Читать книгу The Successful Trader's Guide to Money Management - Andrea Unger - Страница 4

1 Chapter 1FIGURE 1.1 Loss 1, win 1.25 – double bet after loss. Note how in the first 1...FIGURE 1.2 Loss 1, win 1.25 – multiply bet by 1.5 after loss. The final resu...FIGURE 1.3 Loss 1, win 1.25 – double stake after loss, a particular favourab...FIGURE 1.4 Loss 1, win 1.25 – multiply bet by 1.5 after loss, even increasin...FIGURE 1.5 Loss 1, win 1.25 – anti‐Martingale system.FIGURE 1.6 Loss 1, win 1.25 – anti‐Martingale system, results may appear exc...FIGURE 1.7 Loss 1, win 1.25 – 1,000 coin tosses slightly unbalanced in favou...FIGURE 1.8 Loss 1, win 1.25 – stake multiplied by 1.5 after a loss, with the...FIGURE 1.9 Loss 1, win 1.25 – anti‐Martingale system on the basis of unfavou...FIGURE 1.10 Loss 1, win 1.25 – stake multiplied by 1.5 after a loss. The sam...FIGURE 1.11 Loss 1, win 3 – anti‐Martingale system. The first 99 picks are u...FIGURE 1.12 Loss 1, win 3 – anti‐Martingale system. In this simulation, the ...FIGURE 1.13 Loss 1, win 1 – anti‐Martingale system. Winning the same amount ...FIGURE 1.14 Loss 1, win 1 – anti‐Martingale system. In this case, winning th...FIGURE 1.15 Loss 1, win 1.25 – anti‐Martingale system. The game is once agai...FIGURE 1.16 Loss 1, win 2 – anti‐Martingale system. Also, in this case, a wi...FIGURE 1.17 Loss 1, win 2.5 – as soon as a win pays out more than the loss, ...

2 Chapter 2FIGURE 2.1 Loss 1, win 1.25 – an extremely favourable situation for the gamb...FIGURE 2.2 Loss 1, win 1.5 – a win paid 1.5 times a loss. This really boosts...FIGURE 2.3 Loss 1, win 1.25 – results are below statistical balance (win % b...FIGURE 2.4 Loss 1, win 1.25 – the first 100 coin tosses show a balanced resu...FIGURE 2.5 Results after 99 unlucky picks and 999 balanced picks. The Kelly ...FIGURE 2.6 A balanced scenario after 999 picks confirms the Kelly formulaFIGURE 2.7 As in the previous case, the first 99 picks make a greater profit...

3 Chapter 3FIGURE 3.1 Example of the dynamics of the system used.FIGURE 3.2 Strategy report.FIGURE 3.3 Annual strategy results.FIGURE 3.4 Some trades with the strategy.FIGURE 3.5 Strategy equity curve.FIGURE 3.6 Comparison between performance with one contract and the Kelly fo...FIGURE 3.7 A comparison between the performance that can be obtained in the ...FIGURE 3.8 Comparison of different rounding off methods for the number of co...FIGURE 3.9 Peak equity values applying the Kelly formula.FIGURE 3.10 A half‐million‐dollar drawdown.FIGURE 3.11 The system with a smaller available capital.FIGURE 3.12 5,000 USD less is enough to make the technique that produced a r...

4 Chapter 4FIGURE 4.1 Equity trend for different risk percentages.FIGURE 4.2 Equities and the relevant drawdown levels.FIGURE 4.3 HPR and TWR for the series of 10 trades with just one contract.FIGURE 4.4 HPR values for each trade and TWR for each chosen f.FIGURE 4.5 TWR trend for different f values.FIGURE 4.6 Results with f = 37%.FIGURE 4.7 Different capital levels and numbers of contracts used on the bas...FIGURE 4.8 Applying a 5% fixed risk percentage.FIGURE 4.9 10% risk on each trade.FIGURE 4.10 A risk percentage that's just one point higher blocks the system...FIGURE 4.11 An attempt using optimal f.FIGURE 4.12 Minimum risk percentage to keep trading.FIGURE 4.13 Fixed ratio with delta = €11,000.Figure 4.14 Delta four times the maximum theoretical loss.FIGURE 4.15 Delta double the maximum theoretical loss.FIGURE 4.16 Delta equal to the maximum theoretical loss.FIGURE 4.17 A delta equal to half the maximum theoretical loss is too aggres...FIGURE 4.18 True range in case of low above previous day's close.FIGURE 4.19 True range in case of high below previous day's close.FIGURE 4.20 Results attempting to limit the volatility of your capital to le...FIGURE 4.21 Results attempting to limit the volatility of your capital to le...FIGURE 4.22 %Vol allows the use of more aggressive, although not exactly rec...FIGURE 4.23 Too high a risk quickly reduces the capital to a minimum.FIGURE 4.24 Using %Vol you can even proceed with just a 2% risk.FIGURE 4.25 First trades using an allowed volatility of 2%.FIGURE 4.26 Similar returns using different approaches.FIGURE 4.27 Final equity trend as the risk percentage changes.FIGURE 4.28 Trend of the equity as delta changes.FIGURE 4.29 Trend of the equity as the maximum allowed percent volatility ch...

5 Chapter 5FIGURE 5.1 The final results are almost the same but with different trends....FIGURE 5.2 Another comparison confirms the fluctuations in the equity line w...FIGURE 5.3 A comparison between a classic %f line and a Fixed Ratio line wit...FIGURE 5.4 A comparison between the fixed ratio method and a version taking ...FIGURE 5.5 A comparison between a standard line and one that risks more on a...FIGURE 5.6 Reducing the base percentage from 5% to 4% blocks the mixed curve...FIGURE 5.7 Trend of the principal equity and the crossover with the moving a...FIGURE 5.8 Trend of the equity with %f = 5%, blocking some trades.FIGURE 5.9 A %f of 7.5% produces results that are practically the same for t...FIGURE 5.10 The method that doesn't trade in the downturns ends up producing...FIGURE 5.11 Ceasing trading at the worst times can produce impressive result...FIGURE 5.12 With stops below average the fixed ratio equity improves.FIGURE 5.13 Fewer drawdowns with an aggressive delta and stops below the mov...FIGURE 5.14 A very aggressive delta, which produces good results with accept...FIGURE 5.15 %vol of 3%; the results are the same but the line is more regula...FIGURE 5.16 An extreme %vol, not trading at unfavourable times, changes the ...

6 Chapter 6FIGURE 6.1 Distribution of percentage returns with a 5% risk.FIGURE 6.2 Drawdown values for the 1,000 simulations with a 5% risk.FIGURE 6.3 Distribution of returns with a 5% risk in 5,000 simulations.FIGURE 6.4 Trend of the percentage drawdown with a 5% risk in 5,000 simulati...FIGURE 6.5 Trend of returns risking the minimum that's mathematically possib...FIGURE 6.6 Trend of returns for 1,000 simulations with a 3% risk.FIGURE 6.7 Trend of the percentage drawdowns for 1,000 simulations with a 3%...FIGURE 6.8 Percentage returns for 1,000 simulations using the fixed ratio me...FIGURE 6.9 Drawdown trend for 1,000 simulations using the fixed ratio method...FIGURE 6.10 5,000 simulations to verify the percentage drawdown distribution...FIGURE 6.11 1,000 simulations using the fixed ratio method with a delta = 20...FIGURE 6.12 Percentage drawdowns using the fixed ratio method with a delta =...FIGURE 6.13 Distribution of percentage returns with a 10% risk.FIGURE 6.14 Distribution of percentage drawdowns with a 10% risk.FIGURE 6.15 Distribution of percentage returns using the fixed ratio method ...FIGURE 6.16 Distribution of drawdowns with a delta of 2,500 using the fixed ...FIGURE 6.17 Returns with a 7.5% risk percentage.FIGURE 6.18 Trend of the drawdowns with a 7.5% risk using the fixed fraction...FIGURE 6.19 10% risk, this time considering the real maximum loss.FIGURE 6.20 Trend of the drawdowns risking 10% with reference to the real ma...FIGURE 6.21 Returns with a 15% risk, using the real maximum loss.FIGURE 6.22 Drawdowns with a 15% risk, using the real maximum loss.

7 Chapter 7FIGURE 7.1 Profits after approximately three years with a 5% risk and a thre...FIGURE 7.2 Trend of the drawdowns with a 5% risk.FIGURE 7.3 Summary of the drawdown data.FIGURE 7.4 Percentage returns for 480 trades using the fixed ratio method wi...FIGURE 7.5 Percentage drawdown trend for 480 trades using the fixed ratio me...FIGURE 7.6 Data on the distribution of the drawdowns in Figure 7.5.FIGURE 7.7 Trend of profits with a 4% risk after 480 trades.FIGURE 7.8 Trend of the drawdowns with a 4% risk.FIGURE 7.9 Summary of the data on drawdown distribution with a 4% risk.FIGURE 7.10 Expected returns after the first 160 trades (after about 1 year)...FIGURE 7.11 Expected drawdowns after the first year with a 4% risk.FIGURE 7.12 Expected returns after 2 years of using the strategy with a 4% r...FIGURE 7.13 Expected drawdown values after 2 years of using the strategy wit...FIGURE 7.14 Trend of profits and drawdowns during the first year.FIGURE 7.15 Trend of the equity and drawdowns after the second year of actua...FIGURE 7.16 Final equity and drawdowns after three years of real trading.

8 Chapter 8FIGURE 8.1 Crude Oil strategy performance report.FIGURE 8.2 Crude Oil equity line.FIGURE 8.3 Annual result for Crude OilFIGURE 8.4 Gold future strategy performance report.FIGURE 8.5 Gold equity line.FIGURE 8.6 Annual result for Gold.FIGURE 8.7 Soybean strategy performance report.FIGURE 8.8 Soybean equity line.FIGURE 8.9 Annual result for Soybean.FIGURE 8.10 Portfolio of systems without money management.FIGURE 8.11 Equity line of the portfolio of systems without money management...FIGURE 8.12 Annual trend of the portfolio of systems without money managemen...FIGURE 8.13 Performance report for the system with Crude Oil and a percent fFIGURE 8.14 Performance report for the system with Crude Oil using the fixed...FIGURE 8.15 Performance Report for the system with Crude Oil and a percent v...FIGURE 8.16 Performance report for the system with Gold futures and a percen...FIGURE 8.17 Performance report for the system with Gold futures using the fi...FIGURE 8.18 Performance report for the system with Gold futures and a percen...FIGURE 8.19 Performance report for the system with Soybean futures and a per...FIGURE 8.20 Performance report for the system with Soybean futures using the...FIGURE 8.21 Performance report for the system with Soybean futures and a per...FIGURE 8.22 Performance report of the portfolio with a percent f of 2%.FIGURE 8.23 Equity line of the portfolio with a percent f of 2%.FIGURE 8.24 Annual performance of the portfolio with a percent f of 2%.FIGURE 8.25 Performance report of the portfolio using the fixed ratio method...FIGURE 8.26 Equity line of the portfolio using the fixed ratio method with a...FIGURE 8.27 Annual performance of the portfolio using the fixed ratio method...FIGURE 8.28 Performance report of the portfolio with a percent volatility of...FIGURE 8.29 Equity line of the portfolio with a percent volatility of 2%.FIGURE 8.30 Annual performance of the portfolio with a percent volatility of...FIGURE 8.31 Performance report of the portfolio with a percent volatility of...FIGURE 8.32 Equity line of the portfolio with a percent volatility of 1.55%....FIGURE 8.33 Annual performance of the portfolio with a percent volatility of...

9 Chapter 9FIGURE 9.1 Entry at lowest low of the previous three days and take‐profit ex...FIGURE 9.2 Performance report starting with 10,000 USD always investing all ...FIGURE 9.3 Equity line starting with 10,000 USD always investing all the cap...FIGURE 9.4 Annual profits starting with 10,000 USD always investing all the ...FIGURE 9.5 Performance report with a 1% risk per trade (exposure 50% of avai...FIGURE 9.6 Performance report with a 3% risk per trade (exposure 150% of ava...FIGURE 9.7 Equity line with a 3% risk per trade (exposure 150% of available ...FIGURE 9.8 Annual profits with a 3% risk per trade (exposure 150% of availab...FIGURE 9.9 Performance report with a percent volatility of 4%.FIGURE 9.10 Equity line with a percent volatility of 4%.FIGURE 9.11 Annual profits with a percent volatility of 4%.

10 Chapter 10FIGURE 10.1 Performance report always allocating 10% of the total equity per...FIGURE 10.2 Equity line always allocating 10% of the total equity per positi...FIGURE 10.3 Distribution of profits between the stocks, always allocating 10...FIGURE 10.4 Annual distribution of profits, always allocating 10% of the tot...FIGURE 10.5 Performance report with a percent volatility model of 0.3%.FIGURE 10.6 Equity line with a percent volatility model of 0.3%.FIGURE 10.7 Distribution of profits between the stocks with a percent volati...FIGURE 10.8 Annual distribution of profits with a percent volatility model o...FIGURE 10.9 Performance report with ADX filter and 10% exposure per position...FIGURE 10.10 Equity line with ADX filter and 10% exposure per position.FIGURE 10.11 Distribution of profits between the stocks with ADX filter and ...FIGURE 10.12 Annual distribution of profits with ADX filter and 10% exposure...FIGURE 10.13 Performance report with ADX filter and 0.3% percent volatility....FIGURE 10.14 Equity line with ADX filter and 0.3% percent volatility.FIGURE 10.15 Distribution of profits between the stocks with ADX filter and ...FIGURE 10.16 Annual distribution of profits with ADX filter and 0.3% percent...

11 Chapter 11FIGURE 11.1 An example of a discretionary trade with Mediaset stock.FIGURE 11.2 Moving the stop of the position to 9.11 after the high of 9.47....FIGURE 11.3 An example of a discretionary trade with DAX futures.FIGURE 11.4 A broken relative high makes us raise the exit point to the inte...FIGURE 11.5 Another breakout of the relative high with the exit point raised...FIGURE 11.6 Raising the exit level again.FIGURE 11.7 The new exit level is broken immediately.FIGURE 11.8 Hypothesis of a 5,169 stop‐loss.FIGURE 11.9 Moving the entry level to reduce the risk to €2,000, equal to 2%...FIGURE 11.10 ATR of 53.60 the day before entry.

12 Appendix IFIGURE AI.1 Initial strategy EasyLanguage code.FIGURE AI.2 Net profit trend as MyPerc (which is multiplied by yesterday's r...FIGURE AI.3 Profit trend on the basis of the chosen trading time windows.FIGURE AI.4 New EasyLanguage code excluding some days of the weekFIGURE AI.5 Excluding Friday from long trades and Wednesday from short trade...FIGURE AI.6 Trend in profits as the stop‐loss changes.FIGURE AI.7 Performance report of the strategy developed.FIGURE AI.8 Equity line of the strategy developed.FIGURE AI.9 New EasyLanguage code with the instructions for calculating the ...FIGURE AI.10 Results with percent f equal to 2%.FIGURE AI.11 Equity line with percent f equal to 2%.FIGURE AI.12 Performance report with a 350 euros stop‐loss per contract and ...FIGURE AI.13 Equity line with a 350 euros stop‐loss per contract and a perce...FIGURE AI.14 Performance report with a percent f model set at 5% and a simpl...FIGURE AI.15 Equity line with a percent f model set at 5% and a simple time ...FIGURE AI.16 Performance report with a 350 euros stop‐loss per contract and ...FIGURE AI.17 Equity line with a 350 euros stop‐loss per contract and a perce...

13 Appendix IIFIGURE AII.1 Countertrend strategy code.FIGURE AII.2 Countertrend strategy performance report.FIGURE AII.3 Portfolio equity line of the two systems with a percent f model...FIGURE AII.4 Portfolio of the two systems with a percent f model set at 2.5%...FIGURE AII.5 Result of the portfolio of the two systems with a percent f mod...FIGURE AII.6 Equity line of the portfolio of the two systems with a percent FIGURE AII.7 Results of the portfolio with a 7% ‘daily’ risk.FIGURE AII.8 Equity line of the portfolio with a 7% ‘daily’ risk.FIGURE AII.9 Performance report of the portfolio with a 10% ‘monthly’ risk....FIGURE AII.10 Equity line of the portfolio with a 10% ‘monthly’ risk.FIGURE AII.11 Results of a mixed approach based on types of strategy.FIGURE AII.12 Equity line with a mixed approach.

14 Appendix IIIFIGURE III.1 Numerical results of the application of the same position sizin...

15 Appendix IVFIGURE IV.1 Trading risks.