleScreenApproach是一种交易策略，他的作者是Alexander Elder,是一个职业交易员和持照心理学家，曾经担任过金融交易论坛公司的主管。它的核心是将在不同时间或