《The Man Who Solved The Market》中文版翻译连载36
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交易理念的补充。 改变主意认为原因并不重要，重要的是 们在起作用。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 和异常有时候出现的如此迅速，以至于大部分 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
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 的 量的分笔 数据以及价格信息，尽管大多数 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.
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.
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.
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.
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.
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.
“Don’t you know, Jim?” The trader told him, with a chuckle. “Those guys are crooks.”
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.
A few months later, in early 1990, Simons called Berlekamp with even more unsettling news.
“There’s a rumor Stotler is in trouble,” Simons said, anxiety in his voice.
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.
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.
Simons couldn’t understand his indecision.
“Elwyn, when you smell smoke, you get the hell out!” Simons told him.
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.
Simons and his firm had narrowly escaped a likely death blow.