炒股赚钱不能靠统计偏差

haoqi001

21 (2008 film) - Wikipedia, the free encyclopedia
Nick Rogers of The Enterprise wrote "The real-life students mostly were Asian-Americans, but 21 whitewashes its cast and disappointingly lumps its only ...
en.wikipedia.org/wiki/21_(2008_film) - Cached - Similar -

bobcat

12# seabiscuit
“有很多统计方法，都假设资本无限， 就是短期多大的loss 都能承受，永远都不会被wipe out。这个假设对于散户来讲， 是不可能成立的。如果加上风险防范的strageties ,那么你的盈利期望值算起来会复杂好多，由正变负的可能性都有。 ”
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正是如此，这样的方法，不论是机构还是散户，都要像避免鼠疫一样避免。其中最典型的就是输了就加注，
或称为均损。在博弈论中，称之为 martingale。均损可增加胜率，但同时大大增加了赔光的概率。初学
者往往想不清这一点。此外如果资本无限，无论赚多少，回报率也是0。但狡猾的资金管理者可以依此
设一骗局，做法如下：

  将全部资金压在 SP500 上。然如用一点点马金赌一个危险的投资，赢了一年内就收手，宣称
微微击败的指数。输了就加码。因起始点很低，所以赚钱的概率很大，往往可以多年连续超越指数。
以此迷惑投资者，赚取管理费。但最终总要大亏的，但亏的是客户的钱。监管机构对这类骗局很难
查处。

xiaobailong

20# haoqi001



哈哈，原来我说的就是这个电影啊。我还以为是真实的故事呢。。。汗。

xiaobailong

20# haoqi001



哈哈，原来我说的就是这个电影啊。我还以为是真实的故事呢。。。汗。
xiaobailong 发表于 2009-7-19 14:20

确实是根据真实故事改编的哈。我不用汗了。呵呵。
The film is inspired by the true story of the MIT Blackjack Team as told in Bringing Down the House, the best-selling book by Ben Mezrich.

xiaobailong

22# bobcat

想起我刚开始做投资的时候，就是买基金，只懂得看看这个基金的年收益率，看上去不错就投了。根本没想过这个基金的经营策略是不是有问题。

话又说回来，等我会看这些的时候，早就不买基金了。

xiaobailong

bobcat 推荐的这本书 The New Market Wizard, 很好啊，赞一个。

节选一段：

The experience of going through extensive losing periods and having the faith to stick with the system because I knew that I had the edge was something that helped me a great deal when I went into the pit. Also, the risk control experience was very beneficial. In blackjack, even if you have the edge, there are going to be periods of significant losses. When that happens, you have to cut back your bet size in order to avoid the possibility of ruin. If you lose half your stake, you have to cut your bet size in half. That is a difficult thing to do when you are down significantly, but it is essential to surviving.

xiaobailong

还说到卖put和call， 曾经赚了很久，但是只两笔亏本交易，就让他失去了自己的一半财产：

In 1981, I had financed a trader on the American Stock Exchange who sold out-of-the-money options in a takeover situation. I lost about one-third of my capital in that one trade. Emotionally I handled it very well. Unfortunately, about a week later, I had another large loss in a short out-of-the-money call position in Kennecott. Ironically, even though my position was relatively small, the overnight move was so enormous that the loss was substantial. After these two takeovers, I had lost about half my money.

那个时候，他已经有了四年半的交易经验了。

逍遥山人

还说到卖put和call， 曾经赚了很久，但是只两笔亏本交易，就让他失去了自己的一半财产：

In 1981, I had financed a trader on the American Stock Exchange who sold out-of-the-money options in a takeover si ...
xiaobailong 发表于 2009-7-19 15:08

才失去一半，已经不错了，有的人一单就让他破产了。

xiaobailong

才失去一半，已经不错了，有的人一单就让他破产了。
逍遥山人 发表于 2009-7-19 15:39

是啊，所以他说自己”幸运“。

bobcat

27# xiaobailong

Wizards 书共有三本： Market Wizards， The New Market Wizards， Stock Market Wizards。
基本是炒家必读的。炒股、炒商品、炒汇都是竞局。要想胜出，先要了解竞争对手的能力，看看一流炒家是谁。书中介绍的正是美国的一流炒家。
不过这些人是不肯透露他们的方法的。

wox

Short put depends on how much premiums you get.
Same game!

bobcat

27# xiaobailong
“还说到卖put和call， 曾经赚了很久，但是只两笔亏本交易，就让他失去了自己的一半财产：

In 1981, I had financed a trader on the American Stock Exchange who sold out-of-the-money options in a takeover situation. I lost about one-third of my capital in that one trade. Emotionally I handled it very well. Unfortunately, about a week later, I had another large loss in a short out-of-the-money call position in Kennecott. Ironically, even though my position was relatively small, the overnight move was so enormous that the loss was substantial. After these two takeovers, I had lost about half my money.

那个时候，他已经有了四年半的交易经验了。”

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现在的高频率系统对安全的要求高得多，考虑也周到得 多。时空分散得多，好的系统决不能亏那么多。
Hull 当时可能没有注意到分散的重要性。

逍遥山人

32# bobcat


再好的系统也都是人在操作，再好的系统也都有破绽。当年long term capital的系统几乎被人认为是一部完美的印钞机，结果俄罗斯债券那一单就让它完蛋。

bobcat

33# 逍遥山人

LTCM 有本质上的缺陷，事先就有人知道。其实他们的错误很简单，是属于基本假设上的错误，不是操作的错误。当时有很多骗人的宣传，
早就没人相信了。靠欺骗可获得诺贝尔奖，但不可能在市场交易中获利。我有时间会谈一些他们失败的原因。

逍遥山人

好啊，洗耳恭听。