A few years ago, I saw a story about a couple of shareholders who are dead to each other, they invested in stocks for years, old Zhang likes to do more, old Li likes to do less, the two people's opinions are always at odds, there are three hundred indices of futures after old Zhang does more every day, and old Li does less every day, until now both of them think they are right, because they both think they are making money, what do you think? In order to verify this phenomenon, I wrote a programmed trading code to test the futures of the Shenzhen 300 stock index, which requires deduction of the processing fee, and the entry price is the opening price of the next bar, the entry conditions are as follows:
The death toll: The price of the open trade will go into a handful of orders, stop loss 30 points, if the trade does not trigger a stop loss, then every day at 14:45 flatten the original position.
Dead with no head: The price of the open order is 30 points, if the order does not trigger a stop loss, then the original position is flattened every day at 14:45.
Note: Only one transaction per day is done in one direction. From January 1, 2011 to November 20, 2016, the performance report of the Shenzhen 300 index futures, just doing more and just doing nothing is profitable!!!
If you have a million dollars, you can open up the market for almost six years, and if you set up a stop loss, you can go all the way back, this test tells us a lesson: stop loss execution is an important factor in the survival of the futures market.
If we look more closely at the curve between dead heads and empty heads, we can see another interesting phenomenon: If the two people get along but still stick to their opinions, how will they behave? They decided to partner, but did not give up their opinion, so when opening the deal, the old man did more, the old man did less, because of the partnership, the old man sold a single order privately to the old man, saving the cost of two side transactions, the future trader did not have to earn! It is obvious that if the market goes up more than the stop loss of the empty order, Li will buy a single stop loss, if the market goes down more than the stop loss of the empty order, Li will sell a single stop loss, and finally close the position of the day. What is the benefit after the partnership?
This article mainly discusses synthesis and decomposition restructuring strategies. In the meantime, I would like to reiterate my previously mentioned operating model: At the time of the opening, the old man did more, the old man did less, because the partner sold a lot of orders to the old man... how to operate next? It is obvious that if the market goes more, more than the stop of the empty order, the old man will buy a lot of stops, if the market goes empty, more than the stop of the order, the old man will sell a lot of stops, and finally the stock will flatten the position of the day. Combine the two strategies and calculate the test results together as follows: Only do more: net profit 89190 yen maximum withdrawal 529454 yen profit factor 1.02 Only empty: net profit 715456 yen maximum withdrawal 408887 yen profit factor 1.14 Partners do: net profit 890448 yen maximum withdrawal 197660. profit factor 1.28 From this comparison, it can be seen that the combined effect of the two is far greater than the individual circumstances of each of the policies, the total profit is greater than the sum of the two, the maximum drawback is much lower than either of the two, and the profit factor is greater than the maximum value of both. Do you have any doubts? But it is true! We can see that the performance is not ideal from doing more or nothing alone, but it is great if the two are combined! In fact, as long as we change the way we look at it, we can make a difference.This combined strategy is actually a typical intraday breakout strategy, i.e. after the opening of the day, the position breaks the opening price plus thirty pips and opens more positions, and keeps the stop loss of thirty points; after the opening of the day, the position breaks the opening price minus thirty pips and opens the position empty, and keeps the stop loss of thirty points, and finally flat before closing.So, when we develop strategies, we need to look at the problem from multiple perspectives, and sometimes the strategies developed are the same logically, just different in their expression or operation. There is no need to spend the same amount of time developing homogenous strategies.
Translated from the German