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交易模型(6)

2016/04/11

上文講到過往五年即月期指結於1000點內的機會率已達60%(十年為61.3%), 咁點解每位個個月Short兩邊價外既朋友最後都總係輸到阿媽都唔認得呢? 原因係因為哩個做法根本長遠就唔能夠產生正回報, 就係咁簡單

 

依家我地就黎睇下到底咁做長遠下去會得出咩結果, 以03/31的收市價20807計算, 兩邊價外1000點即 Short Call 21800 + Short Put 19800, 分別收99及136點(共收235點), 再將其可產生的回報/虧損於不同區間內列出, 然後將該數值乘以其所屬區間出現的比率, 我們就可以知道哩個做法遠長會出現既派彩情況. 圖中最後一欄的結果中, 將正回報的總值雙加後得出147.25, 負回報則為-163.92, 可見虧損比回報為大, 這情況下反映該策略長遠下去係會出現負回報的, 其長遠派彩比率為0.898 (147.25/-163.92 * -1)

其實如果再做得仔細d, 將+/-2000 up的7次出現次數按實際的區間去計算回報/虧損及長遠派彩, 該策略將出現更差的比率...

 

由此可見, 就算你夠堅持加上心理素質又夠同時又有錢頂孖展都好, 每月Short兩邊長遠做落去都係會輸錢的... 所以大家都係唔好再做了, 唔work的...

 

E等等先! 既然長遠 Short兩邊價外係會輸, 咁我調返轉個個月Long兩邊價外咪會贏囉?!

 

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