一種選擇權買方操作法的省思

新疆夜市小吃

(奇摩原貼：2010/04/02)

選擇權買方賺一倍之後, 出場一半部位, 讓剩下一半部位續戰的類似 (mentally “play with the market’s money.”  )操作方法, 即使有時間價值的因素不能完全一概而論, 但是否也該考量一下此篇文章的觀點?

Source: Cite the "Patience in Profit Taking", by D. R. Barton, Jr.

Patience: trading plan to allow the trade to develop

The first and foremost was a consistent bias for taking profits too quickly. The second issue was moving stops up too tight and too early in the trade. As it turns out, they are quite closely related. Both issues have to do with a fear of giving back profits. (That’s a blatant case of stating the obvious.) At a deeper level, both issues—taking quick profits and trying to move a trade to breakeven too quickly—have to do with needing to be right about the trade. And fortunately, both issues have the same solution: exercising the patience to allow the trade to develop. That patience is most easily found by putting together a trading plan that clearly describes where profits will be taken and how (and if) stops will be trailed in the direction of the trade. If we step back and take an objective look, we can see that taking profits too quickly violates the golden rule of trading—cutting losses short and letting profits run. But in the heat of battle, it’s easy to forget even the most basic of rules.

There has been some good research over the years on the effectiveness of moving your stop to breakeven; research shows that it actually hurts profitability in the long run. The bottom line is that breakeven stops are psychologically comforting.  Moving to breakeven allows us to mentally “play with the market’s money.”  However, under most scenarios, it seems that breakeven stops are not helpful in making trading profitable.  I’ll reiterate that for traders newer to the game, leaving stops in their original protective position and having the patience to wait for the trade to develop will serve you best to learn the craft and to get the occasional bigger winner that really drives longer term equity increases.

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I pulled 11 books on trading systems off of my shelves and found only two that addressed breakeven stops in more than a cursory way.  Both are oldies but goodies: Chuck LeBeau’s and David Lucas’ excellent book Computer Analysis of the Futures Market and Bruce Babcock’s Guide to Trading Systems.

Both of these studies dealt with using breakeven stops in trend following systems.  Babcock is very negative philosophically on the use of breakeven stops, and his limited analysis using two different levels of profit to trigger a tightening to a breakeven stop showed that breakeven stops hurt profitability but reduced drawdowns—a minor negative for the breakeven stop camp.

Chuck’s study used a reversal/always in the market moving average crossover system.  He found that breakeven stops helped the results.  However, my bias here is that always-in-the-market systems are weak to begin with, so the addition of any exit that keeps you out of the market when it’s acting badly relative to your system is a good thing.  Nonetheless, this has to be considered a positive for the breakeven stop.

The last study was published by Bandy in Active Trader magazine and was much broader than the first two.  It covered 4000+ Exchange Traded Fund trades over almost 5 years.  His conclusion was that moving a stop loss to breakeven dramatically reduces profitability.  He applied his exit testing to a system that entered on the last day of the month and exited at the end of the next month.  So it was basically testing exit strategies with a timed random entry (meaning no other entry or set-up signals were used to filter entry).

In my early studies for counter trend strategies, I have not been able to find a breakeven stop method that improves performance by a statistically significant amount.  When my studies are concluded (or at least further along), I’ll pass the conclusions on.