關于Hedgehogging的讀后感

　　Hedgehogging讀后感

　　這幾天在讀《對沖基金風云錄》(《Hedgehogging》),作者巴頓.比格斯書中描述了他在04年5月油價40美元做空的痛苦經歷。當時他從基本面的各個方面表明油價到達高點，石油的合理價在32美元。做空的過程中市場不顧一切的上漲，巴頓.比格斯引用巴菲特的市場先生的觀點說服投資者，價格偏離只會使投資變得更有吸引力，別忘了，我們信奉的是價值投資，而不是趨勢投資。他也這么做了，隨著油價上漲不斷增加空頭倉位，也帶來了巨額虧損。幸運的是油價又回到42美元，加上中間看多期權對沖，總計損失2%。這過程讓他們經受了巨大精神折磨，和損失許多客戶。【交易之路www.yjbys.com收集整理】

　　如果油價回到42美元不是平倉，而是繼續堅持以前的看法油價跌到32美元持有大量空頭倉位，可能就像他說的一樣被當作頑固的瘋子，滾進垃圾堆，從對沖基金經理人隊伍中永遠消失。股票作手回憶錄讓我們懂得了，若是對自己的判斷缺乏信心，沒有人能在這種游戲中走得太遠。這一信條成就了利物莫爾20年代末大空頭市場取得巨額的財富，也最終導致了最后破產消亡。“我們是勇敢果斷的價值投資者還是頑固不化的狂人？”但是市場走勢和自己的判斷完全相反的時候，你是相信自己的判斷還是相信市場？真如孟子所說雖有智慧,不如乘勢？投資者應該怎么做才能最大限度保護自己？

　　Way Of The Turtle

　　Way of The Turtle, by Curtis M. Faith

　　算是比較好的一本講交易（trading）的書。原來我對交易是很不相信的，最近有點改變看法。我原先的看法主要是受：

　　（1）一些講交易策略的書所傳導的錯誤信息；

　　（2）本身接觸到真正靠交易賺到錢的人很少。而我現在的認識是：單純的交易確實是能賺錢的，因為它是以人類重復出現的心理偏向為基礎的。

　　大多數講交易策略的書，把交易吹噓為一種可快速致富的途徑，就注定了交易要失敗。真正成功的交易策略是試圖從持續重復出現的心理偏向中獲利，其收益率取決于這種心理偏向出現的：

　　（1）頻率，

　　（2）幅度。

　　基于這種思路的交易是能成功的，其交易中的一些思想，對價值投資者也有借鑒作用。

　　基本的交易策略：

　　（1）趨勢式（追漲殺跌）；

　　（2）反趨勢式（高拋低吸）。雖然看上去相反/相矛盾，但如果你能夠控制好風險（止損），我想從理論上講，確實都是有可能成功的，因為這兩個策略都是有心理偏向基礎的。

　　但交易策略的問題是：

　　（1）交易策略的最佳執行者是“電腦程序”交易，因為它可完全擺脫這些策略賴以成功的心理偏向影響；

　　（2）不同于靠自己的意志力擺脫心理偏向（很難），程序交易是很容易實施的，這樣市場上這些策略所依賴的心理偏向可能很快地小到無利可圖。因此，交易策略需要在實施這些策略的人/程序較少的市場里，更容易有效。（中國市場？程序交易較少？）*交易之路收集整理*

　　另外，交易策略即使確實能賺錢，但還需要考慮的一個問題是：其機會成本如何。通過交易所獲取的收益是否能比其他策略，比如價值投資更高？因為，股票價值投資者的收益=股票市場整體的增值收益+選擇股票獲取的收益。而交易策略基本上是一個零和游戲，其收益幾乎完全來自于“選擇收益”，這樣要取得同股票價值投資者同樣的收益，選擇能力就要更高。

　　書中有啟發的內容：

　　不要試圖預測市場的變化，成功的交易員不知道市場會怎么變化，也不試圖去預測它，他只知道，以他的交易策略，從長期來看，是能夠賺錢的。所以對他來說，這次交易的對錯/盈虧是沒有意義的，他只關心長期的概率。絕對避免：

　　（1）受最近事件的影響，

　　（2）要讓自己正確的心態，

　　（3）希望預測未來。

　　成功的交易員的虧錢的交易次數要超過賺錢的次數，因為他設定了退出點。他依賴給他抓住的交易機會所產生的收益能彌補其一系列的小的損失。

　　衡量風險的指標：

　　（1）最大損失的金額，

　　（2）最長的虧損時間，

　　（3）標準差，

　　（3）R-square。

　　歷史數據測試顯示，以固定的時間（比如5天）作為止損點，比以金額（比如損失5%）作為止損點效果更好。

　　特定交易策略會有其生命周期，在一段時間里成功，吸引更多資金，慢慢失去效果，越來越多的資金退出這一策略，又開始有效。以組合的觀念進行交易，以不同的交易策略在不同的市場中交易，可以分散某一市場中/某一組合暫時效果不佳的風險。

　　幾種特點的市場：

　　（1）基本面驅動：外匯/利率，中期趨勢交易最容易；

　　（2）投機驅動：股票/商品期貨，中期趨勢策略較難

　　（3）綜合衍生品市場：指數期權/期貨，包含多種基礎證券，投機特征相互抵消，中期趨勢策略最難。

　　80年代黃金交易很難，因為大家對78年暴漲的情況記憶猶新，稍有上漲就有人買進，很難形成大趨勢。一直要到2000年后，最后的黃金/商品分析師都已轉行，新的大趨勢出現。

　　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蠟燭圖

　　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!

　　介紹一種交易策略The Triple Screen Approach

　　The Triple Screen Approach是一種交易策略，他的作者是Alexander

　　Elder,是一個職業交易員和持照心理學家，曾經擔任過金融交易論壇公司的主管。它的核心是將在不同時間或時期內，市場上存在的三種勢，大勢，中勢，和小勢區別對待，以贏取可能的最大的利潤。

　　它不同于很多其他交易技術和策略的風格，明確地提出在交易時斷以當時的主導勢為側重，對我們加深對主次矛盾的區分，大小勢的對待，合理的`安排和制定交易策略，有著很好的啟示。

　　作為一種方法和交易策略的推薦，并不是一定要大家去仿照，而主要目的是讓大家開拓眼界，從中吸取適應你自己消化的養分。

　　當盤市風向改變時，很多平時屢試不爽的交易策略也會歸于失效。

　　一些廣為人知的交易方法，諸如“順勢而為”、“突破后下單”“高拋低吸”等等，這時反可能會給投資者帶來損失。如同障礙賽跑一樣，6英尺高的身材在直道賽跑中會優勢盡占，但于穿越10英尺長管道障礙時，身材的高大反有撤肘之虞。那么該如何看待平時功勛累累，此時卻無力回天的矛盾呢？

　　在討論交易策略時，你首先要清楚的是你要跟的是哪一個勢或突破方向。交易周期有異，相應的交易策略則大相徑庭。

　　為求成功，你需要結合分析多種交易方式，選取適應面廣的那些----既可以隨時作出調整，又不致因調整而使優勢失去。關鍵在于：使所選取的操盤策略能盡可能多地適用于不同的行情。

　　羅伯特.里亞，是一位二十世紀三十年代知名的技術分析師。他將匯市的長、中、短三個時期，分別比作大浪、中浪和漣漪。大多數的投資者，雖不易得益于一日的行情變化，但完全可受惠在中期的波動中------無非需要耐心等待兩周或者兩個月而已。你需要的是：在駕馭中浪時，充分利用大浪之勢，而忽略那些微波漣漪

　　這便是匯市“三段論”的分析要旨，在入市交易前一定要將此三者綜合考慮。每一種嘗試都有不同的操作策略，而許多最終被摒棄的策略，在最初只置于單段著眼時，似乎是那樣的誘人。只有那些通過匯市“三段論”考量的交易策略，才能擷取最大的利潤.

　　第一段：把握大浪"

　　第一要務是判定"大勢"---即匯海中所謂的“大浪”，此宜從周線圖入手----圖表的周期愈長，就愈能使你的視野跳出繁枝縟節，從而提前預知，進而把握住大勢。

　　但是，面對同一張月圖------放眼于月間大勢者少，而只識眼前波動者多

　　判別周趨勢有多條途徑：利用“趨勢線”和“通道”技術行之有效；運用“移動平均線”技術，也有著異曲同工之妙，其波形平滑而穩定-------以“周”為計量單位使然。

　　“平滑移動平均線”（MACD），是同類技術中出類撥萃的分析指標，由杰拉德.阿貝爾首創。在與收盤數據相關的三大技術指標中，其可靠性已久經考驗。

　　在周線圖的下方，MACD圖與之同步并行，并與移動平均線和柱狀圖交相輝映。這些線顯示了快、慢速平均移動指數的交叉位置，而柱狀圖卻記錄了這兩條線的不同之處。

　　柱狀圖的攀升不息或下跌不止，真實地反映出牛市的亢奮和熊市的低靡；在行情反轉前，也常會伴有前期的征兆。隨后，MACD線的交叉也會接踵而來，買(賣)信號便由此發出.

　　入市的第一階段(檢驗市場)。在進入一次交易之前，應潛心于尋找周MACD指標柱狀圖的運行方向。如果它是上升的（牛市），只能開立多頭部位。如果它是下降的（熊市），則只能做空。

　　記住，不要輕易逆著“大浪”弄潮。

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