加载中…实盘日记61——西格玛
(2012-04-04 19:37:28)
标签：
外汇财经 |
分类： 用实盘解 |
西格玛
……陈宏杰博客
当年看《大时代》，老陈居然以为编剧深通投机之道，希望从字里行间窥出些门道。当然没能如愿，但电视剧还是蛮精彩的，秋官演的丁蟹也得了个神准的乌鸦嘴。杜琪峰去岁有一部《夺命金》，也是刘青云，演的也是投机客，甚至刘胖子眨眼皱眉都有几份与秋官神似。老陈本以为自己是风险厌恶派，不曾想还是非常期待投机制胜的结局。也许这些影视作品之所以吸引国人，正是迎合了我们深入骨髓的投机因子。陈宏杰博客
投机世界中趋势追随一脉，自李伏魔以降，大有一统江湖之势，但丹尼斯以降却日渐式微。原因多样，使用者众多可能是最主要因素，可见任何方法论，适用范围皆非无限，在限定性彰彰明甚时，创新是唯一可以继续攫取超额利润的源头。守得住寂寞，方能长久，似乎情感亦复如是。当爱人远离，而情仍在，考验的就是情感系统的坚韧。操作系统的坚韧，不必以时间为唯一维度来衡量，设计一个无关变量与参数的系统自然是最好，但这与我们的期望不符，有效的系统总是需要一些特定条件才能发挥出优势，对变量与参数进行海量测试是必要的。最佳选择是平均回报减去一个回报标准差。一个标准差涵盖68%的数据，也就是说，系统将提供84%的可能来取得大于等于最佳选择的机会。两个标准差，即代表98%的可能；三个即是99.5%的可能，知道杰克·韦尔奇为什么那么迷六西格玛了吧。陈宏杰博客
对冲账户现持仓3个品种36张多单8张限定，浮动损益-2435.15元。单子太长，超出BLOG字数限制，屡发不成功，贴图又麻烦，剪短了贴出明细。账户经过一次结算，结算前数据见《实盘日记45——月报》。
| 初值 | $500,000.00 | |||||||
| 时间 | 终值 | 环比 | 总损益 | 时间 | 终值 | 环比 | 总损益 | |
| 2011/12/09 | $500,000.00 | |||||||
| 2012/01/09 | $534,078.11 | 6.82% | 6.82% | 2012/02/09 | $594,834.48 | 0.31% | 18.97% | |
| 2012/01/13 | $567,456.78 | 6.25% | 13.49% | 2012/02/10 | $595,200.12 | 0.06% | 19.04% | |
| 2012/01/14 | $569,887.18 | 0.43% | 13.98% | 2012/02/13 | $595,680.96 | 0.08% | 19.14% | |
| 2012/01/16 | $569,915.62 | 0.00% | 13.98% | 2012/02/14 | $602,347.20 | 1.12% | 20.47% | |
| 2012/01/17 | $569,963.76 | 0.01% | 13.99% | 2012/02/15 | $603,495.48 | 0.19% | 20.70% | |
| 2012/01/18 | $570,195.56 | 0.04% | 14.04% | 2012/02/16 | $603,797.88 | 0.05% | 20.76% | |
| 2012/01/19 | $570,910.56 | 0.13% | 14.18% | 2012/02/17 | $604,273.24 | 0.08% | 20.85% | |
| 2012/01/20 | $572,462.31 | 0.27% | 14.49% | 2012/02/18 | $611,148.23 | 1.14% | 22.23% | |
| 2012/01/21 | $575,101.00 | 0.46% | 15.02% | 2012/02/20 | $611,278.46 | 0.02% | 22.26% | |
| 2012/01/23 | $575,214.13 | 0.02% | 15.04% | 2012/02/21 | $611,665.93 | 0.06% | 22.33% | |
| 2012/01/24 | $577,350.87 | 0.37% | 15.47% | 2012/02/22 | $611,709.13 | 0.01% | 22.34% | |
| 2012/01/25 | $577,808.39 | 0.08% | 15.56% | 2012/02/23 | $635,685.13 | 3.92% | 27.14% | |
| 2012/01/27 | $584,651.54 | 1.18% | 16.93% | 2012/02/24 | $635,858.40 | 0.03% | 27.17% | |
| 2012/01/28 | $585,197.78 | 0.09% | 17.04% | 2012/02/27 | $659,790.20 | 3.76% | 31.96% | |
| 2012/01/30 | $586,052.78 | 0.15% | 17.21% | 2012/02/28 | $659,833.40 | 0.01% | 31.97% | |
| 2012/01/31 | $586,248.68 | 0.03% | 17.25% | 2012/02/29 | $660,481.40 | 0.10% | 32.10% | |
| 2012/02/01 | $586,921.75 | 0.11% | 17.38% | 2012/03/01 | $663,717.24 | 0.49% | 32.74% | |
| 2012/02/02 | $590,297.15 | 0.58% | 18.06% | 2012/03/02 | $664,235.64 | 0.08% | 32.85% | |
| 2012/02/03 | $590,997.98 | 0.12% | 18.20% | 2012/03/05 | $667,006.35 | 0.42% | 33.40% | |
| 2012/02/04 | $591,848.33 | 0.14% | 18.37% | 2012/03/06 | $667,177.82 | 0.03% | 33.44% | |
| 2012/02/06 | $591,982.60 | 0.02% | 18.40% | 2012/03/07 | $670,004.86 | 0.42% | 34.00% | |
| 2012/02/07 | $592,634.84 | 0.11% | 18.53% | 2012/03/08 | $670,134.46 | 0.02% | 34.03% | |
| 2012/02/08 | $593,025.00 | 0.07% | 18.61% | 2012/03/09 | $670,350.93 | 0.03% | 34.07% | |
| 时间 | 终值 | 环比 | 总损益 | 时间 | 终值 | 环比 | 总损益 | |
| 2012/03/12 | $670,369.20 | 0.00% | 34.07% | |||||
| 2012/03/13 | $671,526.04 | 0.17% | 34.31% | |||||
| 2012/03/14 | $671,592.43 | 0.01% | 34.32% | |||||
| 2012/03/15 | $671,627.09 | 0.01% | 34.33% | |||||
| 2012/03/16 | $671,764.95 | 0.02% | 34.35% | |||||
| 2012/03/20 | $671,809.01 | 0.01% | 34.36% | |||||
| 2012/03/21 | $671,933.26 | 0.02% | 34.39% | |||||
| 2012/03/22 | $673,073.97 | 0.17% | 34.61% | |||||
| 2012/03/23 | $674,104.92 | 0.15% | 34.82% | |||||
| 2012/03/26 | $674,563.95 | 0.07% | 34.91% | |||||
| 2012/03/28 | $675,269.40 | 0.10% | 35.05% | |||||
| 2012/03/29 | $675,963.96 | 0.10% | 35.19% | |||||
| 2012/03/30 | $679,369.53 | 0.50% | 35.87% | |||||
| 2012/04/02 | $681,104.00 | 0.26% | 36.22% | |||||
| 2012/04/04 | $687,197.20 | 0.89% | 37.44% |
|
Ticket |
Open Time |
Type |
Item |
Price |
T / P |
|
Price |
Profit |
|
1918873 |
2012.03.30 15:06 |
sell |
gbpusd |
1.59872 |
1.59922 |
2012.04.03 11:30 |
1.59922 |
-2.50 |
|
1918874 |
2012.03.30 20:40 |
sell |
gbpusd |
1.60072 |
1.59922 |
2012.04.03 11:30 |
1.59922 |
7.50 |
|
1919146 |
2012.03.30 15:13 |
buy |
usdjpy |
82.412 |
0.000 |
2012.04.03 22:23 |
82.813 |
3 044.22 |
|
1934241 |
2012.04.02 06:37 |
sell |
gbpusd |
1.60272 |
1.59922 |
2012.04.03 11:30 |
1.59922 |
35.02 |
|
1964730 |
2012.04.02 08:28 |
sell |
gbpusd |
1.60472 |
1.59922 |
2012.04.03 11:30 |
1.59922 |
55.03 |
|
1964962 |
2012.04.02 08:38 |
sell |
gbpusd |
1.60573 |
1.59993 |
2012.04.02 13:01 |
1.59993 |
232.01 |
|
1973197 |
2012.04.02 08:56 |
buy |
usdjpy |
82.788 |
0.000 |
2012.04.03 22:23 |
82.815 |
102.49 |
|
1986430 |
2012.04.02 13:10 |
buy |
eurusd |
1.32848 |
1.33248 |
2012.04.02 15:54 |
1.33248 |
39.94 |
|
2017244 |
2012.04.03 01:00 |
sell |
eurusd |
1.33468 |
1.33068 |
2012.04.03 11:51 |
1.33068 |
40.02 |
|
2040110 |
2012.04.03 12:44 |
sell |
eurusd |
1.33193 |
1.32993 |
2012.04.03 18:04 |
1.32993 |
20.07 |
|
2040116 |
2012.04.03 14:45 |
sell |
eurusd |
1.33393 |
1.32993 |
2012.04.03 18:04 |
1.32993 |
40.15 |
|
2135007 |
2012.04.04 11:09 |
buy |
usdcad |
0.99552 |
0.00000 |
2012.04.04 11:20 |
0.99584 |
202.50 |
|
|
|
|
|
|
|
|
|
16 847.20 |
|
|
|
|
|
|
|
Closed P/L: |
16 847.20 |
|
|
Working Orders: |
|
|
|
|
|
|
|
|
|
Ticket |
Open Time |
Type |
Item |
Price |
T / P |
Market Price |
|
|
|
2064779 |
2012.04.03 14:45 |
sell limit |
eurusd |
1.33593 |
0.00000 |
|
1.31497 |
Sell.3 |
|
1971182 |
2012.04.02 08:28 |
sell limit |
gbpusd |
1.60716 |
0.00000 |
|
1.58710 |
Sell.10 |
|
1972231 |
2012.04.02 08:42 |
sell limit |
gbpusd |
1.60814 |
0.00000 |
|
1.58710 |
Sell.7 |
|
2116530 |
2012.04.04 01:44 |
buy limit |
gbpusd |
1.58566 |
0.00000 |
|
1.58739 |
Buy.7 |
|
2127363 |
2012.04.04 08:04 |
buy limit |
gbpusd |
1.58516 |
0.00000 |
|
1.58739 |
Buy.9 |
|
2133106 |
2012.04.04 09:44 |
buy limit |
gbpusd |
1.58478 |
0.00000 |
|
1.58739 |
Buy.8 |
|
2133109 |
2012.04.04 09:44 |
buy limit |
gbpusd |
1.58473 |
0.00000 |
|
1.58739 |
Buy.8 |
|
2135519 |
2012.04.04 11:18 |
buy limit |
eurusd |
1.31267 |
0.00000 |
|
1.31525 |
Buy.8 |
|
|
|
|
|
|
|
|
|
|
|
Summary: |
|
|
|
|
|
|
|
|
|
Deposit/Withdrawal: |
670 350.93 |
Credit Facility: |
0.00 |
|
|
|
||
|
Closed Trade P/L: |
16 847.20 |
Floating P/L: |
-2 435.15 |
Margin: |
8 640.00 |
|||
|
Balance: |
687 197.20 |
Equity: |
684 762.05 |
Free Margin: |
676 122.05 |
|||
链接
前四十篇
实盘日记第一篇 《实盘日记⑴——刺猬》
实盘日记二月篇 《实盘日记23——月报》
实盘日记三月篇 《实盘日记45——月报》
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