The 10 Power Principles of Successful Trading Systems

The 10 Power Principles of Successful Trading Systems (10個成功交易系統的威力規則)

Principle #1: Few rules - easy to understand

規則一 ：少規則、容易懂

It may surprise you that the best trading systems have less than 10 rules. The more rules you have, the more likely you "curve-fitted" your trading system to the past, and such an over-optimized system is very unlikely to produce profits in real markets.

你可能會驚訝於最好的交易系統其規則少於10條。規則愈多，你就有可能在針對過去歷史對你的交易系統做”曲線近似”(意即針對過去的少數失敗的交易加了很多濾網，以確保未來這些失敗交易不會發生，使得回測績效曲線美化)，像這種過度優化的系統是相當不可能在真實的市場產生利潤的。

It's important that your rules are easy to understand and execute. The markets can behave very wildly and move fast, and you won't necessarily have the time to calculate complicated formulas in order to make a trading decision. Think about successful floor traders: The only tool they use is a calculator, and they make thousands of dollars every day.

規則容易懂並且容易執行是相當重要的。市場有可能非常狂野且快速，你不一定有時間為了交易決策去做複雜公式的計算。想想那些成功的”地板交易員”，他們僅靠著計算機就可以每天賺進數千美元。

Principle #2: Trade electronic and liquid markets

規則二 ：使用電子交易於活曜市場

We strongly recommend that you trade electronic markets because the commissions are lower and you receive instant fills. You need to know as fast as possible if your order is filled and at what price, because based on this information you plan your exit. You should never place an exit order before you know that your entry order is filled. When you trade open outcry markets (non-electronic) you might have to wait a few minutes before you receive your fill. By then the market might have already turned, and your profitable trade become a loss!

我們強烈建議你使用電子交易，因為佣金便宜而成交回報快速。你需要儘快知道你的單子是否成交及在什麼價位，因為基於這些資訊你要計畫你的出場。你應該永遠不在知道進場單成交之前就下出場單的單子。當你用人工單你需要等幾分鐘才能得到成交回報，屆時市場可能已經翻覆而你的有利潤的交易就變成損失。

When trading electronic markets you receive your fills in less than one second and can immediately place your exit orders. Trading liquid markets you can avoid slippage, which will save you hundreds or even thousands of dollars.

當你用電子交易時你收到成交回報少於一秒鐘，因此能夠立即下你的出場單。於活曜市場交易，你可以避免滑價，這可以讓你省下數百甚至數千美元。

Principle #3: Make consistent profits

規則三 ：賺取穩定利潤

You should always look for a trading system that produces a nice and smooth equity curve, even if in the long run the net profit is slightly smaller. Most professional traders prefer to take small profits every day instead of big gains every now and then. If you trade for a living, you need to pay your bills from your trading profits, and therefore you should regularly deposit profits in to your trading account.  Making consistent profits is the secret of successful traders!

你應該找尋一個交易系統能夠產生好且平滑的利潤曲線，甚至在長期淨利是稍微少的。大多數職業交易員較喜歡每天賺取小利潤而不喜歡偶而賺大利潤。如果你是以交易為生，你需要從交易利潤裡支付生活開支，因此你應該有規律的賺取利潤在你的交易帳戶裡。賺取穩定利潤是成功交易者的祕密。

Principle #4: Maintain a healthy balance between risk and reward

規則四 ：在風險與報酬之間維持一個健康的平衡

Let me give you an example: If you go to a casino and bet everything you have on "red", then you have a 49% chance of doubling your money and a 51% chance of losing everything. The same applies to trading: You can make a lot of money if you are risking a lot, but then risk of ruin is very high. You need to find a healthy balance between risk and reward.

我舉個例 : 如果你去賭場而賭你身上所有在”RED”上，你有49％機會將你的錢翻倍而有51％的機會輸光所有。一樣的道理在交易上 : 你可以賺很多錢如果你冒很大風險，但毀滅的風險非常高。你需要在風險與報酬之間維持一個健康的平衡。

Let's say you define "ruin" as losing 20% of your account, and you define "success" as making 20% profits. Having a trading system with past performance results let you calculate the "risk of ruin" and "chance of success". Your risk of ruin should be always less than 5%, and your chance of success should be 5-10 times higher, e.g. if your risk of ruin is 4%, then your chance of success should be 40% or higher.

假設說你定義”毀滅”為帳戶金額損失20％，而你定義”成功”為賺取20％利潤。用你的交易系統以過去的績效結果讓你計算”毀滅的風險”及”成功的機會”。你的毀滅風險應該總是少於5％，而你的成功機會應該5-10倍更高於毀滅風險，亦即如果你的風險是4％，那你的成功機會應該是40％或更高。

Principle #5:  Find a system that produces at least five trades per week

規則五 ：找個每週至少交易五次的系統

The higher the trading frequency the smaller the chance of having a losing month. If you have a trading system that has a winning percentage of 70%, but only produces 1 trade per month, then 1 loser is enough to have a losing month. In this example you could have several losing months in a row before you finally start making profits. In the meantime, how do you pay your bills?

交易次數愈高，月虧損的機率愈低。如果你有一個交易系統勝率是70％，但一個月只交易一次，那只要一次虧損，當月就是虧損。在這個例子裡你可能有連續幾個月的虧損在你最後開始賺錢之前。在這期間，你要如何支付你的帳單?

If your trading system produces five trades per week, then you have in average 20 trades per month. Having a winning percentage of 70% - your chances of a winning month are extremely high. That's the goal of all traders: Having as many winning months as possible.

如果你的交易系統每週有5次交易，你每月平均有20個交易。以70％的勝率，你當月賺錢的機率非常高。那是所有交易者的目標 : 賺錢月份盡可能的愈多愈好。

Principle #6: Start small - grow big

規則六 ：由小而大

Your trading system should allow you to start small and grow big. A good trading system allows you to start with one or two contracts, and then increases your position as your trading account grows. This is in contrast to many "martingale" trading systems that require increasing position sizes when you are in a losing streak.

你的交易系統應該允許你由小開始而長大。一個好的交易系統允許你由一個或兩個合約開始，然後增加你的部位當你的交易帳戶長大。這是與許多需要於虧損期間增加部位的”加倍賭注”交易系統相反。

You probably heard about this strategy: Double your contracts every time you lose, and one winner will win back all the money you previously lost. It's not unusual to have 4-5 losing trades in a row, and this would already require you to trade 16 contracts after just 4 loss! Trading the e-mini S&P you would then need an account size of at least $63,200 just to meet the margin requirement. That's why martingale systems don't work.

你也許聽過這策略 : 加倍你的合約於每次你虧損時，一次就能贏回最近所有輸去的。連續4-5次虧損交易是不尋常的，而這會使你需要去交易16個合約在4次虧損之後！交易e-mini S&P 你需要你的帳戶金額至少$63,200的保證金需求。這就是為什麼加倍賭注系統不能用。

Principle #7: Automate your trading

規則七 ：將你的交易自動化

Emotions and human errors are the most common mistakes traders make.  Clearly, they are to be avoided by any means possible. Especially during fast markets, it is crucial that you determine the entry and exit points fast and accurately; otherwise, you might miss a trade or find yourself in a losing position. For that reason you should automate your trading and look for a trading system that either already is or can be automated. Automating your trading makes it free of human emotion. The buy and sell operations are all automatic, hands-free, with no manual interventions and you can be sure that you make profits when you should, according to your plan.

情感與人為錯誤是交易者最普遍的失誤。 無疑的，這些失誤應該用盡各種可能方法避免。 特別是在快速市場，你快速而準確地決定進出場點位是非常重要的 ; 要不然，你可能錯失一個交易或者你發現你在一個輸的局面。為這個理由你應該自動化你的交易而去尋找一個交易系統是已經自動化或可以被自動化。自動化你的交易會使你的交易沒有人性情感因素。買與賣都是自動的，免用手，沒有人工介入。你可以確定依據你的計畫，你應該獲利時你會獲利。

Principle #8: Have a high percentage of winning trades

規則八 ：擁有一個高比率的獲利交易

Your trading strategy should produce more than 50% winners. There's no doubt that trading systems with smaller winning percentages can be profitable, too, but the psychological pressure is enormous. Taking 7 losers out of 10 trades and not doubting the system takes great discipline, and many traders can't stand the pressure. After the sixth loser they start "improving" the system or stop trading it completely.

你的交易策略應該要有超過50％的勝率。無疑的低勝率的交易系統一樣可以獲利，但心理壓力是非常大的。10次交易7次輸而不懷疑交易系統需要極大的紀律，而很多交易者不能忍受這壓力。在六次輸之後，他們開始改善系統或者完全停止此交易系統。

Especially for beginners it is a big help to gain confidence in your trading and your system if you have a high winning percentage of more than 65%

尤其是初學者，如果你的交易系統勝率超過65％那麼高，這將大力的幫助你對你的交易及你的交易系統取得信心。

Principle #9: Look for a system that is tested on at least 200 trades

規則九 ：尋找一個系統至少經過測試200次交易

The more trades you use in your backtesting (without curve-fitting), the higher the probability that your trading system will succeed in the future. Look at the following table:

The more trades you have in your backtesting, the smaller the margin of error, and the higher the probability of producing profits in the future.

愈多的交易次數在你的回測，錯誤率就愈少，而未來獲利的機率就愈高。

Principle #10: Chose a valid backtesting period

規則十 ：選擇一個有效的回測期間

I recently saw the following ad: "Since 1994 I've taught thousands of traders worldwide a Simple and Reliable E-Mini trading methodology".

我最近看到一則廣告 ：”自從1994年，我教導過全球成千交易者一個簡單而可靠的E-Mini 交易方法”

That's very interesting, because the e-mini S&P was introduced in September 1997, and the e-mini Nasdaq in June 1999, therefore none of these contracts existed before 1997. What kind of e-mini trading did this vendor teach from 1994-1997???

這是非常有趣的因為e-mini S&P是在1997年9月才開始的而e-mini Nasdaq是在1999年6月，因此1997之前沒有任何合約存在。這個賣方在教什麼e-mini交易？

The same applies to your backtesting: If you developed an e-mini S&P trading strategy, then you should backtest it only for the past 2-4 years, because even though the contract has existed since 1997, there was practically no one trading it (see chart below):

你的回測也是一樣:如果你研發一個e-mini S&P交易策略，那你應該回測過去2-4年而已，因為即使合約自從1997即存在，實際上那時並沒有人在交易(見上表) :

Now you should have working method for separating the good trading system from the poor one. By applying this checklist you will easily identify trading systems that work and those that will never make it.

現在你應該有方法區別好的及不好的交易系統。用這個查檢單你將輕易鑒別哪些交易系統可以用哪些不能。"