Jack Schwager談系統開發

Janette: Would you also lump counter-trend strategies into this category?

Jack: Yes. Counter-trend, if its purely mechanical, would also fall into what I would term the pattern recognition category. Although when you’re dealing with futures markets, I have my doubts that a pure counter-trend methodology can work effectively on its own. I think counter-trend has its place as a way of combining it with trend systems. I believe it’s very difficult to design profitable counter-trend systems, which are not subject to large risk. However, counter-trend systems can be very useful even if they break even because they are completely inversely correlated to trend following strategies. A break-even counter-trend strategy will cut volatility tremendously when you combine it with a trend-following system. In other words, counter-trend systems are a useful tool for smoothing returns.

Counter-trend strategies could work great if you know if you’re going to have a trading range market, but they could lose an unlimited amount of money if you have a trending market. I remember one time someone came to me with one of these systems that someone was trying to sell him them. It was a chart of the Eurodollar market, which showed all the buy signals lower than the sell signals. I took one quick glance at the chart and noticed one very obvious thing -- it was a broad trading range. I asked him to go back and have the vendor run the strategy on a market that had a strong trend. I never heard back from him again.

One major difficulty in trading counter-trend strategies by themselves is that there’s an intrinsic contradiction between counter-trend systems and money management. Think about it… you’re going to sell a market because it goes up too much or some indicator is oversold. So you go short. Then the market goes up more, the indicator becomes more oversold. What are you going to do? Go short more? However, you say to yourself, “I’m smarter than that… I can’t do that because if I do, that then I’ll lose an unlimited amount of money and it violates all my money management rules…I’m going to put a stop in”. Okay, fine. If you do that, when the market is oversold you go short and if it goes more oversold, you get out—that fights the strategy.

Janette: Now, focusing on the technical aspects, what benefits do you see in having a mechanical trading strategy?

Jack: Well, the tremendous advantage is a lot less wear and tear on your psyche. I’ve been in both places as a human trader and a strategy trader and I will tell you it’s a lot more comfortable being a purely systematic trader. You don’t have to worry about the market going violently against you. If you have a purely systematic approach, the strategy will get you out. But most importantly, you don’t agonize over the decision-making. Do I get out now? Should I give it another day or two? Should I add? The system will take care of all the decisions. By definition, as a strategy trader, you shouldn’t try to second guess or anticipate the system signals. So, there’s a lot less emotional wear and tear with a systematic approach. I find it much more comfortable to trade that way.

This brings up another point—what’s right for me is right for me and may be right for some other people, but it certainly is not right for everyone. Each person must find an approach that is personally comfortable. You need to trade an approach that fits your personality. For example, I’m analytical and I don’t enjoy making emotional decisions or being a gunslinger. For me, trading automated is far more comfortable than trying to trade while making decisions on when to pull the trigger. However, you can give a really good trading strategy to somebody whose personality is not in tune with it, and I guarantee you it will not work.

Janette: For those traders who are just starting out to develop a strategy, what essential factors do you think they should consider?

Jack: In one of my books, I use the line “There are a million ways to make money in the markets. The irony is that they’re all very difficult to find”. The emphasis is that there are a million ways to do it. That means everybody has got to find his or her own path. I think anybody who says, “You really have to use daily and weekly charts and everything shorter term is just a waste of time,” is just talking nonsense. As is, the person who says, “Daily and weekly charts are much too long. Markets act much too quickly. You really should use tick charts.” They’re both wrong. There is no “have to”. You can come up with perfectly good methodologies using any time frame or using no charts at all. It comes down to what you naturally gravitate toward.

I believe that the main value of most popular methodologies, such as Gann, Elliott Wave, Candlesticks, etc., is that for some people they are a really comfortable way to look at the markets. For some people, using Elliott Wave interpretation of market action fits the way they think—it works for them. But is it really Elliott Wave or is it because that person has some facility to interpret Elliott Wave and that’s why he’s successful? To me, these methodologies are just another way of looking at the markets and what’s the best fit for that person. It’s like wearing glasses… one person’s prescription is not going to work for another person, but that doesn’t mean that one prescription is better than the other. It just means that one is right for one person, and if each person gets the right prescription, they can see much better.

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