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20121112 MLDM Monday (quantmod and quantstrat)
20121112 MLDM Monday (quantmod and quantstrat)
20121112 MLDM Monday (quantmod and quantstrat)
20121112 MLDM Monday (quantmod and quantstrat)
20121112 MLDM Monday (quantmod and quantstrat)
20121112 MLDM Monday (quantmod and quantstrat)
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20121112 MLDM Monday (quantmod and quantstrat)

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  • 1. 20121112 MLDM Monday Introduction to TradingStrategies and quantmod pkg  
  • 2. 賺錢唯一法則 --- 低買高賣● 先低買,後高賣 (行情往上,作多)● 先高賣,後低買 (行情往下,作空)● 什麼是高?什麼是低?
  • 3. Two Types of Traders● Trend Following ○ 順勢操作, 追高殺低 ○ 低勝率, 高報酬 ○ 賺波段 (整段)● Mean Reversion ○ 逆勢操作, 買黑賣紅 ○ 高勝率, 低報酬 ○ 賺盤整 (小段,頭或尾)
  • 4. 什麼是高?什麼是低? 如何預測?
  • 5. 預測 versus 操作● 操作(交易):一買一賣完成一趟完整操作。● 操作需要使用操作訊號● 預測模式只是用來生產操作訊號● 預測準度(p),不決定操作成效(p,WLR)!!!!!!!!● 基本上 WLR = W/L 比p重要!!!!● 操作的層級:訊號管理 < 策略管理 < 資金控管
  • 6. Building Blocks of Trading System● Entry Signals (進場訊號)● Exit Signals: Limit and Stop● (出場訊號:停利訊號、停損訊號)● Filters (進場訊號過濾器)

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