《The Man Who Solved The Market》中文版翻译连载36

文艺复兴每次交易加元都亏损:系统失灵了?还是被骗了?

《The Man Who Solved The Market》中文版翻译连载36
解决市场的人

The MAn Who Solved The Market (39)

Beyond the repEAting sequences that seemed to make sense, the system BerleKAmp, Straus, and Laufer developed spotted barely perceptible patterns in various markets that had no apparent explanation. These trends and oddities sometimes happened so quickly that they were unnoticeable to most investors. They were so faint, the team took to calling them ghosts, yet they kept reappearing with enough frequency to be worthy additions to their mix of trade ideas. Simons had come around to the view that the whys didn’t matter, just that the trades worked.

除了有些看起来有意义的重复序列之外,伯莱坎普、斯特劳斯和劳弗开发的系统在不同的市场中发现了难以察觉的模式,这些模式并没有明显的解释。这些趋势和异常有时候出现的如此迅速,以至于大部分投资者都没有注意到。它们又如此模糊,团队称之为“幽灵”,但它们不断重现的频率足以成为团队混合交易理念的补充。西蒙斯改变主意认为原因并不重要,重要的是交易员们在起作用。

As the researchers worked to identify historic market behavior, they wielded a big advantage: They had more ACcurate pricing information than their rIVals. For years, Straus had collected the tick data featuring intraday volume and pricing information for various futures, even as most investors ignored such granular information. Until 1989, Axcom generally relied on opening and closing data, like most other investors; to that point, much of the intraday data Straus had collected was pretty much useless. But the more modern and powerful MIPS (million instructions per second) computers in their new offices gave the firm the ability to quickly parse all the pricing data in Straus’s collection, generating thousands of statistically significant observations within the trADIng data to help reveal previously undetected pricing patterns.

当研究员们努力辨认历史市场行为时,他们利用了一个巨大优势:比对手拥有更多正确的价格信息。几年来,斯特劳斯收集了各种期货日内交易量的分笔股票数据以及价格信息,尽管大多数投资者忽略了这些细微的信息。直到1989年,Axcom像大多数其他投资者一样依靠开盘和收盘数据;在这一点上,斯特劳斯收集的部分盘中数据几乎毫无用处。但是更多现代化的、有强大处理功能的计算机让公司有了能快速解析斯特劳斯收集的数据,在交易数据中产生数以千计的有巨大统计意义的观察结果,以便揭示以前未被发现的价格模式。

“We realized we had been saving intraday data,” Straus says. “It wasn’t super clean, and it wasn’t all the tick data,” but it was more reliable and plentiful than what others were using.

“我们有意识的一直在保存盘中数据,”斯特劳斯说。“虽然并不是超级干净,也不是全部的分时数据,”但是比别人使用的更可靠也更丰富。

By late 1989, after about six months of work, Berlekamp and his colleagues were reasonably sure their rebuilt trading system — focused on commodity, currency, and bond markets — could prosper. Some of their anomalies and trends lasted days, others just hours or even minutes, but Berlekamp and Laufer were confident their revamped system could take advantage of them. The team found it difficult to pinpoint reliable trends for stocks, but that didn’t seem to matter; they’d found enough trading oddities in other markets.

到1989年年末,在历经6个月的努力后,伯莱坎普和他的同事们有理由相信重建的交易系统——该系统主要关注大宗商品货币以及债券市场——能大获成功。一些异常现象及趋势可持续几天,另一些只能持续几小时甚至几分钟,但是伯莱坎普和劳弗相信,他们修改过的系统可以抓住这些现象。研究小组发现,很难确定股票市场上的可靠趋势,但是这似乎并不重要;他们已经在其他市场上找到足够的异常交易。

Some of the trading signals they identified weren’t especially novel or sophisticated. But many traders had ignored them. Either the phenomena took place barely more than 50 percent of the time, or they didn’t seem to yield enough in profit to offset the trading costs. Investors moved on, searching for juicier opportunities, like fishermen ignoring the guppies in their nets, hoping for bigger catch. By trading frequently, the Medallion team figured it would be worthwhile to hold on to all the guppies they were collecting.

他们识别的一些交易信号并不是特别异常或复杂。但是很多交易员都忽略了它们。这种现象要么在超过一半的时间内都有出现,要么似乎没有产生足够的利润去覆盖交易成本。投资者会继续寻找更诱人的机会,就像渔民无视网里的小鱼希望能捕获更大的。由于交易频繁,大奖章团队认为他们收集的所有数据都值得被留存下来。

The firm implemented its new approach in late 1989 with the $27 million Simons still managed. The results were almost immediate, startling nearly everyone in the office. They did more trading than ever, cutting Medallion’s average holding time to just a day and a half from a week and a half, scoring profits almost every day.

1989年末,公司实施了新策略西蒙斯仍管理着2700万美元的资产。结果立竿见影,几乎让办公室里的每个人都大吃一惊。他们的交易量比以往任何时候都多,并把大奖章的平均持仓时间从一周半缩短到一天半,几乎每天都能盈利。

Just as suddenly, problems arose. Whenever Medallion traded Canadian dollars, the fund seemed to lose money. Almost every trade was a dud. It didn’t seem to make sense — the model said Medallion should be racking up money, but they were losing, over and over, every day.

但突然间,问题出现了。无论大奖章基金什么时候交易加拿大元,基金都会亏损。几乎每次交易都会失败。这似乎说不通——模型认为大奖章基金应该获利,但他们每天都一再地亏钱。

One afternoon, Berlekamp shared his frustrations with Simons, who called a trader on the floor of the Chicago Board of Trade to get his take on their problems.

一天下午,伯莱坎普向西蒙斯诉苦,西蒙斯给芝加哥期货交易所的场内交易员打电话询问他对公司所遇到问题的看法。

“Don’t you know, Jim?” The trader told him, with a chuckle. “Those guys are crooks.”

“吉姆你不知道么,”这名交易员笑着告诉他,“那些人是骗子。”

Only three traders on the exchange focused on Canadian dollar futures, and they worked hand-in-hand to take advantage of customers naive enough to transact with them. When Simons’s team placed a buy order, the brokers shared the information, and the traders immediately purchased Canadian dollar contracts for themselves, pushing the price up just a tad, before selling to Simons and pocketing the difference as profit. They’d do the opposite if Medallion was selling; the small differences in price were enough to turn the Canadian dollar trades into losers. It was one of Wall Street’s oldest tricks, but Berlekamp and his fellow academics were oblivious to the practice. Simons immediately eliminated Canadian dollar contracts from Medallion’s trading system.

交易所里只有三名交易员专注于加元的交易,他们联手,利用那些足够天真与他们进行交易的客户。每当西蒙斯团队下达了买入指令,经纪人们就会分享这一消息,然后他们就立刻为自己买入加元合约,将价格推高一些,再把合约卖给西蒙斯,以此赚取差价。如果大奖章基金要卖出,他们则相反操作;这些价格上细微的差别已足够将加元交易成为输家。这是华尔街最古老的的把戏之一,但是伯莱坎普和他的学术同僚们毫不知情。西蒙斯立即将加元合约从大奖章的交易系统里移除了。

A few months later, in early 1990, Simons called Berlekamp with even more unsettling news.

几个月之后,1990年初,西蒙斯带着一些更令人不安的消息打通了伯莱坎普的电话。

“There’s a rumor Stotler is in trouble,” Simons said, anxiety in his voice.

“有传言说斯托克勒有麻烦了,”西蒙斯的声音中透露出焦虑。

Berlekamp was stunned. Every signal one of Medallion’s positions was held in accounts at the Stotler Group, a commodity-trading firm run by Karsten Mahlmann, the top elected official at the Chicago Board of Trade. Berlekamp and others had viewed Stotler as the safest and most reliable brokerage firm in Chicago. If Stotler went under, their account would be frozen. In the weeks it would likely take to sort out, tens of millions of dollars of futures contracts would be in limbo, likely leading to devastating losses. Straus’s sources at the exchange confided that Stotler was struggling with heavy debt, adding to the nervousness.

伯莱坎普呆住了。斯托克勒是一家大宗商品交易公司,由芝加哥期货交易所的最高民选官员卡斯滕·马尔曼经营,而每个信号表明,大奖章的头寸都在斯托克勒集团的账户上。伯莱坎普和其他人都认为斯托克勒是芝加哥最安全、最可靠的经纪公司。如果斯托克勒倒了,那么他们的账户将被冻结。在数周的时间内将无法卖出,数千万美元的期货合约将陷入困境,可能会导致毁灭性的损失。斯特劳斯在交易所的消息来源证实了斯托克勒陷入债务危机,这更加剧了紧张局势。

These were just rumors, though. Shifting all of their trades and accounts to other brokers would be cumbersome, time-consuming, and cost Medallion money just as it was turning things around. Stotler had long been among the most powerful and prestigious firms in the business, suggesting it could survive any setback. Berlekamp told Simons he was unsure what to do.

然而这些只是谣言。在扭转局面的同时,将所有交易和账户都转移到其他经纪人那里既繁琐又耗时,而且花费巨大。长期以来,斯托克勒都是该行业最强大、最负盛名的公司之一,这也说明它能够经受任何挫折。伯莱坎普跟西蒙斯说他不知道该怎么办。

Simons couldn’t understand his indecision.

西蒙斯不能理解他的优柔寡断。

“Elwyn, when you smell smoke, you get the hell out!” Simons told him.

“埃尔温,当你闻到烟味,你就必须逃出去!”西蒙斯告诉他。

Straus closed the brokerage account and shifted their trades elsewhere. Months later, Mahlmann resigned from Stotler and the Chicago Board of Trade; two days later, Stotler filed for bankruptcy. Eventually, regulators charged the firm with fraud.

斯特劳斯关闭了经纪账户,并把交易转到其他地方。几个月之后,马尔曼从斯托克勒公司和芝加哥期货交易所辞职;两天后,斯托克勒宣布破产。最终,监管机构指控这家公司欺诈。

Simons and his firm had narrowly escaped a likely death blow.

西蒙斯和他的公司险些遭受灭顶之灾。

(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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