資金管理法則

(奇摩原貼：2008/09/04)

一個成功的交易奠基於3個M, 也就是心態 (Mind), 方法 (Method) 和資金(Money). 心態指的是交易心理, 方法說的是市場分析, 而資金著重於風險管理.  資金(Money)這個M是最終的成功之鑰, 因為你的資金管理流程, 正反映著你的交易心理狀態, 和牽涉著市場分析的品質. 市場上談論的多數課題幾乎都與Method相關, 近來有關於交易心法Mind的論述也有漸多的趨勢, 可惜關於資金管理部分, 始終不受重視, 更缺乏依循的標準! 畢竟這是成功交易者的不傳之秘, 很少人願意公開地揭露, 偶有凱利公式 (Kelly's Formula) 或Optimal F 流傳, 總是因為適用性或是數學計算繁複等問題, 又被丟在角落裡發霉.

最近有幸讀到一位心理醫學博士 Dr. Elder Alexander, 也是一個多年成功的交易人寫的一本書 -- Come Into My Trading Room, 裡面無私地分享了一個他認為很不錯的資金管理法則, 我重點列式如下, 以供有緣人(因本書無中譯本) 參考. 依據他的法則, 我做了自我檢討, 今年的我過度保守, 比他建議的還保守許多, 如此的恐懼心態才讓我陷入John Piper 為操作者所定義的【恐懼導向階段】; 至於大多數的投資人, 相反地, 我相信應該緊縮曝險部位, 長期地在資本市場裡生存下來, 以求有機會驗證你交易系統的績效.

1. Measure your account value on the first of the month—the total of cash, cash equivalents, and open positions.

2. Calculate 2% of your equity. This is the maximum you may risk on any given trade.

3. Calculate 6% of your equity. This is the maximum you are permitted to lose in any given month, after which you must close out all trades and stop trading for the rest of that month.

4. For every trade, decide on your entry point and a stop; express your risk per share or per contract in dollars.

5. Divide 2% of your equity by your risk per share to find how many shares or contracts you may trade. To get a round number, round it down.

6. Calculate your risk on all open positions by multiplying the distance from the entry point to the current stop by the number of shares or contracts. If the total risk is 4% of your account or less, you may add another position, since you’ll be adding 2% with your current trade, bringing the total to 6%. Remember, you do not have to risk 2% per trade; you may risk less if you like.

7. Put on a trade only after meeting all of the above conditions.

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