Trading Strategies - computer simulation, Giełda, rynki finansowe

[ Pobierz całość w formacie PDF ]
//-->Trading StrategiesUsing computer simulation to maximize profits and control risk.Copyright 2002 by Larry C. Sanders.All rights reserved.Published by LSS Limited.PO Box 981133Park City, UtahUSAE-mail: sanders@TradeLabStrategies.comNo part of this publication may be reproduced or transmitted in any form or by anymeans, without prior written permission of the Publisher.84098-1133Printed in the United States of America.Trading Strategies - ITable of ContentsGlossary ...................................................................................................................V1 A random world.................................................................................................... 1The real world - a surprising place..................................................................... 1Randomness and perception ............................................................................... 3The Gamblers Fallacy ......................................................................................... 3Doubles in dice..................................................................................................... 4Simulating the uncalculable ............................................................................... 52 Exploring Risk with the Marble Game ............................................................... 7How much risk for the marble game .................................................................. 7A Riskless Game.................................................................................................. 8Risk Strategies for the Marble Game ................................................................. 8Simulating the marble game............................................................................... 9The problem of comparing to the riskless game............................................... 10Increasing the Win/Loss ratio........................................................................... 11Looking for acceptable drawdown..................................................................... 12High probability for more profit and lower drawdown .................................... 14Pushing profitability ......................................................................................... 15Lessons of the marble game .............................................................................. 163 Monte Carlo Simulation Concepts..................................................................... 17About Monte Carlo Simulation ......................................................................... 17The power of simulation.................................................................................... 18Risk strategies ................................................................................................... 18Boundary conditions.......................................................................................... 19Uses of simulation ............................................................................................. 19Drawdown defined............................................................................................. 19Understanding percentile ................................................................................. 20A shorthand notation ........................................................................................ 20The returns list.................................................................................................. 21Risk strategies ................................................................................................... 22Sample risk curves ............................................................................................ 22Why Use Constant risk?.................................................................................... 25Trading Strategies - IIStarting and Minimum Equity. ........................................................................ 254 Using TradeSim ................................................................................................. 27Program Windows ............................................................................................. 27The Menu line.................................................................................................... 28Treating negative ending equity....................................................................... 30Matching output types to risk strategies. ........................................................ 30Drawdown Group............................................................................................... 31Risk strategies ................................................................................................... 31Normalize........................................................................................................... 31Run setup........................................................................................................... 32Start, Stop and Step .......................................................................................... 33Files group ......................................................................................................... 33Copy and Show .................................................................................................. 33Charts and Tables ............................................................................................. 34Setting column headings................................................................................... 35The relation between Equity Accumulation and equity charts....................... 41The returns file.................................................................................................. 42Returns file errors ............................................................................................. 44Entering risk curve data ................................................................................... 44Creating Risk Files............................................................................................ 45Inside a TradeSim simulation........................................................................... 46Overflow............................................................................................................. 475 Expectancy, Frequency and Uncertainty.......................................................... 48What we can expect from expectancy ............................................................... 48Arithmetic expectancy....................................................................................... 48Geometric expectancy........................................................................................ 48The Law of large numbers ................................................................................ 50Trade frequency................................................................................................. 52Risk and Uncertainty ........................................................................................ 53Risk and uncertainty in real trading................................................................ 556 Educational games with TradeSim .................................................................. 57The three marble game ..................................................................................... 57Trading Strategies - IIIEquivalent expectancy?..................................................................................... 58Break even trades.............................................................................................. 597 Exploring Real Returns Data ............................................................................ 61Sources of historic returns data........................................................................ 61Real world examples.......................................................................................... 61Piranha S&P Trading System .......................................................................... 62Prudent S&P Trading System .......................................................................... 62Remarkable S&P Trading System.................................................................... 62Tactical trading ................................................................................................. 68Recent results .................................................................................................... 70Comparing trading results................................................................................ 71Falling off the Optimal-f precipice.................................................................... 72Applying risk in practice ................................................................................... 738 Accelerating profit by risking profit.................................................................. 75Risking Profit with the Tactical Trading example........................................... 77Applying User Risk Curves............................................................................... 79Limits to Size ..................................................................................................... 829 Conclusion .......................................................................................................... 84Trading Strategies - IVGlossaryBefore starting, here are some definitions of terms as they are used in this bookDrawdown – the largest decline in equity below the previous high Generally ex-pressed in percent but can also be measured in absolute amounts.Equity - the amount of money we have available for the next trade.Expectancy – the statistically expected profit for a single trade.Probability – the statistical odds of the next trade being profitable. For the mar-ble game it is the number of white marbles divided by the total number of mar-bles. For a historic list of trades it is the number of profitable trades divided bythe total number of trades. Break-even trades are not included in the totalnumber of trades.Return – the profit or loss amount for a trade. For the marble game the lossesare always the amount risked and the win return is the Win/Loss ratio timesthe risked amount.Risk – the amount of equity at risk in each trade. It may be a percent of totalequity, it may be a fixed amount or it may be some arbitrary function of the eq-uity.Trade – a draw of a marble from the bag in the marble game or, for TradeSim,the random selection of a return from a list of historic returns.Trades – the number of marble draws or random selections during a game ortrial.Trial or Game – a series of trades or draws that make a complete game.Trials – the number of times a trial is repeated in order to get statistical resultsRun– A complete simulation for one fixed set of program inputs consisting ofmany trials.W/L Ratio – the ratio of Winning amount / Losing amount in the marble game.As the marble game is described in the next chapter, W/L Ratio is 1.0, but weare free to adopt any rules we like.Trading Strategies - V [ Pobierz całość w formacie PDF ]