请教高手：外汇爆仓-杠杆-波动性三者关系-加分

zjler

本帖最后由 zjler 于 2014-6-30 20:55 编辑
Chatsw 发表于 2014-6-29 19:37
不知道楼主是真高深，还是装高深，爆仓和价格波动一点必然关系都没有。假设你说的爆仓是指margin call， ...没有装不装高深，我真心是上来请教的。
假设我不关心会不会爆仓，只关心会爆仓几次。
假设杠杆不变，一定时间内margin call 的次数和volatility 我觉得不会没有关系？
我的贴就只想问一个很specific的问题，说到portfolio performance measurement有点跑题了,那话题太大了，大家可以分成几个贴来讨论。

Chatsw

zjler 发表于 2014-6-30 20:48
没有装不装高深，我真心是上来请教的。
假设我不关心会不会爆仓，只关心会爆仓几次。
假设杠杆不变，一定 ...
非常不理解楼主为什么这么关心爆仓，在正常交易系统指导下是不会出现爆仓的呀，爆仓都是人为的，就是交易量过大或太大所致。如果是新手，建议单个交易止损不要超过账户的1%。

zjler

Chatsw 发表于 2014-6-30 20:54
非常不理解楼主为什么这么关心爆仓，在正常交易系统指导下是不会出现爆仓的呀，爆仓都是人为的，就是交易 ...
市场中性策略

Chatsw

zjler 发表于 2014-6-30 21:34
市场中性策略
总有些人的世界无法理解！说好的分呢？

xtrader

zjler 发表于 2014-6-30 21:34
市场中性策略
Due to the market neutral strategy's nature, it will have higher cost compare with the directional strategy.  I assume that you know what are those costs.  If you have bargaining power, the broker may offset one of the costs "Interest". Just my two cents, it doesn't matter what strategy to trade, the leverage is not included in the model.  The leverage will just increase the "potential" profit AND "potential" loss.  To use leverage, it has no difference to increase the risk from 1% to 10%.  

zjler

xtrader 发表于 2014-7-1 08:38
Due to the market neutral strategy's nature, it will have higher cost compare with the directional ...
it is generally true that transaction costs tend to be higher for market neutral than long/short stratgs.
But I really like to incorporate leverage into the model coz i am bit concerned that risk will cluster as the leverage goes up. And there must be a optimal leverage level where the return is best boosted right before the risk clustering happens.

zjler

Chatsw 发表于 2014-6-30 21:43
总有些人的世界无法理解！说好的分呢？
how boring the world would be if everyone thinks the same. thank you for sharing your criticization of the question itself.

xtrader

zjler 发表于 2014-7-1 10:05
it is generally true that transaction costs tend to be higher for market neutral than long/short s ...
Which one below has higher risk?1) Use 1x leverage, and set 2% risk per position 2) Use 2x leverage, and set 1% risk per position

shdanding

xtrader 发表于 2014-7-1 10:39
Which one below has higher risk?1) Use 1x leverage, and set 2% risk per position
自然是第二个，当然预期收益也是第二个高。

xtrader

shdanding 发表于 2014-7-1 12:24
自然是第二个，当然预期收益也是第二个高。
Thanks for sharing. But sorry.