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HOW THE PROS MANAGE RISK
April 18, 2011
Every manager we look at says they manage risk, and that risk management is their number one priority – but talk is…as they say…cheap, and the real question when analyzing a managed futures program is not IF they manage risk (anyone who makes it to the point of offering a program is smart enough to know to SAY they manage risk), but HOW they manage risk.
So what are the main methods professional Commodity Trading Advisors (CTAs) use to diversify their programs and manage risk? We touched on one aspect of how managers manage risk in our blog post talking about Corn’s limit up move the other day, and here outline more of the methods and overall philosophies built into the programs we track.
The number one tool used by any and all CTAs we deal with or analyze is some sort of money management philosophy. Money management can sound daunting, but in its simplest form it boils down to position sizing – or how many contracts to trade, when to increase, when to decrease, when to take profits, and so on.
The most common form of money management is a technique some call “Risk Budgeting”, whereby the CTA trades varying numbers of contracts in different markets in an attempt to equalize risk across the markets (or separate trades) in the portfolio.
Consider a trader who gets a trade in Palladium, and then another a short time later in Sugar. If the trader correctly calls both markets correctly (capturing, say, a 5% move in each), but only does a single contract in each – the trader will have made $3,675 in Palladium, but just $1,355 in Sugar.
To combat this, instead of just trading the same number of contracts on each market they get a signal on, they look to risk the same percent of equity on each trade. To do this, a CTA will look at the risk on the trade under consideration, (which could be a function of a stop above/below a swing high/low, calculated using the ATR, or the distance from the entry to the moving average of prices) and divide that risk into their risk budget to get the number of contracts which should give them the desired total risk if their exit level is breached.
Using Palladium and Sugar from our example above; the Average True Range as a proxy for risk, and the assumption that we wish to risk 2% of our equity on each trade for a $1 million account – we can calculate the following number of contracts to be traded: Palladium = 8, Sugar = 20. Using this number of contracts with the same 5% gain example above, the account would then see $29,400 in Palladium, and $27,100 in Sugar – a much more even split of the profit between these two markets.
To see this graphically, we have listed how many contracts of each market listed below a fictitious managed futures program using ‘risk budgeting’ would trade to keep risk per trade at 2% of equity.
There is much, much more to money management, including the use of dynamic stops and profit targets, scaling into or out of positions, and limiting exposure to any one market or sector to a specific level. There are even some programs which limit the amount they are willing to lose in any one month, whereby they will shut down trading for the remainder of the month and then reinstate the following month.
But in our opinion the most important part of money management as it relates to managed futures programs is the prevalent use of dynamic risk budgeting type methodologies whereby the number of contracts traded in each market varies depending on the volatility of that market, distance to the stop level, and amount of equity in the account.
Another prevalent risk method used by nearly all CTAs we come across happens before they even place a trade – market selection. While most of us take it for granted that certain programs trade certain markets, the markets a managed futures program is involved in does not come about by chance.
Managers test markets to insure there is adequate liquidity, volume, and ease of execution for their type of trading. One of the easiest ways to reduce risk for a manager is to simply not trade a market. Lumber, Pork Bellies, and now defunct futures contracts like Muni Bond futures are/were simply not traded by most managed futures programs because of low volume and inadequate liquidity.
Another big risk tool used by nearly all managed futures programs (and indeed all of the CTAs we recommend), is the use of exchange traded futures. How is that a risk tool, you ask? Easy, the use of exchange traded futures removes counterparty risk, with the exchange guaranteeing the other side of any trades you put on. Think of all the money Goldman Sachs was set to lose if the government didn’t bail out AIG and you can see the importance of removing counter party risk.
And now we move on to types of diversification and risk management which aren’t common to all managed futures programs, but common enough to warrant individual mention. We have listed them in order of popularity and prevalence among the programs we track and analyze.
The tool the bulk of the managed futures industry relies on more than any other is the power of diversification amongst different markets. The explanation for it is as simple as the old saying: don’t put all your eggs in one basket. And can be as advanced as complicated charts showing cross correlations amongst markets (included below).
Whether it is a program like industry bellwether Winton Capital and their reported 100+ markets traded, or a more accessible program like Clarke Capital and their 27 markets – the calling card for multi-market systematic program (formerly known as trend followers) is their access to and monitoring of a wide array of markets across numerous sectors: Energies, Grains, Softs, Metals, Meats, Currencies, Interest Rates, Stock Indices, and more.
[Source: Welton Investment Corporation]
One of the reasons most managed futures programs cover such a wide array of markets is that they don’t know where the next trend will come from; they just know it will come somewhere. By following many markets, they can be assured of being in the right place at the right time when a market decided to start trending.
Or more correctly put when considering it from the risk side, they can have comfort in knowing that the same catalyst is highly unlikely to cause loss making trend reversals and/or false breakouts in markets as diverse as diverse as Japanese Govt. Bonds and Natural Gas (again, per the ultra scientific - ‘don’t put all your eggs in one basket – property).
Why this works is a bit more advanced, but boils down to the fact that markets do different things at different times, and don’t all go up and down together (most of the time). The statistic for measuring how closely tied these up and down movements are is called correlation, and we have included a chart showing the cross correlations between a broad mix of markets below.
As a refresher, correlation is a statistical figure with values which range between -1.00 and +1.00, meant to show how inter-related two sets of data (in this case monthly % returns) are. If they have a correlation of 1.00, they are perfectly correlated, meaning when one market rises 1%, the other will do the exact same, and when one loses -1%, so will the other. If they are at -1.00, they are exactly opposite; with one making the exact opposite amount the other loses each day, and vice versa.
Market diversification seems to work for managed futures because the predominant color of the chart below is not dark green or dark red, but a shade of yellow – meaning that most cross correlations between markets are somewhere in between -0.25 and +0.25, which are readings in the range better known to statisticians as non correlated. Indeed, the average correlation coefficient across the 930 separate readings in the correlation matrix is a low 0.14.
Other methods utilized within market diversification include Sector Diversification, by requiring a certain number of markets in each sector be included and/or restricting exposure to a certain sector to only so much risk. And some managers (especially larger ones) will use a unique type of market diversification where they spread out the large number of contracts they need to execute amongst several different contract months for the same commodity (buying June, July, August, and September Crude Oil for example).
Nearly all managed futures programs, with the exception of single market stock index programs and specialty programs focusing on markets like Gold use market diversification, and it's easy to see why. The ability of different markets to zig while others zag, creates the potential for increased returns and lower volatility and drawdowns. The only con…that correlation is dynamic and ever changing, meaning that markets and sectors previously non correlated can become highly correlated over short periods of time (see 2009), removing the benefit of diversification and actually making a broad portfolio more risky.
Next up is strategy, system, or model diversification – which are all ways of describing the practice of utilizing several different trading models within a single program. This can be as simple as having two trend following models, for example: one which uses a 200 day look back for entries and exits, and one which uses a shorter 80 day look-back. Or as advanced as billion dollar manager QIM who has 100-500 models active at any one time.
While model diversification seems to have started out with the practice of slightly different themes on the same model (different moving averages as parameters for the same model, for example); we have seen more and more of seemingly conflicting models such as trend following and counter trend working on the same markets in the same account.
The appeal for the use of different strategy types is simple enough to understand, when considering that the market is not always trending, nor always oscillating, and so on – meaning that there will be times when a model meant to do well in a trending or oscillating environment, for example, will not do well. The obvious fix for many managers as a way to reduce the risk of a poor environment for one of their models, is to add a model which can do well in that environment.
It is yet another example of not putting all your eggs in one basket, yet this time your eggs are not the ‘what’ you are trading, but the ‘how’ you are trading. Advanced stuff, to be sure.
The great thing about this strategy is it allows you to make money in all kinds of markets. Looking back at performance, you’re likely to see a smoother equity curve overall [past performance is not necessarily indicative of future results]. However, the strategy, potentially, can suffer from over-optimization. It also may not be as diverse as you think. At times, you’ll notice that these models are really just varying timeframes of trend following.
Programs Using This Strategy:
APA Modified Program, APA Strategic Diversification Program, 2100 Xenon Managed Futures Program, 2100 Xenon Fixed Income Program, Accela Capital Management Global Diversified, Accela Capital Management Global Diversified, Dominion Capital Management, Futures Truth Company MS4, Futures Truth Company SAM 101, III Associates III Futures Neural Network, Integrated Managed Futures Corp. Global Investment Program, Integrated Managed Futures Corp. IMFC Global Concentrated, James River Capital Corp Navigator Program
Time Frame Divesification
Time frame diversification is exactly what it sounds like – mixing up trading by running the same models on different time frames (10 minutes, versus hourly, versus daily, versus weekly – for example). In addition to the length of time the model considers (10mins, daily, etc), time frame diversification also shows up in how long the average trade is for a model. A model run on 10 minute data may have an average hold time of less than one day, for example, while a model run on weekly data would likely have an average hold time measured in months.
The table below shows different performance statistics of the exact same trend following model run on the same market (2yr Notes) as run on four different time frames, to highlight just how different the results can be when just changing a single input – time.
[The following is an example of the topic discussed and does not represent trading in an actual account]
Because of these different possible hold times for a trade, time frame diversification also allows for a type of hedging, whereby the program may be long a market on a longer time frame, but see a shorter time frame initiate a short trade (thereby hedging the long position). This would seem like a no win situation, as you are both long and short, which net out to flat – but it is possible to make money (and lose) on both sides of the trade, because they can exit their respective trades at different times (after the market has sold off, ideally, in the case of the short; and after it has rallied back, in the case of the long).
Programs Using This Strategy:
APA Modified Program, APA Strategic Diversification Program, Dominion Capital Management, Futures Truth Company MS4, III Associates III Futures Neural Network
Trade Structure (Loss defined by trade parameters)
This is a specific type of risk protocol used almost exclusively by option trading managed futures programs, and is a direct function of the products they choose to trade in their programs.
The easiest example is a trade in which you buy a Put. Because of the mechanics of option trading, which we don’t have the space to get into here, buying a put has a defined risk equal to the price you pay for the put. You can’t lose anything more than the price you paid for that put.
Likewise, if you set up more advanced option spread strategies such as an iron condor, bull call spread, straddle or the like – the trade structure itself can be the method of controlling risk. This ability to define the risk of a trade before entering it, to define it by the very order placed - is likely the very reason so many traders, novice and professional alike, are drawn to options.
The benefit to this kind of strategy is its defined risk, but that also limits the potential return - as if you are buying insurance to define your risk.
Programs Using Strategy:
Cervino Capital Management Llc Diversified Options 1x, Cervino Capital Management Llc Diversified Options 2x, Clarity Capital Management, Crescent Bay Capital Management Balanced Volatility
Delta Neutral (Spread)
While this is more of a trading strategy than risk methodology, there are some managers who will initiate spreads to reduce risk. The logic for using spreads as a risk tool usually stems from a feeling that a position in the opposite direction in the same market in a different contract month (calendar spread) or a position in the opposite direction in a highly correlated market (intermarket spread) gives the manager greater flexibility in handling the trade.
The logic behind using a spread to diversify risk is that the directional risk of the market can be replaced by the relational risk, with the thought that if you have a long June Crude Oil contract and Short December Crude Oil, they aren’t likely to diverge greatly (with both going down or up in tandem, although not by the same amount).
In addition, for markets which are locked limit up or down, spreads in highly correlated markets not also locked limit may be initiated, as well as spreads using synthetic positions initiated via options trades, which don’t lock limit when the underlying futures of the options market do (not sure who snuck that one past).
There are two advantages to this strategy. First and foremost, it can be far less volatile than a directional program, as spreads generally move just a fraction of the amount the underlying market moves. Second, the use of spreads to control risk can also lead to profits when traditional managed futures strategies struggle, as spreads have their own trends. However, there is also the somewhat hidden potential to lose on both sides of the trade.
Programs Using Strategy:
Emil Van Essen Spread Trading-High Minimum, Emil Van Essen Spread Trading-Low Minimum, Emil Van Essen Spread/Index Program, Rosetta Capital Management, Rosetta Capital Management Macro
When all else fails – go with your gut. This is a dangerous game to be sure, but some discretionary programs do at times rely solely on the manager’s skill to manage risk. A CTA using this method may get out at a loss of -3% some times, then hold on much longer another time if they ‘feel’ a market is unlikely to go any further, etc. They may sometimes load up on a single trade, and sometimes spread their risk between several trades or markets.
The allure of this method, even if it is merely an overlay over automated risk controls, is the human touch. The world doesn’t quite look like the futuristic vision from the movie Terminator yet, where the computers have taken over; and it is extremely difficult to program into a model every eventuality that may pop up in the markets. Indeed, there will be ones you were unable to foresee even if you had the time and skill to program all the known risks into your models. So at some level, it makes sense to have some risk control be in the managers hands, and have the manager be able to take risk off the table even if it is based purely on a ‘gut’ feeling.
The advantage here is that the program isn’t tied to one strategy. The manager can be flexible with his trading and turn a profit in any environment… theoretically. The main problem is that it becomes very difficult to identify strategy drift unless it’s blatantly obvious, and by that point, it may be too late to prevent severe losses. You may also see the manager get married to a trade, as we saw with Dighton do with crude in late 2008/ early 2009.
Programs Using Strategy:
Dighton Capital CTA Ltd (Aggressive Trading Program), Dighton Balanced, Mesirow Financial Commodities Absolute Return Strategy, Mesirow Financial Commodities Low Volatility Absolute Return Strategy, Global Ag
Turns out there are more than a few ways professional commodity trading advisors manage risk and diversify their portfolios, with everything from the what, how, and when to trade structure and gut feelings.
The best part – there will be more in the future as manager’s learn more about their programs, the markets, and risk in general. One of the biggest advantages managed futures have over other types of investments, in our opinion, is this evolutionary property, where you aren’t just investing in what the manager knows and how they control risk now, but also investing in what the manager will find out and how they will diversify risk in the future.
Вот так новость. Появились слухи что Тимоти Сайкс, снявшийся в первой серии фильма "Воины УолСтрит", по примеру Александра Герчика, тоже игравшего одну из главных ролей в этом фильме, переезжает в Москву работать в торговой компании и тренировать молодых русских трейдеров.
приезжает к нам в Москву..
Это тот, который стартанул с 12 000$ ------> 2 000 000 $. Это тот, который в WallStreetWarriors... И тот, который до сих пор хуевертит... Выкладывает трейды на какой-то profit.ly и рассказывает всем как он это делает..
Чесно говоря, я вижу в нем свою следующую ступень.. Уровень бренда, так сказать)) Ну а что... он такой же как я.. оболтус... пришел на рынок и всех вИйграл)) Разница между нами только в том, что он уже на ламбе, а я еще нет
Схема поддержания своего бренда схожа с моей.. Я тоже выставляю свою торговлю и стратегию напоказ... незабесплатно конечно) Этим я увеличиваю капитализацию своего имени.. и щитаю, что делаю очень правильно.
В общем, если хотите посмотреть на того, кем я хочу быть вам придецо раскошелицо на 1000$))
Полная стоимость семинара 33 000р.
Стоимость при оплате до 18-го мая 28 000р.
ТОРГУЕТ НА NYSE! Поэтому если это ваша площадка - думаю есть толк посетить.
Если вы на фьючах - делать там не*уй)) Лучше ко мне сходите как-нибудь)My-trade МегаБлог
SENIOR VP, CLIENT PORTFOLIO MANAGEMENT | ATTAIN CAPITAL MANAGEMENT, LLC
Managed Futures have come a long way in the past 37 years, and so has Barbara Mueller, who will be retiring at the end of March after nearly four decades dealing with futures trading. Barbara has been working in the industry since 1973, and has been an invaluable asset to Attain Capital since 2006.
In honor of her retirement, we're taking a break from our traditional analysis this week to pay tribute to Ms. Mueller. It has been an honor to work with someone as knowledgeable, talented and motivated as Barbara, and here she provides us with her (often comical) insight from 37 years of experience in the world of futures trading.
Moving Forward, Looking Back
When Attain asked me to come up with a list of the best things I’ve learned after more than 3 ½ decades in the futures industry, it was pretty daunting. After all, 37+ years ago, we were in the stone age of trading. We did have the wheel (and telephones), but there were no personal computers, no fax machines, no stock index futures, no US options on futures, no 24 hour markets, and gold was trading at $135 an ounce. There were no Treasury bond futures or other financial instrument futures. The CFTC and NFA (the futures regulatory agencies) did not exist yet. We were governed by the CEA -the Commodity Exchange Authority. And the list goes on.
Typical commissions were $75 to $100 round turn. Account forms were only 1 page! Some of the prices were still written on blackboards at the Chicago Board of Trade and you could inspect physical grain there as well. The whole managed futures industry was an still an embryo, with Richard Dennis not teaching his Turtles until 1983 and Paul Tudor Jones still a clerk on the trading floor. S&P futures, the most popular trading system vehicle in the world, wasn’t launched until 1982 (the minis didn’t start trading until 1997!) Options on commodities in the United States weren’t authorized until 1984 and System Writer, the precursor to Trade Station, wasn’t launched until 1989.
As one of the first women brokers in the futures industry, it’s been quite a journey-and an accidental one at that. I was just waiting for a teaching job to open up in the Chicago Public School System and my Dad suggested I go to work for one of his friends at the Chicago Board of Trade in the interim. Thirty seven years later, I guess I can no longer call this an “interim” job!
In the beginning…
My first real “brokerage” job in the industry was with Conti Commodities-a division of Continental Grain. Fortunately, that eventually led me to the world of system trading and managed futures. I was a nice Jewish girl from the Chicago North Shore suburbs, and trying to make a living calling farmers to tell them how to market their crops was laughable! I didn’t know the first thing about agriculture, and besides, most of America was not used to doing business with women. Being a 23 year old “girl” and cold calling men at night was a huge challenge (their wives were not thrilled, to say the least). I used to pretend I was the long distance operator just to try to get to talk to their husbands. In fact, I patterned my voice after the character, Ernestine, performed by Lily Tomlin on Saturday Night Live in 1976 (see here).
That same year I discovered technical trading. It allowed me to bypass all those USDA supply and demand stats, not to mention all the regional weather reports. Charting at that time had to be done by hand from prices in the commodity section of the Wall Street Journal. However, even charting trend lines, point and figures, Fibonacci numbers, Elliot Wave, etc. seemed to be lacking the precise trade discipline I sought.
I read a book in the late 70’s by Charles Lindsay called The Trident System. I was hooked. I programmed it into my calculator and off I went. As I started craving more sophisticated systems, I attended dozens of system seminars presented by Larry Williams, Wells Wilder, etc. for $3000 a piece-(that was a lot of money back then) In fact, an early client of mine who used to also attend, started the Club 3000 network to review all these systems and report on their claims. (This was 3 years before Futures Truth first published.)
My career has taken me from a being cold calling saleswoman at Rosenthal Collins back in the London Options’ days, to the hay day of Conti Commodity; from the junk bond, Michael Milken, days at Drexel Burnham Lambert, to Bear Stearns, where I incurred my most embarrassing moment ever. In between were stints at Blunt Ellis and Lowe, Stotler, Index Futures Group, MF Global, LFG, and Refco. Of all those clearing firms, only MF Global is still around. I’ve outlasted everyone it seems!
If you read the embarrassing moment story above, you realize that was not the end of my professional career.
In 1999, I started my own trading firm, Growth Financial, a firm totally committed to Managed Futures. In 2006, we merged with Attain, and I quickly knew they were the ones to carry the torch: A firm that was, and continues to be, a leader in new, cutting edge technologies. A firm based on knowledge of the markets, integrity and honesty. We had a lot of offers from other firms, but Attain was the only choice as far as we were concerned. At Attain, the client has always come first. That’s why I’m keeping my accounts with them and like most of you, will be a client.
So after taking this long, incredible journey, what have I learned and what can I pass on to you? The number one thing that struck me as I was going through all the boxes I have been schlepping around for all these years and re-reading articles and newsletters I wrote is this: No matter how much has changed in the world: technology, the global nature of the markets, the economy, etc. ; the economic principles I’ve espoused and preached for all these years, still retain their importance today. All the tenets I adopted so long ago are still the ones that hold true for successful investing in today’s global economy. It is what we at Attain still preach to clients. Some of these are actual excerpts from articles and newsletters I wrote in the early 90’s!
Without further ado, 20 things I’ve learned after 37 years in the futures business:
#1: DISCIPLINE, DISCIPLINE, DISCIPLINE. It was my first rule then and it’s my first rule now. Whether you are an investor, a broker or a CTA, emotional decision making is often a trader’s worst enemy. Automated trading systems and many CTAs rigidly follow proprietary trading systems which remove this emotional element from trading. And, frankly, most individual investors don’t have the ability to be that disciplined.
#2: Your largest drawdown is always in the future. (This is the only part of trading that is guaranteed!)
#3: The markets can remain irrational far longer than you can remain solvent! (I had this printed above my desk for years!) That’s why you need #1!
#4: Manage risk successfully and the rest will take care of itself.
#5: When trading managed programs, allow for double the historical drawdown both emotionally and financially. Have an exit strategy in place before you start trading, as once you are in a trade or program, you are no longer objective and you are managing your thought process emotionally.
#6: Consider booking the profits on one program before the trading level is increased and use them to fund a different program. This can help build a diversified portfolio with the house’s money, so to speak, which may help smooth your equity curve.
#7A: Don’t double up on your investment at new equity highs. A normal drawdown at 2 times speed will likely exceed the profits you just made.
#7B: Do consider adding new programs and systems during a drawdown. This is hard to do since confidence levels are always highest at the equity peak and lowest at the equity valley.
#8: Don’t trade FOREX unless you are a bank! This will probably get me in hot water with all the Forex system developers out there. But really folks, I have never spoken with a single investor who has made money with FOREX in real time (despite what all those ads say).
#9: Don’t cherry pick trades. When you are following a system, take all the trades, not just the ones you agree with. After all, if you were such a trading genius, you wouldn’t need a system to begin with. This is the best reason I know for managed futures!
#10: Don’t fall prey to Great Trade/Month/Year Syndrome - This is what I call the condition which seems to occur after a nice run for an investment causes someone to believe they are a financial genius – inevitably leading to poorer investment decisions.
#11: Don’t bargain with God as your primary method of risk management. It rarely works-unless you are one of the chosen few (none of whom I personally know). I learned this lesson the hard way in the late 70’s when I was trapped for 10 consecutive trading days in a limit move and all the praying in the world couldn’t get me out.
#12: Choose the right broker. As technology exploded, so did the sophistication and popularity of systems and managed futures. The sheer number of systems, CTA’s, and futures based hedge funds offered today seems infinite. You need an expert pilot to navigate these waters. Clearly, I think Attain is the best possible choice.
#13: Develop strong relationships with your clients. Otherwise, you are only as good as your last trade. A personal aside: many years ago I had a client who had never made money with me- mostly because he cherry picked only certain trades from a system (see #9). He called to tell me he was leaving for another broker and I wished him luck and told him if things didn’t work out-he could always come back. About 2 years and many brokers later, he called to say he wanted to reopen his account. I was astounded and asked why-his answer was that he’d tried a number of other brokers and had not made money with them either. He said that if he was going to lose, he wanted to do it with someone he trusted and felt cared about him. So men-listen up-let your warm and fuzzy flag fly!
#14: When the “you know what” hits the fan-don’t hide! Communicate with your clients and reassure them you are minding the store and understand their discomfort. It’s what you would want if the shoe was on the other foot, and what you owe to them in the relationship.
#15: Put your money where your mouth is. Share your own personal investment decisions. If the recommendation isn’t good enough for you-why should it be good enough for your clients? And system developers, if you don’t have the confidence to trade your own system-why should I?
#16: Be honest about what you know and don’t know, then offer to find out the answer if you don’t. Don’t try to B.S. or finesse the answer-you’ll look and sound like a fool and destroy any trust you’ve built.
#17: Don’t choose your broker solely by the lowest commission rate. Remember, in life, you typically get what you pay for!
#18: Check what commission rate you will be charged INCLUDING ALL FEES.
#19: Don’t ever pay up front for a trading system (excluding newsletters subscriptions and software).
#20: Allow enough for slippage and commissions when analyzing a track record. Most vendors and brokers deduct little or nothing and this will drastically alter a system’s performance. Mostly, this applies to systems, as registered CTAs are required by law to show net results. Attain Capital is one of the few firms who show net system results. http://www.attaincapital.com/alternative-investment-performance/trading-systems/recommended-systems/page1
In the land of should, the above rules are easy and no doubt seem obvious and simplistic. However, even after all these years in the business, maintaining discipline is sometimes a challenge. After all, I’m an emotional creature like everyone else, and like you, I detest losing money. There is nothing we hate more than getting out at the bottom; and it is that fear that keeps us at the party too long. Thankfully, Attain will be watching my back!
As to what’s next, I don’t know, but I’m definitely looking forward to the adventure! So, as I sail off into retirement, I’d like to thank Attain Capital for allowing me to finish out my career on a high note. Sometimes it was a struggle. When I first joined them, they wanted a paperless office and had to literally pry my rolodex out of my hands (they had never seen one before). I came late to advanced technology and the learning curve wasn’t always smooth. Thanks, Attain for putting up with me, (most of the time). J
I’d especially like to thank all of my clients. It’s been an honor and a privilege to work with you. To all the clients who followed me over the years from firm to firm, you and your families have become close friends, and it is those relationships that kept me focused when the going got tough.
My warmest regards,
SENIOR VP, CLIENT PORTFOLIO MANAGEMENT | ATTAIN CAPITAL MANAGEMENT, LLC
Все уже знают о пузыре на Серебро. Весь вопрос, когда он лопнет, прямо сегодня или дойдет до 100, а может и больше. Вот, например, у меня по Серебру открыты 3 позиции по трем трендследящим системам. Ни в одной из них нету тейк-профита, то есть всегда отдается накопленная прибыть прежде чем позиция закроется по стопу. Если бы знать, что скоро вершина, можно было бы просто зафиксировать прибыль -- даже если и подрастет еще долларов на 5-10, все равно по стопу закроется ниже чем если зафиксировать прямо сейчас. Можно, конечно, просто строго придерживаться системы и не дергаться -- где закроется, там и закроется. Но все-таки случай необычный -- уж очень сильно выросло и может еще быстрее обвалиться и придется отдавать слишком много накопленной прибыли.
Насчет Системы №1 все понятно -- там довольно плотные стопы -- потери будут небольшие. А вот по Системе №2 выглядит так:
В WLD6 есть полезная утилита "Время Жизни Позиции" -- на процентной шкале отражаются все позиции по системе за 25 лет:
Сегодняшняя позиция обозначена голубой линией, которая уже более 50%. Видно, что в истории по этой системе уже был трейд в котором вершина дошла до 50%, а потом отдала 25% накопленной прибыли. Поэтому может быть пришло время зафиксировать прибыль сегодня-завтра?
По системе №3, которая более чем в раза долгосрочнее второй системы, ситуация такая:
Здесь, вообще, если Серебро пойдет камнем вниз, то будет отдано более половины накопленной прибыли. Но, с другой стороны, если еще долго будет идти вверх до 100, просто время от времени корректируясь, то можно уйти очень далеко и стопы сами собой подтянутся хотя бы до 80.
А "время жизни" позиций по этой системе выглядит так:
Сегодняшняя позиция обозначена голубой линией, которая подошла к 40%.. Видно что в истории системы было два трейда, когда прибыль повышалась до 60 и 70%, но потом отдавала прибыль до 40%. Так что, по идее можно закрыться вручную если прибыль вырастет до 60%.
Вот такая дилемма. Можно ничего не делать, пусть все решат системы, но помню как очень удачно недавно закрылся на самой вершине по Хлопку в аналогичной ситуации. Но всегда везти не может и в этот раз можно продешевить и упустить пузырь века, если он еще на 100-200% разовьется, а перезайти уже не дадут возможностиМегаБлог
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