加载中…实盘日记⑾——鞅
(2012-01-25 21:45:36)
标签：
杂谈 |
分类： 用实盘解 |
鞅
……陈宏杰博客
这个DD不好谈，太宽泛，太学术。普通投资人可以直接联想到的就是LTCM，老陈没有研究过LTCM的模型，不过LTCM清盘后，又开了一个小盘口（相对于LTCM，虽说小，也有数亿美金）。大概是前年吧，又清盘了。看来对于Equivalent
Martingale就算诺奖数学家也不一定搞得清楚，老陈更不必言。有兴趣深究的可以参阅斯坦福商学院Duffie教授的天书《Dynamic
Asset Pricing
Theory》，据说教授本人写此书的目的就是用来羞辱读者的，似乎是Duffie的教学笔记，不过据坊间传说Duffie每写一节只取首句与末尾，中间过程全部改由模型描述，且多有未证完的，读者须有高等数学学养和一定的耐心。赌厅的规矩针对Equivalent
Martingale是很严厉的，一般限制在7次以内，也就是说，对手盘一样非常顾忌这个DD，如此我们大可以依据此特质修订有利于自身的交易模型，通常路径控制比较好弄，重在收官。因涉及模型，不做展开了。陈宏杰博客
现持仓2张空单、2张多单、2张限定单，多单限定价位为1.55361，空单限定价位为1.56131。浮动损益-64.00元。
|
初值 |
$500,000.00 | ||
|
时间 |
终值 |
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% |
| Ticket | Open Time | Type | Price | T / P | Close Time | Price |
Swap |
Profit |
| 65284297 | 2012.01.24 11:40 | sell | 1.55830 | 1.55780 | 2012.01.25 08:44 | 1.55780 |
0.00 |
45.00 |
| 65300850 | 2012.01.24 20:37 | sell | 1.56140 | 1.55780 | 2012.01.25 08:44 | 1.55780 |
0.00 |
202.00 |
| 65351154 | 2012.01.25 08:44 | sell | 1.55730 | 1.55370 | 2012.01.25 09:30 | 1.55370 |
0.00 |
128.00 |
|
-122.55 |
77 930.94 |
|||||||
| Closed P/L: |
77 808.39 |
|||||||
| Open Trades: | ||||||||
| Ticket | Open Time | Type | Price | T / P | Price |
Swap |
Profit |
|
| 65329092 | 2012.01.24 16:22 | buy | 1.56081 | 1.56031 | 1.55720 |
0.00 |
-42.10 |
|
| 65329096 | 2012.01.25 08:44 | buy | 1.55721 | 1.56031 | 1.55720 |
0.00 |
-24.30 |
|
| 65353208 | 2012.01.25 09:30 | sell | 1.55411 | 1.55461 | 1.55750 |
0.00 |
-13.90 |
|
| 65353210 | 2012.01.25 09:48 | sell | 1.55771 | 1.55411 | 1.55750 |
0.00 |
16.30 |
|
|
0.00 |
-64.00 |
|||||||
| Floating P/L: | -64.00 | |||||||
| Working Orders: | ||||||||
| Ticket | Open Time | Type | Price | T / P |
Market Price |
|||
| 65351175 | 2012.01.25 08:44 | buy limit | 1.55361 | 0.00000 | 1.55750 |
Buy.3 |
||
| 65354481 | 2012.01.25 09:48 | sell limit | 1.56131 | 0.00000 | 1.55720 |
Sell.3 |
||
| Summary: | ||||||||
|
Deposit/Withdrawal: |
500 000.00 |
Credit Facility: |
0.00 |
|
|
|
||
|
Closed Trade P/L: |
77 808.39 |
Floating P/L: |
-64.00 |
Margin: |
0.00 |
|||
|
Balance: |
577 808.39 |
Equity: |
577 744.39 |
Free Margin: |
577 744.39 |
|||
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⑽——掷飞镖》
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