2%原則是風險管理的基本原則（我傾向於使用“風險管理”或“保本”，因為它們比資金管理更具有描述性）。即使時機對你有利，你也不應該讓自己的大部分資金處於某筆交易的風險之中。拉裡•海特在《市場奇才》（1989年）一書中提到他從朋友那學到的兩個教訓：
1. 永遠不要把你的生活方式作為賭註—— 不要用你的大部分資金進行一次性交易；
2. 永遠要清楚最壞的結果會是什麼。
海特的1%定律對大部分市場都適用，並演化為短期股票交易的2%原則：不要將大於2%的資產置於某只股票風險中。意思是，即使是連續虧損10次，也只會消耗20%的本金。不是說你需要交易50只不同的股票——你的資金風險遠比所購買的股票價格小。
應用2%原則
1. 計算出交易資金量的2%：風險資金
2. 減去買、賣佣金，得到最大風險資金。
3. 計算每股的風險:從買入價減去止損和滑點範圍（不是所有的止損都能準確執行）。空單的過程與此相反：在加入滑點範圍之前減去買入價的止損。
4. 可買入的最大股數由最大風險資金和每股風險計算得出。
例：
設想你的資金總量為$20,000，每股交易的佣金固定在$50。
1. 你每股交易的風險資金為： $20,000 * 2 % = $400
2. 減去買、賣兩筆交易佣金，你最大的可允許風險資金為：$400 - (2 * $50) = $300
3. 計算每股的風險：如果股票的價格為$10.00，你在$9.50處設置止損，那麼你每股的風險為50美分。加上滑點風險，比如25美分，那麼你每股的交易風險便提高到75美分
4. 因此，你最多可以交易：$300 / $0.75 = 400 股 (共需要$4000本金)
小測試
你的資金為$20,000，每股交易佣金為20美金。在股價為$10.00、止損在at $9.25的情況下，你最多可以買入多少股票？應用2%原則。
提示：減去買、賣的佣金和滑點（比如25美分每股）。
2%原則適合所有的股票交易者嗎？
不是所有的投資者都面臨同樣的成功率（Van Tharp在《通向財務自由之路》稱之為可靠率）。短期交易者通常會有更高的成功率，而長期交易者通常會有更高的風險回報比。
成功率 (可靠率)
成功率是盈利股票數量與總交易數量的比例：成功率=盈利交易/(盈利交易+虧損交易）*100%
風險回報比
風險回報比是預期收益和風險資本的比率（實際上它應該被稱作回報/風險比，因為它最初是這麼表達的）。如果你盈利的平均收益（去除交易佣金）是$1000，每筆交易的風險資本為$400（上面2%原則），那麼你的風險回報比為2.5：1（即$1000 / $400)風險回報比 =平均盈利 / 平均風險資本
信心度
並不是說相對於交易者A交易者C將會盈利更多。交易者A的短期交易的交易量比C可能多得多。你或許會遇到下面的情況：
相對風險
我們現在使用二項概率計算器來計算每筆交易20%錯誤概率的相對風險（網址為http://faculty.vassar.edu/lowry/ch5apx.html）：
很顯然，成功率越高，你每股交易所能承受的虧損也就越大。
請記住，擁有較高風險回報比的交易者C只需要1/10成功率即可實現收支平衡。如果我們比較三者的收支平衡點的話，你會發現低成功率交易者更容易產生虧損交易。
低成功率
盡管你的交易系統或許能盈利，它也有讓你虧損的傾向。你可以考慮使用低風險資金（比如1%）。
回歸現實
在現實世界中，我們並不會遇到上面例子那麼完美的二項分佈：
• 盈利沒有那麼平均；
• 虧損幅度有大小之分——止損有時會因價格缺口而無效；
• 可能性有差別；
• 結果相互影響 – 當某只股票下跌，別的股票也傾向於下跌。
協方差
大多數風險管理系統的最大缺陷是，股價波動會相互影響。交易者手上的交易並不是相互獨立的。市場有其運作規律，而這將影響所有股票。當然，也有例外，比如熊市市場中某只股票的上漲或者牛市市場中期某只股票突然下跌。然而，這僅僅是例外。大部分股票都像羊群一樣順勢而行。
托馬斯•多爾西在《點數圖繪圖技巧》舉出了一個關於某只股票風險例子：
市場與你的股票走勢相反，是最大的風險。我們應該如何預防？
預防一系列資本損失
如果你在資產泡沫時期持有大量的銀行股票，那麼2%原則不足以保護你的資產；與之類似的是你在自然災害時期持有大量的保險類股票或者互聯網熱潮時期持有大量的技術類股票。我們需要憑經驗快速衡量某一領域或市場交易的風險。
行業的相對獨立性
不要在特定的某一行業領域交易。然而不是所有行業都是對等的，比如全球行業分類標準(GICS)中原材料之間的關聯度就相當的小，並且可以作為獨立的交易領域。除此之外的大部分行業領域都應該當作一個整體對待。
我們可以從上圖中看到化工品、容器和包裝材料的波動具有一致性，應該被當作一個行業領域交易。別的指數則是相對獨立的，需要被分開對待。
行業風險
根據經驗，可以將你用於購買某一行業領域股票交易的風險資本限制為每股交易風險資本的三倍（如果採用2%原則的話，你每筆交易的風險資本最大可以是本金的6%）。
意思不是說你每個行業領域只能持有3只股。當你最初的3股沒有風險的時候（你已經把止損設置在收支平衡價位之上），你就可以買第4只股；以此類推，每當之前買入的一只股票沒有風險的時候，便可以繼續買入下一只股票。
不要急於向上移動你的止損。你的止損會讓你在趨勢來臨前出場。同時，如果你的同一行業領域的3股交易在一段合理的時間内接連觸及保護性的止損，那麼我建議你把該行業内所有的倉位止損設置在當前價位週圍。保護性止損，我的意思是追蹤止損，可以在趨勢改變的時候平倉出場（比如價格靠近長期移動均線的下方）；而一段合理的時間因人而異：對於短期交易者是幾天，而對於長期交易者來說則是幾週。
市場風險
你可以用類似的方式限制市場的風險。
將你的市場風險資本限定為每股風險資本的5~10倍（如果你採用2%原則，那麼你的市場風險資本應該在10%~20%之間）。可以根據你的投資組合適當的調整該比例，並且你交易的週期越短，你的成功率就越高，你將可以承受更大的市場風險。
同時，如果你的保護性止損在一段合理的時間内被接連觸發5次的話，那麼也建議你縮小所有持倉的止損距離。
資金管理總結
一個針對所有股票交易者的普遍性原則是永遠不要將大於2%的風險資本用於購買任何一種股票。這條原則或許不適合具有高風險回報比、較低成功率的長期投資者。並且，這條規則不應該被獨立使用：你最大的風險是市場風險，市場中所有股票的走勢都趨於同步。為了防止市場風險，你需要限定每一領域以及整個市場中的風險資本。
Money Management: The 2 Percent Rule
The 2 percent rule is a basic tenet of risk management (I prefer the terms "risk management" or "capital preservation" as they are more descriptive than "money management"). Even if the odds are stacked in your favor, it is inadvisable to risk a large portion of your capital on a single trade.
Larry Hite, in Jack Schwager's Market Wizards (1989), mentions two lessons learned from a friend:
3. Never bet your lifestyle -- never risk a large chunk of your capital on a single trade; and
4. Always know what the worst possible outcome is.
Hite goes on describe his 1 percent rule which he applies to a wide range of markets. This has since been adapted by short-term equity traders as the 2 percent rule:
The 2 Percent Rule: Never risk more than 2 percent of your capital on any one stock.
This means that a run of 10 consecutive losses would only consume 20% of your capital. It does not mean that you need to trade 50 different stocks -- your capital at risk is normally far less than the purchase price of the stock.
Applying the 2 Percent Rule
5. Calculate 2 percent of your trading capital: your Capital at Risk
6. Deduct brokerage on the buy and sell to arrive at your Maximum Permissible Risk
7. Calculate your Risk per Share:
Deduct your stop-loss from the buy price and add a provision for slippage (not all stops are executed at the actual limit). For a short trade, the procedure is reversed: deduct the buy price from the stop-loss before adding slippage.
8. The Maximum Number of Shares is then calculated by dividing your Maximum Permissible Risk by the Risk per Share.
EXAMPLE
Imagine that your total share trading capital is $20,000 and your brokerage costs are fixed at $50 per trade.
5. Your Capital at Risk is: $20,000 * 2 percent = $400 per trade.
6. Deduct brokerage, on the buy and sell, and your Maximum Permissible Risk is: $400 - (2 * $50) = $300.
7. Calculate your Risk per Share:
If a stock is priced at $10.00 and you want to place a stop-loss at $9.50, then your risk is 50 cents per share.
Add slippage of say 25 cents and your Risk per Share increases to 75 cents per share.
8. The Maximum Number of Shares that you can buy is therefore:
$300 / $0.75 = 400 shares (at a cost of $4000)
QUICK TEST
Your capital is $20,000 and brokerage is reduced to $20 per trade. How many shares of $10.00 can you buy if you place your stop loss at $9.25? Apply the 2 percent rule.
Hint: Remember to allow for brokerage, on the buy and sell, and slippage (of say 25 cents/share).
Click here for the Answer
Is 2 Percent Suitable For All Equity Traders?
Not all traders face the same success rate (or reliability as Van Tharp calls it in Trade Your Way to Financial Freedom). Short-term traders normally achieve higher success rates, while long-term traders generally achieve greater risk-reward ratios.
Success Rate (Reliability)
Your success rate is the number of winning trades expressed as a percentage of your total number of trades:
Success rate = winning trades / (winning trades + losing trades) * 100%
Risk-Reward Ratios
Your risk-reward ratio is your expected gain compared to your capital at risk (it should really be called thereward/risk ratio because that is the way it is normally expressed). If your average gain (after deducting brokerage) on winning trades is $1000 and you have consistently risked $400 per trade (as in the earlier 2 percent rule example), then your risk-reward ratio would be 2.5 to 1 (i.e. $1000 / $400).
Risk-Reward ratio = average gain on winning trades / average capital at risk
Confidence Levels
If we have three traders:
Trader: A B C
Time frame: Short-term Medium Long-term
Success Rate: 75% 50% 25%
Risk-Reward Ratio: 1.0 3.0 10.0
Trader A
Trades short-term and averages 125% profit over all his trades.
Winning trades: 75% * 1 0.75
Less: Losing Trades 25% * 1 -0.25
Average Profit .50
As a percentage of capital at risk 50%
Trader B
Trades medium-term and averages 200% profit over all his trades.
Winning trades: 50% * 3 1.50
Less: Losing Trades 50% * 1 -0.50
Average Profit 1.00
As a percentage of capital at risk 100%
Trader C
Trades long-term and averages 325% profit over all her trades.
Winning trades: 25% * 10 2.50
Less: Losing Trades 75% * 1 -0.75
Average Profit 1.75
As a percentage of capital at risk 175%
This does not necessarily mean that Trader C is more profitable than A. Trader A (short-term) is likely to make many more trades than Trader C. You could have the following situation:
Trader: A B C
Time frame: Short-term Medium Long-term
Average Profit/Trade 50% 100% 175%
Number of Trades/Year 300 100 40
Times Return on Capital at Risk 150 100 70
Capital at Risk 2% 2% 2%
Annual % Return on Capital 300% 200% 140%
Relative Risk
We now calculate the relative risk that each trader has of a 20% draw-down. Use the binomial probability calculator athttp://faculty.vassar.edu/lowry/ch5apx.html:
Trader A B C
Success Rate 75% 50% 25%
Probability of 10 straight losses 0.0001% 0.1% 5.6%
Obviously, the higher your success rate, the greater the percentage that you can risk on each trade.
Bear in mind that, with a higher risk-reward ratio, Trader C only needs one win in 10 trades to break even; while Trader A would need five wins. However, if we compare breakeven points, it is still clear that lower success rates are more likely to suffer from draw-downs.
Trader A B C
Number of wins (out of 10 trades) required to break even 5 2.5 1
Normal Success Rate 75% 50% 25%
Probability of making a net loss in 10 trades 2.0% 5.5% 5.6%
Low Success Rates
Although your trading system may be profitable, if it is susceptible to large draw-downs, consider using a lower percentage of capital at risk (e.g. 1 percent).
Back to the Real World
In real life trading we are not faced with a perfect binomial distribution as in the above example:
• gains are not all equal;
• some losses are bigger than others -- stop losses occasionally fail when prices gap up/down;
• probabilities vary; and
• outcomes influence each other -- when stocks fall, they tend to fall together.
Covariance
The biggest flaw in most risk management systems is that stock movements influence each other. Individual trades are not independent. Markets march in unison and individual stocks follow. Of course there are mavericks: stars that rise in a bear market or collapse in the middle of a bull market, but these are the exception. The majority follow like a flock of sheep.
Thomas Dorsey in Point & Figure Charting gives an example of the risks affecting a typical stock:
Market risk
Sector risk
Stock risk 66%
24%
10%
The risk of the market moving against you is clearly the biggest single risk factor. How do we protect against this?
Protecting your Capital from a String of Losses
The 2 percent rule alone will not protect you if you are holding a large number of banking stocks during an asset bubble; insurance stocks during a natural disaster; or technology stocks during the Dotcom boom. We need a quick rule of thumb to measure our exposure to a particular industry or market.
Independent Sectors
Limit your exposure to specific industry sectors. Not all sectors are created equal, however. Industry groups in the (ICB or GICS) Raw Materials sector have fairly low correlation, and can be treated as separate sectors, while industry groups in most other sectors should be treated as a single unit.
We can see from the above chart that Chemicals and Containers & Packaging tend to move in unison and should possibly be treated as one industry sector, but other indexes shown are sufficiently independent to be treated separately.
Sector Risk
As a rule of thumb, limit your Total Capital at Risk in any one industry sector to 3 times your (maximum) Capital at Risk per stock (e.g. 6% of your capital if you are using the 2 percent rule).
This does not mean that you are limited to holding 3 stocks in any one sector. You may buy a fourth stock when one of your initial 3 trades is no longer at risk (when you have moved the stop up above your breakeven point on the trade); and a fifth when you have covered your risk on another trade; and so on.
Just be careful not to move your stops up too quickly. In your haste you may be stopped out too early -- before the trend gets under way.
I also suggest that you tighten your stops across all positions in a sector if protective stops are triggered on 3 straight trades in that sector (within a reasonable time period). By protective stops I mean a trailing stop designed to exit your position if the trend changes (e.g. a close below a long-term MA). A reasonable time period may vary from a few days for short-term trades to several weeks for long-term trades.
Market Risk
You can limit our market risk in a similar fashion.
Limit your Total Capital at Risk in the market to between 5 and 10 times your (maximum) Capital at Risk per stock (e.g. 10% to 20% of your capital if you are using the 2 percent rule). Adjust this percentage to suit your own risk profile. Also, the shorter your time frame and the higher your Success Rate, the greater the percentage that you can comfortably risk.
It is also advisable to tighten your stops across all positions if protective stops are triggered on 5 straight trades within a reasonable time period. Protective stops do not have to be the original stops set on a trade. You may make an overall profit on the trade, but the stop must indicate a trend change.
Money Management Summary
A general rule for equity markets is to never risk more than 2 percent of your capital on any one stock. This rule may not be suitable for long-term traders who enjoy higher risk-reward ratios but lower success rates. The rule should also not be applied in isolation: your biggest risk is market risk where most stocks move in unison. To protect against this we should limit our capital at risk in any one sector and also our capital at risk in the entire market at any one time.
本文翻譯由兄弟財經提供
文章來源：http://www.incrediblecharts.com/trading/2_percent_rule.php