标签归档:交易

交易员读林彪:怎样当好一名交易者(9)


第九是要重视心态控制,要把心态控制当作交易的终极命题。

交易手法了解到了一定程度,盈利水平就要靠资金管理了。资金管理上手后,决定盈亏的就是心态。心态控制好了,大差不差不会亏钱,心态控制不好;捧着金碗也得蹲着要饭。

心态控制是交易中的终极命题。

心态控制有点像骑自行车,难在保持平衡。

一方面,要勇敢,要积极,要承担风险。这要求交易员“因上精进,果上随缘”,把功夫下在平时,下在过程,不要太在意单笔交易的盈亏。要抓住风险作燃料,飞得高一些,跑得快一些。这个不多说,开了账户的,没有胆小的。

另一方面,要谨慎,要稳健,要回避风险。交易员要承担的一定是计算过的风险,是框架内的风险。对外部风险,要尽可能躲避。外部风险一般包括几个来源,一是交易策略不能涵盖的风险,二是计划外没有考虑到的风险,三是单纯的意外事件,四是自己的失控。

这其中,一和二都是“业务问题”,三考验的是预案,四是政治问题。政治问题是最重要的问题。

失控不一定表现为疯癫、冲动、孤注一掷,也有可能表现为沉默,同时回避问题。最典型的场景就是价格运行到了止损位置,应该出场了,却因为主客观原因没有平仓,默默关上了一切能显示行情的屏幕,当什么都没发生过。每个交易者成长的过程都有过这样的经历。这是典型的失控表现,完全忽视了风险。

要保持好平衡,要如同《大学》所说,“自天子以至于庶人,壹是皆以修身为本”。如果把交易看作运动项目,跳高跳远,铅球铁饼,手里拿着什么都不是我们的目的。我们的目的是“更高更快更强”。类似的,做交易,最根本的也是要通过交易寻找自己、提升自己、约束自己、改造自己。交易策略、资金管理都是服务于这一目的。

想清楚这个,很多问题迎刃而解:

  • 机会来了想超计划建仓?
  • 回调不到位担心错过行情追单?
  • 止损位到了不出场?
  • 有浮盈了想赶紧落袋为安?

以结果论,这些问题都没有标准答案,可能对,也可能不对。但以修身论,以上问题都要旗帜鲜明地 Say NO。交易员要勇于直面自己的人性短板,把自身的丑陋当成最大的敌人。只有这样,才能在交易中无忧无惧,勇往直前。

技术要练好,手艺要提升,军事训练不能马虎。但政治工作引领军事工作,修身二字,时刻不能忘记。在多维度的交易策略辅助下,在资金管理的框架内,越多修身的念头加入其中,心态控制效果会越好。修身的念头不仅不会削弱交易的效果,实际上是提升了交易的水平。

“上善若水”,二级市场天生就是人生的导师。

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1892/


交易员读林彪:怎样当好一名交易者(8)


第八是要有好的战斗作风。

有好的战斗作风的部队才能打胜仗,有好的交易作风的交易员才能长期的盈利。

好的交易作风首先是在交易之外,要不怕苦,不怕累,主动拓展认知的边界。在这里,什么“重复”、“枯燥”、“无聊”都是小节,主动迎战未知的混沌才是大事。部队作战要英勇顽强,不怕牺牲,交易员拓展认知边界也要猛打猛冲猛追,不怕走弯路,不怕没收获,不怕“浪费时间”。拓展认知边界中消耗的资源,都会沉淀在未来,不算浪费。

面对问题,特别要善于吃掉最后一口肉,要会穷追猛打,追击“问题”,包好饺子收好口。一个未知的领域,了解了,理解了,能复述出来了,会用了——“听懂-理解-能讲-会用”都做到了,还不够,还有最后一步——写下来。一个问题,没有写下来,就算不得解决。要把思考学习的过程写下来,问题才算彻底被消灭。写不出来的,问题就还没解决。

落笔总结的时候,要快写快记,尽可能多写。一是字斟句酌就是取舍,而问题甫一解决,取舍难免偏颇,“舍”得不一定合适,会大量丢包;二是只有尽可能快写,才能将神经元的信息尽可能多通过线性的文字保留,材料才能尽可能客观。写不出来怎么办?一个字一个字往外挤也要写,只有写下来的,弯路、不解、糊涂才不算浪费时间。否则,糊涂过了之后,只言片语都没留下,还不如刷会抖音。

不会写的,写几段赚钱的体会就会写了。经历了胜利,见识了赚钱,记录下来的阻力是最小的。借着手感,把不赚钱的经历也写下来,把看懂的写下来,把看不懂的写下来,把在思考的写下来——慢慢的,写作就变成了思考本身,交易员也就建立了完整的认知提升工作流。

有了写作的能力和习惯,思考将变得更为犀利。想,就要想出个道理;道理出来了,就记下来;记下来,就反复看;看完了,再继续想。再难的理论、再痛苦的不解,最多三到五轮重复,也能豁然贯通。基于写,好好想——这就是交易员的好作风。这和交易时候下重手是一样的,一样需要一竿子到底,一步到位,不做好不撒手。

好的交易作风关键是本钱,也就是相对可靠的交易模型、心智模型。从最基础的均线入手,一点点积累认知的本钱。只要模型是可靠的,合理的,能经过数学检验的,都是可以放到库房里随时提用的。模型的成色如何,交易员的业绩就是如何。选择武器一定要慎重,一旦选入了“邪教”兵器,盘中一定掉链子。所以“武器”一定要经过数学的验证,一定要经过理性的检验。说回去,理性的检验要依靠完整的思考,完整的思考还是要回到写作。

因此,首先要抓的是“能想会写”的交易作风,用一整套认知方法论去拓展认知的边界,去检验已知的知识,去提纯交易的手法。抓住“写”这个牛鼻子,带动思考,检验“武器”,慢慢提升。原来业绩不稳定的交易员,如此一番整风,也能像锤子一样,砸到哪里,哪里就碎。

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1889/


交易员读林彪:怎样当好一名交易者(7)


第七是要有一个协调的“策略班子”。

前面讲过,“一根均线走天下”式的简单做法行不通。交易员要学会利用适度的复杂性来对抗复杂性。策略和方法要组成一个“领导集体”,搭一个“班子”。

按照 108 课的原文的思路,最简单的班子至少要包括技术分析比价关系基本面判断三个支柱。此外,还要有资金管理心态控制这两部分重要内容。交易者的“班子”,要以价格走势的分析为核心,上下左右适当延展。同时,在业务核心板块——“技术分析”部分,也要学会多个方法相互验证,寻找不同策略之间的“共识”。

方法之间要协调一致。

  • 技术分析的结论是大机会,心态控制一定要及时下达决心;
  • 技术分析上几种方法是互斥的,资金管理上一定要做出充分的考虑;
  • 价格走势看多,而比价关系已经被高估,心态和资金投放都要小心;
  • 基本面上出现了重大的政策调整,不妨干脆休息一天,等等看市场的反应。

这些都是“班子”内部在开会。只不过这个会议是头脑体操,速度快,效率高。会议不需要秘书,不需要会场,需要的是实事求是,需要的是雷厉风行。要有快刀切瓜、利斧劈柴的果断。

另外,这些方法都要熟悉。熟能生巧,平时一定要勤快,手里的刀必须会用才能拿在手里。不会用的武器不如没有。加入“班子”的工具,必须都要熟练驾驭。如此,才能让这些策略和方法贡献积极的力量。方法之间出现了不一致、不同步很正常,但需要充分留意的是,矛盾究竟来自于行情的不确定性,还是来自于自己的不熟练。中西方都有成熟的交易方法,要依靠交易者的经验解构市场。这些方法的滥觞往往让似是而非的交易者充斥市场。交易员一定要注意,学习才是一切的基础。一定要先毕业,再战斗。

如果“班子”搭得不好,方法越多,错误越多——不但无用,反而有害。从统领全局的角度上看,如何组织自己的“交易班子”,是交易员成功交易的“高维问题”。

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1884/


交易员读林彪:怎样当好一名交易者(6)


第六是要及时下决心。

从简化的角度看,交易是处理“价格-时间”二维平面的坐标移动问题。时间序列的选点非常重要。时间到了,一定要及时下决心,把仓位建满。

什么情况下,可以下决心呢?

交易员必须扪心自问,是否以最大的努力去做好交易的准备?是否做好了盘前的准备工作?有没有在多个时间框架下做好联动的分析?有没有对行情的方向做好判断?短线动能如何?是否有顺势回撤?如果突破如何处理?如何判断行情的延续?

以上的问题要尽可能想清楚,大脑的神经元才能做到紧密联结,默契行动。不打无准备之仗,准备的不仅仅是军队的钱粮,也是指挥员的决心。交易员调兵简单,动动鼠标,点下左键就可以,钱粮问题一般不会成为主要矛盾,准备的主要就是决心。任何一笔交易都要有充分的准备,任何一笔交易也不可能做到 100% 准备好。兵无常势,交易中没有 100% 的把握。

一般来说,通过充分的准备,达到 80% 的把握,就已经是很不错的水平了。按照交易者方程的分析方法,八成把握如果对应一倍以上的潜在收益,是可以稳定盈利的。只要充分准备,有了信心,就要及时下决心,坚决把仓位建好。

还有 20% 没把握怎么办?这时候要看盘中的临时反映了。要学会充分发挥人的因素。交易员不是 Trading House,时间成本和资金成本都是优势。要充分发挥这种基因里的优势,创造对自己更有利的条件。概率优势可以保证的情况下,交易员完全可以做出盘中即时的判断,灵活运用各种思维工具(比如证伪法、贝叶斯思维等),做出灵活甚至反常的调整。只要动作是基于思考,不是基于激情,都是可以尝试的。这是交易员对比机构最大的优势。一定要灵活运用。目的只有一个,“化冒险性为创造性”。凭什么冒险就不是冒险,变成创造了?靠的是开盘前的准备,“参谋部”的预案,“战斗”中的决心。

每一笔成交都是多空双方擦肩而过,要清楚对手也不是神,也是吃五谷杂粮的人,或者五谷杂粮人写的程序。一是是人就有人性,就有贪嗔痴疑慢;二是是人就有弱点,破位都要砍仓。机构交易拿的是公司的钱,权属结构天生不同,不要怕。各国都有做得很好的交易员,在与机构的多空搏杀中稳定盈利,甚至写书分析如何从机构手中赚钱。要学会 Take more risk。一点风险都不承担,不要想着通过交易赚到钱。赚不到的。

这不是冒险主义,这是承担计算后的风险(calculated risk),是在经营风险,换取利润。

之所以这么说,就是因为在这样的方法论之下,所有交易行为和承担风险的态度,都是建立在充分准备之上的,是大脑神经元经过长时间调整后的行动,不怕等,不怕错,亏得起,也吃得下。这样的交易方法,打起仗来有资金管理做拦鲨网,有明确的规则辅助操作,有无压力的资金来源做后盾,有类似面壁者的策略保密机制,把这些专属于交易员的优势充分用起来,做一条市场大海中自在遨游的鱼,毫无问题。

这种交易员独有的优势,机构永远都不会具备。这种灵活性机动性在交易中会转化为巨大的现实优势。在市场机会明确的时候,像狙击手一般抓住机会,一定可以赚钱。准备的足够充分,条件稍差,“模糊地正确”,有个五六成的把握,也可以参与市场。

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1870/


交易员读林彪:怎样当好一名交易者(5)


第五是要把各方面的问题想透。

每一笔交易前,一定要把各方面的的问题都想透。军队打仗,要召集各方面指挥员和参谋部门开会,交易员没这个条件,也没有这个必要。自己运用所知的思维模型就好了。这里有一个前提,运用多元的思维模型“开会讨论”,前提是要有很多种认知工具。所以,做好交易员,首先还是要去读,要去写。一段行情,在各种工具、各种观点之下该如何解读,首先要了解多个方法,掌握多个手段。还是那句话,“一根均线走天下”那种所谓的“大道至简”,是很脆弱的系统,长期看是行不通的。

多种模型掌握了,就要综合运用,去发现问题,解决问题。把所有的可能性都想到了,就算做到了完全分类。针对各种可能,设想应对办法。这样,到了开仓的时点,到了持仓的阶段,才不会犯没有想到的错误。犯错不要紧,盘前的功课就包括对于出错的处理。但犯下没有料到的错误就很危险了。所以说,要把各方面的问题都想透。

有时候会遇到一些问题,找不到答案。这时也不要着急。一方面,提出问题到找到答案,之间总是存在一个过程,这是正常的,问题出来答案也一并出来了才不正常;另一方面,问题放在那里,吃饭时,睡觉时,大脑的潜意识都在思考,事后不久,一般都能想出办法。这个时候,存乎一心的闪念很重要,要告诉自己,问题放在那里,还没有解决,而不能囫囵吞枣,把没有解决的问题当成假设或前提,推导没有基础的推论,甚至基于悬而未决的问题去指导操作,这才是真正危险的。

问题永远存在。人之为人,就是在不断拓展未知的边界,和混沌的未知世界作斗争。有问题是常态,很正常。一直有问题更是常态,更正常。问题提不完,也回答不完。行军打仗,日日交易,都是发现问题、提出问题、思考问题、解决问题的过程。这个过程本身就是成长。什么叫“生于忧患,死于安乐”?就是“生于解决问题的过程,死于岁月静好的麻木”。如果一个交易员以为自己掌握了圣杯,一闪念间,亏损就不远了。保持无知就是保持谦逊,不断发问就是不断提高。

人不是永动机,总会疲惫。问题不断涌现,想不明白怎么办?两个办法。一是和别人讨论,二是好好睡觉。睡觉的效率最高,既是休息,又是后台思考。觉睡好了,神经元完成了调参,就可能突然开窍,一下子想通了,问题也就解决了——当然,下一个问题也就不远了。

总之,对每一个遇到的问题,认真对待,努力解决,尽可能想周全,尽可能想透,开盘前的准备工作才算是完成了。

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1856/


交易员读林彪:怎样当好一名交易者(4)


第四要有活地图。

交易员的活地图就是价格走势图。这个图不一定是 K 线图,收盘价图、竹节图、点数图都可以,只要是一以贯之一直在用的,都是地图。交易员必须熟悉价格走势图,要经常阅读价格走势,把不同级别的走势图联立来看。熟读走势可以产生见解,产生智慧,产生办法,产生信心。

读的办法一定是在电脑屏幕展开。屏幕大小没关系,但一定要是电脑屏幕。一方面,电脑屏幕大多放在桌面上,桌子的隐喻是学习和工作;另一方面,坐在电脑屏幕前,知止而后有定,定而静,静而安,安能虑,虑能得。手里把持着手机,屏幕再大,再专心,究竟不是个工作学习的样子。

要从大面开始看,从周线、日线大级别一点点把分析的级别降下来。遇到 Barb Wire 要展开看内部架构,遇见区间整理要分析次级别走势,逢山开路,遇水架桥,从粗读到细读,用各种标注工具一点点标注出重点,一边记录一边阅读。主要的品种每天看上一遍,出不了三个月,走势、级别这些基础结构就可以扫一眼看个八九不离十了。这也是为什么说,手机看图只能应急,因为手机上没办法随时标注、总结、反思。当然了,硬是说手机可以也没关系,开心就好。

在熟悉走势的基础上,时间充裕的时候要尽量开到最低级别,一笔一段做走势划分,用低级别的阶段解构高级别的图表,要能当下反应出,在不同的时间框架下走势所处的位置。如此,才能把握住真正大的共振机会。要做到闭上眼睛,脑子里就是大致的走势,知道在等什么,知道操作的时候在做哪一阶段的行情,就差不多了。

这样,在盘中多空搏杀的时候,就可以比对手反应得更快,争取到先机,占据了主动。不用担心,市场上大部分人都做不到这么用功,计算机程序也做不到——程序只会自下而上总结它们自以为对的共性规律,数据都是清洗过的,学习的也是规定了边界的材料,暂时还干不了“解构”这件事。只要你够用功,大多数人都不是你的对手。

仔细回忆一下,时间够长的话,你总会有那么几次津津乐道的完美交易。别担心,要做的就是将那些满意的、赚钱的交易,一次次重复出来就好。做交易,卖油翁,唯手熟尔。

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1851/


交易员读林彪:怎样当好一名交易者(3)


第三是要调查研究。

没有调查研究就没有发言权。发言权是什么?发言权就是下场交易的权利。无论周期远近,任何投资本质上都是对外界表达自己的观点。而没有调查研究,就没有对外界表达观点的权利,也就是不该交易。

交易员的工作与打仗很像,敌情要掌握,地形要掌握,部队和社会的情况也要掌握。想做多,空头什么情况?筹码分散还是集中?目前的走势在不同的级别是什么情况?外界的资金面如何?有没有处于重大的会议、节日之前之后?这些都要研究分析。这个分析的过程不是一次性的,而应该是一种重复进行的常规流程,自带 SOP 的那种。这种重复,是个不断深化和提高的过程。每一次重复,都会带来新的思考。每一次新的思考,都会引发或大或小的迭代和修订。迭代多了,修订多了,系统就不断完善了。重复的价值是无止境的。

平时积累的越多,越系统,实盘时候越能做到心里有底,手里有活,自然也就不容易心浮气躁,沉不住气。在复杂盘整的日内交易中,越是准备充分,提前想到,越是能抓住颠倒乾坤,稍纵即逝的短线机会,在最好的位置放置足够的头寸。所谓“急中生智”,“急”是一时的急,“智”是长期积累的智,没有调查研究,就没有这个长期积累的基础。

因此,任何一个交易员,都要重视调查研究的价值。要把调查研究当成习惯,贯穿于每天的思考、学习和交易中。要坚决杜绝依靠单一依据开展的交易。什么“一根均线走天下”、“一个指标打天下”都是不可取的。交易方法不成系统,就难以抵抗现实世界的复杂性。懒汉作风要不得。

兵无常势,水无常形,交易中只有涨跌,但涨跌的变化很难预测。交易员面对的敌情,始终是活的。调查研究,也时刻都不能停止。

市场会努力的让大多数人犯错。即使大多数人暂时都是“对”的,也会在最后的错误中“错”回去。市场永远在大多数人的对立面。人不可以战胜市场,但是可以战胜大多数人。高考考上北大的,生意做的不错越来越大的,官位越来越高的,都是能战胜大多数人的。100 个人排队,永远有 95 个人排在 5 个人之后。大多数人天生就是被少数人战胜的,这是数学规律上的必然。交易员要有信心,只要调查研究的功夫下到了,战胜大多数人并不难。

但研究透大多数人却很难。每一个标的的背后,都是一群产业界、金融界的人。人分多种,群群不同,如何将每个群体之间的共性和特异性准确掌握?这个很难。要驾驭外界的工具,要驱动内心的勇气。一切的分析都是为了预判,要用价格的走势验证我们的分析。

只要调查研究足够充分,摸清楚市场,摸清楚对手,研究好标的,交易时决心就大,决定就快,下手就重,就坚决,就不会被任何情况吓倒。

很多时候,交易员主观的软弱、犹豫,都不是来自于心理问题,而是功夫没有做到。战场情况不清楚,自然就会犹豫不决,就会举棋不定,左右为难,坐失良机。还有一种情况更常见,明明看对了方向,下不了决心介入,或者介入了遇到了风吹草动就微亏出场,下车后价格一飞冲天,又后悔不迭。越是功亏一篑,越是说明功夫没有下到,不是缺钙,是缺课。

调查研究也包括做好理论储备。各家门派的理论书籍要浏览,要多看,做到“什么都能聊几句”,再在其中选择一到两个自己最对胃口的刀法剑法,不断重复,不断死磕,建立起自己的交易理念,制定好自己的交易系统,基于自己内生的理念和系统,确定每天(或每次)的交易计划。这里有一个问题,一定要读那些自己不认同的理论。越是自己不认同的,越要去主动了解,主动接触。自己不认同的理论,严格意义上都是敌人。把敌人放在认知圈层之外,是最危险的事。

革命军队和敌人作战要读毛主席的书。交易员也要找到自己的毛主席,去好好研读。信息社会条件好,想读什么基本都能找到足够的资料。关键是要在思想上拜师,真正找到自己心中的“红太阳”。手艺上有了归属,才不容易变成“民科”。这里面有个未经论证的体会:无论师承哪个门派,一定要以数学打底。初等数学还是高等数学没关系,但交易理念一定要以数学理论为支撑。得不到数学理论支撑,通不过数学验证的,大概率都是“民科”。

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1839/


我的 2020 年终总结


这是一篇迟到的总结,姗姗来迟在除夕守岁。

2020,庚子年,这世界出了太多的幺蛾子。所幸自己没有浪费时间,还算有些产品。

Projects

  • 2nd Certication:继 2019 年拿到了新加坡政府的第一个认证,2020 年拿到了另一个政府认证。能继续得到外国政府的认可,只是证明了经历的过往并非仅仅具有本土价值。尽管自己的国际化技能还远远不达标,但总算有了发力的起跑器。
  • 3th Certication:第三个政府认证启动,也许会成为 2021 年的年度完成事项。

Side Projects

  • Project HandShake:对冲是大资金的必然选择,在一个不具备在做空环境和做空手段的市场中,设计一个对冲系统,即使系统本身不能赚钱,也不能阻挡其探索意义。新和谐公社虽然失败,毕竟具备极强的启示意义。没有这个项目的探索,后续不会有其它“握手”系列策略诞生。
  • Project HandShake-CN:在一个可做空的市场,寻找到了围绕主要资金集散领域的对冲策略。第一个对冲系统不可行,但提纯的理念到了可行的市场,策略便可行了。橘生淮南则为橘。
  • Project HandShake-CN2:新和谐公社之后会有巴黎公社,巴黎公社之后就是苏维埃了。CN2 就是握手系列的苏维埃。彻底将单边策略与对冲策略合一,自下而上让市场决定对市场的操作,真正算是“以天和天”思路的产物了。

Situation

  • 少子化的趋势延续。数据显示,发达经济体的出生率下降不可逆转,华人的高速增长时代结束。未来人口增长的三极是印度、中东和非洲。低生育种群中的个体,只有两种选择:要么成为全球化意义上的精英,要么成为日本文化中的“下流老人”。所谓“饱食贫民”只存在于欧美发达国家。中日韩等东方文化经济体没有那个空间。另一个角度,新增人口减少,“经验”将重新巩固其不可替代性。算力、储能和材料学的科技树短线见顶,技术增速放缓结合人口增速回落,“家有一(精英)老,如有一宝”将在不远的将来重回话语体系。但问题是,这个“老”,凭什么去当“宝”?这才是每一个正当年的人必须正视的问题。
  • 统治的全球化耦合。美国大选的最大启示是,“人类永不为奴”这种科幻电影的口号一定会在不远的将来成为现实中的广泛主张。全球化会将统治者前所未有的团结在一起。基因技术与再生技术一旦取得突破进展,“人上人”、“天龙人”阶级一定会诞生。权力只会巩固权力,统治者必然维持统治。这个趋势下,人类的基本矛盾会向“统治”与“被统治”转移。
  • 物质充裕与快感供养并存。活着不难,有口饭吃总能做到。但人之为人,不该把天赋灵性用在被剪掉气口的短视频上,用在种田文、穿越文这种快感产品中。每一个人类个体,终其一生的使命之一,永远是神经元的优化、头脑中的熵减。即使是在“三体”的语境中,面壁人依然是人类的依靠。其中的隐喻,还是要不断提升认知。托夫勒四十年前的提法是,在“暴力-金钱-知识”的权力三阶段中,“知识”才是最高权力来源。而短半衰期的“快感”,天生是认知的天敌。

Takeaways

构建外脑、优化技能、保持勇气,这三件事是绕不开的。外脑在哪里?技能是什么?勇气哪里来?以下罗列,挂一漏万。

  • 个人扩表。扩大自己的资产包,避免消费债务。未来的世界,1% 的人占据 120% 的财富,98% 的人分摊 20% 的净负债。中间还有 1%,这些人是奴隶社会的城邦自由民,既不用成为奴隶,也不会拥有奴隶。要努力成为中间这 1%,就要积极扩充资产负债表,利用债务杠杆扩充资产包。已完成:一直与消费负债绝缘;资产包构建中。
  • 产业延伸。要抓住更多产业环节,尽可能利用技术的支持,完成原来只有公司制才能组织的生产流程。举个例子,做自媒体有机会成长得快,但做杂志编辑不行——自媒体借助于技术,个人可以囊括更多的创作、编辑、出版甚至渠道建设等流程。要找这样的事情下功夫,不要在大机构做螺丝钉。已完成:路径规划阶段性完成,彻底摆脱了“大机构螺丝钉”的状态。
  • 回归 CLI。只有命令行才符合人类线性表达的习惯。GUI 天生就意味着注意力涣散。Windows 普及了家用电脑,也加深了“用户”和“开发者”之间的鸿沟。手机 App 进一步让更多的人自认为连通了信息世界,其实只是贡献了自己的时间和注意力,为别人创造商业价值。2021 年,继续探索回归 CLI 的流程。已完成:建立以 Emacs 为核心的个人管理系统;开始尝试尽可能用命令行完成操作。
  • 少用商业软件。商业软件从来不会真心辅助用户,它们只会谋求自身利益最大化。建立客户粘性和挖掘用户数据是各类“印象笔记”们的原罪。笔记文档是人生的外挂存档、外接显卡、移动硬盘,决不能被私有格式和商业软件绑架。已完成:新增笔记完全摆脱商业软件,只以纯文本及类文本格式存储;图片不放任何图床,而是采取通用的 URL 地址注记。
  • 记录日志。事事留痕,为的是不背叛飞逝的光阴。已完成:基于 Org-Mode 的日志系统,可以在几个月甚至几年后,精确查找到某日的日程安排或某个会议的笔记;时间管理软件一元化;摆脱了各类 Calendar 软件(包括苹果和谷歌的一方软件)。
  • 反对硬件消费主义。随着 CLI、文本文件等要素在生活中的比例越来越大,电子设备的硬件需求直线下降。我甚至猜测,不考虑工业设计因素,一个树莓派已经可以满足每日办公需求。骁龙 845/855/865 的算力已经算是基本冗余了。任意一个本地设备再加一个入门级的 VPS,基本就可以满足日常所需。已完成:基于 Emacs 的文本工作流,显著压降了各类电子设备硬件需求。
  • 远离算法。算法要为我所用,而不是算法用我。我不是肉鸡,我是吃鸡的食客。远离一切基于算法的产品,包括但不限于:抖音/头条/淘宝/微信订阅号。已完成:通过 RSS 推送获取信息;海量关注社交媒体的账号重获算法下的随机性;阅读清单自主制定,不参考算法推荐。
  • 亲近数学。数学是一切的基础。有了数学不等于有了一切,但数学验证过不去,则什么都不会有。已完成:将多个数学工具加入交易的算法,获取市场深度信息;以及,前述的 Project 1/2/3。

所有的这些,都是为了一个方向:财务健康,思想自由,人格独立

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1859/


交易员读林彪:怎样当好一名交易者(2)


第二是要摸清市场的意图。

准确的说,市场是没有意图的。摸清市场的意图,就是要把自己准确的嵌入市场中。

市场的核心问题,一是级别,二是节奏。

级别是第一问题。

首先是定位。要用一个适合自己时间感知的级别去把握市场。做日内看分时图,就不要管周线;做基本面大盘子看日线,就不要管 3 分钟图。找到自己的分析级别,向上一个级别定方向,向下一个级别找买卖点位,三个级别联立起来看就够了。多了不要看,看了容易乱。

其次是方向。方向问题包含两个层次,一是“有,还是没有方向”,二是“向上还是向下”。很多交易者亏损,不是亏在第二个问题,而是亏在第一个问题了。真正的逆势交易错误并不常见,把横盘当作趋势反复扫止损出现的次数会更多一些,也就是俗称的“没机会乱作”。把第一个问题解决好,没有机会不乱动,可以避免很多亏损。在存在方向的时候,依照高一个级别顺势操作,一般不会有大的亏损。

节奏是第二问题。

一定要明确,按照什么级别确定方向,按照什么级别分析走势,按照什么级别寻找买卖点。这三件事情不能弄混。否则,看大做小这一类的问题就无法杜绝。更突出的问题是,不能分析清楚节奏,就没有办法确定什么是策略内可以容忍的波动,什么是应该做出处理的波动。波动分两种,正常与否的划分标准,要以节奏为准。级别是节奏的基础,节奏是操作的前提。

明确了级别,把握住了节奏,才能发挥自己的主观能动性。级别和节奏没有吃透,主观能动性越强,风险暴露越多,账户资金面对的波动振幅越大。由于盈亏是不确定的,振幅大了,风险一定是更高的。

通过把握级别和节奏,摸清了市场的意图,才能真正随机应变,灵活应对市场的变化。更重要的是,才能在波动中树立勇气。很多交易者片面强调“交易系统”的重要性,却忽视了摸清市场意图才是参与市场的前提。用 108 课的表达,就是没有把“能搞”和“不能搞”划分清楚,参与了不该参与的行情,自然也就没有完美的系统,也就总是要去控制回撤了。没有完全分类的控制回撤是没有意义的。这一点,目前的量化策略研究的还不够深入,人脑还有广阔的空间。

军人的勇敢不在于勇于孤军奋战,而体现于顽强坚定的歼敌决心。同样的,交易者的勇敢不是体现于承担浮亏,而是在于敢于盈利。敢于盈利,而回避风险,这一组不对称的结构,要建立在把自己嵌入到市场之后。军人勇敢之上的大勇,要建立在“革命的最高自觉性”和“正确理解上级意图”之上,交易者的大勇,则是要建立在正确处理自己和市场的关系之上,建立在正确看待这个世界之上。这也是人之为人,最根本的几个命题之一了。

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1808/


交易员读林彪:怎样当好一名交易者(1)


第一是要勤快。

不勤快的人办不好事情,做不好交易。交易是天下覆盖产业链环节最多的岗位。交易一行没有产业分工,所有的事情都要亲自动手,亲自过问。

该看的数据一定要看,该研究的表格一定要研究,该做的功课一定要做,该写下来的一定要写。片刻也马虎不得。除非阶段性空仓,否则,交易中每时每刻都是枪林弹雨,稍有懈怠,就会带来损失。

懈怠的最大危害是侥幸心理。

一次偷懒,没有产生严重后果,则一定还有下一次偷懒;一次偷懒,产生了严重后果,下次就会长记性——但这种不确定的反馈,本身就会激发人的侥幸心理,让人产生机会主义的倾向。

交易工作天然要严防机会主义。交易要把握的是概率优势,机会主义是概率优势的天敌。

如何做一名勤快的交易者?要牢牢把握“内”和“外”两种勤快。

  • 所谓“向内的勤快”,要收敛。每个交易者都有自己的一套方法。这方法必定内含周期性的流程和环节。这些周期性的工作,要在极度收敛的状态下迅速执行。再好的大厨,再是开发创意菜、私家菜,洗菜备料也不能分心,也是处于收敛的执行状态。交易也是一样,例行的、固定的、周期性的工作,要尽可能压缩压缩再压缩,要形成可执行的SOP,要在极度收敛的状态下迅速完成。坚决地、毫不犹豫地执行规定动作,这就是“向内的勤快”。
  • 所谓“向外的勤快”,要发散。交易中总会有稀奇古怪、天马行空的闪念,而每个交易者的赚钱工具箱,也与这些闪念紧密相连。畅销书中的方法是赚不到钱的,交易者的利润来自于独到的理解和私家的方法。这些思路,都是来自于闪念。人的大脑有无数的神经节,思考和写作的过程实际是对神经系统的调参,而闪念则是调参过程中产生的参数高原。这些参数高原,一旦产生,就要迅速记录并验证、执行。否则,闪念就真的成了“一闪而过的念头”,而交易者也拿不到来自于自己大脑的礼物。果断地,立竿见影地记录、验证灵光一闪,这就是“向外的勤快”。

这两个“勤快”与一般日常生活中“干家务”式的勤快略有不同,是一种相对高维的自我约束。做到这两个“勤快”,对人的意志要求非常高。必要时,生活中要额外加入些必要的环节来维持对“勤快系统”的能量输入。这些环节可以是跑步,也可以是冥想或读书。总之,这两个“勤快”很难时时保持,每个交易者都要自勉。

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1801/


止损要有意义


这个月21日,单笔交易盈亏比创了新高,1份风险敞口,27.8倍的回报。有运气的因素,回顾计划到执行,也确实是一次自我的提升。这次交易之前,对交易系统的调整持续大概三个月,改变主要在止损策略。

要感谢我的师父,一年多之前和我说了六个字:

“止损要有意义。”

六个字,一年多,潜移默化,润物无声。

整理一下自己对这六个字的理解。

第一,开仓入场要有意义。

无论挂单止损还是主观止损,一个止损设置下去了,必然意味着一次入场。老子曾说:“兵者,不祥之器……不得已而用之”。交易也是一样,一次开仓入场,意味着一次风险暴露。不一定盈利,不一定亏损,但风险敞口一定暴露。止损只是给风险加一个限额,风险依然是风险。所以,要让止损有意义,前提是入场必须有意义。

按照 Jason Williams 的说法,“大多数做交易的人其实都不是为了盈利。他们认为做交易是为了盈利,但实际上更多的是与其他东西有关。”交易者需要持续克服频繁交易的倾向。入场无意义,则止损无意义。瞄准了打,每一颗子弹消灭一个敌人。

如何衡量入场是否有意义呢?

要看是否符合自己的交易系统。以钓鱼为例,什么时候抬起鱼竿呢?鱼漂动了,手上也有反映了。每一个钓者都在等待这个时刻,没有这些反应,鱼竿就要一动不动。交易也是一样,只有符合交易系统的信号出现,才能抬起鱼竿,下单入场。这是第一步,是最基本的要求。至于交易系统的信号是否过于频繁,是否可以优化和省略,那是后面的事情。

总之,止损要有意义的第一步,是入场要有意义。

第二,止损点位要有意义。

设置止损点,我们有时会选择某一级别K线的关键价位,有时会选择均线、趋势线,有时会选择某一指标的某一值作为触发止损的扳机点。粗看来,只要止损点是明确的,止损的背后都是有理由的。

止损的理由不等于止损的意义。

很多时候,有理由的止损点是没有意义的。这里要明晰一个概念,什么叫止损的意义?止损的目的是,在市场的运行与我们的预期不一致的时候,及时地脱离市场,结束风险暴露的状态。有了这个目的,止损的意义就是是否有助于目的的实现,也即——是否不会迟钝,也不会过敏。

有时,止损设置会迟钝。市场的走势已经告诉交易者,最初的理由不在了,最初的考虑不对了,但止损迟迟没有触发。在刚刚做到坚决执行交易系统的交易者中,这种情况很常见。“忍住,再等等”是这时心底最常出现的声音。可实际上,这时候的入场依据已经被证伪了。

还有时候,止损设置会过敏。在某些波动较大的时段,过小的止损(常常体现为小级别的K线高低点、短期均线等)会被扫掉,头寸没了,价格继续按照预定方向运行。这时尽管交易者可以告诉自己,“止损错了也是对的”,但毕竟“方向”判断对了,“方向”的波动幅度没有判断对,依然不能算理想。

止损的标准在迟钝与过敏两端游走,对交易者的伤害很大。意志不够刚硬的交易者,会在“忍住,再等等”和“错了也是对的”之间反复徘徊,最终,坚持的变成了随意的,自信的变成了怯懦的,这种波动最终会毁掉一个交易者。

坚持得太过辛苦,有时是方法错了止损要有意义,第二步,点位选择一定要有意义。

第三,止损幅度要有意义。

幅度和点位不同,点位的价值在于定性分析的对与错,幅度的价值在于定量分析的值不值。简单说,止损的幅度决定了盈亏比。

一波行情,在职业的交易者看来,要么有个大致的考量(与一二三的目标位有关),要么完全不设预期,趋势跟踪。无论哪种路子,止损幅度都与盈亏比成反比

盈亏比又与胜率的最低要求成反比

因此,止损幅度与胜率的最低要求成正比

——止损越小,命中率越不重要。止损越大,胜率要求就越高

以趋势跟踪策略为例。趋势跟踪策略的常见胜率是30%-50%。一般认为,超过50%的胜率,要么是过度优化,要么是短期数据不足以长期证明。而低于30%的胜率,又难以通过合理的盈亏比保证盈利。众所周知,趋势交易者不宜过度过滤入场信号,得不偿失。这时,入场时的止损幅度就很重要。如果能够成功的降低止损的幅度,往往意味着同样的风险暴露金额,可以建仓更大的头寸。事实上,这条路径确实是趋势交易者提高交易绩效的常用方法。

千人千面,水无常形。止损的幅度没有一定之规,没有最优方案。大的原则基本可以明确,止损不宜过大,过大的止损伤害盈亏比,提高了对胜率的要求。

第四,移动止损要有意义。

持仓出现浮盈,是持仓中的高光时刻。浮盈后如何移动初始止损,是持仓中的重要课题。

持仓中移动止损要解决好两个关键问题。

  • 第一是盈亏平衡问题,是否要在特定条件满足后移动止损位置到盈亏平衡点?如果是,什么时候移动?如果不是,为什么不移动?
  • 第二是跟踪止盈问题,是否随着行情发展,动态确保最低盈利(即使主动止盈)?如果是,什么时候移动?如果不是,为什么不移动?

是否做保本处理,是否跟踪止盈(顺向移动止损线),其结论并没有标准答案。但考虑这个问题则是交易者的必修课。做出何种策略,主要与几个因素有关:

  • 与交易系统的设计思路有关。如果是单纯追求大盈亏比的策略,例如A股“缺口不补”策略、原生“海龟”策略等,这方面的要求可能会松一点。如果是日内短线炒单策略,这方面的要求可定要很严格。
  • 与资金偏好要求有关。自有资金,承受波动足够大,无所谓,要求会宽一些。外部资金,净值公开,这方面的约束自然要严格一些。
  • 与交易者的自身特质有关。每个交易者都有自己的特质,是否动态调整止损要结合交易者的特质考虑。每个交易者要结合自己的性格特质选择符合自己的策略。

总结一下。

上面的四点里面:

  • 开仓入场有意义,防止过度交易、冲动交易。
  • 止损点位有意义,真正把止损变成必要的成本,而非单纯“停止损失”。
  • 止损幅度有意义,提升盈亏比,降低命中率的要求。
  • 移动止损有意义,防止不必要的亏损出现,及时锁定既得利润。

四点处理得好一些,更好一些,交易的绩效一定会有所提升。

EOF.

还有三篇关于止损的文章:

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1711/


关于“量、价、时、空”的一点思考

“量、价、时、空”是交易中最基础的四个要素。

以这四个要素作为框架,很多常见的交易要素可以各归其位。如:

    • 放量、缩量、无量
    • 均量
    • 力度指数
    • Price Action理论
    • 均线
    • 支撑阻力位
    • MACD、RSI、KDJ
    • BOLL、通道理论
    • “横有多长,竖有多高”
    • 缠论
    • 均线
    • 波浪理论
    • 盈亏比
    • 支撑阻力位
    • 缠论
    • 波浪理论

以上的划分并不周延,只是个大概的归类。从这个归类中,可以大致看出单个模型的局限所在。比如:

  • MACD、RSI、KDJ、BOLL等指标及其“共振”——这些指标关注的点各自不同,但核心都是一个:价格。用价格形成指标,进而互相验证,难免循环论证。这也是 Price Action 理论强调少用指标的逻辑基础。
  • 均线理论——以价格的均值为基础,考虑了时间因素。均线理论缺乏成交量、空间的因素,因而一般要结合“放量、缩量”操作,同时常用趋势跟踪技术主动弱化空间因素的权重。
  • Price Action——以价格形态为核心,“读取”、“倾听”市场的声音。PA理论大量应用于外汇市场,常常没有准确的“量”的因素。同时, Price Action 理论往往对时空因素采取相对模糊的应用,时空要素往往需要主观判断(时空方面,国内交易员曾有“大象吃苹果”等精彩的主观判断方法)。
  • 缠论——缠论与 Price Action 的着力点恰恰是互补的关系。缠论的价格因素主要是以“分型、笔、线段”的形式呈现,对价格的小级别波动并不是十分关注。结合中枢、级别等理论、将时空因素纳入。
  • 波浪理论——重在时空关系,价格因素在波浪理论中类似缠论,应用得比较粗糙。考虑时空因素过于主观,“千人千浪”。

以上,可以看出,相对体系化的框架,如 Price Action、缠论、波浪理论,或多或少都要照顾到四个要素。而 MACD 等指标,由于在要素层级存在自身的局限,则很难构成交易系统的基础。均线理论应用于实战,往往不能简单的“金叉死叉”,要结合K线形态(Price Action,“价”)、和成交量的变化相互验证,提升绩效。即使如此,均线理论在时空因素的把握上往往也要采取趋势跟踪策略主动“放弃”。

“量、价、时、空”四者之间的有效结合、匹配,进而寻找共振,可以有效提高胜率。

对交易员来讲,有必要从这四个角度重新审视自己的交易系统,是否在某些方面存在缺陷。简单设计一个打分卡:

  • 量:明确?涉及?空白?
  • 价:明确?涉及?空白?
  • 时:明确?涉及?空白?
  • 空:明确?涉及?空白?

一个成熟稳定的交易系统,也许有这些关注点:

  • 四个要素中最好不要出现“空白”(外汇交易中的“量”除外);
  • 四个要素都是“明确”的时候,往往可以将交易系统程序化了;
  • 交易员的价值,恰恰在于对“涉及”这种状态的把握;
  • 四个要素全部是“涉及”,交易员往往会比较累,交易绩效对于身体、心理的状态要求也比较高;
  • 直觉上,有两个以上“明确”,一到两个“涉及”,似乎比较容易操作。

当然,千人千面,每个人都有自己舒服的状态,不能一概而论。交易的核心还是心态控制和资金管理,技术分析终究只是交易的皮毛,过分沉溺,难免皮相。

EOF

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1727/

商品到了关键点


商品跌到了重要的位置。

这种时候,耐心比黄金还珍贵。

文华商品指数

黑链指数

煤炭板块

焦煤指数

EOF.

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1724/


价值投资中的回撤入场


(Image By ChartSecret.com)

Price Action 理论中,除了极少数的情况,入场基本都要在回撤的时候。所谓“顺大势,逆小势”、“突破回踩”,都是回撤入场。

对比一下 Elder 对基本面分析的解读:

当我认为未来某个事件会增加一只股票的价值,而目前价格又低于价值时,我才会考虑买入。在价值之下买入,在价值之上卖出并有清晰的逻辑,这样做才能让我在逆境时坚定信心。(《以交易为生2》,CH1)

这段话包含两个意思:

  1. 入场(做多)的主要原因是看涨。未来的价值会增加,所以现在准备做多。这是最基本的原因。
  2. 当前的价格要低于价值。把未来的走势遮住不看,现在的价格要低于现在的价值。这是第二个原因。

第一个比较好理解。未来看涨,任何一个价值投资者的基本范式都是这个。第二个比较容易被忽略。

目前价格又低于价值时,我才会考虑买入”。价格低于价值,即价格被低估。在 Elder 眼中看来,即使是价值投资,也要重视买点。当下的价格被低估的时候,才是价值投资者的买点。很多时候,“价值投资”亏钱,往往是方向看对了,入场点没找好。高估时入场,长时间被套。事后一看,其实大方向是对的。

——这就是价值投资的“回撤入场”:

  • 方向顺大势:价值在未来看涨
  • 入场逆小势:当下的价格被低估

当然,典型的回撤入场往往还要重视扳机点,没有扳机的枪不会响。基本面分析时,扳机点可能就是一个短期看衰时的利好新闻、一个回撤中的放量大阳线等等,这些都可以。价值投资毕竟周期更长,精度上的要求可以放松一些。

总结一下,价值投资回撤入场的关键:当下价值被低估。无低估,不做多。

EOF.

原文来自:风云居 | Less is more
本文链接: http://kangjian.net/blog/1722/

Al Brooks的78条交易指引


这78条提示,是Al Brooks三本书中反转篇的结尾。字字珠玑,照录如下。致敬Al Brooks。

  1. Reading these 570,000 words is like reading a detailed manual on how to do anything, such as playing golf or a violin. It takes a lot of hard work to turn the information into the ability to make a living as a trader, but it is impossible without understanding how markets work. Like being a professional golfer or violinist, no matter how good you get, you always want to be better, so the challenge and satisfaction last long after you become consistently profitable.

  2. Everything that you see is in a gray fog. Nothing is perfectly clear. Close is close enough. If something looks like a reliable pattern, it will likely trade like a reliable pattern.

  3. There is no easy set of reliable rules to make money as a trader, and everything is subjective. This is a zero-sum game with very smart players, so when an edge exists, it is small and fleeting. For a trader to make money, he has to be consistently better than half of the other traders out there (or more accurately, trade a positive trader’s equation more than half of the time). Since most of the competitors are profitable institutions, a trader has to be very good. However, edges appear constantly, and if you learn to spot them and understand how to trade them, you are in a position to make money.

  4. The edge can never get very large because institutions would take advantage of it as it was growing. A trade cannot have a high probability of making a big reward relative to the risk.

  5. Reading charts well is difficult, but it is only half of what you need to know to make money. You also need to learn to trade, which is just as difficult. Trading successfully always has been and will always continue to be hard to do, no matter what method you use. If there were an easy way to make money, everyone would do it and then there would be no trapped traders to drive the market to your target. Read a book that teaches you how to play the violin and then go out to see if the world will give you money to hear you play. Just because you understand how to do something does not mean that you can do it effectively, especially if it is difficult to do.

  6. A trader needs a mathematical advantage to make money. At every moment, there is always a mathematical edge for both a long and a short trade, but the edges are usually not clear. When they are relatively clear, they are fleeting and small. However, those are the times when traders need to place their trades.

  7. The ability to spot trades that have a positive trader’s equation is the key to success. That can mean buying above a bar on a stop, selling above a bar with a limit order, buying below a bar with a limit order, or selling below a bar on a stop.

  8. The single most important determination that a trader makes, and he makes this after the close of every bar, is whether there will be more buyers or sellers above and below the prior bar. This is particularly true with breakouts and failed breakouts, because the move that follows usually determines the always-in direction and therefore lasts for many points and is not just a scalp.

  9. Every time you buy above the high of the prior bar on a stop, someone else is shorting there with a limit order. When you sell one tick below the low of the prior bar, there is a strong bull who is taking the other side of your trade. Always remember that nothing is certain, and the edge is always small because there are smart people who believe the exact opposite of what you do.

  10. Every bar, even a strong trend bar, is a signal bar for both directions, and the market can begin a trend up or down on the next bar. Be open to all possibilities, including the exact opposite of what you expect, and when the surprise happens, don’t question or deny it. Just read it and trade it.

  11. Every time you look to enter a setup, make sure to consider what the market is telling you if instead it breaks out of the opposite end of the signal bar. Sometimes that buy setup that you see might in fact also be a great sell setup because it will trap longs who will cover below the low of the signal or entry bars.

  12. Understanding trend bars that create breakouts is one of the most important skills that a trader can acquire. Traders need to be able to assess whether a breakout is likely to succeed, or it will be met with profit taking and a pullback, or it will be followed by a reversal.

  13. Look for signs of strength and weakness and weigh them to determine if they give you an edge. If you see the market doing something, assess how strong the setup is. Did it fail to take an opportunity to do something strong? If so, the setup is weaker.

  14. Whenever you are positive that your setup is good, don’t take the trade. You are missing something. You don’t see what the person who is taking the other side of your trade is seeing, and that person is just as smart as you are. Be humble. If you are too confident, your arrogance will make you lose because you will be using unrealistically high probabilities in your evaluation of the trader’s equation.

  15. Much of life is not what it seems. In fact, the famous mathematician Charles Lutwidge Dodgson was not what he seemed to be and is better known as Lewis Carroll. We work in an Alice in Wonderland world where nothing is really as it seems. Up is not always up and down is not always down. Just look at most strong breakouts of trading ranges—they usually fail, and up is really the start of down and down is really just part of up. Also, 60 percent is 60 percent in only 90 percent of the cases and can be 90 percent sometimes and 10 percent at other times. If a good setup is 60 percent, how can you win 80 percent or more of the time? Well, in a pullback in a strong trend just above support, a setup might work 60 percent of the time, but if you can scale in as the market goes lower, especially if your subsequent entries are larger, you might find that you win in 80 percent or more of those 60 percent setups. Also, if you use a very wide stop and are willing to sit through a large drawdown for a couple of hours, that 60 percent chance of making two points before losing two points in the Emini might be a 90 percent chance of making four points before losing eight points. If you are flexible and comfortable with constantly changing probabilities and many probabilities coexisting, your chance of success is much greater.

  16. The single most important thing that you can do all day is talk yourself out of bad trades. For example, if it is a trading range day, don’t look to buy after a strong bull trend bar or a high 1 near the top of the range, and don’t look to short after a strong bear trend bar or low 1 near the bottom of the range.

  17. The market constantly exhibits inertia and tends to continue what it has just been doing. If it is in a trend, 80 percent of the attempts to reverse it will fail and lead to a flag and then a resumption of the trend. If it is in a trading range, 80 percent of the attempts to break out into a trend will fail.

  18. If ever you feel twisted inside because a pullback is going too far, you are likely mistakenly seeing a pullback when in fact the trend has reversed.

  19. If you think the market rationally should be going up, but instead it is offering you a strong sell setup, take it. Trade the trade that you have and not the one that you want or expect, because “the market can stay irrational much longer than you can stay solvent” (a quote attributed to John Maynard Keynes).

  20. Price is truth. Never argue with what the market is telling you. For a day trader, fundamentals are almost entirely useless. The market will tell you where it is going and it cannot hide what it is doing. Neither you nor the experts on television can know how the market will react to the fundamentals, although those experts often speak with certainty. Since the market is rarely more than 60 percent certain of anything, whenever pundits speak with certainty, they are ignoring math and therefore the most basic characteristic of the market. If you follow someone who is indifferent to or ignorant of how markets work, you will lose money.

  21. Everything makes sense. If you know how to read price action, nothing will surprise you, because you will understand what the market is doing. Beginners can see it on a printout at the end of the day. The goal is to learn how to read fast enough so that you can understand what is happening in real time.

  22. “It’s not fair!” If that is how you are feeling, take a break from trading. You are absolutely right—it is not fair, but that is because it is all based on mathematics, and fairness is never one of the variables. If you are concerned about fairness, you are not synchronized with the market. Computer programs control all market activity, and they have no concept of fairness; they never get tired, they don’t remember what their last trade was, and they are relentlessly objective. Since they are making money, you need to try to emulate their qualities. They cannot hide what they are doing, and your job is to see what they are doing and then copy them. Yes, you will enter after their first entry, but they will continue to enter after you do, and they are the force that will drive the market far enough to give you your profit.

  23. Price action is based on human behavior and therefore has a genetic basis. This is why it works in all markets in all countries and on all time frames and it has always worked and always will inescapably reflect human behavior, at least until we evolve into a new species.

  24. Always have a protective stop in the market because it protects you from the greatest danger you will ever face as a trader. That danger is not the market, which could not care less whether you win or lose, never knows that you exist, and is never out to get you. It is yourself, and all of your inadequacies as a trader, including denial, arrogance, and a lack of discipline.

  25. Thinking is very difficult. Losers prefer instead to look with religious zeal for a savior who will protect them from losing money. Saviors can be confident, impressive experts with outstanding credentials on TV, famous writers of newsletters, chat room leaders, indicators, or any other external idol into which traders infuse the power to protect them and take them to the Promised Land. Instead, they will all slowly suck the last dollar from your account. You will not make money until you do your own analysis and ignore all external influences that promise you success, but in fact exist only to make money for themselves and not you. The experts on TV hope to establish credibility that they can use to sell their services or get a promotion, the TV station makes money off commercials, the chat room and newsletter people sell their services, and the software company that gives you indicators does so for a fee. No one is going to help you in the long run, so never fool yourself into believing that you can make money with the help of all of those nice people.

  26. Those who talk don’t know and those who know don’t talk. Don’t watch TV or read any news.

  27. If you find that you did not take a couple of Emini trades in a row and they worked, you are likely trading too large a position size. Switch to trading 100 to 300 shares of SPY and swing for at least 20 to 50 cents. Even though you won’t get rich, at least you will make some money and build your confidence. If you think that you can comfortably trade three Emini contracts per trade, then you should trade just one. This will make it much easier for you to take every signal. If you trade three Eminis, you will let many good signals go because you really are comfortable trading only three contracts in the rare case of a perfect signal. You need to be trading a size where you are comfortable with any decent signal and remain comfortable if you lose two or three times in a row. One indicator of this comfort is your ability to take the next trade after those losses. If you feel too uncomfortable and are really waiting for perfection, you are still trading too much volume. Once you start cherry-picking, you are on the path to a blown account. Your emotions are a burden and give an edge to your opponents, as is the case in any competition.

  28. “I don’t care!” That is the most useful mantra. I don’t care if I lose on this trade, because I am trading a small enough size that a loss will not upset me and cloud my judgment. I don’t care what the experts are saying on TV or in the Wall Street Journal. I don’t care what is happening on the 3 and 1 minute charts or on volume or tick charts, and I don’t care about missing all of the wonderful signals that those charts are generating, because if the trades really are good, they will lead to 5 minute signals as well. I don’t care that the market is way overdone and is due for a correction. I don’t care about indicators, especially squiggly lines that show divergences in a huge trend (meanwhile, there has been no trend line break), but I do care about the one chart in front of me and what it is telling me. I also care about following my rules and not allowing any outside influence talk me out of doing what my rules are telling me.

  29. If you are afraid of taking a great trade because your stop would have to be too far, reduce your position size to maybe a quarter of normal so that your total dollar risk is no larger than for your usual trades. You need to get into the “I don’t care” mode to be able to take these trades. By cutting your position size, you can focus on the quality of the setup instead of being preoccupied with the dollars that you can lose if the trade fails. However, first spot a good setup before adopting the “I don’t care” mind-set, because you don’t want to be so apathetic about the dollars that you begin to take weak setups and then go on to lose money.

  30. The market is never certain when it has gone far enough, but it is always certain when it has gone too far. Most reversals require excess before traders believe that the reversal will work. Market inertia can be stopped only by excess.

  31. It is difficult to reverse a position. For most traders, it is far better to exit, even with a loss, and then look for another setup in the new direction.

  32. There are no reliable countertrend patterns so, unless you are a consistently profitable trader, never trade countertrend unless there first has been a strong break of a significant trend line, and the signal is a reasonable setup for an always-in reversal. When you are shorting below that great bear reversal bar in a strong bull trend, far smarter traders are buying with limit orders at the low of your signal bar. When you are buying on a stop above a bull reversal bar in a strong bear trend, smarter traders are shorting exactly where you are buying. Since 80 percent of reversals fail, who do you think is making the money?

  33. Any reversal setup is a good reason to take partial or full profits, but the setup has to be strong if you are considering a countertrend trade. Since 80 percent of reversals fail, it is far better to view each top as the start of a bull flag and each bottom as the start of a bear flag.

  34. Too early is always worse than too late. Since most reversals and breakouts fail, an early entry will likely fail. Since most trends go a long way, entering late is usually still a good trade.

  35. All patterns fail and the failures often fail, and when they do, they create a breakout pullback in the original direction and have a high probability of success.

  36. When you see that one side is suddenly trapped, the reliability of a scalp in the opposite direction goes up. Trapped traders will be forced out as you are getting in, and they will likely wait for more price action before entering again in their original direction, so the only traders left will be in your direction.

  37. Seeing traders getting trapped out of a trade on a stop run is as reliable a signal as seeing them getting trapped in a trade. If the market suddenly runs stops and then resumes its trend, this is a reliable setup for at least a scalper’s profit.

  38. Wait. If the market has not given any signals for 30 to 60 minutes and you find yourself checking your e-mail or talking on the phone with your daughter away at college, and suddenly the market makes a large bull trend bar that breaks out of a trading range, wait. You’ve lost touch with the market and it is trying to trap you in. Never make a quick decision to place a trade, especially on a sudden, large trend bar. If it turns into a great trade and you miss it, you will still be ahead overall because the odds are against you when you take trades under these circumstances. Yes, some will be winners, but if you review all of the times that you took these trades, you will discover that you lost money.

  39. You don’t have to trade. You goal as a trader is to make money, not to make trades, so take a trade only when it will help you achieve your goal. There will be many other signals all day long, so wait for a good one, and don’t be upset when you miss good trades. Many beginners want excitement and tend to overtrade. Many great traders find trading to be lonely and boring, but very profitable. Everyone wants to trade, but you should want to make money more than you want to trade. You should take only trades that are likely to make money, not simply relieve your tension from not having placed a trade in an hour or two.

  40. Simple is better. You don’t need indicators, and you should look at only one chart. If you can’t make money off a single chart with no indicators, adding more things to analyze will just make it more difficult. Also, trade only the very best setups until you are consistently profitable. The single biggest problem with using two charts is that there is a natural tendency to take only signals that occur simultaneously on both charts, which rarely happens. You end up rejecting most of the day’s great signals because the second chart does not have a signal or the signal occurred two ticks earlier. For example, if you see a great high 2 pullback to the exponential moving average in a bull trend on the 5 minute chart and then look at the 2 or 3 minute chart and see that it gave an entry two ticks earlier, you might not take the 5 minute entry because you will be afraid that the move will stop at the 2 minute scalper’s target and never reach the 5 minute target.

  41. Decide whether this is a hobby or a job. If it is a hobby, find another one because this one will be too expensive and it is dangerously addictive. All great traders are likely trading addicts, but most trading addicts will likely end up broke.

  42. Begin trading using a 5 minute chart, entering on a pullback and using a stop order for your entry. When the market is in a bull trend, look to buy above a bull bar at the moving average. When it is in a bear trend, look to short below a bear bar at the moving average. Take some or all off on a limit order at a profit target around the prior extreme of the trend, and then move the protective stop to breakeven on any remaining contracts.

  43. When starting out, you should consider trading the SPY instead of the Emini. One Emini is virtually identical to 500 SPY shares, and trading 200 to 500 SPY shares would allow you to scale out as you swing part of your trade, yet not incur much risk. Once you reach 1,000 to 1,500 SPY shares, if you are thinking that you will continue to increase your position size, then switch to the Emini. At that size, you can scale out of the Emini and you can increase your position size tremendously without slippage being a significant issue.

  44. Buy low and sell high, except in a clear and strong trend (see Part I in book 1 on trends). In a bull trend, buy high 2 setups even if they are at the high of the day; in a bear trend, sell low 2 setups. However, the market is in a trading range for the vast majority of the time. For example, if the market has been going up for a few bars and there is now a buy signal near the top of this leg up, ask yourself if you believe that the market is in one of the established clear and strong bull trend patterns described in these books. If you cannot convince yourself that it is, don’t buy high, even if the momentum looks great, since the odds are great that you will be trapped. Remember Warren Buffett’s version of the old saw, “Be afraid when others are greedy and be greedy when others are afraid.”

  45. The two most important feelings for the media and for beginners are fear and greed. Profitable traders feel neither. For them, the two most important feelings are uncertainty (confusion) and urgency, and they use both to make money. Every bar and every segment of every market is either a trend or a trading range. When a trader is certain, the market is in a strong trend. When he feels a sense of urgency, like he wants to buy as the market is going up (or short as it is going down) but is desperate for a pullback, the market is in a strong trend. He will buy at least a small position at the market instead of waiting for a pullback.

  46. When a trader is uncertain or confused, the market is in a trading range and he should only buy low and sell high. If he wants to take many trades, only scalp. Uncertainty means that the market has a lot of two-sided trading and therefore might be forming a trading range. Since most breakout attempts fail, it is better to only look to short if you are uncertain and the market is up for five to 10 bars, and only look for longs when it is down for five to 10 bars.

  47. When there is a trading range, buy low means that if the market is near the bottom of the range and you are short, you can buy back your short for a profit, and if there is a strong buy signal, you can buy to initiate a long. Likewise, when the market is toward the top of the range, you sell high. This selling can be to take your profit on your long, or, if there is a good short setup, you can sell to initiate a short position.

  48. Good fill, bad trade. Always be suspicious if the market lets you in or out at a price that is better than you anticipated. The corollary of bad fill, good trade is not as reliable.

  49. The first hour or two is usually the easiest time to make money, because the swings tend to be large and there are not many doji bars. The first hour is the easiest time to lose money as well, because you are overly confident about how easy it might be, and you don’t follow your rules carefully. The first hour usually has many reversals, so patiently wait for a swing setup, which will generally have less than a 50 percent chance of success but a potential reward that is at least twice as large as the risk. Experienced traders can scalp. If you don’t follow your rules and are in the red, you’ve missed the easiest time of the day to make money, which means that you will be unhappy all day as you hope to get back to breakeven in trading that is much slower and less profitable.

  50. If you are down on the day and you are now in the second half of the day, it can feel like you are swimming in quicksand—the harder you try to get out, the deeper you sink. Even great traders simply fail to connect emotionally with the flow of the market some days and they will occasionally lose, even though a printout of the 5 minute chart at the end of the day will be shockingly clear. The smartest thing to do is just make sure that you follow your rules into the close, and you will likely win back some of your losses. The worst thing to do is to modify your trading style, which is probably why you are down on the day. Don’t increase your position size and start trading lower-probability setups. If you have an approach that makes you money, stick with it and you will earn back your loss tomorrow. Using a different approach will only cost you more.

  51. Beginners should avoid trading in the middle of the day when the market is in the middle of a day’s range, especially if the moving average is relatively flat and the trading range is tight and has prominent tails (barbwire). When you are about to take any trade, always ask yourself if the setup is one of the best of the day. Is this the one that the institutions have been waiting for all day? If the answer is no and you are not a consistently profitable trader, then you should not take the trade, either.

  52. A tight trading range is the worst environment for entering on stops. The institutions are doing the opposite, and you will consistently lose if you insist on trading, hoping that a trend is about to begin.

  53. A tight trading range trumps everything. That means that it is more important than every good reason that you have to buy or sell. Unless you are a great trader, once you sense that a tight trading range might be forming, force yourself to not take any trades, even if you don’t trade for hours.

  54. Every bar and every series of bars is either a trend or a trading range. Pick one. Decide on the always-in direction and trade only in that direction until it changes. Throughout the day and especially around 8:30 a.m. PST, you need to be deciding whether the day resembles any trend pattern described in these books. If it does and you are looking to take any trade, you must take every with-trend trade. Never consider taking a countertrend trade if you haven’t been taking all of the with-trend trades.

  55. The best signal bars are trend bars in the direction of your trade. Doji bars are one-bar trading ranges and therefore usually terrible signal bars. You will usually lose if you buy above a trading range or sell below one.

  56. Most countertrend setups fail, and most with-trend setups succeed. Do the math and decide which you should be trading. Trends constantly form great-looking countertrend setups and lousy-looking with-trend setups. If you trade countertrend, you are gambling and, although you will often win and have fun, the math is against you and you will slowly but surely go broke. Countertrend setups in strong trends almost always fail and become great with-trend setups, especially on the 1 minute chart.

  57. You will not make consistent money until you stop trading countertrend scalps. You will win often enough to keep you trying to improve your technique, but over time your account will slowly disappear. Remember, your risk will likely have to be as large as your profit target, so it will usually take six winners just to get back to breakeven after four losses, and this is a very depressing prospect. Realistically, you should scalp only if you can win 60 percent of the time, and most traders should avoid any trade where the potential reward is not at least as large as the risk. Beginners should scalp only with the trend, if at all.

  58. Until you are consistently profitable, take only trades where your potential reward is at least as large as your risk. If you need to risk two points in the Emini, do not take your profit until you have at least two points. Most traders should not scalp for a reward that is smaller than the risk, because they will lose money even if they win on 60 percent of their trades. Remember the trader’s equation. The chance of winning times your potential reward has to be significantly greater than the chance of losing times your risk. You cannot risk two points to make one point and hope to make a profit unless you are right at least 80 percent of the time, and very few traders are that good.

  59. The trader’s equation has three variables, and any setup with a positive result is a good trade. This can be a trade with a high probability of success and a reward only equal to the risk, one with a low probability of success and a huge reward relative to risk, or anything in between.

  60. Experienced traders can scale into (or out of) trades to improve their trader’s equation. For example, the initial entry might have a relatively low probability of success, but subsequent entries might have significantly higher probabilities, improving the trader’s equation for the entire position.

  61. You will not make money until you start trading with-trend pullbacks.

  62. You will not make money trading reversals until you wait for a break of a significant trend line and then for a strong reversal bar on a test of the trend’s extreme.

  63. You will not make money unless you know what you are doing. Print out the 5 minute Emini chart every day (and stock charts, if you trade stocks) and write on the chart every setup that you see. When you see several price action features, write them all on the chart. Do this every day for years until you can look at any part of any chart and instantly understand what is happening.

  64. You will not make money in the long term until you know enough about your personality to find a trading style that is compatible. You need to be able to follow your rules comfortably, allowing you to enter and exit trades with minimal or no uncertainty or anxiety. Once you have mastered a method of trading, if you feel stress while trading, then you haven’t yet found either your style or yourself.

  65. You will not make money if you lose your discipline and take risky trades in the final couple of hours that you would never take in the first couple of hours. You will invariably give back those earnings from earlier in the day that fooled you into thinking that you are a better trader than you really are.

  66. You are competing against computers. They have the edge of speed, so it is usually best not to trade during a report, because that is when their speed edge is greatest. They also have the edge of not being emotional, so don’t trade when you are upset or distracted. Third, they have the edge of never getting tired, so don’t trade when you are worn out, which often happens at the end of the day.

  67. Always look for two legs. Also, when the market tries to do something twice and fails both times, that is a reliable signal that it will likely succeed in doing the opposite.

  68. Never cherry-pick, because you will invariably pick enough rotten cherries to end up a loser. The good trades catch you by surprise and are easy to miss, and you are then left with the not-so-good trades and the bad trades. Either swing trade and look to take only the best two or three of the best setups of the day or scalp and take every valid setup. The latter, however, is the more difficult alternative and is only for people with very unusual personalities (even more unusual than the rest of us traders!).

  69. Finding winners is easy, but avoiding losers is hard. The key to success is avoiding the losers. There can be far more winners each day than losers, but a few losers can ruin your day, so learn to spot them in advance and avoid them. Most occur: in the middle of the range with weak setup bars, like small dojis with closes in the middle; when you are entering a possible reversal too early (remember, when in doubt, wait for the second entry); when you are in denial of a trend and think that it has gone too far so you start taking 1 or 3 minute reversal entries, which turn into great with-trend setups when they fail (as they invariably will); or, when a very credible, well-credentialed technical analyst from a top firm proclaims on TV that the bottom is in, and you then only see buy setups, which invariably fail because the expert in fact is an idiot who cannot trade (if he could, he would be trading and not proclaiming).

  70. If you are in a trade and it is not doing what you expected, should you get out? Look at the market and pretend that you are flat. If you think that you would put that trade on at this moment, stay in your position. If not, get out.

  71. Do not scalp when you should swing, and do not swing when you should scalp. Until you are consistently profitable, you should keep your trading as simple as possible and swing just one to three trades a day, and do not scalp. To scalp successfully, you usually have to risk about as much as you stand to gain, and that requires that you win on more than 60 percent of your trades. You cannot hope to do that until you are a consistently profitable trader.

  72. If you find that you frequently take swing trades, but quickly convert them to scalps, you will probably lose money. When you take a swing trade, you are willing to accept a lower probability of success, but to make money on a scalp, you need a very high probability of success. Similarly, if you take scalps, but consistently exit early with a profit that is smaller than your risk, you will lose money. If you cannot stop yourself from following your plan, simply rely on your bracket orders and walk away for about an hour after you enter.

  73. If you lost money last month, do not trade any reversals. If seven of the past 10 bars are mostly above the moving average, do not look to short. Instead, only look to buy. If seven of the past 10 bars are mostly below the moving average, do not look to buy. Instead, only look to short.

  74. Beginners should take only the best trades. It is difficult to watch a screen for two or three hours at a time and not place a trade, but this is the best way for beginners to make money.

  75. Discipline is the most important characteristic of winning traders. Trading is easy to understand, but difficult to do. It is very difficult to follow simple rules, and even occasional self-indulgences can mean the difference between success and failure. Anyone can be as mentally tough as Tiger Woods for one shot, but few can be that tough for an entire round, and then be that way for a round every day of their lives. Everyone knows what mental toughness and discipline are and can be mentally tough and disciplined in some activities every day, but few truly appreciate just how extreme and unrelenting you have to be to be a great trader. Develop the discipline to take only the best trades. If you cannot do it for an entire day, force yourself to do it for the first hour of every day, and as you increase your position size, you might find that this is all you need to be a successful trader.

  76. The second most important trait of great traders is the ability to do nothing for hours at a time. Don’t succumb to boredom and let it convince you that it’s been too long since the last trade.

  77. Work on increasing your position size rather than on the number of trades or the variety of setups that you use. You only need to make two points in the Eminis a day to do well (50 contracts at two points a day is seven figures a year).

  78. If you perfect the skills of trading, you can make more money than you could ever have imagined possible, and you will have the ability to live your dreams.

原文来自:风云居 | Less is more
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