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《The Man Who Solved The Market》中文版翻译连载35

对冲基金就像赌场:如果交易量够大 你只要有51%正确率就够了

《The Man Who Solved The Market》中文版翻译连载35
解决市场的人

The MAn Who Solved The Market (35)

BerleKAmpand his collEAgues hoped Medallion could resemble a gambling casino. Just as casinos handle so many daily bets that they could need to profit from a bit more than half of those wagers, the Axcom team wanted their fund to trade so frequently that it could score big profits by making money on a bare majority of its trades. With a slight statistical edge, the law of large numbers would be on their side, just as it is for casinos.

伯莱坎普和他的同事希望大奖章基金能像一个赌场。就像赌场每天处理大量赌注,所以他们只需从超过一半的赌注上赚钱一样,Axcom团队希望能频繁交易,这样就可以通过绝大多数的交易获利来赚取巨额利润。这在统计学上有一点优势,大多数定律将站在他们一边,就像赌场一样。

“If you trade a lot, you only need to be right 51 percent of the time,” Berlekamp argued to a colleague. “We need a smaller edge on eACh trade.”

“如果交易的多,你只需要51%的正确率即可,”伯莱坎普告诉一位同事。“我们需要在每一笔交易上取得一个较小的优势。”

As they scrutinized their data, looking for short-term trADIng strategies to add to Medallion’s trading model, the team began identifying certain intriguing oddities in the market. Prices for some investments often fell just before key economic reports and rose right after, but prices didn’t always fall before the reports came out and didn’t always rise in the moments after. For whatever reason, the pattern didn’t hold for the US Department of Labor’s employment statistics and some other data releases. But there was enough data to indicate when the phenomena were most likely to take place, so the model recommended purchases just before the economic releases and sales almost immediately after them.

在仔细研究过数据后,为寻找短期交易策略加入到大奖章的交易模型中,团队开始发现市场中某些有趣的奇怪现象。某些投资品的价格通常会在关键经济数据公布前下跌,发布后再立刻回升,但价格并不总是在公布前下跌,也不是总在发布后立刻上涨。不管出于什么原因,这种模式在美国劳工部的就业统计和其他一些数据发布过程中并不成立。但有足够的数据表明,这种现象最有可能在什么时候发生,因此该模型建议在经济数据发布之前买入,在发布之后立即卖出

Searching for more, Berlekamp got on the phone with Henry Laufer, who had agreed to spend more time helping Simons turn Medallion around after Ax quit. Laufer was in the basement of Simons’s office on Long Island with a couple of research assistants from the Stony Brook area trying to revamp Medallion’s trading model, just as Berlekamp and Straus were doing in Berkeley.

为了寻找更多证据,伯莱坎普给亨利·劳弗致电,劳弗曾答应西蒙斯要花更多时间帮他在艾克斯辞职后扭转大奖章基金的形势。劳弗在西蒙斯长岛办公室的地下室里,和几个来自石溪地区的研究助理一起,试图改进大奖章的交易模型,就像伯莱坎普和斯特劳斯在伯克利所做的那样。

Sifting through Straus’s data, Laufer discovered certain recurring trading sequences based on the day of the week. Monday’s price action often followed Friday’s, for example, while Tuesday saw reveRSIons to earlier trends. Laufer also uncovered how the previous day’s trading often can predict the next day’s actIVity, something he termed the twenty-four-hour effect. The Medallion model began to buy late in the day on a Friday if a clear up-trend existed, for instance, and then sell early Monday, taking advantage of what they called the weekend effect.

通过对斯特劳斯的数据筛选,劳弗发现某种基于一周中某天的重复交易序列。比如说,周一的价格走势经常是跟随上周五的,而周二则会逆转回到此前的趋势中。劳弗还揭示了,通过前一天的交易是如何预测第二天的走势,这被他成为“24小时效应”。举例来说,如果周五有明显的上涨趋势,大奖章的模型会在当天晚些时候买入,然后利用所谓的周末效应在周一早间卖出

Simons and his researchers didn’t believe in spending much time proposing and testing their own intuitive trade ideas. They let the data point them to the anomalies signaling opportunity. They also didn’t think it made sense to worry about why these phenomena existed. All that mattered was that they happened frequently enough to include in their updated trading system, and that they could be tested to ensure they weren’t statistical flukes.

西蒙斯和他的研究员们认为,不应该花太多时间提出和测试依据自己的直觉作出的交易策略。他们让数据来指出异常的机会信号。他们也认为担心这些现象为何存在是没有意义的。重要的是,它们发生的足够频繁就可以纳入更新后的交易系统,而通过测试来保证他们不是统计上的侥幸成功。

They did have theories. Berlekamp and others developed a thesis that locals, or floor traders who buy or sell commodities and bonds to keep the market functioning, liked to go home at the end of a trading week holding few or no futures contracts, just in case bad news arose over the weekend that might saddle them with losses. Similarly, brokers on the floors of commodity exchanges seemed to trim futures positions ahead of the economic reports to avoid the possibility that unexpected news might cripple their holdings.

他们确实有理论支持。伯莱坎普和其他人建立了这样一种观点,那些维持着商品或债券市场买卖功能的自营交易者或场内交易员,喜欢在一周交易结束之前维持低仓位或清仓,以免周末出现坏消息给他们造成损失。同样,商品交易所的经纪人似乎都在经济报告公布前削减头寸,以免意外的消息会使持仓缩水。

These traders got right back into their positions after the weekend, or subsequent to the news releases, helping prices rebound. Medallion’s system would buy when these brokers sold, and sell the investments back to team as they became more comfortable with the risk.

这些交易员在周末后会回归到自己的仓位,或追随新闻买入,帮助价格反弹。大奖章的系统会在这些交易员卖出的时候买入,当交易员们认为风险较小时,系统则会把投资品卖回去。

“We’re in the insurance business,” Berlekamp told Straus.

“我们在做的是一门保险的生意,”伯莱坎普告诉西蒙斯说。

Oddities in currency markets represented additional attractive trades. Opportunity seemed especially rich in the trading of deutsche marks. When the currency rose one day, it had a surprising likelihood of climbing the next day, as well. And when it fell, it often dropped the next day, too. It didn’t seem to matter if the team looked at the month-to-month, week-to-week, day-to-day, or even hour-to-hour correlations; deutsche marks showed an unusual propensity to trend from one period to the next, trends that lasted longer than one might have expected.

外汇市场的异常现象则代表了更多有吸引力的交易。在德国马克的交易中机会尤其丰富。如果有一天当汇率上升时,那么第二天也有惊人的继续攀升的可能性。当汇率下行时,通常第二天也会下跌。研究德国马克的月、周、天,甚至小时之间的相关性似乎并不重要;它从一个时期的趋势转向下一个的时候表现出不同寻常的趋势倾向,而这种趋势似乎比预期的要持续的更长。

When you flip a coin, you have a 25 percent chance of getting heads twice in a row, but there is no correlation from one flip to the next. By contrast, Straus, Laufer, and Berlekamp determined the correlation of price moves in deutsche marks between any two consecutive time periods was as much as 20 percent, meaning that the sequence repeated more than half of the time. By comparison, the team found a correlation between consecutive periods of 10 percent or so for other currencies, 7 percent for gold, 4 percent for hogs and other commodities, and just 1 percent for stocks.

如果你掷硬币,你有25%的几率可以连续两次获得正面,但是两次掷硬币之间是没有相关性的。相反,斯特劳斯、劳弗以及伯莱坎普认为,在任意两个连续的时间段之间,德国马克的价格波动的相关性可达到20%,这也意味着价格序列在超过一半时间内会重复出现。相比之下,团队发现其他货币在连续时间段之间的相关性为10%,金价为7%,生猪和其他大宗商品为4%,而股票仅有1%。

“The time scale doesn’t seem to matter,” Berlekamp said to a colleague one day, with surprise. “We get the same statistical anomaly.”

“这些时间尺度数没什么意义,”有一天,伯莱坎普惊讶的对一位同事说道,“我们得到了同样的统计异常。”

Correlations from one period to the next shouldn’t happen with any frequency, at least according to most economics at the time who had embraced the efficient market hypothesis. Under this view, it’s impossible to beat the market by taking advantage of price irregularities — they shouldn’t exist.Once irregularities are discovered, investors should step into remove them, the academics augued.

一个时期到下一时期的相关性不应该以任何频率出现,至少当时大多数信奉有效市场假设的经济学家是这样认为的。在这种观点下,利用价格的不规律性打败市场是不可能的——它们根本不应该存在。学者们认为,一旦不规律性被发现,投资者们应该介入并消除它们。

The sequences witnessed in the trading of deutsche marks — and even stronger correlations found in the yen — were so unexpected that the team felt the need to understand why they might be happening. Straus found academic papers arguing that global central banks have a distaste for abrupt currency moves, which can disrupt economies, so they step in to slow sharp moves in either direction, thereby extending those trends over longer periods of time. To Berlakamp, the slow pace at which big companies like Eastman Kodak made business decisions suggested that the economic forces behind currency shifts likely played out over many months.

在德国马克交易中被验证的序列——在日元交易中被发现关联性更强——是如此出乎意料,所以大奖章团队感到有必要弄清楚可能发生的原因。斯特劳斯发现一些学术论文认为,全球各国央行都不喜欢突发的汇率波动,因为这可能会扰乱经济,所以他们采取措施以减缓大幅波动,从而在较长时间内延长汇率趋势。在伯莱坎普看来,像伊士曼·柯达这样的大公司做出商业决策的缓慢节奏表明,经济力量驱使的汇率波动可能会持续好几个月。

“People persist in their habits longer than they should,” he says.

“人们坚持习惯的时间比应该的更长,”他说。

The currency moves were part of Medallion’s growing mix of traceable effects, in their developing parlance. Berlekamp, Laufer, and Straus spent months poring over their data, working long hours glued to their computers, examining how prices reacted to tens of thousands of market events. Simons checked in daily, in person or on the phone, sharing his own ideas to improve the trading system while encouraging the team to focus on uncovering what he called “subtle anomalies” others had overlooked.

按照他们的说法,汇率波动是大奖章不断发展的可追踪效应的一部分。伯莱坎普、劳弗和斯特劳斯花了数月时间研究数据,长时间盯着电脑工作,研究价格是如何对成千上万的市场事件做出反应的。西蒙斯每天来检查,或是亲自过来或是打电话,分享他自己关于改善交易系统的想法,并鼓励团队专注于揭示他所说的其他人忽略的“微妙异常”。

(免责声明:仅供个人阅读学习及翻译参考。如有不准之处,请留言帮助改进)

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