在美國一个投资论坛上找到一篇对琼斯的资金管理方法的评论摘要：
Summary comments about the Fixed Ratio money management method of Ryan Jones
Gary Fritz (fritz@frii.com)
I read "The Trading Game" and I was NOT impressed. First off, I find it remarkable that people can get so much attention for the radical concept of position sizing. I mean, are there that many people out there who don^t understand that you^ll make more profits (assuming a positive expectation) if you trade multiple contracts!? Jones talks like scaling your size up is a huge revelation.
But ignoring that, I think his Fixed Ratio approach is bogus. IMO his entire premise is flawed: he looks at the per-contract profit it takes to move from 1 to 2 contracts, and he says that it should take the same per-contract profit to move from X to X+1 contracts; i.e., if you need $10k profit to move from 1 to 2 contracts, you should need $10k profit per contract to move from 100 to 101. You^d need $1M total profit to increase by 1 contract. 【交易知识macd.org.cn收集整理】
I think this is flawed for 2 reasons: first, it relies much too heavily on the size of the contract. The entire leverage structure he computes would be totally different for, say, $250 SP^s vs. $500 SP^s. But the big flaw is his use of additive growth instead of percentage growth. Moving from 1 contract to 2 isn^t equivalent to moving from 100 to 101; it^s like moving from 100 to 200! I think simple fixed-fractional approaches handle the position sizing much more logically.
What really honks me off, though, is the way he cooks the books to make his approach look good. Fundamentally what he^s doing is using very high leverage when the account is small, and backing off as the account gets big. This has the advantage that it gets the small account off the ground & running quickly. But it also exposes you to a lot more risk early on. He uses all kinds of examples to show how the FR approach can take a $X per contract loss with a much lower drawdown than FF-but he constructs his examples so that drawdown happens AFTER he^s scaled back the leverage. He conveniently neglects to mention that the FR approach would BANKRUPT you if that same per-contract loss happened early on with higher leverage. Add to that a host of logical and math errors, and I was SERIOUSLY underwhelmed.
My advice would be to use a basic Fixed Fractional approach. Decide what leverage works for you, taking into account your risk tolerance, the Optimal F of your system (make sure you trade far UNDER the "optimal" F value), etc, and just risk a constant percentage on each trade. As your account grows, you may decide to back off on the leverage a bit. You can do all that without the Fixed Ratio complexities.
PS: According to http://groups.google.com/groups?hl=en&selm=9c957579.0201081404.5c89813c%40posting.google.com Jones traded himself into a 95% drawdown, presumably using his own MM techniques. I can^t verify the accuracy of that claim, but it wouldn^t surprise me at all. As I explain below, all it takes is a drawdown early in the account^s life, while Fixed Ratio has you using dangerously high levels of leverage to produce results like that.
Alex Matulich (alex@unicorn.us.com)
I agree with most of what Gary Fritz says above. I have been experimenting with the fixed ratio position sizing strategy using ProSizer, the Monte Carlo simulation tool I developed just for this purpose (see http://unicorn.us.com/trading/prosizer.html if you^re curious about it).
I compared fixed fraction, fixed ratio, percent risk, and percent volatility position sizing models. In all cases I adjusted the parameters so that the average of the Maximum Drawdown from all the trials came out to 25%. Then I looked at the return. I did this for trades generated by two different trading strategies. My assessments are as follows:
· Fixed ratio usually performs better than fixed fraction.
· One will likely find that the %risk or %volatility models described by Van K Tharp superior to fixed ratio, for the same drawdown.
· Fixed ratio is dangerous: higher standard deviation of draw-downs, higher probability of ruin. It fails to account for equity size or risk per trade.
· I think it^s irresponsible for Ryan Jones to promote this method to beginning traders, who won^t understand the risk involved. On the other hand, I have noticed that sometimes fixed ratio is the best-performing model for small accounts.
I^m not surprised that Ryan Jones has traded himself into a 95% drawdown. I think that^s partly due to the high risk of fixed ratio, and partly due to the fact that you take every trade regardless of risk,
volatility, or account size. I disagree with Gary that one should take the basic fixed fractional approach. My own experiments suggest that there are other models you can use, and combinations of models, that give superior results.
DH Dennis (catapult@crestviewcable.com) 【交易知识macd.org.cn收集整理】
As is often the case with these "experts," they take a really simple concept, find a way to make it seem complicated, and then sell a book "explaining" the concept. For those who don^t feel like wading through the books:
Ralph Vince, fixed fractional contracts = constant * account_size
Ryan Jones, fixed ratio contracts = constant * squareroot(account_size)
Rewriting those formulas slightly:
Vince: contracts = constant * power(account_size, 1)
Jones: contracts = constant * power(account_size, .5)
There you have it. The big difference is one uses a power of 1 and the other uses a power of .5.
But hey! Maybe it^s better to split the difference! I hereby proclaim that my secret power of 0.7 is the key to the universe. I^m going to hire Richard Josselin to go around the country teaching people that the secret to wealth is my formula: QQQQ (four-Q) Ratio: contracts = constant * power(account_size, .7)
Disciples who master the beginners course will be eligible for my advanced course (for only $2,999 paid in advance) where they learn that .7 can be changed to something else. Flash (lightbulb comes on) we also need to consider the per-contract risk (max possible loss) of each trade in the formula. Four-Q Super Ratio:
contracts = (constant/risk) * power(account_size, power_factor).
Advance disciples will be let in on the ultimate secret (for only $29,999 paid in advance.). Flash (solar flare) we should define our max risk by using an adaptive volatility-based disaster stop. Four-Q Ultimate Formulas:
risk = disaster_stop = constant * volatility contracts = (constant2/volatility) * power(account_size, power_factor) And there you have our ultimate position sizing formula.
The rare students who master it will have discovered the Mother Lode and shall hereinafter be referred to, in hushed tones, as Mother Four-Qers. :-) Seriously though, that last one ain^t bad. Assuming you use a volatility based stop, you can optimize for the terms "constant," "constant2" and "power_factor", as well as how you calculate the volatility, to find something that works pretty well for your particular system, goals and risk tolerance.
The End
Thank You
Send Money
Lots of it
Dennis
http://traderclub.com/discus/messages/18/348.html?ThursdayJuly1120021151am
有点长，先译一段。兄弟我是意译，有歧义尽量说，如果有問題，看原文。
Gary Fritz:
我读了Ryan Jones的《The Trading Game》，不太以为然。首先，人们对于激进的头寸调整观念给予了这么多的关注，这是很不寻常的。我的意思是说，难道这么多人都不知道如果你交易复合头寸（译注：意同加码）赢利也会更多吗（假设你有一个正期望系统）？Jones的口气好像加码是一个重大发现。
除此之外，我认为他的固定比率法有問題。我个人意见以为，他的整个前提假设有错：他认为，如果需要每合约单位获利P才从1个合约增加至2个合约，那么从X个合约加码至X+1个合约时每合约平均获利也应该为P；也就是说，如果你从1个合约加码至2个合约时单位获利1万美元，从100个合约增加至101个合约时每个合约的获利也应该是1万美元，这时，你需要有100万的总利润才能增加一个合约。（译注：这段可能译错，原文有歧意）
我认为有两个問題：第一，其结果依赖于合约大小。对于$250 S&P合约与$500 S&P合约来说，根据他方法计算出来的杠杆结构是不同的（译注：懂行的朋友去查查，是不是以前调整过S&P期货合约每点指数的价值）。更大的問題是，他是用加法而不是用百分比，从1个合约增加至2个合约不同于从100增加至101；它更象是从100增加到200！我认为简单的固定分数法调整头寸更合理。
然而，真正让我敬而远之的是，他弄虚作假让他的方法看起来不错。基本上，当账户比较小的时候，他的杠杆比率比较高；当账户越来越大时，杠杆比率又会降低。其优点在于，小账户可以增长得很快，但这样也会让你很早就面临非常大的风险。他用了各種例子来说明，如果每合约单位亏损都是X美元的话，固定比率法比固定分数法的资本回撤低得多。但是，在他所选的这样例子中，回撤都是發生在杠杆比率已经开始下降之后。他很轻易地忽略了：如果相同的每合约单位亏损發生得更早一些＿＿即杠杆比率更高些的时候，固定比率法会让你破产（译注：指暴仓）。考虑到有这么多逻辑、数学問題，我对这種方法相当的不乐观。
我的建议是用简单的固定分数法。考虑自己的风险承受能力、你的交易系统的最优分数（注意，实际交易时F要远低于最优分数值）等，然后决定你的杠杆比率，每个交易（译注：交易可能与头寸不同义）只承担一固定百分比的风险。当账户增长之后，你可以决定将杠杆比率降下来一些。不用固定比率法那么复杂你就可以自己搞定了。【交易知识macd.org.cn收集整理】
根据http://groups.google.com/groups?hl=en&selm=9c957579.0201081404.5c89813c%40posting.google.com Jones 这篇文章，Jones自己的交易经历了95%的资本回撤，很可能就是用他的固定比率法造成的。我不能肯定这样说是否正确，但如果真是这样一点也不会让我觉得奇怪。如我所说，在账户交易的早期（译注：指账户规模还比较小的时候），因为固定比率法让你使用危险的高杠杆比率，造成这么高的资本回撤不足为奇。
