金融怪杰
本集角度 · 采访了几十个顶级交易员，结论是没有圣杯
ABOUT这本书
1989 年出版，施瓦格当时是期货研究部主管，花九个月采访了十七位交易员：马库斯把 3 万美元做到 8 千万，科夫纳做全球宏观，丹尼斯带出海龟，塞柯塔靠程序化十六年做出 25 万倍，还有 1987 年 10 月做空赚翻的保罗·都铎·琼斯。看图的、看基本面的、场内喊单的，方法互相打架，但问到风险，说的话像同一个人：单笔风险 1% 到 2%、亏钱时减量、永远不给亏损摊平。访谈体财经书从这本开始，之后三十多年的续集没有一本超过它。
Published in 1989 by a futures research director who spent nine months interviewing seventeen traders: Michael Marcus, who turned $30,000 into $80 million; Bruce Kovner the global macro trader; Richard Dennis, who trained the Turtles; Ed Seykota, whose computerised system compounded 250,000 percent over sixteen years; and Paul Tudor Jones, who made his name short in October 1987. Chartists, fundamentalists and pit traders contradict each other on method, then answer the risk questions in one voice: one to two percent per trade, cut size when losing, never average a loser. The trading-interview genre starts here, and none of the sequels over the following three decades has topped it.
POINTS要点
- 十七个人方法全不一样，说到风险像一个人：单笔风险 1% 到 2%，亏钱就减量Seventeen traders, seventeen methods, one voice on risk: one to two percent per trade, cut size when losing
- 八个高度相关的仓位等于一个八倍的仓位，分散是算出来的，不是数出来的Eight highly correlated positions are one position eight times too big; diversification is computed, not counted
- 别问从哪里做多的，每天把持仓当成昨晚收盘价刚建的，只问今天该多还是该空Never mind where you got in. Treat every position as opened at last night's close and ask only: long or short today?
- 输赢都是自己要的，有人靠亏钱换同情和关注，先弄清楚你在市场里到底要什么Win or lose, you get what you want from the market. Some people trade for sympathy. Find out what you are really there for
EXCERPTS原文摘句 · 5 条
GODZILLA哥斯拉怎么读
书里对利率台子最有用的一句在科夫纳那章第 42 页：八个高度相关的仓位，等于一个八倍大的仓位。管 JGB、美债、澳债和一堆 basis 的人每天早上先算这个，日经单日跌 12% 那种日子，全线一起跌，台子上每个人都得承认自己一直只有一个仓位。琼斯那章要读三遍，别问我从哪里做多的，谁在乎，把持仓当成昨晚收盘价刚建的。做了多年的人早上第一眼还是先看入场价，这句得反复读。科夫纳 1989 年说趋势系统会互相杀死，结果趋势跟踪又活了三十年。今年 10Y 在 5% 上下横了半年，油价 100 以上，正是他说的能让趋势系统复活的环境。
The most useful line for a rates desk is Kovner's on page 42: eight highly correlated positions are one position eight times too big. Running JGBs, Treasuries, ACGBs and basis trades, it is the first check each morning. On a day the Nikkei drops 12%, everything sells off together and every desk admits it only ever had one position. Read the Paul Tudor Jones chapter three times: don't ask where I'm long from, treat every position as opened at last night's close. Years in, most traders still glance at the entry price first. Kovner said in 1989 that trend systems would kill each other off; they lived another thirty years. With the 10-year near 5% and oil above 100, this is the regime he said would revive them.
FOR适合谁
做了一两年、开始怀疑到底有没有圣杯的人，读完会松一口气。零经验的人读它像看名人访谈，先读第一本再来。
For traders a year or two in who are starting to doubt there is a holy grail; this book lets you exhale. Total beginners will read it as celebrity profiles. Start with Livermore first.