加载中…实盘日记73——回撤
(2012-04-26 18:05:55)
标签：
外汇财经 |
分类： 用实盘解 |
回撤
……陈宏杰博客
好的交易系统需要兼顾三个测试指标：胜率、盈利额、最大回撤率。胜率是盈利或亏损交易的次数与总交易的次数之比，胜率当然盈利次数越多越好；盈利额考察盈利总额或单次额与亏损总额或单次额的关系，盈利额当然越大越好；最大回撤是一旦达到止损标准，最多一次要损失几何，当然越小越好。但此三类存在矛盾，胜率多了，单次盈利就小，最大回撤就大，比如等价鞅策略；盈利额大，胜率就小，最大回撤就大，比如追势策略；最大回撤小，胜率就小，单次盈利额也会变小，如此操作过于关注了风险，扼杀了利润，最终是无法盈利的。因止损的存在，回撤在交易中是在所难免的，老陈所用的系统初步解决（并非完美解决）了三者的问题，我们的止损设置的比较大，所以我们将精力用于提升胜率和盈利额上面，今年的行情相对小，未触及过止损，暂时没有出现资金回撤。对于一旦达到止损，我们设计了一个补丁，可以分解为：勒锁与解套。先将亏损额锁定，然后解套系统进行拆分，经过一段时间，化解套牢盘，化解时间视涉及金额大小及行情波动幅度而定。陈宏杰博客
举个实例，2008年外汇因美国次贷危机流动性货币被抽离，汇市诸多币种经历罕见的短期大幅下挫，逆势交易系统必然遭遇深套，老陈以补丁系统针对逆势系统测试了一下，效果尚可。该系统尚未完全完成，相信在一个月内可以完成，届时再贴出测试结果。敢勒马走悬崖，能弯弓射明月，舍得头颅做酒杯，坚决饮尽仇敌血。老陈个人喜好，翼王的前两句，真好！后两句，罢了。将前两句用于交易程式，暂时还算可以。
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% | 2012/04/10 | $691,132.55 | 0.10% | 38.23% | |
| 2012/03/13 | $671,526.04 | 0.17% | 34.31% | 2012/04/11 | $693,813.11 | 0.39% | 38.76% | |
| 2012/03/14 | $671,592.43 | 0.01% | 34.32% | 2012/04/12 | $694,014.12 | 0.03% | 38.80% | |
| 2012/03/15 | $671,627.09 | 0.01% | 34.33% | 2012/04/16 | $694,684.39 | 0.10% | 38.94% | |
| 2012/03/16 | $671,764.95 | 0.02% | 34.35% | 2012/04/17 | $696,735.00 | 0.30% | 39.35% | |
| 2012/03/20 | $671,809.01 | 0.01% | 34.36% | 2012/04/18 | $697,008.45 | 0.04% | 39.40% | |
| 2012/03/21 | $671,933.26 | 0.02% | 34.39% | 2012/04/23 | $699,582.28 | 0.37% | 39.92% | |
| 2012/03/22 | $673,073.97 | 0.17% | 34.61% | 2012/04/25 | $717,737.11 | 2.60% | 43.55% | |
| 2012/03/23 | $674,104.92 | 0.15% | 34.82% | 2012/04/26 | $718,204.81 | 0.07% | 43.64% | |
| 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% | |||||
| 2012/04/07 | $690,405.38 | 0.47% | 38.08% | |||||
| 2012/04/09 | $690,425.57 | 0.00% | 38.09% |
|
Open Time |
Type |
Item |
Price |
T / P |
|
Price |
Profit |
|
2012.04.25 09:19 |
buy |
eurusd |
1.32218 |
1.32578 |
2012.04.26 07:35 |
1.32578 |
244.38 |
|
2012.04.25 21:13 |
balance |
|
|
|
|
|
0.54 |
|
2012.04.25 21:13 |
balance |
|
|
|
|
|
-1.08 |
|
2012.04.25 21:13 |
balance |
|
|
|
|
|
-4.50 |
|
2012.04.25 21:13 |
balance |
|
|
|
|
|
-18.00 |
|
|
|
|
|
|
|
|
47 853.88 |
|
|
|
|
|
|
|
Closed P/L: |
47 853.88 |
|
Open Trades: |
|
|
|
|
|
|
|
|
Open Time |
Type |
Item |
Price |
T / P |
|
Price |
Profit |
|
2012.04.23 15:41 |
sell |
eurusd |
1.31360 |
1.31000 |
|
1.32230 |
-592.15 |
|
2012.04.26 07:52 |
buy |
eurusd |
1.32540 |
1.32900 |
|
1.32203 |
-229.42 |
|
2012.04.25 11:26 |
sell |
gbpusd |
1.61109 |
1.61140 |
|
1.61891 |
-591.39 |
|
2012.04.25 15:42 |
sell |
gbpusd |
1.61470 |
1.61140 |
|
1.61891 |
-1 273.54 |
|
|
|
|
|
|
|
|
-2 686.50 |
|
|
|
|
|
|
|
Floating P/L: |
-2 686.50 |
|
Working Orders: |
|
|
|
|
|
|
|
|
Open Time |
Type |
Item |
Price |
T / P |
Market Price |
|
|
|
2012.04.23 15:41 |
sell limit |
eurusd |
1.32860 |
0.00000 |
|
1.32203 |
Sell.2 |
|
2012.04.26 07:52 |
buy limit |
eurusd |
1.31040 |
0.00000 |
|
1.32230 |
Buy.2 |
|
2012.04.25 15:42 |
sell limit |
gbpusd |
1.62670 |
0.00000 |
|
1.61860 |
Sell.3 |
|
|
|
|
|
|
|
|
|
|
Summary: |
|
|
|
|
|
|
|
|
Deposit/Withdrawal: |
670 350.93 |
Credit Facility: |
0.00 |
|
|
||
|
Closed Trade P/L: |
47 853.88 |
Floating P/L: |
-2 686.50 |
Margin: |
3 500.00 |
||
|
Balance: |
718 204.81 |
Equity: |
715 518.31 |
Free Margin: |
712 018.31 |
||
链接
前四十篇
实盘日记第一篇 《实盘日记⑴——刺猬》
实盘月报二月篇 《实盘日记23——月报》
实盘月报三月篇 《实盘日记45——月报》
实盘月报四月篇 《实盘日记63——月报》
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