Master of Mathematics, Master of Statistics, 9 years working experience. He has served as the investment director of many well-known domestic investment companies for many years and has rich experience in futures quantitative investment. He is good at using systems engineering and mathematical statistics to mine market data, analyze market status and quantitative modeling, and build multiple sets of alpha arbitrage models and trend trading models.
Classic summary
1. Mentality is like walking on a wooden bridge. Its height is 1 m and most people can walk there. 2 meters, 3 meters, 10 meters?
2. In my opinion, the core of trading is: first, mentality, without which you can't make a normal profit; The second is risk control, no matter how much profit there is without risk control awareness, the third is fund management; Fourth, technical analysis.
3. If a strategy only applies to a single variety and a single time period, such a strategy will not be easily provided.
4. In my opinion, adding positions and reducing positions are both new strategies, which is equivalent to embedding a new strategy in the original strategy.
If the risk exceeds our risk control line, we will give up profit and keep the principal as the basic principle. We believe that as long as we can survive the retracement period, the profit will not be far from us.
6. History has proved that programmed trading can beat the market.
1. Futures Information Network: When will it enter the futures market? What twists and turns and gains have you experienced? When did you start to take the road of quantitative trading?
Jiang: I entered the futures investment market in 2008, but it is no accident to engage in quantitative investment in futures. I study mathematics, and I am very interested in computers and finance. My elective courses in college are finance and computer. After graduating from college, I went directly to an investment company, started industrial research, and then started trading.
At that time, I began to ask myself how to maintain "continuous profitability". At first, I thought it was technical analysis, so I read all the classic technical analysis at home and abroad. It can be said that he has mastered eighteen kinds of martial arts, but unfortunately he has not achieved "consistent profit".
Later, I added "fund management" to my own transaction, but I still didn't achieve "consistent profit". Finally, I found that the original mentality is the most important. Then I was thinking about how to avoid the influence of mentality. So I decided to make a set of strict enforcement system. At that time, I began to make my own trading system by hand, doing statistics every day and perfecting the system.
At that time, I was thinking, if only computers could do statistical work. At the time of 20 10, a friend said that the trading pioneer can realize this function, and at the same time automatically place an order, which can avoid the influence of people's mentality. Because I am a math major, programming is not difficult for me, and I quickly mastered the application of programming languages. In addition, I had some trading experience at that time, and data analysis and statistics were my professional knowledge, so I was comfortable in procedural research. I believe that quantification can achieve "consistent profit", and this idea has been verified so far.
2. Futures Asset Management Network: When did you start to make a profit? What skills and qualities do you think traders need to make stable profits?
Jiang: Stable profit is a question I have been asking myself before quantifying it. What does it take to make a stable profit? Is it technical analysis? There are many experts who analyze the market around, and they will lose money as soon as they make a deal. What is the reason? Have a bad attitude. So trading must have a good attitude, but how many people can have a good trading attitude?
Many people do well with small funds, but lose money with big funds. Mentality is like walking a wooden bridge, 1 meter high, most people can walk, 2 meters, 3 meters, 10 meters? Some friends around me have a good attitude. Their income is often several times that of them, but at the same time they are often bursting. What is the reason? No awareness of risk control.
In my opinion, the core of trading is: the first mentality, without a good mentality, you can't make a normal profit; The second is risk control, no matter how much profit there is without risk control awareness, the third is fund management; The fourth technical analysis.
Why choose quantification? Because quantification solves the biggest problem of trading-mentality, but also risk control, fund management and technical analysis. Therefore, quantitative trading has the conditions of stable profit.
3. Futures Asset Management Network: How many sets of strategies have you configured? How long is the trading cycle of the strategy? Why do you want to do this configuration?
Jiang: Our different strategies and varieties of capital scale allocation are different. We will combine according to the strategy and hedging between varieties. We cover a wide range of strategic trading cycles, and high-frequency trading uses more tick data. Most low-frequency strategies are studied according to K-line.
The most important thing in our portfolio allocation is risk control, so we will run the allocation according to the hedging between strategies and varieties.
4. Futures Asset Management Network: What is your strategic focus in two different periods: trend and consolidation?
Jiang: This question is very good, and it is a question that most quantitative traders think about. The conversion process between trend and consolidation is actually difficult to grasp, and we don't know whether the next moment is trend or consolidation. Subjectively speaking, we don't artificially distinguish between trends and consolidation, but it is very important to do some filtering within our strategy to reduce the retracement in the shock to a certain extent, but remember not to filter out the market to be done by the strategy, which will make it necessary to capture the market at random.
Our trading strategies include trend strategy and shock strategy. The unilateral trend of the shock strategy will lose money, and the trend strategy will lose money. An account should also be configured with two types of strategies at the same time, which is more hedging.
5. Futures asset management network: How often do you think to optimize or update the strategy in quantitative trading? How to judge whether the strategy has failed or is temporarily in the profit-taking stage?
Jiang: The frequency of optimizing and updating the strategy depends on the attributes of the strategy itself. We will play back the market after the close every day, observe the performance of the strategy and analyze whether the strategy is normal during the operation. At the same time, we will analyze the strategy from the perspective of data every week and every month.
Generally speaking, we are always observing the performance of our strategy. If the performance of the strategy in the firm offer is as expected, then we will not adjust or optimize the strategy operation for the time being. If there is a big difference between performance and test strategy, after our evaluation, we may run adjustment and optimization at any time, with no fixed period and frequency.
On the issue of judging strategic failure, we have established an evaluation system. Once there is a problem with the strategy, we will evaluate the strategy operation and then take actions, such as stop loss and lightening positions.
6. Futures Asset Management Network: How do you think we should evaluate the advantages and disadvantages of a set of strategies, and what evaluation indicators should we pay attention to? According to your research experience, what pitfalls should you pay attention to in the development of program strategy?
Jiang: In the evaluation strategy, people pay more attention to annualized income, winning rate, profit-loss ratio, income-risk ratio and so on. These indicators are very important. We have established our own strategic evaluation system. Generally speaking, we will evaluate a strategy from two aspects, namely vertical and horizontal. Vertical evaluation is to analyze the strategic performance itself, that is, annualized income, winning rate, profit-loss ratio, income-risk ratio and so on. This is also what everyone cares about. Horizontal evaluation means that we evaluate from the depth and breadth. Simply put, the depth is the applicability within the variety cycle, and the breadth is the applicability between varieties.
In our opinion, if a strategy only applies to a single variety and a single time period, we generally will not make a firm offer easily.
7. Futures Asset Management Network: Is your strategy aimed at any specific variety?
Jiang: Our strategy is generally applicable to multiple varieties. We will study the special varieties of alpha arbitrage and firm offer.
8. Futures asset management network: Now some quantitative teams have performed well in the intra-day high-frequency field. How to treat quantized high frequency? Have you tried this?
Jiang: As we all know, the income risk of high-frequency trading is very high, which is an artifact that many individuals and institutions want to own. Our team is now studying high-frequency trading strategy and making good progress. Now we are conducting real tests and have achieved some results. We will incorporate it into our configuration in due course.
9. Futures Asset Management Network: What do you think of portfolio investment? What do you think is the biggest benefit of portfolio investment? Have you done research and real test from the categories, variety combinations, strategy combinations and cycle combinations?
Jiang: Undoubtedly, the biggest benefit of portfolio is to reduce risks. According to the VaR model, I can know that as long as the correlation coefficient between the returns of various risky assets in the portfolio is less than 1, the risk of the portfolio is much smaller than that of investing in a single asset.
Our strategy generally uses multiple varieties, and correlation coefficients will be established between varieties and strategies. We will refer to the correlation coefficient between varieties and strategies to run the combination.
10, Futures Asset Management Network: What are your fund management principles? What is the general position control range? Is there a separate strategy for adding and reducing positions?
Jiang: Our fund management is first determined according to the overall account risk limit. We allocate a certain amount of risk to this fund for each strategy, and then determine the allocation amount of each variety according to the allocated amount. We will control the maximum position of the strategy and the maximum position of the variety.
In my opinion, adding and reducing positions is a new strategy, which is equivalent to embedding a new strategy in the original strategy, which may reduce retracement or increase profits. We have a similar strategy, and it works well.
1 1. Futures information network: Generally speaking, the technology of programmed trading opportunity identification can be divided into three categories: index identification, mathematical statistics identification and morphological identification. Have you participated in all three categories?
Jiang: We have studied three kinds of strategies: index recognition, mathematical statistics recognition and morphological recognition. In our opinion, they have their own advantages and disadvantages. Our team members have more than 10 years of trading experience, and they are more inclined to study index recognition and shape recognition.
For me, I am a math major and have done manual trading, so I like learning index identification and mathematical statistics identification very much. All roads lead to Rome. I believe that as long as the research is thorough, each method can achieve good results.
12, Futures Information Network: Do you think quantitative traders still need to care about fundamental information? Have you ever tried the strategy of quantifying fundamental information into indicators, and what is the effect?
Jiang: Fundamental analysis is my personal hobby. Spend some time every day paying attention to the international and domestic economic patterns. However, our quantitative trading has no design fundamentals, and it adopts manual duty and completely programmed trading. There are many excellent institutions in China, which combine fundamentals and procedures to do transactions very well and are worth learning.
13, Futures Information Network: How do you balance "income" and "risk"? What is the maximum profit retreat you can accept?
Jiang: There is a basic principle in the financial field, that is, risk is directly proportional to income, which means that if you want to get high income, you have to bear a certain degree of risk. We will evaluate the profit-risk ratio under comprehensive risk control. When the income-risk ratio is lower than the offline, we tend to control the risk, and vice versa. If the risk exceeds our risk control line, we will give up profits and keep the principal as the basic principle. We believe that as long as we can survive the retracement period, the profit will not be far from us.
We will set the maximum withdrawal ratio according to different capital scales. At the same time, we subdivide cash withdrawal into two aspects, one is principal backtesting and the other is income backtesting. At the initial stage of the portfolio, we all made corresponding assessments and calculations.
14, Futures Asset Management Network: Do you think that programmed trading can lead traders to the road of financial freedom?
Jiang: There is no doubt about it. History has proved that programmed trading can beat the market. I have full confidence in our team, and our team also has full confidence in our strategy.
The concept of programmed trading I shared today represents our team, not me personally. If you really want to go to the road of wealth freedom through programmed transactions, it is not enough to rely solely on personal ability, but also to cooperate sincerely with the team. We can achieve today's achievements without the contribution of our team.