Jack Schwager談系統開發

At the time, Perry Kaufman was the editor for this enormous compendium called “The Handbook of Futures Markets.” He was soliciting articles on all different subjects relating to commodities. Each contributor had a different subject, so he asked me to write about fundamental analysis. I started writing and after a month or so, I realized that I had seventy pages and was nowhere near done. It seemed crazy to submit such a block of writing as an article in someone else’s book. I called Perry and told him that the subject was too broad and suggested that I give him an article that was more focused on another, narrower subject.

Having seventy pages already written, my thinking was that I probably had a third of a book. I sent what I had to John Wiley, along with a proposal and table of contents, and they came back and said they were interested. Well, as it turned out, I had grossly underestimated how much of the book I had done; I didn’t have a third of the book done, it was more like a tenth. The book ended up being about 750 pages long and this was pre-computer—at least as far as I was concerned. There were lots of charts and tables… I dictated the entire book and then corrected the drafts. Moreover, all the tables and charts were not being done on Excel or any other software. If I had to do a regression analysis with two variables, I’d do it on an ordinary calculator (that is, one without regression functions). It was really labor intensive, and I ended up taking a 9-month sabbatical to finish the book. It was one of those things where I worked through many nights. When I look at the book now, I think it would take me a year to read it and am amazed that I wrote it in about the same time without a computer!

Janette: It is quite remarkable.

Jack: Anyway, I finished the book, put it in a box (because it was that heavy—a couple of thousand pages in typewritten text and accompanying charts and tables) and I took the train to New York. I remember dropping it on the editor’s desk with a great sigh of relief to be done with it. I don’t know if I even had a Xerox copy of it. The one conviction I had at the time was that I was done writing analytical books. I decided that if I ever wrote another book again, it would be for a more general audience. I had this fun idea to interview great traders and thought it would be a good subject for a book. The idea for the book and its eventual title “Market Wizards” came to me years before I actually wrote it. Several years after the publication of “The Complete Guide to the Futures Markets,” another publisher approached me who wanted to do a series of books on fundamental analysis of different markets (e.g., gold analysis, bond analysis, currencies analysis, etc.) and to have one master editor oversee the project. Their idea was to keep the content very focused and to charge a very high price per book, printing just a thousand copies per volume. I said that the project was going in exactly the opposite direction of where I wanted to go. I told them that if I was going to do any other book, it would be along the lines of the “Market Wizard” book concept. They liked the idea, and that’s how I came to write the “Market Wizard” series.

Janette: It’s a great series. Jack, in your book you are quoted as saying that “Trading without a strategy is like building a house without a blueprint”. How do you define a trading strategy and do you feel that there are main categories, or subsets of strategies?

Jack: First I should say that particularly with all the experience I’ve had with meeting traders and interviewing traders both from writing the books and also as a fund of funds manager, one thing I’ve come to respect is that you don’t necessarily have to have a precise cookbook, recipe type, strategy—but you do need to have an approach and a methodology. I don’t think you could be a successful trader if you just sit in front of a screen and say “Oh, I think I’ll buy this and sell that,” without having specific factors that you look at or a plan on how to get in and when to get out. If you’re kind of winging it like that, I don’t think that’s going to work – even for people who are discretionary. They still have more of a methodology than that.

Janette: Around here we always say, “plan the trade, then trade the plan”. This is the principle concept your books try to get across. Now, as far as the developing a methodology, do you feel there is one approach that works best when you’re looking for buy and sell rules?

Jack: Well, there are lots of different approaches. When speaking of purely systematic traders, the group can be broken down as trend following and pattern recognition. Of course, trend following is also based on patterns, but I break it out separately because it accounts for the majority of technical systems and has specific behavioral characteristics. Pattern recognition is a “catch all” for a lot of different things. It might mean mathematically defining certain patterns on the chart and acting when those patterns arise or it might mean looking at probabilities of certain price moves or neural nets, or a cyclical-based system, or a host of other mechanical, mathematical approaches. Once you get into mathematical approaches, there is also the whole area of statistical arbitrage, which has to do with trading one instrument against another and looking for deviations from normal relationships between different instruments and trying to arbitrage those distortions. That’s an approach that is completely automated and systematic, yet has nothing in common with trend following.

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