关于风险值R的思考

在前一篇博客《帮你量化盈利的几个公式》中我们已经知道,平均赢利能力=成功率x回报风险率xR-失败率xR=(成功率x回报风险率-失败率)xR。

要提高平均赢利能力可以从几方面着手,第一,提高成功率。但是我们知道,没有人能够预测市场,要构建一个成功率高于60%的交易系统,是非常有难度的。第二,我们可以设定更高的回报风险率,即承受更大的波动,这样的可能结果是止赢价格过高,无法达成止赢的条件。

那么第三方面就可以从R着手,R就是风险值,每次交易所能承受的最大损失。R=资金量x风险百分比。提高R可以提高资金量(但一般普通人资金量有限),提高风险百分比两个方式都可以增加R值。

(R值和回报风险率本质是相同的,都和最大亏损承受度相关)

是不是R值越高越好?当然不是。当R太高的时候,可能的亏损比例则越高。如果一个账户亏损了50%,那么剩余的本金需要100%的涨幅才能恢复原来的规模。

R值的大小,只有通过个人实际的情况和经验做出决定。

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