先講結(jié)論,避免有一些人說(shuō)我在造謠,我的目的是要透過(guò)文章佐證並且釐清一些事實(shí)

結(jié)論:本文作者認(rèn)為,簡(jiǎn)單的使用技術(shù)指標(biāo)來(lái)去針對(duì)淨(jìng)值曲線進(jìn)行交易系統(tǒng)管控是不好也具有反效果的,但是或許有其他的不同方式或是思考點(diǎn)可以達(dá)成做這個(gè)動(dòng)作的目標(biāo)->停止表現(xiàn)差勁的策略避免交易

Most traders have heard the concept of turning a trading strategy on?and off — or increasing/decreasing size — when the equity curve rises above or falls below a specified moving average, breaks to a certain new low (or high), or has a specified number of consecutive losing days. The fact is every trader does some sort of equity curve trading, whether they realize it or not. Once a trader makes a decision based on the equity curve, he is in effect equity curve trading.

大部分的交易者經(jīng)常聽到有關(guān)於交易策略的開啟/關(guān)閉或者是增加或減少交易部位的一些概念~例如當(dāng)淨(jìng)值曲線高於或低於一個(gè)特定的移動(dòng)平均值的時(shí)候,淨(jìng)值曲線創(chuàng)下新高或新低的時(shí)候,又或者是採(cǎi)用特定連續(xù)虧損天數(shù)之類的一些概念來(lái)進(jìn)行控制,事實(shí)上,每一位交易者如果都針對(duì)淨(jìng)值曲線的順序來(lái)進(jìn)行決策,他們其實(shí)就是在針對(duì)淨(jìng)值曲線進(jìn)行交易!


One specific and popular method of equity curve trading involves the use of an indicator as an overriding switch. A moving average switch on the equity curve is the most popular method. The premise is to trade only when the equity curve is above its moving average. Of course, proponents of this equity curve trading technique typically show glowing examples that “prove” the usefulness of the technique. But, does it really work? How do you set it up and evaluate it??

淨(jìng)值曲線交易的一個(gè)做法就是使用指標(biāo)作為交易策略的開關(guān),移動(dòng)平均線是一種廣為人知受歡迎的方式,方法是採(cǎi)用當(dāng)淨(jìng)值曲線高於移動(dòng)平均線的時(shí)候才進(jìn)行策略交易,通常使用這些工具的交易者都會(huì)舉出證明該方法有效的例子,但是事實(shí)上真的有效嗎?又應(yīng)該如何地去進(jìn)行設(shè)定?

This two-part series will examine the pros and cons of equity curve trading. In this first part, we’ll establish definitions and some baselines for the analysis. In the second installment, we’ll examine equity curve trading for some real-life trading systems.

以下有兩個(gè)部份來(lái)進(jìn)行佐證,第一部分是我們會(huì)定一一些基本的分析方法,第二部分是我們會(huì)觀察在不同狀況下的適用性

Trading the curve交易你的淨(jìng)值曲線

In its simplest form, equity curve trading is a methodology in which the strategy is turned on and off based on the characteristics of the equity curve. This typically is done by applying an indicator (such as a moving average or a breakout to the equity curve), or by employing a trigger as the switch (for example, the trigger could be turning off the strategy after X days of consecutive losses).?

最簡(jiǎn)單的淨(jìng)值曲線交易就是利用技術(shù)指標(biāo)來(lái)針對(duì)交易策略進(jìn)行開啟/關(guān)閉(例如移動(dòng)平均線),或者是其他的觸發(fā)機(jī)制來(lái)控制策略的開啟或是關(guān)閉(例如在連續(xù)虧損X天之後關(guān)閉交易系統(tǒng))??

An example of equity curve trading is shown in “Above average” (below). In this case, the strategy is turned off when the “always on” equity curve dips below its 25-period moving average. When the “always on” equity is above the moving average curve, the strategy is allowed to take trades. Consequently, trading is allowed for the trades in blue, and trading ceases (that is, the trader is net flat) for the red trades.

我們用一個(gè)簡(jiǎn)單的移動(dòng)平均之上的開關(guān)來(lái)做為釋例,在這裡,開關(guān)所使用的是25天期的移動(dòng)平均線,當(dāng)正常策略的淨(jìng)值曲線高於25天期移動(dòng)平均線,我們就接受交易訊號(hào)進(jìn)行真實(shí)交易,如下圖,藍(lán)色的部分就表示接受交易訊號(hào),紅色的部分就表示拒絕交易訊號(hào)

??

Note that after following the above rules, there is one blue trade taken below the equity curve and one red trade taken above it. This is not an error and actually highlights an important mistake many people make. The blue trade below the moving average is taken because the equity curve does not drop below the moving average line until after the trade is completed. Before that trade (that is, after the previous trade), the equity curve is above the moving average, which indicates that the next trade should be taken. When using an equity curve switch, you need to be careful to make sure that trade decisions are made only with prior knowledge.

在這裡,你必須要注意的是，在遵循上述規(guī)則之後，在平均線下方有一筆藍(lán)色交易，並在上方也會(huì)有一筆紅色交易。 這不是一種錯(cuò)誤，而是因?yàn)閷?shí)際上因?yàn)樵诮灰淄瓿芍?，淨(jìng)值曲線沒有跌破移動(dòng)平均線，因此藍(lán)色交易低於移動(dòng)平均線。 在交易之前（也就是上次交易之後），淨(jìng)值曲線高於移動(dòng)平均線，這表明下一筆交易應(yīng)該進(jìn)行。 當(dāng)使用淨(jìng)值曲線切換時(shí)，您需要小心確保交易決策只能在事先知道的情況下才能夠進(jìn)行。

“Reaping rewards” (below) shows the net effect of this particular equity curve trading, with a comparison to the original curve. As seen in the chart, in this case the performance improves because of the equity curve technique.

下面的圖展示了使用這種機(jī)制的新淨(jìng)值曲線,我們可以看到採(cǎi)用這種機(jī)制之後,新的交易淨(jìng)值曲線避免了虧損而且創(chuàng)了新高

Of course, using a moving average calculation on an equity curve has all the disadvantages that a traditional moving average has on market price data: It has a built-in lag by definition. Its performance also suffers in whipsaw-type situations, and the moving average can be over-optimized on historical data. Because of this, it may be useful to look at other types of equity curve triggers.

當(dāng)然，在淨(jìng)值曲線上使用移動(dòng)平均法計(jì)算，也有傳統(tǒng)移動(dòng)平均數(shù)據(jù)在市場(chǎng)價(jià)格數(shù)據(jù)上的缺點(diǎn)：根據(jù)定義它一樣會(huì)產(chǎn)生滯後的現(xiàn)象。 它的表現(xiàn)也會(huì)受到淨(jìng)值上沖下洗的影響，移動(dòng)平均值也可能產(chǎn)生過(guò)度優(yōu)化歷史數(shù)據(jù)的情形。 因此，觀察其他類型的淨(jìng)值曲線觸發(fā)機(jī)制可能會(huì)有所幫助。

One trigger could be an n-bar breakout. In this application, the system would stop trading when an n-bar low of the equity curve occurred. Trading would cease until the original equity curve turned back above the n-bar low. This indicator, though, also could be over-optimized by varying the value of n until a good “fit” was discovered.

一個(gè)觸發(fā)器可能是一個(gè)n根K線的突破。在這個(gè)應(yīng)用當(dāng)中，當(dāng)淨(jìng)值曲線出現(xiàn)n根K線低點(diǎn)時(shí)，系統(tǒng)將停止交易。 交易停止後，直到原始淨(jìng)值曲線重新回到n根低點(diǎn)之上。 然而，這個(gè)指標(biāo)也可以通過(guò)改變n的值來(lái)進(jìn)行最佳化，而達(dá)到一個(gè)適合的參數(shù)值。

Another possible trigger is to turn off the strategy after so many days or trades of consecutive losses. From a psychological point of view, such an approach might have appeal for many traders. It would not work in cases where consecutive losing days tend to be followed by winning days (a reversion-to-the-mean situation), which in fact does occur with many trading systems.

另一個(gè)可能的觸發(fā)因素是經(jīng)過(guò)多天或連續(xù)虧損的交易後，才會(huì)關(guān)掉這個(gè)策略。 從心理學(xué)的角度來(lái)看，這種做法可能會(huì)吸引很多交易者。 在某些案例之下是行不通的,例如你的交易系統(tǒng)在連續(xù)失敗之後的日子趨向於產(chǎn)生連續(xù)獲利（回歸到平均的情況）。

Equity curve trading can get very complicated, because just about any indicator or trigger could be applied to it. In effect, it becomes its own trading strategy, but instead of buy/sell decisions being made on the instrument price data, the decisions are made on the equity curve.

淨(jìng)值曲線交易可以變得非常複雜，因?yàn)槿魏沃笜?biāo)或觸發(fā)器都可以應(yīng)用於此。 實(shí)際上，它變成了新的交易策略，而不是對(duì)工具價(jià)格數(shù)據(jù)做出買賣決定，而是針對(duì)淨(jìng)值曲線上作出決策。

When does it work?這個(gè)工具何時(shí)奏效?

To determine if and when equity curve trading can be useful, it is instructive to look at some different possibilities for the technique’s performance. This is shown in “Scenario comparison” (below).

為了驗(yàn)證淨(jìng)值曲線交易是否以及何時(shí)可能有用，觀察一些不同的狀況可能性是有幫助的。以下為3種不同情境

For a strategy that goes completely “bad,” with its equity curve nose-diving toward negative territory, the utility of equity curve trading is obvious. This technique can stop you from trading a strategy that is no longer performing at all. This is shown in the top chart.?

對(duì)於一個(gè)完全“不好”的交易策略來(lái)說(shuō)，淨(jìng)值曲線往負(fù)面的方向下跌，淨(jìng)值曲線交易的效用是顯而易見的。這種技術(shù)可以即時(shí)的停止一個(gè)不再有效的策略。 上圖中的第一張圖。

For a strategy performing well, most of the time the equity curve will be above its moving average, and therefore you would continue to trade the strategy. This also is desirable. You are trading the strategy because the equity curve technique has confirmed that it is doing well. This is shown in the middle chart.

對(duì)於一個(gè)表現(xiàn)良好的策略，大多數(shù)情況下，淨(jìng)值曲線將高於移動(dòng)平均線，因此您將繼續(xù)交易該策略。 這也是正常的。 因?yàn)槟诮灰自摬呗?，而且淨(jìng)值曲線也證名你應(yīng)該繼續(xù)進(jìn)行交易。 這顯示在中間的圖表中。

Now consider the case that is between these two extremes. This is depicted in the bottom chart. This strategy has times where it performs very well, times where it doesn’t and times where the equity has many whipsaws. In this case, the benefit of equity curve trading is not apparent. Sure, it stops trading when the drawdown gets severe, but it also misses out on a lot of the recovery.

現(xiàn)在我們來(lái)觀察這兩個(gè)極端之間的情況。 在底部圖表中,這個(gè)策略有時(shí)候表現(xiàn)的非常好，有些時(shí)候表現(xiàn)不好，有些時(shí)候淨(jìng)值也有很多的上下變動(dòng)。 在這種情況下，淨(jìng)值曲線交易的好處並不明顯。 當(dāng)然，當(dāng)下跌趨勢(shì)嚴(yán)重時(shí)，它會(huì)停止交易，但是也會(huì)在很多曲線復(fù)甦中就產(chǎn)生失敗的交易,所以你可以看到新的淨(jìng)值曲線並不理想。

Evaluation & goals 衡量以及目標(biāo)

The best way to evaluate the equity curve trading concept is not by measuring increased profit, nor by determining the decrease in maximum drawdown. While both are important measurements, they need to be looked at simultaneously for a true evaluation. The best way, then, is to include both metrics by measuring the before and after profit/drawdown ratio.

評(píng)估淨(jìng)值曲線交易概念的最好方法不是衡量增加的利潤(rùn)，也不是通過(guò)確定最大跌幅的減少。 雖然兩者都是重要的衡量標(biāo)準(zhǔn)，但是它們需要同時(shí)進(jìn)行評(píng)估。 那麼最好的辦法就是通過(guò)衡量報(bào)酬/虧損前後的比率來(lái)同時(shí)進(jìn)行觀察。

Depending on the historical backtest trading software a trader uses, the equity curve trading switch may or may not be easy to implement. If your trading software cannot perform this analysis, it is relatively easy to create in Excel (just be careful not to peek at the data by using incorrect formulas).

根據(jù)交易者使用的歷史回溯交易軟體，淨(jìng)值曲線交易開關(guān)可能不一定容易做到。 如果您的交易軟體無(wú)法執(zhí)行此項(xiàng)分析，則在Excel中達(dá)成相對(duì)會(huì)比較容易（請(qǐng)注意不要使用不正確的公式來(lái)查看數(shù)據(jù)）。

The goals of using an equity curve switch are really two-fold. First, the switch should turn off a poorly behaving system. Second, a properly working switch will stop trading before deep drawdowns are encountered, and will resume trading before too much profit is given away. Those are ambitious goals for a single switch.

使用淨(jìng)值曲線開關(guān)的目標(biāo)實(shí)際上是雙重的。 首先，開關(guān)應(yīng)該關(guān)閉一個(gè)性能較差的系統(tǒng)。 其次，一個(gè)正常工作的機(jī)制應(yīng)該是在策略遇到深度回檔之前停止交易，並在回補(bǔ)過(guò)多利潤(rùn)之前恢復(fù)交易。 這些是使用淨(jìng)值曲線交易的目標(biāo)。
意即 在虧損的時(shí)候減少或停止交易,在獲利的時(shí)候正常或增加交易

An equity curve switch can accomplish the first goal fairly easily, especially for a poorly performing system. The table “When to switch” (below) shows that a moving average switch does a good job of turning off the system before the maximum drawdown gets too bad, regardless of length. It is reassuring for a trader to know that a there is a clear signal from the switching method to stop trading.

淨(jìng)值曲線交易的切換可以很容易地達(dá)成第一個(gè)目標(biāo)，特別是對(duì)於性能不佳的系統(tǒng)。 可以做到“何時(shí)切換”例如,下圖顯示了移動(dòng)平均線開關(guān)在最大回檔變得太糟糕之前就關(guān)閉系統(tǒng)很好，無(wú)論所使用的週期長(zhǎng)度如何。 交易者知道自己的交易方法有一個(gè)明確的信號(hào)來(lái)停止交易是會(huì)令人比較放心的。

Unfortunately, the second goal—improving the profit/drawdown ratio—is not so easily met. The table below shows, for a sample system, that the equity curve switch doesn’t necessarily increase the net profit, and in fact can make the system worse. The end result all depends on the choice for the moving average length.

不幸的是，第二個(gè)目標(biāo) - 提高報(bào)酬/風(fēng)險(xiǎn)比例 - 並不那麼容易實(shí)現(xiàn)。 下表顯示，對(duì)於一個(gè)樣本系統(tǒng)，淨(jìng)值曲線交易切換不一定會(huì)增加淨(jìng)利潤(rùn)，事實(shí)上還可能會(huì)使系統(tǒng)更糟糕。 最終結(jié)果全部取決於移動(dòng)平均長(zhǎng)度的選擇。

Because the moving average length has such an impact, it should be obvious that there are some serious disadvantages with it. Trader A could use a length of 10, Trader B could use a length of 20, and they will have dramatically different results. Of course, that leads many traders to say, “Well, I’ll just optimize it.” But, just like optimizing parameters in a trading system, optimizing the parameter of an equity curve switch is fraught with peril, prone to every type of bias and over-fitting.

因?yàn)橐苿?dòng)平均線的長(zhǎng)度就會(huì)有這樣的影響，所以顯然有一些嚴(yán)重的缺點(diǎn)。 交易者A可以使用10的長(zhǎng)度，交易者B可以使用20的長(zhǎng)度，並且它們將具有顯著不同的結(jié)果。 當(dāng)然，這導(dǎo)致很多交易者會(huì)說(shuō)：“好吧，我會(huì)優(yōu)化它”。但是，就像在交易系統(tǒng)中優(yōu)化參數(shù)一樣，優(yōu)化淨(jìng)值曲線開關(guān)的參數(shù)是充滿風(fēng)險(xiǎn)， 誤差以及過(guò)度擬合的。

Equity curve switching is a popular technique, but it is unclear as to whether it is really beneficial. For decidedly excellent trading systems, and poor performing systems, the approach can be useful. For trading systems in the middle, which make up the majority, the benefits are not so clear.?

淨(jìng)值曲線交易切換是一種流行的技術(shù)，但是它是否真的有益還不是很明確。 對(duì)於絕對(duì)優(yōu)秀的交易系統(tǒng)和表現(xiàn)不佳的系統(tǒng)，這種方法可能會(huì)有用。 對(duì)於大多數(shù)中間的交易系統(tǒng)來(lái)說(shuō)，好處並不明顯。

While some of the focus has been on turning off or turning down a system after a difficult period, there is some anecdotal logic, particularly in the trend following space, that a system should be turned up after a poor period and perhaps turned down or off after extremely strong performance.?

雖然焦點(diǎn)是專注在於把交易系統(tǒng)在遇到艱困的行情時(shí)進(jìn)行關(guān)閉,但是也有一些使用在順勢(shì)交易系統(tǒng)上的不同邏輯是採(cǎi)用顛倒的作法,也就是當(dāng)系統(tǒng)在一連串虧損後進(jìn)行開啟,並且在一連串獲利之後關(guān)閉系統(tǒng)!

In the second part of this series, we will examine equity curve trading for some real-life trading systems, and provide some recommendations on how to use the method effectively.

下個(gè)部份我們將會(huì)展示使用淨(jìng)值曲線交易在真實(shí)的交易系統(tǒng)中的狀況,並且給大家一些使用上的建議
原文出處:http://www.futuresmag.com/2015/03/16/myths-and-facts-equity-curve-trading