Os programas que disponho diariamente para analisar os mercados dividem-se essencialmente em 2 grandes grupos: o sistema de trading e as técnicas de Money management, que estão relacionadas com o capital disponível, o risco e a alavancagem do sistema de trading e a graduação do número de contratos crescentes em cada activo de futuros alocados na carteira conjunta especulativa em função do aumento de capital disponível que está intimamente ligado ao capital que se vai acumulando ao longo do tempo.
Até porque uma das grandes piadas deste passatempo é a divulgação da estratégia de cada um dos participantes, aqui fica a minha contribuição individual em função dos resultados do sistema de position trading do “Perdigueiro” usado neste jogo.
Recordo apenas que a performance deste sistema de trading nos últimos 8 anos em testes e negócios em tempo real em 10 activos diferentes e considerando um slippage de comissões e diferenças bid/ask de -0,60% por trade ( PSI, IBEX, DAX, DEX, S&P, NDX, Nikkei, MTMS/Moscovo, SSEB/Shangai e Euro.Dollar) gerou 205 negócios com
119 resultados líquidos positivos, 86 negativos, o retorno médio líquido em cada trade positiva foi de 12,3% e cada negócio negativo obteve um valor líquido ajustado de –6,4%.
Em termos de money management estes resultados permitem-me que no trading real possa utilizar nos futuros e no Forex ( caso do Euro.Dollar ) alavancagens de 3,6 vezes o valor das margens permitidas.
Aqui vão, abaixo indicados, os resultados individuais em cada um dos activos da nossa jogatana.
Não sei como saem as cópias de células do Excel neste texto, mas desde já fica aqui a interrpretação dos valores: à frente de cada indicador fica o output da sessão mais recente e a seguir o mesmo indicador da sessão anterior. Se tiver um sinal de igual significa que o valor anterior era idêntico ao actual.
Um abraço amigo e boa sorte a todos,
Cem
Já agora, apenas a título de curiosidade e de um bom texto sobre correctos princípios de trading, deixo-vos ficar aqui um excerto de um mail que hoje recebi do Alexander Elder:
"It is good to be back in New York. Today I would like to comment on the uptrend that so many people have been fighting for so long. Let me pick up where I left off in October.
FIVE STUPID WORDS
“It cannot go any higher!”
A trader looks at a stock, decides it cannot go any higher and sells it short. Or he looks at a falling stock, decides it cannot fall any lower and buys it. What happens next? The stock that ‘could not go any higher’ shoots up, while the dog that ‘couldn’t go any lower’ collapses into the basement.
Arrogance is a deadly sin in trading the markets. You are allowed to have an opinion about any stock, as long as you remember that it is just that - an opinion - until it becomes confirmed by market action.
For example, you may look at a rising stock and notice that it is hitting overhead resistance, while its oscillators are overbought. Perhaps there is a bearish divergence, as indicators become weaker during the latest rally. The stock may be high, its rise may be getting tired. How do you trade it?
If you are long, there is nothing wrong with taking profits either selling out completely or selling one half of your position, taking partial profits and letting the other half ride. It is perfectly fine to say that you have enough profit in a stock already. ‘Enough!’ is a power word, while ‘more!’ is a dangerous one that frequently tempts traders to lean into a danger zone.
It is one thing to take profits on a long position but quite another to go short. Shorting requires a much higher level of proof that the trend has turned. When your indicators tell you that a stock is too high, there is nothing wrong with taking profits. You need to set much more exacting parameters for shorting, making sure that a stock has in fact turned down, permitting you to short. Use the same approach at the bottoms decide in advance what price action will confirm an upside trend reversal, permitting you to buy.
My favorite technical tool for catching turns is the Impulse System, described in detail in Come into My Trading Room. We have implemented it for TradeStation and MetaStock, which now color all bars either green, blue or red. A green bar means that both a trend-following indicator and an oscillator are rising the impulse move is in progress, and no shorting is permitted. A red bar shows that both an oscillator and a trend-following indicator are falling, the impulse is down and no buying is permitted.
A trader has three options - go long, go short, or stand aside. The Impulse System acts as a censorship system, taking away one of those options. Whether you use this or any other system, make sure that you have specific rules permitting you to go long or short based on price action and not on your emotional opinion.
Many professionals have been feeling bearish in recent months. I often felt tempted to go to the bearish side, but my indicators kept telling me to stay with the trend. That’s why I continue to buy in my account and recommend following the uptrend in these letters. As I wrote last month, “Trying to outsmart reliable technical tools is a dangerous game. Too many people are bearish on today’s markets, calling for a decline day after day, while the markets continue to rise. To be a successful trader you need a large dose of humility. When weekly trend-following indicators rise, stay long or stand aside. When they turn flat to down, look for stocks to short.” As a German trader wrote to me the other day, “Der dumpste Bauer hat die gruesste Kartofeln,” which means “The dumbest farmer grows the biggest potatoes.” Not so dumb after all! "
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