{"id":335,"date":"2017-06-04T05:28:10","date_gmt":"2017-06-03T21:28:10","guid":{"rendered":"http:\/\/yutingvpn.tw\/wordpress\/?p=335"},"modified":"2017-06-05T05:04:35","modified_gmt":"2017-06-04T21:04:35","slug":"%e6%b7%ba%e8%ab%87%e9%a2%a8%e9%9a%aa%e5%b9%b3%e5%83%b9%e8%88%87%e7%ad%96%e7%95%a5%e6%a8%99%e6%ba%96%e5%8c%96","status":"publish","type":"post","link":"https:\/\/quantbrains.club\/wordpress\/2017\/06\/04\/%e6%b7%ba%e8%ab%87%e9%a2%a8%e9%9a%aa%e5%b9%b3%e5%83%b9%e8%88%87%e7%ad%96%e7%95%a5%e6%a8%99%e6%ba%96%e5%8c%96\/","title":{"rendered":"\u6dfa\u8ac7\u98a8\u96aa\u5e73\u50f9\u8207\u7b56\u7565\u6a19\u6e96\u5316"},"content":{"rendered":"<p><strong>\u98a8\u96aa\u5e73\u50f9\u8207\u7b56\u7565\u6a19\u6e96\u5316<\/strong><\/p>\n<p><img fetchpriority=\"high\" decoding=\"async\" class=\"alignnone wp-image-337\" src=\"http:\/\/yutingvpn.tw\/wordpress\/wp-content\/uploads\/2017\/06\/cake.png\" alt=\"\" width=\"378\" height=\"213\" srcset=\"https:\/\/quantbrains.club\/wordpress\/wp-content\/uploads\/2017\/06\/cake.png 3840w, https:\/\/quantbrains.club\/wordpress\/wp-content\/uploads\/2017\/06\/cake-600x338.png 600w, https:\/\/quantbrains.club\/wordpress\/wp-content\/uploads\/2017\/06\/cake-300x169.png 300w, https:\/\/quantbrains.club\/wordpress\/wp-content\/uploads\/2017\/06\/cake-768x432.png 768w, https:\/\/quantbrains.club\/wordpress\/wp-content\/uploads\/2017\/06\/cake-1024x576.png 1024w, https:\/\/quantbrains.club\/wordpress\/wp-content\/uploads\/2017\/06\/cake-150x84.png 150w\" sizes=\"(max-width: 378px) 100vw, 378px\" \/><\/p>\n<p>\u5176\u5be6\u98a8\u96aa\u5e73\u50f9\u914d\u7f6e\uff08Risk Parity Allocation\uff09\u4e26\u4e0d\u662f\u4ec0\u9ebc\u65b0\u6771\u897f\uff0c\u57fa\u672c\u4e0a\u53ea\u8981\u6709\u63a5\u89f8\u5230\u591a\u5546\u54c1\u6295\u8cc7\u7d44\u5408\u7406\u8ad6\u6216\u662f\u6d77\u9f9c\u4ea4\u6613\u7cfb\u7d71\u57fa\u672c\u4e0a\u5927\u6982\u90fd\u6703\u8a0e\u8ad6\u5230\u9019\u500b\u7b97\u662f\u6700\u57fa\u790e\u7684\u90e8\u5206\u3002\u98a8\u96aa\u5e73\u50f9\u6700\u539f\u59cb\u7684\u6982\u5ff5\u6216\u76ee\u7684\u662f\uff02\u4ee5\u640d\u5b9a\u91cf\uff02\uff0c\u4e5f\u5c31\u662f\u7576\u6211\u5011\u5728\u6295\u8cc7\u7d44\u5408\u4e2d\u7d0d\u5165\u4e86\u5f88\u591a\u4e0d\u540c\u7684\u5546\u54c1\u6216\u9805\u76ee\uff0c\u800c\u6211\u5011\u5e0c\u671b\u9019\u6bcf\u4e00\u500b\u5c0f\u5c0f\u7684\u55ae\u4f4d\u5c0d\u6574\u9ad4\u7684\u98a8\u96aa\u5f71\u97ff\u662f\u88ab<strong>\u5927\u7d04<\/strong>\u9650\u5236\u5728\u4e00\u500b<strong>\u7406\u8ad6\u7bc4\u570d<\/strong>\u7684\u3002\u900f\u904e\u9019\u6a23\u4e00\u500b<strong>\u90e8\u4f4d\u898f\u6a21\u6a19\u6e96\u5316<\/strong>\u7684\u65b9\u5f0f\uff0c\u6211\u5011\u624d\u6709\u8fa6\u6cd5\u53bb\u91dd\u5c0d\u6bcf\u500b\u5c0f\u55ae\u4f4d\u6a21\u7d44\u9032\u884c\u8a55\u4f30\u8207\u7ba1\u7406\u3002<\/p>\n<p>&nbsp;<\/p>\n<p>\u9019\u500b\u516c\u5f0f\u53ef\u80fd\u5927\u5bb6\u5728\u5b78\u7fd2Position Sizing\u7684\u6642\u5019\u6216\u591a\u6216\u5c11\u90fd\u6709\u898b\u904e<\/p>\n<p>&nbsp;<\/p>\n<p>\u53e3\u6578P\uff1d\uff08\u98a8\u96aa\u56e0\u5b50\uff0a\u5e33\u6236\u6de8\u503c\uff09\uff0f\uff08\u98a8\u96aa\u503c\uff0a\u6bcf\u5927\u9ede\u50f9\u503c\uff09<\/p>\n<p>&nbsp;<\/p>\n<p>\u5176\u4e2d\u98a8\u96aa\u56e0\u5b50\u70ba\u4f60\u6bcf\u6b21\u4ea4\u6613\u9858\u610f\u62ff\u51fa\u5e33\u6236\u6de8\u503c\u7684\u591a\u5c11\u6bd4\u4f8b\u9032\u884c\u5192\u96aa\uff0c\u5982 0.002\u62160.005\u3002\u8a2d\u5b9a\u7684\u8d8a\u4f4e\uff0c\u7406\u8ad6\u98a8\u96aa\u8d8a\u4f4e\uff0c\u4f46\u76f8\u5c0d\u5831\u916c\u4e5f\u8ddf\u8457\u964d\u4f4e\uff0c\u53cd\u4e4b\u8a2d\u5b9a\u7684\u8d8a\u9ad8\uff0c\u7406\u8ad6\u98a8\u96aa\u4e5f\u8d8a\u9ad8\uff0c\u4f46\u76f8\u5c0d\u5831\u916c\u4e5f\u5347\u9ad8\u3002<\/p>\n<p>&nbsp;<\/p>\n<p>\u800c<strong>\u98a8\u96aa\u503c<\/strong>\u51fd\u6578\u9019\u88e1\u6211\u5011\u50c5\u5148\u8a0e\u8ad6\u6700\u539f\u59cb\u7684\u61c9\u7528 \u2013 \u50f9\u683c\u6ce2\u52d5\u7a0b\u5ea6\uff08volatility\uff09<\/p>\n<p>\uff08\u98a8\u96aa\u503c\u51fd\u6578\u53c8\u53ef\u4ee5\u518d\u53e6\u95e2\u4e00\u500b\u5f88\u5927\u53c8\u6709\u8da3\u7684Position Sizing\u90e8\u4f4d\u898f\u6a21\u7ba1\u7406\u4e3b\u984c\u4e86\uff0c\u90fd\u53ef\u4ee5\u5beb\u6210\u4e00\u672c\u66f8\u4e86XD \u4e0d\u904e\u9019\u4e0d\u662f\u4eca\u5929\u8981\u8a0e\u8ad6\u7684\u4e3b\u984c&#8230;..\u5148\u8df3\u904e&#8230;.\uff09<\/p>\n<p>&nbsp;<\/p>\n<p>\u80fd\u5920\u4ee3\u8868\u50f9\u683c\u6ce2\u52d5\u7a0b\u5ea6\u7684\u6307\u6a19\u6216\u516c\u5f0f\u5f88\u591a\uff0c\u4e00\u822c\u6700\u5e38\u7528\u7684\u5927\u62b5\u4e0d\u51fa\u5e73\u5747\u771f\u5be6\u5340\u9593\uff08ATR\uff09\u6216\u6a19\u6e96\u5dee\uff0c\u9019\u88e1\u8981\u6ce8\u610f\u7684\u662fATR\u4e0d\u50cf\u6a19\u6e96\u5dee\u4e00\u6a23\u6709\u5e73\u5747\u503c\u7576\u8ef8\u5fc3\uff0c\u6240\u4ee5\u5404\u4f4d\u5728\u7b56\u7565\u4e2d\u5f15\u7528\u6642\u8981\u6ce8\u610f\u8981\u4ee5\u201d\u65e5\u7dda\u201dATR\u70ba\u4e3b\u3002<\/p>\n<p>\uff08\u6a19\u6e96\u5dee\u7684\u8b8a\u52d5\u901f\u7387\u8f03ATR\u5287\u70c8\uff0c\u5bb9\u6613\u8eab\u9ad4\u4e0d\u9069\u8005\u53ef\u4ee5\u6539\u7528(highd-lowd)\u4ee3\u66ffclose\u6216\u76f4\u63a5\u4f7f\u7528ATR&#8230;.\u4e0d\u904e\u7b46\u8005\u7684\u7d93\u9a57\u662f\uff0c\u76f4\u63a5\u4f7f\u7528close\u5176\u5be6\u6703\u6709\u4e00\u4e9b\u512a\u52e2\uff0c\u539f\u56e0\u5728\u65bc\u4ed6\u5728\u53cd\u6620&#8221;\u98a8\u96aa&#8221;\u7a0b\u5ea6\u7684\u6548\u679c\u662f\u6bd4\u8f03\u597d\u7684\uff0c\u5728\u67d0\u7a2e\u7a0b\u5ea6\u4e0a\u6709\u98a8\u96aa\u6ffe\u93e1\u7684\u6548\u679c\uff0c\u751a\u81f3\u6709\u6a5f\u6703\u6539\u5584\u539f\u59cb\u7b56\u7565\u7684\u7e3e\u6548\uff09<\/p>\n<p>&nbsp;<\/p>\n<p>\u7c21\u55ae\u7684\u7bc4\u4f8b: (\u4ee5\u6a19\u6e96\u5dee\u70ba\u4f8b)<\/p>\n<p>Inputs:RPALen(<strong>30<\/strong>), capital0(<strong>5000000<\/strong>);<\/p>\n<p>Vars:NShares(<strong>0<\/strong>),TradeRisk(<strong>0<\/strong>);<\/p>\n<p>TradeRisk = BigPointValue*StdDev(c , RPALen);<\/p>\n<p>If AbsValue(TradeRisk) &gt; <strong>0<\/strong> then NShares = (capital0)*<strong>0.05<\/strong>\/AbsValue(TradeRisk) ;<\/p>\n<p>NShares = IntPortion(NShares);<\/p>\n<p>&nbsp;<\/p>\n<p>NShares\u5373\u70ba\u6211\u5011\u53ef\u4ee5\u8cb7\u8ce3\u7684\u57fa\u672c\u55ae\u4f4d\u3002<\/p>\n<p>&nbsp;<\/p>\n<p>\u76f4\u63a5\u5c07 NShares contracts\u63d2\u5165\u6211\u5011\u539f\u672c\u7684\u7b56\u7565\u8cb7\u8ce3\u5f0f\u4e2d\u5373\u53ef\u3002\u6216\u642d\u914d\u90e8\u4f4d\u7ba1\u7406\u516c\u5f0f\u9032\u884c\u66f4\u9032\u4e00\u6b65\u7684\u90e8\u4f4d\u52a0\u6b0a\u3002<\/p>\n<p>&nbsp;<\/p>\n<p>\u900f\u904e\u9019\u6a23\u7c21\u55ae\u7684\u8f49\u63db\uff0c\u6211\u5011\u4fbf\u53ef\u4ee5\u5c07\u4e0d\u540c\u7684\u5546\u54c1\u8207\u7b56\u7565\u9805\u76ee\u90fd\uff02\u6a19\u6e96\u5316\uff02\uff02\u6a21\u7d44\u5316\uff02\uff0c\u7136\u5f8c\uff02\u63d2\u5165\uff02\u7ba1\u7406\u7cfb\u7d71\u6216\u667a\u80fd\u6295\u9867\u5e73\u53f0\u4e2d\u9032\u884c\u8a55\u50f9\u7ba1\u7406\u6216\u4ea4\u6613\u6a5f\u6703\u63a2\u52d8\u3002<\/p>\n<p>&nbsp;<\/p>\n<p>\u7576\u7136\uff0c\u51e1\u4e8b\u7686\u6709\u4e0d\u5b8c\u7f8e\uff0c\u524d\u9762\u8aaa\u904e\u9019\u6a23\u7684\u4f5c\u6cd5\u53ea\u662f\u5e0c\u671b\u6bcf\u4e00\u500b\u5c0f\u5c0f\u7684\u55ae\u4f4d\u5c0d\u6574\u9ad4\u7684\u98a8\u96aa\u5f71\u97ff\u662f\u88ab<strong>\u5927\u7d04<\/strong>\u9650\u5236\u5728\u4e00\u500b<strong>\u7406\u8ad6\u7bc4\u570d<\/strong>\uff0c\u7531\u65bc\u5e02\u5834\u9084\u662f\u6709\u4e00\u5b9a\u7684\u96a8\u6a5f\u6027\u6216\u7a81\u767c\u98a8\u96aa\uff0c\u4e26\u975e\u662f\u98a8\u5e73\u6d6a\u975c\u9023\u7e8c\u6027\u7684\uff0c\u5c0d\u65bc\u98a8\u96aa\u7bc4\u570d\u8a55\u4f30\u6211\u5011\u4ecd\u8981\u5c0f\u5fc3\u770b\u5f85\uff0c\u5c24\u5176\u5c0d\u65bc\u98a8\u96aa\u56e0\u5b50\u7684\u8a2d\u5b9a\u4e0d\u53ef\u592a\u904e\u5927\u5fc3\uff0c\u53ef\u4ee5\u591a\u85c9\u7531\u5404\u7a2e\u6a21\u64ec\u7a0b\u5e8f\u6216\u662f\u89c0\u5bdf\u627e\u51fa\u8b93\u4f60\u89ba\u5f97\u6700\u8212\u9069\u7684\u8a2d\u5b9a\u3002<\/p>\n<p>&nbsp;<\/p>\n<p>\u4e0d\u904e\u4eca\u5929\u5beb\u9019\u7bc7\u6587\u7ae0\u7684\u76ee\u7684\u5176\u5be6\u662f\u60f3\u8981\u9806\u4fbf\u63a8\u5ee3\u9019\u6a23\u4ee5\uff02\u8cc7\u91d1\u89d2\u5ea6\u4f86\u5beb\u7b56\u7565\uff02\u7684\u7b56\u7565\u6a19\u6e96\u5316\u5beb\u6cd5\u3002<\/p>\n<p>&nbsp;<\/p>\n<p>\u4e0d\u77e5\u9053\u591a\u6578\u4eba\u662f\u5426\u6709\u60f3\u904e\u56de\u6e2c\u5831\u8868\u7684\u610f\u7fa9? \u88ab\u5de5\u5177\u8207\u5165\u9580\u7bc4\u4f8b\u5236\u7d04\u7684\u4eba\u5011\uff0c\u7e3d\u662f\u5f88\u7fd2\u6163\u4e86\u4e00\u958b\u59cb\u5165\u9580\u7a0b\u5f0f\u4ea4\u6613\u7684\u6642\u5019\u5c31\u88ab\u6559\u80b2\u4f7f\u7528 <strong>\u4e00\u53e3(\u624b)\u9032 \u4e00\u53e3(\u624b)\u51fa<\/strong> \u7684\u65b9\u5f0f\u5beb\u8457\u6240\u8b02\u7684 &#8220;\u7b56\u7565&#8221;\u3002\u6709\u591a\u5c11\u4eba\u6703\u767c\u73fe\uff0c4000\u9ede\u7684\u6642\u5019\u8ddf10000\u9ede\u7684\u6642\u5019\u7684\u4e00\u53e3(\u624b)\u5176\u5be6\u4e26\u4e0d\u7b49\u50f9\u3002<strong>\u6bcf\u6b21\u4e0b\u6ce8\u7684\u91d1\u984d\u5176\u5be6\u6839\u672c\u5c31\u4e0d\u4e00\u6a23<\/strong>\uff0c\u9019\u6a23\u7684\u56de\u6e2c\u5831\u8868\u4e0a\u9762\u7684\u5206\u6790\u9805\u76ee\u6578\u5b57\u53ef\u4fe1\u5ea6\u80fd\u6709\u591a\u9ad8? 4000\u9ede\u7684\u6642\u5019\u6240\u7522\u751f\u7684MDD(\u6216\u5176\u4ed6\u6578\u503c)\u8ddf10000\u9ede\u7684\u6642\u5019\u6240\u7522\u751f\u7684MDD\u7b49\u50f9\u55ce?<\/p>\n<p>&nbsp;<\/p>\n<p>\u6211\u5efa\u8b70\u5728\u63a8\u5ee3\u8207\u5b78\u7fd2\u91cf\u5316\u4ea4\u6613\u4e4b\u521d\u5927\u5bb6\u5c31\u80fd\u5148\u7fd2\u6163\u98a8\u96aa\u5e73\u50f9(\u4ee5\u640d\u5b9a\u91cf)\u7684\u7b56\u7565\u5beb\u6cd5\u3002\u4e0d\u53ea\u662f\u70ba\u4e86\u5f8c\u7e8c\u4f5c\u591a\u5546\u54c1\u6295\u8cc7\u7d44\u5408\u8207\u8cc7\u91d1\u7ba1\u7406\u92ea\u8def\uff0c\u5373\u4f7f\u53ea\u662f\u5728\u55ae\u4e00\u54c1\u7a2e\u4e0a\uff0c\u5f88\u591a\u56de\u6e2c\u6578\u64da\u7684\u63a2\u8a0e\uff08\u5982\u4e0a\u9762\u8aaa\u7684MDD\u6216\u5f88\u591a\u9805\u76ee\uff09\u4e5f\u90fd\u61c9\u8a72\u5148<u>\u628a\u4e0b\u6ce8\u57fa\u672c\u55ae\u4f4d\u56fa\u5b9a<\/u>\uff0c\u9019\u6a23\u8a0e\u8ad6\u8d77\u4f86\u4e5f\u6703\u6bd4\u8f03\u6709\u610f\u7fa9\uff0c\u800c<strong>\u4e0d\u8981\u88ab\u5de5\u5177\u8207\u5165\u9580\u7bc4\u4f8b\u5236\u7d04\u4e86<\/strong>\u3002<strong>\u5982\u679c\u7d42\u7a76\u90fd\u8981\u63a5\u89f8\u8cc7\u91d1\u7ba1\u7406\u8207\u7b56\u7565\u7ba1\u7406\uff0c\u4e0d\u5982\u4e00\u958b\u59cb\u5c31\u5148\u5efa\u7acb\u597d\u8f03\u4f73\u7684\u7b56\u7565\u64b0\u5beb\u7fd2\u6163\u3002<\/strong><\/p>\n<p>&nbsp;<\/p>\n<p>\u5176\u5be6\u9019\u88e1\u8981\u7e7c\u7e8c\u8a0e\u8ad6\u4e0b\u53bb\u9084\u6709\u5f88\u591a\u6771\u897f\u53ef\u4ee5\u8a0e\u8ad6\uff0c\u50cf\u662f\u7406\u8ad6\u6ce2\u52d5\u7387\u5176\u5be6\u6642\u6642\u523b\u523b\u90fd\u5728\u8b8a\u52d5\uff0c\u4e0d\u540c\u7684\u6ce2\u52d5\u7387\u6307\u6a19\u7684\u8b8a\u52d5\u7a0b\u5ea6\u4e5f\u4e0d\u76f8\u540c\uff08\u5982\u6a19\u6e96\u5dee\u5f88\u660e\u986f\u6bd4ATR\u8b8a\u52d5\u7a0b\u5ea6\u5927\uff09\uff0c\u8a72\u591a\u4e45\u5c0d\u90e8\u4f4d\u9032\u884c\u4e00\u6b21\u6821\u6b63\uff0c\u6216\u662f\u9019\u6a23\u7684\u6a19\u6e96\u5316\u65b9\u6cd5\u6709\u6c92\u6709\u4ec0\u9ebc\u5927\u7f3a\u9677\u6216\u662f\u6709\u6c92\u6709\u5176\u4ed6\u66f4\u597d\u7684\u65b9\u6cd5\u90fd\u662f\u53ef\u4ee5\u66f4\u6df1\u5165\u63a2\u8a0e\u7684<\/p>\n<p>&nbsp;<\/p>\n<p>\u7c89\u7d72\u5c08\u9801<\/p>\n<p>https:\/\/www.facebook.com\/yutingvpn.tw\/<\/p>\n<p>&nbsp;<\/p>\n<p>Xeus\u5e38\u898b\u554f\u984c<\/p>\n<p>http:\/\/yutingvpn.tw\/wordpress\/%e5%b8%b8%e8%a6%8b%e5%95%8f%e9%a1%8c\/<\/p>\n<p>\u9032\u5316\u7279\u5340<\/p>\n<p>http:\/\/yutingvpn.tw\/wordpress\/purchase\/<\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u98a8\u96aa\u5e73\u50f9\u8207\u7b56\u7565\u6a19\u6e96\u5316 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