按键盘上方向键 ← 或 → 可快速上下翻页，按键盘上的 Enter 键可回到本书目录页，按键盘上方向键 ↑ 可回到本页顶部！
————未阅读完？加入书签已便下次继续阅读！
来的系统。
I have two friends who earn a good living testing systems for traders。 Both are expert programmers。 One of them laughed as he told me how he gets at least one phone call a week from yet another amateur who thinks he has discovered the Holy Grail。 He wants his automatic set of rules backtested to find the best parameters； and his only concern is that the programmer should not steal his secret！ I asked my friend how many profitable automatic systems he found during several years of backtesting。
我有2个朋友，他们以帮交易者做系统测试为生。他们都是编程高手。其中一个笑着告诉我，他每周至少接到一个业余选手的电话，声称自己发现了圣杯。业余选手希望能测试数据，以发现最好的参数，但是他又不希望编程高手偷走他的秘密！我问我的朋友，这么多年来发现了多少赚钱的自动交易系统。
Not one。
一个都没有。
Not one？ Doesn’t he get discouraged doing this kind of work？
一个都没有？那他还有信心做这个工作？
Well； what keeps him going is that he has a handful of steady clients who are successful professional traders。 They bring him snippets of trading methods for testing。 They may test their parameters for placing stops； the length of MACD； and so on。 Then they use their own judgment to bind those snippets into a decision…making tree。
嗯，他能继续工作的原因是，他还有很多客户，这些客户是成功的专业交易者。他们叫他测试交易方法的小问题。他们也许要测试止损的参数，MACD的参数，等等。然后他们把这些小问题和自己的判断融入到决策树。
An intelligent trading system includes ponents that have been backtested； but the trader retains control over his actions。 He has several inviolate rules； mostly having to do with risk control and money management； but allows himself latitude in bining those ponents to reach trading decisions。
一个优秀的交易系统包含了已经经过测试的参数，但是交易者要保留决策权。他有几个互不干扰的原则，大部分都和风险控制，资金管理有关，他会综合考虑这些因素，然后形成交易决定。
An intelligent trading system is an action plan for entering and exiting markets that spells out several specific functions； such as finding trades or protecting capital。 Most actions； such as entries； exits； and adjusting stops； can be partly but not fully automated。 Thinking is a hard job； a mechanical trading system tempts you by promising you won’t have to think any more； but that’s a false promise。 To be a successful trader you need to use your judgment。 A trading system is a style of trading； not an automatic turnkey operation。
一个优秀的交易系统综合多方面的因素，比如找到交易机会或保护资金，以形成进场和出场的交易计划。很多行动，比如进场，出场和调试止损点，可以半自动执行，但不可以全自动执行。思考是很艰难的工作，机械交易系统通过许诺你不用再思考以引诱你。要想成为成功的交易者，你需要使用自己的判断。交易系统是交易风格，不是自动的总承包商。
SYSTEM TESTING
系统测试
You must test each indicator； rule； and method before including them in your trading system。 Many traders do this by dumping historical data into testing software and obtaining a printout of their system’s parameters。 The profit…loss ratio； the biggest and the smallest profit or loss； the average profit and loss； the longest winning and losing streaks； the average profit； and the average or the maximum drawdowns give the appearance of objectivity and solidity。
你必须在使用交易系统之前测试每个指标，原则和方法。很多交易者是这样测试的，用自己的系统参数测试很多历史数据，打印出来。利润亏损比，最大和最小的利润或亏损，平均的利润和亏损，最长的赢利时间，最长的亏损时间，平均利润，平均或最大的亏损，这些听起来很客观，很有说服力。
Those printouts provide a false sense of security。
这些打印出来的东西提供了假的安全感。
You may have a very nice printout； but what if the system delivers five losses in a row； while you trade real money？ Nothing in your testing has prepared you for that； but it happens all the time。 You grit your teeth and put on another trade。 Another loss。 Your drawdown is getting deeper。 Will you put on the next trade？ Suddenly； an impressive printout looks like a very thin reed on which to hang your future； while your account is being whittled away。
也许打印结果很好，如果你用真钱交易，正好连续亏损5次，怎么办？你的测试从来不谈这点，但是这样的事一直在发生。你咬牙切齿地再交易一次，又是亏损。你的亏损很严重了。你还想再交易一次吗？突然，你从打印的结果发现好像把你的未来放在这根稻草上也不行，然而你的账户已经少了很多。
The attraction of electronic testing is such that there is now a small cottage industry of programmers who test systems for a fee。 Some traders spend months； if not years； learning to use testing software。 A loser who cannot admit he’s afraid to trade has a wonderful excuse that he is learning new software。 He’s like a swimmer who is afraid of water and keeps himself busy ironing his swimsuit。
测试软件很有市场，所以形成了收费的系统测试行业。一些交易者花了几个月，如果不是几年的话，去学习如何测试自己的软件。一个输家，不好意思承认自己不敢交易，就说自己在学习新软件。他就像不敢下水游泳的人，却一直忙着烫游泳衣。
Only one kind of system testing makes sense。 It is slow； it is time…consuming； and it does not lend itself to testing a hundred markets at once； but it’s the only method that prepares you for trading。 It consists of going through historical data one day at a time； scrupulously writing down your trading signals for the day ahead； then clicking your chart forward and recording the trades and signals for the next day。
只有一种系统测试有意义。这个测试很慢，花时间，不需要一次测试几百个市场，但是是唯一的让你为交易做准备的方法。它包括每天研究一次历史数据，小心翼翼地记录前一天的交易信号，然后点击图表，让图表向后走，记录下一天的交易和信号。
Begin by downloading your stock or futures data for a minimum of two years。 Swing to the left side of the file； without looking at what happened next。 Open your technical analysis program and a spreadsheet。 The two most important keys for traders on a puter are Alt and Tab because they let you switch between two programs。 Open two windows in your analytic program … one for your long…term chart with its indicators； the other for the short…term chart。 Open a spreadsheet； write down your system’s rules at the top of the page and create columns for the date； entry date and price； and the exit date and price。
一开始下载至少2年的股票或期货数据。从数据的左边开始看，不要看后面发生了什么。打开你的技术分析软件和电子表格。键盘上2个最关键的键是Alt 和Tab，因为你要在多个程序间转换。把你的分析软件分为2个窗口——一个包括长期图表和指标，另一个包括短期图表。打开电子表格，在最上面写下你的系统原则，再创建几栏，分别记录日期，进场日期和价格，出场日期和价格。
Turn to the weekly chart and note its signal； if any。 If it gives you a buy or sell signal； go to the daily chart ending on the same date to see whether it gives you a buy or a sell signal as well。 If it does； record the order you have to place in your spreadsheet。 Now return to the daily chart and click one day forward。 See whether your buy or sell order was triggered。 If so； return to the spreadsheet and record the result。 Track your trade day by day； calculating stops and deciding where to take profits。
如果周线图上有信号，要把这个信号也记下来。如果有买卖信号，到日线图去看看是否也有买卖信号。如果有，在电子表格记下你做的交易。然后回到你的日线图把日期点击到下一天。看看你的买卖单是否被激活。如果是的，回到电子表格记下结果。每天都这么跟踪，计算止损点，决定何处兑现利润。
Follow this process throughout your entire data file； advancing a week at a time on the weekly chart； a day at a time on the daily chart。 At every click write down your system’s signals and your actions。
用这个方法走过所有的数据，每天做一次。每次波动都要记录你的系统信号和你的行动。
As you click forward； one day at a time； the market history will slowly unfold and challenge you。 You click and a buy signal es into view。 Will you take it？ Record your decision in a spreadsheet。 Will you take profits at a set target； on a sell signal； or on the basis of price action？ You are doing much more than testing a set of rigid rules。 Moving ahead day by day； you develop your decision…making skills。 This one…bar…at…a…time forward testing is vastly superior to what you get from backtesting software。
你每天都往后走，这样市场的历史就在你面前展开了，同时挑战你。你点一下，一个买入信号就出现了。你会买入吗？在电子表格里记录你的决定。你会根据卖出信号，或价格的波动兑现利润吗？你不仅仅是在测试严格的原则。每天往后走，你形成了自己的决策技巧。这样一天走一个日线的测试方法比用软件测试强多了。
How will you deal with gap openings when prices open above your buy level or below your stop？ What about limit moves in futures？ Should the system be adjusted； changed； or scrapped？ Clicking forward one day at a time gets you as close to the real experience of trading as you can ever get without putting on a trade。 It puts you in touch with the raw edge of the market； which you can never experience through an orderly printout from a professional system tester。
如果开盘价是跳空的，比你的买入点高，比你的止损点低，你会怎么办？如果期货涨停或跌停，怎么办？是不是要调系统，改系统，或者是把系统报废掉？每天往后走一个日线的方法就像是真实的交易经验，虽然你没有交易。它让你感碰到真实的市场，这个经验是专业系统测试软件打印出来的结果无法比拟的。
Manual testing will improve your ability to think； recognize events； and act in the foggy environment of the market。 Your trading plans must include certain absolute r