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末日Long(2)

2016/04/26

上文講到如果以結算前四日做末日Long 400點價外, 不論何種操作方法, 長遠做其實都係輸多過贏的… 既然係咁將佢調返轉黎做咁咪搞掂囉~

 

無錯! 如果睇返上文既簡單回測結果, 個個月於結算前四日做末日Short 400點價外, 不論Short Call, Short Put同Short兩邊, 長遠做理論上都係可以出現正回報的. 而從回報率既角度去考盧, 三者當中以Short兩邊最為有效: 由於Short單邊同Short兩邊都只係收一個按金, 因此三者既成本係一樣的, 然而三者中Short 兩邊的回報最高, 60個月的總盈虧為1074點


回報率方面, 根據港交所既資料顯示, 月尾400點價外的按金水平約為$60,000一張(單邊兩邊一樣), 即表示該模型60個月的回報率為89.5% (1074 x 50 / 60000 X 100%), 平均年回報率為17.9%, 表現簡直不可思議!

 

末日Short兩邊淨係聽個名都覺得牙煙! 相信好多人(包括我)諗都無諗過咁做法原來係可以得出一個相當唔錯既結果. 機會黎喇飛雲! 燈籠劍啦!

 

然而魔鬼往往隱藏在細節中… 以上計算的$60,000按金為每月的投資成本(以一套大期計), 現假設你只有$60,000並打算黎梗All In佢, 咁就真係要睇你好唔好彩了… 由於17.9%只是平均每年回報率, 而回測結果顯示, 2011-2016的年度回報分別為: 2011(9個月)=-7.83%, 2012=75.25%, 2013=67.67%, 2014=30%, 2015=-100.58%, 2016(3個月)=25%, 可見實際每年回報率與平均值存在極大差異! 假設末來可出現的回報情況與回測結果完全一樣, 而然首先出現的年度表現為2015年的-100.58%, 飛雲… 你已經破產了…


而哩個並不是最差既情況, 由於分段可能出現的虧損必定比年度虧損為大, 如果你一開始操作就遇到2015年6月至9月的情況(分段虧損為-145.08%), 咁你就已經破產1.45次了… BYE~~~

 

回測結果並不等如實際結果! 肓目相信而不考慮當中的細節, 結果好可能係災難性的! 然而除左以上應注意事項外, 實際操作上所遇到的問題, 往往係回測結果中全完睇唔到的…

 

待續… 請以Like支持~

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