對於資金曲線交易，本質是個簡單的觀念，也不需要太多複雜的想法，目的就是保護資金而已。一般常見的方式就是取資金曲線的簡單平均(SMA)，在平均曲線上就進行交易(多+空)，在平均曲線下就停止交易。來看一下國外網站上的簡介。
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Trading The Equity Curve
Some trading systems have prolonged periods of winning or losing trades. Long winning streaks may be followed by a prolonged period of drawdown. Wouldn’t it be nice if you could minimize those long drawdown periods? Here is one tip that might help you do just that. Try applying a simple moving average to your trading system’s equity curve and use that as a signal on when to stop and restart trading your system. This technique just might radically change your trading system’s performance.
How to do this? Well the moving average applied to your trading system’s equity curve creates a smoothed version of your trading system’s equity curve. You can now use this smoothed equity curve as a signal on when to stop or restart trading. For example, when the equity curve falls below the smoothed equity curve you can stop trading your system. Why would you do this? Because your trading system is under performing, it’s losing money. Only after the equity curve starts to climb again should you start taking your trades once again. This technique is called trading the equity curve.
Trading the equity curve is like trading a basic moving average crossover system. When the fast moving average (your equity curve) crosses over the slower moving average (your smoothed equity curve) you go long (trade your system live). When the fast moving average crosses under the slower moving average you close your long trade (stop trading your live system).
In the image above the blue line is the equity curve of an automated trading system. The pink line is a 30-trade average of the equity curve. When the equity curve dips below the pink line, such as around trade number 60, you would stop trading the system. Once the equity curve rises above the pink line, around trade number 80, you would start trading the system once again.
It’s a great idea and with some systems this technique can really work wonders. In essence, we are using the equity curve as a signal or filter for our trading system. In the most simple case, it’s a switch telling us when to stop trading it and when to resume trading. But you could also use this signal to reduce your risk or switch to a different system instead of simply turning off the system.
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Here is section of the equity curve of the system without using the equity curve feedback.
You can see in the above equity curve we had an 83% drop in equity. Also, there is a six year lag between new equity highs. Below is the the equity curve when a 20-period simple moving average is applied. This means we only take trades when the current equity curve is above it’s 20-period simple moving average.
In this example you can see the drawdown was significantly reduced along with the time between new equity highs.
Does It Always Help?
The short answer is, no. Trading the equity curve works well on some trading systems that have prolonged periods of drawdown. Yet, other systems don’t benefit because the drawdowns are rather shallow and you end up hurting your equity more than anything. But like most things in the world of trading, you’ll have to perform some testing. Test different moving averages and test between halting all trading or reducing contract/share size. Remember, some systems do not benefit from this technique at all.
The Equity Curve Feedback Toolkit can also be use to create even more dynamic systems. For example, you can separate your long and short equity curves. Perhaps during a bear market you should only be taking short trades. Well, you can have your system disable long trades if they stop performing well. Likewise for short trades. In this regard, you could build a regime filter based upon the performance of the strategy.
You could also dynamically adjust your risk. That is, if your equity curve begins to fall you can reduce the number of shares or contracts you trade. Maybe when the equity curve is climbing, you need to increase your risk by buying more shares or contracts. You could also start or stop trading based upon drawdown or if the percentage of winners falls below a threshold. These are all possible with this kit.
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Source: http://systemtradersuccess.com/trading-the-equity-curve/
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上面說明了一個簡單平均下權益曲線交易的範例，MDD可以由85% -> 50%，這樣的交果好或不好，那是見人見智。不過文中也說明了並不是每一種策略都適合，有時加進這樣的曲線交易，反而會讓原本的權益曲線更糟。所以，可以由各方面來做測試，例如：
1) 當在權益曲線平均下方時，可以用減少口數的方式來測試，而不是完全取消交易
2) 也可以把多單及空單分開做測試，在熊市時只針對空單來做，在牛市場只針對多單來做。
3) 當權益曲線在平均上方且穩定上揚時，可以考慮增加口數。
利用「簡單平均」也許只是其中一種方式，藍色投機客也提到使用布林通道1個標準差的下限來做為交易或不交易的標準（相較於平均數，好處是可避免交易次數太少的問題）。當然也可利用海龜通道也行，不過在權益曲線盤整時，可是會被巴的很慘，要有心理準備。
總之，權益曲線交易的唯一目標─「保護本金」，不被立即的MDD產生巨大本金減損。「保護本金」、「保護本金」、「保護本金」，因為很重要，所以說三次。這個和市場交易策略不同，不用太複雜，選個跟自己個性可以相配的方式來控制就行，為自己的資產加把鎖。
Soro 沙羅
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