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www.yjbys.com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？
Way Of The Turtle
Way of The Turtle, by Curtis M. 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。
TAMING THE TURTLE MIND
Excerpted from the Newly Released Way of the Turtle
Human emotion is both the source of opportunity in trading and the greatest challenge. Master it and you will succeed. Ignore it at your peril.
To trade well you need to understand the human mind. Markets are comprised of individuals, all with hopes, fears and foibles. As a trader you are seeking out opportunities that arise from these human emotions. Fortunately, some very smart people—behavioral finance pioneers—have identified the ways that human emotion affects one’s decision-making process. The field of behavioral finance—brought to popular attention in Robert Shiller’s fascinating book, now in its Second Edition, titled Irrational Exuberance and greater details of which were published by Hersh Shefrin in his classic Beyond Greed and Fear—helps traders and investors understand the reasons why markets operate the way they do. Just what does make prices go up and down? (price movements can turn an otherwise stoic individual into a blubbering pile of misery.)
Behavioral finance is able to explain market phenomena and price action by focusing on the cognitive and psychological factors that affect buying and selling decisions. The approach has shown that people are prone to making systematic errors in circumstances of uncertainty. Under duress, people make poor assessments of risk and event probabilities. What could be more stressful than winning or losing money? Behavioral finance has proved that when it comes to such scenarios, people rarely make completely rational decisions. Successful traders understand this tendency and benefit from it. They know that someone else’s errors in judgment are opportunities, and good traders understand how those errors manifest themselves in market price action: The Turtles knew this.
Emotional Rescue
For many years economic and financial theory was based on the rational actor theory, which stated that individuals act rationally and consider all available information in the decision-making process. Traders have always known that this notion is pure bunk. Winning traders make money by exploiting the consistently irrational behavior patterns of other traders. Academic researchers have uncovered a surprisingly large amount of evidence demonstrating that most individuals do not act rationally. Dozens of categories of irrational behavior and repeated errors in judgment have been documented in academic studies. Traders find it very puzzling that anyone ever thought otherwise. The Turtle Way works and continues to work because it is based on the market movements that result from the systematic and repeated irrationality that is embedded in every person. How many times have you felt these emotions while trading?
Hope: I sure hope this goes up right after I buy it.
Fear: I can’t take another loss; I’ll sit this one out.
Greed: I’m making so much money, I’m going to double my position.
Despair: This trading system doesn’t work; I keep losing money.
With the Turtle Way, market actions are identified that indicate opportunities arising from these consistent human traits. This chapter examines specific examples of how human emotion and irrational thinking create repetitive market patterns that signal moneymaking opportunities.
people have developed certain ways of looking at the world that served them well in more primitive circumstances; however, when it comes to trading, those perceptions get in the way. Scientists call distortions in the way people perceive reality cognitive biases. Here are some of the cognitive biases that affect trading:
Loss aversion: The tendency for people to have a strong preference for avoiding losses over acquiring gains
Sunk costs effect: The tendency to treat money that already has been committed or spent as more valuable than money that may be spent in the future
Disposition effect: The tendency for people to lock in gains and ride losses
Outcome bias: The tendency to judge a decision by its outcome rather than by the quality of the decision at the time it was made
Recency bias: The tendency to weigh recent data or experience more than earlier data or experience
Anchoring: The tendency to rely too heavily, or anchor, on readily available information
Bandwagon effect: The tendency to believe things because many other people believe them
Belief in the law of small numbers: The tendency to draw unjustified conclusions from too little information.
Although this list is not comprehensive, it includes some of the most powerful misperceptions that affect trading and prices.
In another edition of this newsletter, we'll look at each cognitive bias in greater detail.
Way of the Turtle, Way to Go
I recently wrote a foreword for a book that I think is one of the top five trading books ever written. It’s Curtis Faith’s new book, Way of the Turtle. Curtis was one of the more successful traders in Richard Dennis’ experiment to see if he could train good traders. And since I was part of the selection process, but never knew what happened once they started training, I was fascinated to get these insights.
So why do I believe that it is one of the five best trading books ever written? First, it paints a very clear picture of what is necessary for trading success. Curtis says in very concise terms that it’s not about the trading system. Instead, it’s about the trader’s ability to execute the trading system. During the initial training period, Curtis earned almost three times as much as the others combined, yet they’d all been taught to do the same thing.
Think about it: Ten or so people who had all been taught a certain set of rules, including fixed position sizing rules, all produced different results. The answer as to why is, of course, that trading psychology produced the differences in the results. And Curtis really brings this point home in his book.
The second really fascinating aspect of Way of the Turtle is that it probably has the most lucid description of how some of the principles of behavior finance apply to and influence trading that I’ve ever read. Curtis even goes into a lengthy discussion of support and resistance and why these exist because of inefficiencies in our decision making. It is must read material.
The third aspect of the Way of the Turtle that I really like is Faith’s emphasis on game theory and using it to explain how a trader should think. For example, he suggests that you concentrate on the present trading, forgetting the past and the future. Why should you do this? You should know from your historical testing that you will probably be wrong most of the time in your trading. But you should also know that some of your gains will be huge, which will result in a positive expectancy. Curtis tells the reader why they must understand and have confidence in the expectation of their system. And it’s this confidence that will make them long term winners.
Other excellent topics along the same lines include:
How the Turtles were trained and what they actually learned.
The real “secrets” of the Turtles (and I’ve already given you lots of clues).
An excellent discussion of the problems involved with system development and why people make mistakes in their system development because they don’t understand basis statistical principles involved in sampling theory.
A superb discussion of why most systems fail to perform adequately. And even though most good systems are dropped for psychological reasons, there are also many bad systems out there that look good at first glance. So if you want to know why and how to spot them, then you must read this book.
And lastly, there is an interesting discussion of robust measures of systems. And if you understand this material, you will go a long way toward being able to design a long-term profitable system for yourself that will work.
Heikin-Ashi蜡烛图
Most profits (and losses) are generated when markets are trending--so predicting trends correctly can be extremely helpful. Many traders use candlestick charts to help them locate such trends amid often erratic market volatility. The Heikin-Ashi technique--"average bar" in Japanese--is one of many techniques used in conjunction with candlestick charts to improve the isolation of trends and to predict future prices.
Calculating the Modified Bars
Normal candlestick charts are composed of a series of open-high-low-close (OHLC) bars set apart by a time series. The Heikin-Ashi technique uses a modified formula:
xClose = (Open+High+Low+Close)/4
o Average price of the current barxOpen = [xOpen(previous Bar) + Close(previous Bar)]/2
o Midpoint of the previous bar
xHigh = Max(High, xOpen, xClose)
o Highest value in the set
xLow = Min(Low, xOpen, xClose)
o Lowest value in the set
Constructing the Chart
The Heikin-Ashi chart is constructed like a regular candlestick chart (except with the new values above). The time series is defined by the user--depending on the type of chart desired (daily, hourly, etc.). The down days are represented by filled bars, while the up days are represented by empty bars. Finally, all of the same candlestick patterns apply.
Here is a normal candlestick chart:
Here is a Heikin-Ashi chart:
putting It to Use
These charts can be applied to many markets; however, they are most often used in the equity and commodity markets. Traders often program these new instructions into existing trading programs, such as MetaTrader, or use many online tools (listed in the reference section below). Finally, it can be applied via Microsoft Excel or other similar spreadsheet programs.
There are five primary signals that identify trends and buying opportunities:
Hollow candles with no lower "shadows" indicate a strong uptrend: let your profits ride!
Hollow candles signify an uptrend: you might want to add to your long position, and exit short positions.
One candle with a small body surrounded by upper and lower shadows indicates a trend change: risk-loving traders might buy or sell here, while others will wait for confirmation before going short or long.
Filled candles indicate a downtrend: you might want to add to your short position, and exit long positions.
Filled candles with no higher shadows identify a strong downtrend: stay short until there's a change in trend.
These signals show that locating trends or opportunities becomes a lot easier with this system. The trends are not interrupted by false signals as often, and are thus more easily spotted. Furthermore, opportunities to buy during times of consolidation are also apparent.
Conclusion
The Heikin-Ashi technique is extremely useful for making candlestick charts more readable--trends can be located more easily, and buying opportunities can be spotted at a glance. The charts are constructed in the same manner as a normal candlestick chart, with the exception of the modified bar formulas. When properly used, this technique can help you spot trends and trend changes from which you can profit!
介绍一种交易策略The Triple Screen Approach
The Triple Screen Approach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时期内，市场上存在的三种势，大势，中势，和小势区别对待，以赢取可能的最大的利润。
它不同于很多其他交易技术和策略的风格，明确地提出在交易时断以当时的主导势为侧重，对我们加深对主次矛盾的区分，大小势的对待，合理的安排和制定交易策略，有着很好的启示。
作为一种方法和交易策略的推荐，并不是一定要大家去仿照，而主要目的是让大家开拓眼界，从中吸取适应你自己消化的养分。
当盘市风向改变时，很多平时屡试不爽的交易策略也会归于失效。
一些广为人知的交易方法，诸如“顺势而为”、“突破后下单”“高抛低吸”等等，这时反可能会给投资者带来损失。如同障碍赛跑一样，6英尺高的身材在直道赛跑中会优势尽占，但于穿越10英尺长管道障碍时，身材的高大反有撤肘之虞。那么该如何看待平时功勋累累，此时却无力回天的矛盾呢？
在讨论交易策略时，你首先要清楚的是你要跟的是哪一个势或突破方向。交易周期有异，相应的交易策略则大相径庭。
为求成功，你需要结合分析多种交易方式，选取适应面广的那些----既可以随时作出调整，又不致因调整而使优势失去。关键在于：使所选取的操盘策略能尽可能多地适用于不同的行情。
罗伯特.里亚，是一位二十世纪三十年代知名的技术分析师。他将汇市的长、中、短三个时期，分别比作大浪、中浪和涟漪。大多数的投资者，虽不易得益于一日的行情变化，但完全可受惠在中期的波动中------无非需要耐心等待两周或者两个月而已。你需要的是：在驾驭中浪时，充分利用大浪之势，而忽略那些微波涟漪
这便是汇市“三段论”的分析要旨，在入市交易前一定要将此三者综合考虑。每一种尝试都有不同的操作策略，而许多最终被摒弃的策略，在最初只置于单段着眼时，似乎是那样的诱人。只有那些通过汇市“三段论”考量的交易策略，才能撷取最大的利润.
第一段：把握大浪"
第一要务是判定"大势"---即汇海中所谓的“大浪”，此宜从周线图入手----图表的周期愈长，就愈能使你的视野跳出繁枝缛节，从而提前预知，进而把握住大势。
但是，面对同一张月图------放眼于月间大势者少，而只识眼前波动者多
判别周趋势有多条途径：利用“趋势线”和“通道”技术行之有效；运用“移动平均线”技术，也有着异曲同工之妙，其波形平滑而稳定-------以“周”为计量单位使然。
“平滑移动平均线”（MACD），是同类技术中出类拨萃的分析指标，由杰拉德.阿贝尔首创。在与收盘数据相关的三大技术指标中，其可靠性已久经考验。
在周线图的下方，MACD图与之同步并行，并与移动平均线和柱状图交相辉映。这些线显示了快、慢速平均移动指数的交叉位置，而柱状图却记录了这两条线的不同之处。
柱状图的攀升不息或下跌不止，真实地反映出牛市的亢奋和熊市的低靡；在行情反转前，也常会伴有前期的征兆。随后，MACD线的交叉也会接踵而来，买(卖)信号便由此发出.
入市的第一阶段(检验市场)。在进入一次交易之前，应潜心于寻找周MACD指标柱状图的运行方向。如果它是上升的（牛市），只能开立多头部位。如果它是下降的（熊市），则只能做空。
记住，不要轻易逆着“大浪”弄潮。
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