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  • FAQ on the nature of investment



    Question:
    Dear Dr. Zhu, 最近在关注你推荐的股票。其中600188在前两天拉升之后有些震荡。是不是因为李克强说要多用清洁能源?

    Answer:
    原因--->结果,因为--->所以,都是简单的cause---> effect 模型。在科学界这种思维方法取得了巨大的成功。但在市场里,这种思维模式不管用。市场里的决定因素太多,而且结果,即股价,还可能影响自己。如,股价涨得过高,过快,有些投资者就会抛售,从而压低股价。

    所以, 600188在前两天拉升之后有些震荡。有可能是因为李克强说要多用清洁能源,有可能不是。但,如果它续继跌,我们割肉出场,如果它涨,我们keep it. 照这科方法操作下去,N 足够大的时候,我们肯定赚钱。

    不可能,也没必要,每次投资都赚的。只要1/3情况赚钱就好,因为我们赚时赚5, 亏时亏 1. 就好像掷骰子,如果是1,2,3,4,我们都亏1,如果是5,6则我们赚5。这样不停地玩下去,我们必赚。



    Several related topics are:

    Jack Schwager asks:

    How much of a role does luck play in trading?

    Richard Dennis answers:

    In the long run, zero. Absolutely zero. I don't think anybody winds up making money in this business because they started out lucky.


    Jack Schwager asks:

    But on individual trades, obviously, it makes a difference?


    Richard Dennis answers:

    That is where the confusion lies. On any individual trade it is almost all luck. It is just a matter of statistics. If you take something that has a 53 percent chance of working each time, over the long run there is a 100 percent chance of it working. If I review the results of two different traders, looking at anything less than one year doesn't make any sense. It might be a couple of years before you can determine if one is better than the other.



    Richard Dennis

    Richard J. Dennis, a commodities speculator once known as the "Prince of the Pit," was born in Chicago, in January, 1949. In the early 1970s, he borrowed $1,600 and reportedly made $200 million in about ten years.

    Richard Dennis became an order runner on the trading floor of the Chicago Mercantile Exchange at age 17. Afew years later, he began trading for his own account at the MidAmerica Commodity Exchange, an entry-level floor where "mini" contracts were traded. To circumvent a rule requiring traders to be at least twenty-one years of age, he worked as his own runner, and hired his father, who traded in hisstead in the pit.

    Dennis earned abachelor's degree in philosophy from DePaulUniversity, then accepted a scholarship for graduate study inphilosophy at Tulane University, but then changed his mind, and returned to trading. He borrowed $1,600 from his family, which after spending $1,200 on a seat at the MidAmerica Commodity Exchange left him $400 intrading capital. In 1970, his trading increased this to $3,000, which he described as "compared to $400 ... a real grubstake", and in 1973 his capital was over $100,000. He made a profit of $500,000 trading soybeans in 1974, and by the end of that year was a millionaire, just short of twenty-six years of age.

    Dennis profited,as he bought successively new weekly and monthly highs in the trending inflationary markets of the 1970s, an era of repeated crop failures and the"Great Russian Grain Robbery" of 1972, when agents of the Soviet Union secretly purchased 30% of the U.S.wheat crop in the space of a few weeks. This set the stage for solid, sustained price trends in both directions for the next several years, a period in which"anyone with a simple trend-following method and a dart board could make a million dollars".

    In contrast to the vast majority of floor traders, who quickly scalped trades throughout a trading day, Dennis held positions for longer periods—riding out short-term fluctuations and holding over the intermediateterm. Dennis often pyramided his positions. In the late 1970s, he bought a full membership at the more expensive Chicago Board of Trade and opened an office upstairs in order to trade more markets.

    Dennis believed that successful trading could be taught. To settle a debate on that point with William Eckhardt, a friend and fellow trader, Dennis recruited and trained 21 men and 2 women, in two groups, one from December 1983, and the other from December 1984. Dennis trained this group, known as Turtles, for only two weeks about a simple trend-following system, trading a range of commodities, currencies, and bond markets, buying when prices increased above their recent range, and selling when they fell below their recent range. They were taught to cut position size during losing periods and to pyramid aggressively—up to a third or a half of total exposure, although only 24% of total capital would be exposed at any one time. This type of trading system will generate losses in periods when the market is rangebound, often for months at a time, and profits during large market moves.

    In January 1984, after the two-week training period was ended, Dennis gave each of the Turtles atrading account and had them trade the systems they had been taught . During this one-month trading period, they were allowed to trade a maximum of 12 contracts per market. After the trial-period ended, he gave the few of them who had successfully traded the system during the one-month trial, accounts ranging from $250,000 to $2 million of his own money to manage.

    When his experiment ended five years later, his Turtles reportedly had earned an aggregate profit of $175 million. The exact system taught to the Turtles by Dennis has been published in at least two books and can be back-tested to check its performance in recent years. A number of turtles (e.g. Jerry Parker of Chesapeake Capital, Liz Cheval of EMC, Paul Rabar of Rabar Market Research) began and continued careers a ssuccessful commodity trading managers, using techniques similar, but not identical, to the Turtle System.






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