利用Multicharts做多市場分散01 - 財經

: 推 sesee:估計在多長的交易時間內破某個特定的DD%的機率~ 個人認為是 07/03 16:46
: → sesee:沒什麼意義的~ 因為會造成MDD創高的行情何時來根本無法預測 07/03 16:51
: → sesee:如果是權益數mdd%一直破當然是有很大的關係 趕快縮部位做唄 07/03 17:06
: → sesee:單一策略一直破mdd 如果是賠它該賠的錢 繼續用它~why not? 07/03 17:07
Ed seykota的說法也差不多 參考一下
http://www.seykota.com/tribe/risk/

Measuring Portfolio Volatility
Sharpe, VaR, Lake Ratio and Stress Testing

From the standpoint of the diversified portfolio, the individual components
merge and become part of the overall performance. Portfolio managers rely on
measurement systems to determine the performance of the aggregate fund, such
as the Sharpe Ratio, VaR, Lake Ratio and Stress Testing.

William Sharpe, in 1966, creates his "reward-to-variability ratio." Over time
it comes to be known as the "Sharpe Ratio." The Sharpe Ratio, S, provides a
way to compare instruments with different performances and different
volatilities, by adjusting the performances for volatilities.

S = mean(d)/standard_deviation(d) ... the Sharpe Ratio, where

d = Rf - Rb ... the differential return, and where
Rf - return from the fund
Rb - return from a benchmark

Various variations of the Sharpe Ratio appear over time. One variation leaves
out the benchmark term, or sets it to zero. Another, basically the square of
the Sharpe Ratio, includes the variance of the returns, rather than the
standard deviation. One of the considerations about using the Sharpe ratio is
that it does not distinguish between up-side and down-side volatility, so
high-leverage / high-performance systems that seek high upside-volatility do
not appear favorably.

VaR, or Value-at-Risk is another currently popular way to determine portfolio
risk. Typically, it measures the highest percentage draw down, that is
expected to occur over a given time period, with 95% chance. The drawbacks to
relying on VaR are that (1) historical computations can produce only rough
approximations of forward volatility and (2) there is still a 5% chance that
the percentage draw down will still exceed the expectation. Since the most
severe draw down problems (loss of confidence by investors and managers)
occur during these "outlier" events, VaR does not really address or even
predict the very scenarios it purports to remedy.

A rule-of-thumb way to view high volatility accounts, by this author, is the
Lake Ratio. If we display performance as a graph over time, with peaks and
valleys, we can visualize rain falling on a mountain range, filling in all
the valleys. This produces a series of lakes between peaks. In case the
portfolio is not at an all-time high, we also erect a dam back up to the all
time high, at the far right to collect all the water from the previous high
point in a final, artificial lake. The total volume of water represents the
integral product of drawdown magnitude and drawdown duration.

If we divide the total volume of water by the volume of the earth below it,
we have the Lake Ratio. The rate of return divided by the Lake Ratio, gives
another measure of volatility-normal return. Savings accounts and other
instruments that do not present draw downs do not collect lakes so their
Lake-adjusted returns can be infinite.

==

個人是建議直接考慮極端狀況下能承受的最大槓桿就好
(以台指為例 就是兩或三根停板出現時 你願意賠幾趴)

--
FB: http://0rz.tw/l3Kcq █◣ ▊ ◥\◣◣\◣▼▼◣◣█◣ ▌ ╬╬
█銀ˊ どんだけ── ◥█◣ )) ▲▲██▲╴▲██▲ ▲ ▌ "囧█ ╬╬
█ˊ魂 好文要推── ◥█◣ ◢ ▏ ▼██▼ ▼██▼▏███▌m@▼▄ ╬╬
EVERYBODY SAY ◥█◣█ ▼█▇▇█‥ ▇▇█▏◣ ▌ ▲◇" ╬╬
市場求生手冊─ (( ╲ ╲ ◣▼ ▇▇▇ ▼ ◣ ▌▆▆▆ ╬╬
http://stasistw.blogspot.com/╲█╲█ ◥██████ ◤████▆▅▄▃▂▁

--