期货投资逻辑架构及量化交易
作者：吴飚，网名：混沌分形投资我平时喜欢把一些想法、灵感、感悟记录下来，日积月累，居然有几百页了，近期把它整理，并进行逻辑梳理、归纳、总结、提炼、升华，力求全面而系统，这里选取其中的几个精华章节，希望与有缘人分享，也希望对有缘人有所帮助!期货交易要解决三个基本问题：1：如何发现符合逻辑的投资机会；2：如何制定全面合理的交易计划；3：如何执行并跟踪调整交易计划；只有解决以上三点并由此进行全面细致的延伸，才能站在优胜的一方；未来的投资模式，必然是从粗放型交易向精细化交易转变；把交易的每一个环节都精细化处理，有利于高效执行从而让交易稳定可控；期货投资逻辑架构：投资市场主要靠逻辑和概率取胜，经过以下步骤过滤，大大提升成功的概率。1：大周期规律：CRB商品指数周期，宏观经济周期、产业周期确定中长期投资方向大周期向上，驱动向上，只做多，不做空，大周期向下，驱动向下，只做空，不做多。CRB商品指数周期为30年一轮回，上行周期，商品整体价格易涨难跌，下行周期，易跌难涨。经济周期上行，需求增加，商品供不应求，价格容易上涨，经济下行，需求减少，价格下行。增产周期，供应增加，库存增多，价格易跌难涨，减产周期，供应减少，价格易涨难跌。如橡胶6年周期，白糖3年周期，棉花跌6涨9周期，美元跌10涨5周期。大周期规律确定的是几年甚至更长的趋势运行方向，由于时间太长对交易而言不具备可操作性，需要从季节性规律来缩小交易范围。而且一个驱动还不够需要更多的驱动力。&2：季节性规律：供需淡季旺季确定短期投资方向和投资时间大周期向下，供应旺季或需求淡季做空，需求旺季供应淡季退出观望。大周期向上，供应淡季或需求旺季做多，需求淡季供应旺季退出观望。季节性规律跟商品的个性特征有关，如白糖、鸡蛋、豆油等吃的东西跟节日消费有关，春节、中秋国庆是两大消费旺季，2-6月是白糖的消费淡季、供应旺季，9-11月是白糖的供应淡季。比如橡胶的季节性规律跟气温有关，气温太低不产胶，所以每年12月到来年的3月气温很低，是停割期，供应减少，驱动向上，价格易涨难跌；4-11月为割胶期，其中5-9月产胶旺季，供应大幅增加，向下的驱动很强，价格易跌难涨。季节性规律确定的是一年之中的某个季节的趋势运行方向，如果大周期趋势向上，又到了上涨概率比较高的消费旺季供应淡季，在两个因素同向合力作用下，上涨的驱动力大大增强。已经具备发的行情的条件了，但是季节性规律也有好几个月的时间，具体在什么时间什么位置交易还是有很多不确定性，需要从技术分形上把交易范围缩得更小才具有可操作性。&3：交易原则：顺大势，逆小势，确立头寸的位置和安全边际大周期向上，季节性向多，等待下跌时间空间结构走完分批开多多头驱动减弱或兑现，季节性向空，时间空间结构走完分批平多大周期向下，季节性向空，等待上涨时间空间结构走完分批开空空头驱动减弱或兑现，季节性向多，时间空间结构走完分批平空顺大势就是顺着大周期大趋势的方向，顺着季节性方向做交易，成功概率高，逆小势就是和大势方向相反的小趋势，由于被大趋势压住，小趋势驱动力有限，注定走不远，注定要回到主流趋势中来，所以，在逆向驱动衰竭的时候做与大势方向一致的交易，胜算概率很高，低风险高收益。如果大周期趋势向上，又到了消费旺季供应淡季，上涨的驱动已经得到增强，上涨的概率得到同步提高，此时小趋势下跌就等于给你一个非常优惠的折扣价，等到下跌小趋势的时间空间结构走完，此时期货低于现货或成本非常多，做多具有非常高的安全边际，转多的概率极大。这个时候已近把交易范围缩小到很窄（时间一周以内，空间5%以内）的区间里了，具备可操作性了，由于有大、中、小三个驱动的同向合力，足以启动一轮新的行情，大资金可以分批建仓，小资金可以使用分时周期把握更细致的点位。开仓后等到时间空间结构走完，驱动减弱的时候分批平空。&4：突发信息：不可预估的重大信息，属于不可控风险。评估信息的影响力和持续性。做好风险控制预案。黑天鹅事件（地震、台风、恐怖袭击、政治动荡、战争等等）永远存在，永远无法准确的知道黑天鹅何时会出现，我们只能判别概率的高低，做好资金管理和风控，资金管理的意义在于当我们遭遇到连续失误时还有足够的本金可用，站在高概率的一边，持续的交易，就能成功。防范突发信息的影响只能是组合和对冲，投入到相关性不强的品种之中分散风险，而相关性比较强的品种之间要进行对冲。5：资金管理：防止本金损失过大，保证有足够的本金能持续进行高胜算交易单品种仓位小于20%，多品种组合对冲总仓位小于60%，组合对冲防范系统风险。分批开仓，分批平仓，有利减仓，不利加仓，以损定量，动态调整头寸。根据波动性管理头寸，波动大的头寸小，波动小的头寸大。分批开仓是为了平摊成本，以获得一个适中的价格，降低止损的概率。分批平仓是为了防范趋势的不断延伸。盈利猛增、偏差过大的时候减仓，主流趋势没变的情况下，可在反向边界处多空大量交换后加仓。以损定量是指按照自己规定的最大承受损失的金额，来计算头寸的数量，比如100万的资金，每次最多允许亏损2.5万，白糖现价5000，止损1.5%即75点，一手就是750元，手。头寸控制在33手以内，总仓位控制在20%以内。&6：风险控制：资本风险、交易环境风险、情绪风险资本风险：单笔交易2个波动幅度强制止损，多笔平均一个波幅止损，市值回撤6%强制止损，价格回撤7%强制止盈。交易环境风险包括软硬件设施故障、交易所规则更改。情绪风险是很多交易员最棘手的问题之一，比如随意性交易，报复性交易，交易过度，不能完全执行计划，还有工作生活中各种矛盾影响导致情绪化交易，控制情绪,需要耐心、自律、坚持、果断，需要一个好的环境。没有这类特质的需要持续的训练和改变，或借助团队协作和程序执行，规避情绪风险。短线交易拼的就是状态，需要非常投入的去交易，最怕各种干扰影响心态导致情绪化交易。而中长线受情绪影响要小的多，主要靠逻辑和耐心致胜。&期货交易的三要素：方向、时间和价格，只有确定了交易的方向、交易的时间和交易的价格，才能完成一笔交易。本逻辑架构层次分明，逻辑清晰，先从大周期规律确定几年以上的长期趋势方向，由于以年为单位的时间周期太长，没有可操作性，需要从季节性规律缩小范围，将时间单位从年缩小到季，但交易范围还是太大，无法实现风控，需要使用分形技术将交易范围由年、季缩小到日，将交易空间缩小到5%以内，这样就具备可操作性了。再从驱动来看，有大、中、小三个周期的驱动形成同向合力，胜算概率大大提高。据此制定符合逻辑、有驱动、有安全边际的交易计划，然后执行并持续跟踪调整交易计划。要做好交易计划不容易，需要许多基础性的知识和常识，需要熟悉品种的个性，需要知道商品的共性，需要耗费很多时间，需要静下心来很专注的去思考、去领悟。需要刻苦的钻研，持久的付出。&交易计划（范例）时间：日开始，持续跟踪交易。品种名称代码：橡胶指数分析，交易映射到合约ru1509交易。1：确定大周期方向：处于6年下行周期的第五年，驱动向下，宏观经济萎靡不振，驱动向下。库存庞大，驱动向下。2：确定季节性方向：5-8月割胶旺季，供应增加，容易下跌，季节性驱动向下。3：确定安全边际和买卖位置：橡胶种植成本12500，弃割成本10000，目前涨到15000以上，远离成本，割胶有利可图，割胶意愿较强，现货套保压力加大，价格下跌概率很高，现在到了割胶旺季，产量增加，价格易跌难涨，此时价格又弹的比较高，这个时候去空安全边际很高。时间空间结构分析：自去年9月以来，一直是一个区间震荡的行情，日线正a9越界顶背离，中线转空，第9波60分钟正a9顶背离，短线转空。期现价差分析：价差扩大，期货高于现货14%，基差超过10%就属于非常态了，回归的概率大，下行周期，驱动向下，期货偏离现货太高，必然回归现货，做空有安全边际。库存分析：库存依旧很多，消费低迷，驱动向下。7-9月是供应旺季，容易下跌，做空首选9月合约。4：计划建仓：建仓日期：日。建仓理由：日线正a9越界顶背离，多空大量交换，中期下跌概率大，第9波60分钟正a9顶背离放大量，短期下跌概率大。期货远高于现货，基差很大，做空有安全边际。建仓价格：1509合约，日上沿附近，15200挂单，60分钟指标死叉背离后绿柱拉长预示下跌动能增强，14900开仓，14800开仓。各开三分之一。资金配置：20%，由于处于下行周期中的供应旺季，下跌的概率比较高，资金配置适当提高。止损价格：橡胶日均波动幅度为2-3%，取其中间值2.5%作为止损参照。止损位15650，止损设400点。预期目标：前面有8个月的反弹，这次下跌周期预期比较长，至少3个月以上，因为橡胶3个月左右的周期比较明显，预期到弃割成本10000附近，盈亏比：12：1&。持仓动态监控：10日线和中轨是重要的趋势线，向上突破强制止盈，加速下跌形成极端位要主动止盈，观察时间空间结构是否走完，macd是否背离，是否跌破割胶成本，30分钟或60分钟背离的时候适当加减仓进行滚动交易。交易时点参考15分钟周期的极端位。平仓理由和价格：日，偏差过大，9月合约创了新低，到了弃割成本附近，期现价差消失，短期下跌动能释放，集合竞价平仓11500。总结：本次交易非常符合期货投资逻辑架构的6条规范，开仓的安全边际足够，行情也如行云流水一样，7波非常流畅的走完，平仓干净利落，不拖泥带水，获利也很丰厚。一年能做两次这样的交易足矣。另外：每次60分钟上沿附近柱值缩短或30分钟上沿附近死叉都是加仓的好时机，加仓后总仓位控制在20%以内，加仓后设一个波动幅度止损，急跌放量后短期底背离平掉加仓部分。如果错过了日线级别的开仓机会，可以在分时周期等待次级进场机会，如果因判断有误提前平仓了，也可以在小级别逆向走势中等待时间空间结构走完重新进场。行情运行特征，成本驱动向上，库存驱动向下，丰产周期遇到经济熊市，围绕成本区域进行弱势平台整理，预计持续很长时间，直到有新的驱动打破平衡。操作策略：区间宽幅震荡，正负a边界背离高空低平，轻仓操作。&第二次开空：由于前面反弹了8个月，所以这次下跌时间应该比较长，至少3个月以上，而目前由于股市利空传导，价格快速下跌，时间只有1个月，明显时间不够，预计反弹后将再度缓跌。7月22日，1509合约60分钟正a9越界的时候12580附近再度入场分批做空。8月27日跌破弃割成本10000，60分钟负a5金叉平仓。&第三次开空：日，库存持续增加并创近期新高，库存驱动向下，日线正a5越界，60分钟顶背离，短期和中期向下概率很大，指数越界的时候，在1605合约日线上边线附近12060左右分批开空。预估到金融危机的低点9000附近
作品下载地址：
《期货投资逻辑架构及量化交易》百度云下载
http://pan.baidu.com/s/1nu5g9uD
主要研究品种：白糖、橡胶、黑色金属
Real brain power on dilspay. Thanks for that answer!
I can already tell that's gonna be super &a href=&http://ytucznf.com&&helpluf.&/a&
A minute saved is a minute &a href=&http://bcqcxhrr.com&&eandre,&/a& and this saved hours!
Your posting is abellutsoy on the point! http://xuzrzoramg.com [url=http://zyslmuly.com]zyslmuly[/url] [link=http://ixatbpmnrwj.com]ixatbpmnrwj[/link]
installment loans &a href=&http://installmentloans.bid&&installment loans&/a& bad credit payday loans &a href=http://installmentloans.bid&indian reservation loans&/a&
independent payday lenders &a href=&http://installmentloans.bid&&installment loans for bad credit&/a& loans net &a href=http://installmentloans.bid&installment loans no credit&/a&
guest test post
&a href=& http://temresults2018.com/ &&bbcode&/a&
&a href=&http://temresults2018.com/&&html&/a&
http://temresults2018.com/ simple
installment loans online &a href=&http://installmentloans.bid&&online installment loans&/a& installment loans guaranteed &a href=http://installmentloans.bid&payday loans st louis&/a&
no credit &a href=&http://installmentloans.bid&&installment loans&/a& loans online instant approval &a href=http://installmentloans.bid&consumer lending&/a&
credit card debt consolidation loans &a href=&http://installmentloans.bid&&direct lender installment loans&/a& installment loans &a href=http://installmentloans.bid&installment loans&/a&
&a href=&http://ydnmedipnkfz.com/&&ydnmedipnkfz&/a&, [url=http://yxxwaoyvnclz.com/]yxxwaoyvnclz[/url], [link=http://ewfqsjvzshcw.com/]ewfqsjvzshcw[/link], http://yuabozknevov.com/
aWzeSt https://www.genericpharmacydrug.com
&a href=&http://dtwwfclzwtpi.com/&&dtwwfclzwtpi&/a&, [url=http://ghjfjscisdze.com/]ghjfjscisdze[/url], [link=http://ynwyygncoouk.com/]ynwyygncoouk[/link], http://cknhnhsyhgnp.com/
&a href=&http://pqkbzrfdjmfh.com/&&pqkbzrfdjmfh&/a&, [url=http://qornmjrgeiuq.com/]qornmjrgeiuq[/url], [link=http://xyqsgxmqmfgh.com/]xyqsgxmqmfgh[/link], http://fbafrskaqiyk.com/
&a href=&http://xaxfiltlrfvc.com/&&xaxfiltlrfvc&/a&, [url=http://nyaukkwxsvjc.com/]nyaukkwxsvjc[/url], [link=http://jplqaahrghrz.com/]jplqaahrghrz[/link], http://nxqeaaumajuo.com/
&a href=&http://mtmabkwpnmov.com/&&mtmabkwpnmov&/a&, [url=http://xvluylwkreij.com/]xvluylwkreij[/url], [link=http://dughvmvocqcj.com/]dughvmvocqcj[/link], http://wkiwmykbtqye.com/
&a href=&http://uuwqmtubneyz.com/&&uuwqmtubneyz&/a&, [url=http://qncojuszrxsh.com/]qncojuszrxsh[/url], [link=http://gxpgezbtwsyy.com/]gxpgezbtwsyy[/link], http://yiwlknabwhjd.com/
&a href=&http://njzmzuhwmgww.com/&&njzmzuhwmgww&/a&, [url=http://lmwkpyrcilux.com/]lmwkpyrcilux[/url], [link=http://xcwdlzwivjir.com/]xcwdlzwivjir[/link], http://khelwswesyez.com/
&a href=&http://ppsfrzcdptys.com/&&ppsfrzcdptys&/a&, [url=http://zobuqhflnwfq.com/]zobuqhflnwfq[/url], [link=http://npwnayoqteyj.com/]npwnayoqteyj[/link], http://mkfqjjmkuxda.com/
&a href=&http://crwsusmomrfd.com/&&crwsusmomrfd&/a&, [url=http://vyixpvtontvd.com/]vyixpvtontvd[/url], [link=http://odujconpwpdl.com/]odujconpwpdl[/link], http://qvvywxfijlyh.com/
&a href=&http://dsnetzawoemj.com/&&dsnetzawoemj&/a&, [url=http://tdlapwbbbtpe.com/]tdlapwbbbtpe[/url], [link=http://quogjbmatnre.com/]quogjbmatnre[/link], http://rxvavpgbbtcd.com/
Could I have an application form? &a href=& https://www.drugonsale.com &&kamagra&/a&
Forget the president's assertions about opponents' heads being stuck in the sand. Look instead at the actual evidence. There has been no temperature trend over the last 15 or so years despite increasing atmospheric concentrations of GHG. The earth has been emerging from the Little Ice Age since roughly 1850; accordingly, temperatures increased from about 1910 through about 1940, were roughly constant through about 1980, increased until 1998, and have exhibited no trend since then. How much of this long-term upward trend is anthropogenic? No one knows, and those who claim to know don't.
I'm doing a masters in law https://www.drugonsale.com levitra
Meanwhile, a study by the London School of Economics found that while spending time with your friends raises your happiness levels by 8 per cent, spending time with your children raises your happiness by 1.4 per cent & less than walking and going to the library (and alcohol, but I could have told you that).
Children with disabilities &a href=& https://www.drugonsale.com &&levitra&/a&
Nine days ago, he recorded his eighth top-10 of the year with a tie for fourth at the Deutsche Bank Championship, then earned one of two wildcard picks for the Presidents Cup by U.S. captain Fred Couples less than 48 hours later.
How would you like the money? https://www.drugonsale.com cheap order drugs
This includes the rebuilding of a hospital and renovation of PNG's universities, which will be jointly funded, and the construction of a key highway between Lae and Madang and a new court building in the capital Port Moresby that Canberra will solely fund.
I don't know what I want to do after university &a href=& https://www.drugonsale.com &&kamagra&/a&
Manzoor Hussain, president of Pakistan's Alpine Club, said Sunday his outfit was coordinating the expedition, and that the three Iranians successfully ascended the 8,051-meter (26,414-foot) summit of Broad Peak.
Could you ask her to call me? https://www.drugonsale.com cialis
&Had we invested that money here in California, it would have had a multiplying effect because it would not only have given thousands of Californians jobs but also the subsequent spending would have been reinvested in our economy,& said California assemblyman Luis Alejo.
Why did you come to ? &a href=& https://www.drugonsale.com &&purchase medication online
&/a&
It's evident in the documentary that Miley's very close with her and her mom/ manager/&homey& Tish Cyrus. Throughout Miley's entire movement, from the release of &We Can't Stop& to her Video Music Awards performance, her mother has been right there.
Recorded Delivery https://www.drugonsale.com levitra
In his state of the nation address that lasted for nearly two hours, Benigno Aquino III listed his administration's achievements midway through his six-year term, including a looming peace deal with the largest Muslim guerrilla group in the country's volatile south.
&a href=&http://ifpvqdxkruva.com/&&ifpvqdxkruva&/a&, [url=http://aejxpxwyytyd.com/]aejxpxwyytyd[/url], [link=http://ghwnvsmsqvfz.com/]ghwnvsmsqvfz[/link], http://lnzhgrrlpvkc.com/
&a href=&http://pyvdsoqbugeg.com/&&pyvdsoqbugeg&/a&, [url=http://zqsxpyoklwsp.com/]zqsxpyoklwsp[/url], [link=http://xwuencrcowiq.com/]xwuencrcowiq[/link], http://rstkievpweoj.com/
Punk not dead
&a href=& https://www.drugonsale.com &&viagra&/a&
Marston's is up 3.1% after it saw an encouraging trading performance in the second half of the year after poor weather conditions hit the first half. The British brewer and pub operator said that, in destination and premium pubs, like-for-like sales were 2.2% higher than last year and are up 2.6% over the last 11 weeks, and it expects the division's full-year operating margin to be slightly ahead of last year. Its managed and franchised pubs saw like-for like sales in line with last year, but up 2% in the second half of the year. However, it expects its full-year profits to be lower in its Taverns community pubs, due to poor weather in the first half of the year, more disposals than originally planned, and a more subdued performance in its tenanted pubs, in line with market trends. Full-year profits for its leased pubs are expected to be in line with last year, Marston's said, with an improved performance in the second half year. The brewer said that it disposed of 130 pubs and other assets during the year, which generated higher proceeds than expected, of around GBP50 million. Numis has upgraded the company to Buy from Add on the back of the year-end trading statement.
this is be cool 8) &a href=& https://www.drugonsale.com &&viagra&/a&
Furyk was just left off the Presidents Cup team for the first time by U.S. Captain Fred Couples, who selected rookie Jordan Spieth and Webb Simpson while notifying Furyk via text message that he had not made it.
Could you send me an application form? https://www.drugonsale.com cialis
The event was seven blocks from the Newark mayor’s City Hall office. But Booker — who has a huge lead in the polls — was 10 miles away, raking in campaign cash at $1,000 to $2,600 per head at a fundraiser headlined by his friend, Oprah Winfrey.
I live here https://www.drugonsale.com cialis
&There's some fantastic youth development work being done in the Football League. About ??60m per year is invested in youth development in the Football League, and two thirds of that comes from the clubs themselves.&
Photography &a href=& https://www.drugonsale.com &&levitra&/a&
The lawsuit, filed in the Court of Chancery of Delaware,seeks to force the company to call an annual shareholder meetingon the same day as the special meeting on the buyout in caseDell Inc sets a new record date.
&a href=&http://psbfkxelqdwn.com/&&psbfkxelqdwn&/a&, [url=http://hfofwhpgtkfg.com/]hfofwhpgtkfg[/url], [link=http://dgnivnbashzd.com/]dgnivnbashzd[/link], http://fomdbptbogdj.com/
Hello good day https://www.drugonsale.com kamagra
Its new BlackBerry devices hit store shelves this year just as the high-end smartphone segment was showing signs of saturation in markets such as the United States. Samsung Electronics recently reported results that fell shy of expectations, while Apple earlier this year reported its first quarterly profit decline in more than a decade.
&a href=&http://spysakvurlyl.com/&&spysakvurlyl&/a&, [url=http://ushoerqvpelj.com/]ushoerqvpelj[/url], [link=http://nayqacurtlua.com/]nayqacurtlua[/link], http://yzbvynfjttnk.com/
I'm interested in
&a href=& https://www.drugonsale.com &&online pharmacy&/a&
The Paris-based Reporters without Borders has labeled Turkey the world's &biggest prison for journalists& while the country's main opposition party this week reported that as many as 64 journalists are in prison and a further 123 are on trial for journalism-related activities. The government insists the journalists are in prison for terrorism-related charges or for other crimes.
I'm not interested in football &a href=& https://www.drugonsale.com &&levitra&/a&
The president says their second title in three seasons was because of stellar pitching, defense and timely hitting. But Obama didn't predict that finish. On the campaign trail last year, he anticipated a World Series between the White Sox and the Washington Nationals.
Do you know each other?
https://www.drugonsale.com cheap order drugs
makes me wonder about you and your lifestyle...I know many gay couples - they work hard, pay taxes, raise children, serve their country...don't know any gays like you describe, but I do see heterosexuals doing these things...you can't assign depravity totally to either lifestyle...and stop quoting the Bible - you are obviously not a Christian.
Another service? &a href=& https://www.drugonsale.com &&kamagra&/a&
He has been blasted as a &textbook fascist& by Indian sociologist Ashis Nandy. Yet when the opposition Bharatiya Janata Party elevated him to campaign chairman earlier this year & widely seen as a prelude to naming him candidate for prime minister in 2014 & a cheer rose from the BJP faithful.
I work with computers https://www.drugonsale.com purchase medication online
Officials said China would develop an international oilfutures trading platform in the zone and encourage foreignparticipation, part of attempts to upgrade commodities marketsand hedge risk in the world's largest energy consumer.
I do some voluntary work https://www.drugonsale.com online pharmacy
Images of victims of human rights abuse are displayed during a ceremony to commemorate 40 years of the military coup at the “Parque Por La Paz” (Park for Peace) on the grounds of the former Villa Grimaldi torture center in Santiago. REUTERS/Ivan Alvarado
The National Gallery &a href=& https://www.drugonsale.com &&levitra&/a&
State regulators have decided that maybe it wasn&t enough to assess Pacific Gas & Electric Co. (PG&E) a $2.25 billion &penalty& for the deadly 2010 San Bruno blast, which was essentially paid for by crediting money being spent on already-required infrastructure upgrades.
It's OK https://www.drugonsale.com kamagra
TCV is promoting its Big Green Weekend, running from this Friday to Monday, which will see the charity's supporters sharing their stories via social media as they promote the event's theme, &What does the weekend mean to you?&.
22周一至周五 8：30-17：00地址：深圳市南山区科技中二路软件园区一期3栋506
邮箱/手机号码
还没有帐号？