2017年11月26日 星期日

Myths and facts of equity curve trading 淨值曲線交易的神話與真實狀況

  
先講結論,避免有一些人說我在造謠,我的目的是要透過文章佐證並且釐清一些事實

結論:本文作者認為,簡單的使用技術指標來去針對淨值曲線進行交易系統管控是不好也具有反效果的,但是或許有其他的不同方式或是思考點可以達成做這個動作的目標->停止表現差勁的策略避免交易

Most traders have heard the concept of turning a trading strategy on and off — or increasing/decreasing size — when the equity curve rises above or falls below a specified moving average, breaks to a certain new low (or high), or has a specified number of consecutive losing days. The fact is every trader does some sort of equity curve trading, whether they realize it or not. Once a trader makes a decision based on the equity curve, he is in effect equity curve trading.

大部分的交易者經常聽到有關於交易策略的開啟/關閉或者是增加或減少交易部位的一些概念~例如當淨值曲線高於或低於一個特定的移動平均值的時候,淨值曲線創下新高或新低的時候,又或者是採用特定連續虧損天數之類的一些概念來進行控制,事實上,每一位交易者如果都針對淨值曲線的順序來進行決策,他們其實就是在針對淨值曲線進行交易!


One specific and popular method of equity curve trading involves the use of an indicator as an overriding switch. A moving average switch on the equity curve is the most popular method. The premise is to trade only when the equity curve is above its moving average. Of course, proponents of this equity curve trading technique typically show glowing examples that “prove” the usefulness of the technique. But, does it really work? How do you set it up and evaluate it? 

淨值曲線交易的一個做法就是使用指標作為交易策略的開關,移動平均線是一種廣為人知受歡迎的方式,方法是採用當淨值曲線高於移動平均線的時候才進行策略交易,通常使用這些工具的交易者都會舉出證明該方法有效的例子,但是事實上真的有效嗎?又應該如何地去進行設定?

This two-part series will examine the pros and cons of equity curve trading. In this first part, we’ll establish definitions and some baselines for the analysis. In the second installment, we’ll examine equity curve trading for some real-life trading systems.

以下有兩個部份來進行佐證,第一部分是我們會定一一些基本的分析方法,第二部分是我們會觀察在不同狀況下的適用性

Trading the curve交易你的淨值曲線

In its simplest form, equity curve trading is a methodology in which the strategy is turned on and off based on the characteristics of the equity curve. This typically is done by applying an indicator (such as a moving average or a breakout to the equity curve), or by employing a trigger as the switch (for example, the trigger could be turning off the strategy after X days of consecutive losses). 

最簡單的淨值曲線交易就是利用技術指標來針對交易策略進行開啟/關閉(例如移動平均線),或者是其他的觸發機制來控制策略的開啟或是關閉(例如在連續虧損X天之後關閉交易系統)  

An example of equity curve trading is shown in “Above average” (below). In this case, the strategy is turned off when the “always on” equity curve dips below its 25-period moving average. When the “always on” equity is above the moving average curve, the strategy is allowed to take trades. Consequently, trading is allowed for the trades in blue, and trading ceases (that is, the trader is net flat) for the red trades.

我們用一個簡單的移動平均之上的開關來做為釋例,在這裡,開關所使用的是25天期的移動平均線,當正常策略的淨值曲線高於25天期移動平均線,我們就接受交易訊號進行真實交易,如下圖,藍色的部分就表示接受交易訊號,紅色的部分就表示拒絕交易訊號


  
Note that after following the above rules, there is one blue trade taken below the equity curve and one red trade taken above it. This is not an error and actually highlights an important mistake many people make. The blue trade below the moving average is taken because the equity curve does not drop below the moving average line until after the trade is completed. Before that trade (that is, after the previous trade), the equity curve is above the moving average, which indicates that the next trade should be taken. When using an equity curve switch, you need to be careful to make sure that trade decisions are made only with prior knowledge.

在這裡,你必須要注意的是,在遵循上述規則之後,在平均線下方有一筆藍色交易,並在上方也會有一筆紅色交易。 這不是一種錯誤,而是因為實際上因為在交易完成之前,淨值曲線沒有跌破移動平均線,因此藍色交易低於移動平均線。 在交易之前(也就是上次交易之後),淨值曲線高於移動平均線,這表明下一筆交易應該進行。 當使用淨值曲線切換時,您需要小心確保交易決策只能在事先知道的情況下才能夠進行。

“Reaping rewards” (below) shows the net effect of this particular equity curve trading, with a comparison to the original curve. As seen in the chart, in this case the performance improves because of the equity curve technique.

下面的圖展示了使用這種機制的新淨值曲線,我們可以看到採用這種機制之後,新的交易淨值曲線避免了虧損而且創了新高



Of course, using a moving average calculation on an equity curve has all the disadvantages that a traditional moving average has on market price data: It has a built-in lag by definition. Its performance also suffers in whipsaw-type situations, and the moving average can be over-optimized on historical data. Because of this, it may be useful to look at other types of equity curve triggers.

當然,在淨值曲線上使用移動平均法計算,也有傳統移動平均數據在市場價格數據上的缺點:根據定義它一樣會產生滯後的現象。 它的表現也會受到淨值上沖下洗的影響,移動平均值也可能產生過度優化歷史數據的情形。 因此,觀察其他類型的淨值曲線觸發機制可能會有所幫助。

One trigger could be an n-bar breakout. In this application, the system would stop trading when an n-bar low of the equity curve occurred. Trading would cease until the original equity curve turned back above the n-bar low. This indicator, though, also could be over-optimized by varying the value of n until a good “fit” was discovered.

一個觸發器可能是一個n根K線的突破。在這個應用當中,當淨值曲線出現n根K線低點時,系統將停止交易。 交易停止後,直到原始淨值曲線重新回到n根低點之上。 然而,這個指標也可以通過改變n的值來進行最佳化,而達到一個適合的參數值。

Another possible trigger is to turn off the strategy after so many days or trades of consecutive losses. From a psychological point of view, such an approach might have appeal for many traders. It would not work in cases where consecutive losing days tend to be followed by winning days (a reversion-to-the-mean situation), which in fact does occur with many trading systems.

另一個可能的觸發因素是經過多天或連續虧損的交易後,才會關掉這個策略。 從心理學的角度來看,這種做法可能會吸引很多交易者。 在某些案例之下是行不通的,例如你的交易系統在連續失敗之後的日子趨向於產生連續獲利(回歸到平均的情況)。

Equity curve trading can get very complicated, because just about any indicator or trigger could be applied to it. In effect, it becomes its own trading strategy, but instead of buy/sell decisions being made on the instrument price data, the decisions are made on the equity curve.

淨值曲線交易可以變得非常複雜,因為任何指標或觸發器都可以應用於此。 實際上,它變成了新的交易策略,而不是對工具價格數據做出買賣決定,而是針對淨值曲線上作出決策。

When does it work?這個工具何時奏效?

To determine if and when equity curve trading can be useful, it is instructive to look at some different possibilities for the technique’s performance. This is shown in “Scenario comparison” (below).

為了驗證淨值曲線交易是否以及何時可能有用,觀察一些不同的狀況可能性是有幫助的。以下為3種不同情境



For a strategy that goes completely “bad,” with its equity curve nose-diving toward negative territory, the utility of equity curve trading is obvious. This technique can stop you from trading a strategy that is no longer performing at all. This is shown in the top chart. 

對於一個完全“不好”的交易策略來說,淨值曲線往負面的方向下跌,淨值曲線交易的效用是顯而易見的。這種技術可以即時的停止一個不再有效的策略。 上圖中的第一張圖。

For a strategy performing well, most of the time the equity curve will be above its moving average, and therefore you would continue to trade the strategy. This also is desirable. You are trading the strategy because the equity curve technique has confirmed that it is doing well. This is shown in the middle chart.

對於一個表現良好的策略,大多數情況下,淨值曲線將高於移動平均線,因此您將繼續交易該策略。 這也是正常的。 因為您正在交易該策略,而且淨值曲線也證名你應該繼續進行交易。 這顯示在中間的圖表中。

Now consider the case that is between these two extremes. This is depicted in the bottom chart. This strategy has times where it performs very well, times where it doesn’t and times where the equity has many whipsaws. In this case, the benefit of equity curve trading is not apparent. Sure, it stops trading when the drawdown gets severe, but it also misses out on a lot of the recovery.

現在我們來觀察這兩個極端之間的情況。 在底部圖表中,這個策略有時候表現的非常好,有些時候表現不好,有些時候淨值也有很多的上下變動。 在這種情況下,淨值曲線交易的好處並不明顯。 當然,當下跌趨勢嚴重時,它會停止交易,但是也會在很多曲線復甦中就產生失敗的交易,所以你可以看到新的淨值曲線並不理想。

Evaluation & goals 衡量以及目標

The best way to evaluate the equity curve trading concept is not by measuring increased profit, nor by determining the decrease in maximum drawdown. While both are important measurements, they need to be looked at simultaneously for a true evaluation. The best way, then, is to include both metrics by measuring the before and after profit/drawdown ratio.

評估淨值曲線交易概念的最好方法不是衡量增加的利潤,也不是通過確定最大跌幅的減少。 雖然兩者都是重要的衡量標準,但是它們需要同時進行評估。 那麼最好的辦法就是通過衡量報酬/虧損前後的比率來同時進行觀察。

Depending on the historical backtest trading software a trader uses, the equity curve trading switch may or may not be easy to implement. If your trading software cannot perform this analysis, it is relatively easy to create in Excel (just be careful not to peek at the data by using incorrect formulas).

根據交易者使用的歷史回溯交易軟體,淨值曲線交易開關可能不一定容易做到。 如果您的交易軟體無法執行此項分析,則在Excel中達成相對會比較容易(請注意不要使用不正確的公式來查看數據)。

The goals of using an equity curve switch are really two-fold. First, the switch should turn off a poorly behaving system. Second, a properly working switch will stop trading before deep drawdowns are encountered, and will resume trading before too much profit is given away. Those are ambitious goals for a single switch.

使用淨值曲線開關的目標實際上是雙重的。 首先,開關應該關閉一個性能較差的系統。 其次,一個正常工作的機制應該是在策略遇到深度回檔之前停止交易,並在回補過多利潤之前恢復交易。 這些是使用淨值曲線交易的目標。
意即 在虧損的時候減少或停止交易,在獲利的時候正常或增加交易

An equity curve switch can accomplish the first goal fairly easily, especially for a poorly performing system. The table “When to switch” (below) shows that a moving average switch does a good job of turning off the system before the maximum drawdown gets too bad, regardless of length. It is reassuring for a trader to know that a there is a clear signal from the switching method to stop trading.

淨值曲線交易的切換可以很容易地達成第一個目標,特別是對於性能不佳的系統。 可以做到“何時切換”例如,下圖顯示了移動平均線開關在最大回檔變得太糟糕之前就關閉系統很好,無論所使用的週期長度如何。 交易者知道自己的交易方法有一個明確的信號來停止交易是會令人比較放心的。

 
Unfortunately, the second goal—improving the profit/drawdown ratio—is not so easily met. The table below shows, for a sample system, that the equity curve switch doesn’t necessarily increase the net profit, and in fact can make the system worse. The end result all depends on the choice for the moving average length.

不幸的是,第二個目標 - 提高報酬/風險比例 - 並不那麼容易實現。 下表顯示,對於一個樣本系統,淨值曲線交易切換不一定會增加淨利潤,事實上還可能會使系統更糟糕。 最終結果全部取決於移動平均長度的選擇。

Because the moving average length has such an impact, it should be obvious that there are some serious disadvantages with it. Trader A could use a length of 10, Trader B could use a length of 20, and they will have dramatically different results. Of course, that leads many traders to say, “Well, I’ll just optimize it.” But, just like optimizing parameters in a trading system, optimizing the parameter of an equity curve switch is fraught with peril, prone to every type of bias and over-fitting.

因為移動平均線的長度就會有這樣的影響,所以顯然有一些嚴重的缺點。 交易者A可以使用10的長度,交易者B可以使用20的長度,並且它們將具有顯著不同的結果。 當然,這導致很多交易者會說:“好吧,我會優化它”。但是,就像在交易系統中優化參數一樣,優化淨值曲線開關的參數是充滿風險, 誤差以及過度擬合的。

Equity curve switching is a popular technique, but it is unclear as to whether it is really beneficial. For decidedly excellent trading systems, and poor performing systems, the approach can be useful. For trading systems in the middle, which make up the majority, the benefits are not so clear. 

淨值曲線交易切換是一種流行的技術,但是它是否真的有益還不是很明確。 對於絕對優秀的交易系統和表現不佳的系統,這種方法可能會有用。 對於大多數中間的交易系統來說,好處並不明顯。

While some of the focus has been on turning off or turning down a system after a difficult period, there is some anecdotal logic, particularly in the trend following space, that a system should be turned up after a poor period and perhaps turned down or off after extremely strong performance. 

雖然焦點是專注在於把交易系統在遇到艱困的行情時進行關閉,但是也有一些使用在順勢交易系統上的不同邏輯是採用顛倒的作法,也就是當系統在一連串虧損後進行開啟,並且在一連串獲利之後關閉系統!

In the second part of this series, we will examine equity curve trading for some real-life trading systems, and provide some recommendations on how to use the method effectively.

下個部份我們將會展示使用淨值曲線交易在真實的交易系統中的狀況,並且給大家一些使用上的建議
原文出處:http://www.futuresmag.com/2015/03/16/myths-and-facts-equity-curve-trading

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