加载中…实盘日记23——月报
(2012-02-09 18:58:08) | 分类： 用实盘解 |
月度简报
……陈宏杰博客
这是程式化对冲交易的第二个月，在过去两个月中，本账户录得了19%收益，即月收益9.5%。这个收益不能代表收益均值，按照测试通常情况下，月度收益均值大约在4%～12%之间，均值幅度宽泛是源于各数量级账户不同的系数和保证金蓄水量有异而造成。对于50万左右账户，一个单边200～300个基点的波动是比较合适的最大利差空间，正好我们在开仓后遇到了两次，最近一次发生在1月13日。那天老陈正有饭局，可能仓位较重，心神未定，电脑也坐享一席，觥筹交错间，忽有神助，账户就多了些许利润。当然还有一些非通常情况——黑天鹅是必然存在的——当单边起落（期间无任何回撤）大于700个基点，将触发补丁程式，我们很有可能会录得亏损，那样我们可能出现单笔4～8%（甚至以上）亏损，这代表我们有可能损失一个至三个月的利润。我们将最恶劣情况详细表述如上，对于风险提示我们一直放在最重要位置，就如我们对市场的敬畏，我们希望合伙人对此也有相当理解，好运不可能永远伴随我们，对于风险当留有足够空间。我们对常态交易的要求是稳定，在稳定基础上略有盈亏，当然最佳效果是盈利，这样更有利于抵消成本；对非常态交易的要求是盈利，且是大幅盈利，这是我们利润的源泉，准备好方舟最希望暴风雨来临；对于极端交易（即黑天鹅）的要求是活命，将亏损压缩在可控范围，这样只要我们的盈利远远超越亏损，最终胜利的还是我们（我们风格已经鲜明写在下面的资金走势图上了）。LTCM挫折对我们有非常巨大触动，对于等价鞅我们敬而远之。陈宏杰博客
我们欣慰得是外汇交易充足的流动性，使得交易非常顺畅，且在可预见的将来也不会因为我们管理资金的极速增加而产生不利于巨额交易的情况。对于股票，老陈的门槛可能比之过去有一定变化。我们找到了外汇这个稳定的利润源（且如同价值投资之于股票，程式交易的维护时间与消耗精力也不多），于是股票对我们的吸引力大为折让，机会成本过高的缘故吧，我们对股票的要求变得更为苛刻，就如今的市况我们暂时不介入。对于收益，测算外汇交易年度收益最大为527%，最低位12%，我们不知道测试年份是否已经完全涵盖了未来最恶劣情况，所以各位不必太过关注这些数据，真正需要关注的是今后实战表现。很高兴与你们一起度过一个不错的小收获期，谢谢。陈宏杰博客
现持仓4张空单、1张多单、3张限定单。浮动损益-141.12元
|
初值 |
$500,000.00 | ||
|
时间 |
|
环比损益 |
总损益 |
| 2011/12/09 | $500,000.00 | ||
| 2012/01/09 | $534,078.11 | 6.82% | 6.82% |
| 2012/01/13 | $567,456.78 | 6.25% | 13.49% |
| 2012/01/14 | $569,887.18 | 0.43% | 13.98% |
| 2012/01/16 | $569,915.62 | 0.00% | 13.98% |
| 2012/01/17 | $569,963.76 | 0.01% | 13.99% |
| 2012/01/18 | $570,195.56 | 0.04% | 14.04% |
| 2012/01/19 | $570,910.56 | 0.13% | 14.18% |
| 2012/01/20 | $572,462.31 | 0.27% | 14.49% |
| 2012/01/21 | $575,101.00 | 0.46% | 15.02% |
| 2012/01/23 | $575,214.13 | 0.02% | 15.04% |
| 2012/01/24 | $577,350.87 | 0.37% | 15.47% |
| 2012/01/25 | $577,808.39 | 0.08% | 15.56% |
| 2012/01/27 | $584,651.54 | 1.18% | 16.93% |
| 2012/01/28 | $585,197.78 | 0.09% | 17.04% |
| 2012/01/30 | $586,052.78 | 0.15% | 17.21% |
| 2012/01/31 | $586,248.68 | 0.03% | 17.25% |
| 2012/02/01 | $586,921.75 | 0.11% | 17.38% |
| 2012/02/02 | $590,297.15 | 0.58% | 18.06% |
| 2012/02/03 | $590,997.98 | 0.12% | 18.20% |
| 2012/02/04 | $591,848.33 | 0.14% | 18.37% |
| 2012/02/06 | $591,982.60 | 0.02% | 18.40% |
| 2012/02/07 | $592,634.84 | 0.11% | 18.53% |
| 2012/02/08 | $593,025.00 | 0.07% | 18.61% |
| 2012/02/09 | $594,834.48 | 0.31% | 18.97% |
|
Ticket |
Open Time |
Type |
Price |
T / P |
|
Price |
Swap |
Profit |
|
65756221 |
2012.02.07 14:23 |
sell |
1.58361 |
1.58771 |
2012.02.08 10:59 |
1.58771 |
0.00 |
-107.60 |
|
65777275 |
2012.02.07 15:59 |
sell |
1.58671 |
1.58771 |
2012.02.08 10:59 |
1.58771 |
0.00 |
-158.00 |
|
65786931 |
2012.02.07 15:59 |
buy |
1.58732 |
1.59092 |
2012.02.08 06:04 |
1.59092 |
0.00 |
3.20 |
|
65777286 |
2012.02.07 15:59 |
sell |
1.58721 |
1.58771 |
2012.02.08 10:59 |
1.58771 |
0.00 |
-4.00 |
|
65786949 |
2012.02.08 05:59 |
sell |
1.59081 |
1.58771 |
2012.02.08 10:59 |
1.58771 |
0.00 |
1 044.40 |
|
65802036 |
2012.02.08 06:04 |
buy |
1.59130 |
1.58560 |
2012.02.09 09:33 |
1.58560 |
0.00 |
-18.40 |
|
65802037 |
2012.02.08 10:57 |
buy |
1.58820 |
1.58560 |
2012.02.09 09:33 |
1.58560 |
0.00 |
-143.60 |
|
65837918 |
2012.02.08 15:23 |
buy |
1.58510 |
1.58560 |
2012.02.09 09:33 |
1.58560 |
0.00 |
14.00 |
|
65862475 |
2012.02.08 15:28 |
sell |
1.58361 |
1.58051 |
2012.02.08 15:56 |
1.58051 |
0.00 |
11.60 |
|
65862099 |
2012.02.08 15:34 |
buy |
1.58200 |
1.58560 |
2012.02.09 09:33 |
1.58560 |
0.00 |
1 266.40 |
|
|
|
|
|
|
|
|
-172.12 |
95 006.60 |
|
|
|
|
|
|
|
|
Closed P/L: |
94 834.48 |
|
Open Trades: |
|
|
|
|
|
|
|
|
|
Ticket |
Open Time |
Type |
Price |
T / P |
|
Price |
Swap |
Profit |
|
65864205 |
2012.02.08 15:56 |
sell |
1.58028 |
1.58028 |
|
1.58399 |
0.00 |
-14.52 |
|
65864206 |
2012.02.08 15:56 |
sell |
1.58028 |
1.58078 |
|
1.58399 |
0.00 |
-74.52 |
|
65864207 |
2012.02.09 06:02 |
sell |
1.58338 |
1.58028 |
|
1.58399 |
0.00 |
-1.96 |
|
65864208 |
2012.02.09 06:03 |
sell |
1.58388 |
1.58078 |
|
1.58399 |
0.00 |
-13.96 |
|
65887497 |
2012.02.09 09:33 |
buy |
1.58592 |
1.58902 |
|
1.58374 |
0.00 |
-36.16 |
|
|
|
|
|
|
|
|
0.00 |
-141.12 |
|
|
|
|
|
|
|
|
Floating P/L: |
-141.12 |
|
Working Orders: |
|
|
|
|
|
|
|
|
|
Ticket |
Open Time |
Type |
Price |
T / P |
|
Market Price |
|
|
|
65881537 |
2012.02.09 06:03 |
sell limit |
1.58698 |
0.00000 |
|
1.58374 |
|
Sell.5 |
|
65881542 |
2012.02.09 06:03 |
sell limit |
1.58748 |
0.00000 |
|
1.58374 |
|
Sell.5 |
|
65887498 |
2012.02.09 09:33 |
buy limit |
1.58232 |
0.00000 |
|
1.58399 |
|
Buy.2 |
|
|
|
|
|
|
|
|
|
|
|
Summary: |
|
|
|
|
|
|
|
|
|
Deposit/Withdrawal: |
500 000.00 |
Credit Facility: |
0.00 |
|
|
|
||
|
Closed Trade P/L: |
94 834.48 |
Floating P/L: |
-141.12 |
Margin: |
756.00 |
|||
|
Balance: |
594 834.48 |
Equity: |
594 693.36 |
Free Margin: |
593 937.36 |
|||
|
|
|
|
|
|
|
|
|
|
|
Details: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross Profit: |
116 683.46 |
Gross Loss: |
21 848.98 |
Total Net Profit: |
94 834.48 |
|||
|
Profit Factor: |
5.34 |
Expected Payoff: |
249.56 |
|
|
|
||
|
Absolute Drawdown: |
1 380.64 |
Maximal Drawdown: |
3 477.60 (0.61%) |
Relative Drawdown: |
0.61% (3 477.60) |
|||
|
|
|
|
|
|
|
|
|
|
|
Total Trades: |
380.00 |
Short Positions (won %): |
190 (62.63%) |
Long Positions (won %): |
190 (70.53%) |
|||
|
|
|
Profit Trades (% of total): |
253 (66.58%) |
Loss trades (% of total): |
127 (33.42%) |
|||
|
Largest |
|
profit trade: |
29 451.60 |
loss trade: |
-2 511.00 |
|||
|
Average |
|
profit trade: |
461.20 |
loss trade: |
-172.04 |
|||
|
Maximum |
|
consecutive wins ($): |
14 (807.17) |
consecutive losses ($): |
11 (-76.90) |
|||
|
Maximal |
|
consecutive profit (count): |
29 575.60 (5) |
consecutive loss (count): |
-3 477.60 (3) |
|||
|
Average |
|
consecutive wins: |
4.00 |
consecutive losses: |
2.00 |
|||
实盘日记第一篇《实盘日记⑴——刺猬》
实盘日记上一篇《实盘日记22——壹叶》
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