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交易模型(7)

2016/04/12

上文講到既然長遠 Short兩邊價外係會輸, 咁調返轉個個月Long兩邊價外就會贏嗎?

 

其實如果大家想知道一個策略長遠而言是否可行, 只要簡單計算一下其長遠派彩比率就會搵到答案; 當該比率小於1時, 反映經機會率調整後的回報比虧損為少, 即表示長遠而言該策略將出現負回報, 反之亦然, 等如1就平手, 就係咁簡單

 

如果用返上文Short 1000價外兩邊既數據去計算, 個個月Long兩邊價外1000點既長遠派彩比率就會等如1.113(163.92 / -147.25 * -1), 由於數值大於1, 表示該策略長遠而言係可以產生正回報的

 

不過, 咁做法其實唔會賺得多… 因為上一段已經講左當長遠派彩比率等如1時就表示平手, 而1.113其實同1係好接近, 即係話咁做法如果扣埋洗費, 好可能同你買隻藍籌股收息既回報差唔多, 又或者係得個吉… (實際情況真係要做過Backtest先知)

 

其實如果同一個策略, 喺相關資產既表現未有出現結構性轉變的情況下, 重覆地做落去個長遠派彩比率正常係唔會大幅偏離1的, 原因係BS Model已經計算埋波動率同利率既因素

如果一個策略要做到每年都出現正回報且平均年回報率要達到20%以上的話, 其長遠派彩比率必需要達到2以上先可以做到, 而<<攞佢命3000>>大概係2.5 - 2.6

 

但唔係話正常係唔會大幅偏離1架咩? 點解可以做到超過2既呢?

 

待續… 請以Like支持~

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