Trading Triumphs - Jerry Parker #3: The Dangers of Optimization
Summary
TLDRВ этом видео Джерри Паркер, опытный трейдер, обсуждает проблему переоптимизации в торговле и делится своим опытом, в том числе и неудачами. Он подчеркивает важность простоты и долгосрочного подхода, а также разнообразия рынков и систем для устойчивых результатов. Джерри также отмечает, что ключ к успеху - это строгое следование системе и удержание трендов, а не постоянное изменение стратегий на основе короткосрочных колебаний рынка.
Takeaways
- 🚀 Оптимизация и переоптимизация: Jerry Parker поделился своим опытом и последствиями переоптимизации в торговле.
- 📈 Динамичность стратегий: Рассмотрены различные стратегии с разными периодами, чтобы избежать переоптимизации и повысить робастность.
- 🔄 Распределение рисков: Важность диверсификации и распределения рисков через торговлю на разных рынках и с использованием разных систем.
- 📊 Игнорирование эквити-кривых: Фокус на торговых статистистиках, таких как средний выигрыш и потеря, вместо стремления сгладить эквити-кривую.
- 🛑 Ограничение переоптимизации: Избегайте добавления слишком много правил и параметров, чтобы упростить систему и обеспечить более надежную торговлю.
- 🔄 Множественные системы: Используйте несколько систем с разными параметрами входа и выхода для увеличения диверсификации и снижения переоптимизации.
- 💡 Соблюдение системы: Важность строгого соблюдения торговой системы и дисциплины вместо непрерывного поиска совершенства через переоптимизацию.
- 📉 Управление снижением: Разумное управление снижением размера позиции при неудачных сделках, чтобы продолжать торговать и избегать пропуска сделок.
- 🌐 Торговля на разных рынках: Торгуйте на множественных рынках, таких как акции, товары, валюты и криптовалюты для увеличения возможностей и диверсификации.
- 🔄 Важность выхода из сделки: Выявлено, что выход из сделки имеет большее значение для диверсификации и прибыли, чем вход в сделку.
- 🎣 Терпение и доверие к рынкам: Важность терпения и доверия к рынкам на долгосрочной основе, а не постоянных попыток максимизировать прибыль через переоптимизацию.
Q & A
Чем оптимизация может быть опасной для трейдеров?
-Оптимизация может привести к переобучению и использованию стратегий, которые хорошо работали на исторических данных, но могут не сработать в будущем. Это может вызвать непредвиденные плохие результаты, что было опытом Джерри.
Какие были первые шаги Джерри в трейдинге?
-Джерри начал с успешных первых четырех лет трейдинга, а затем продолжил успехи в течение 8-10 лет, пока не столкнулся с проблемами из-за переоптимизации.
Что такое переоптимизация и как ее избежать?
-Переоптимизация - это когда трейдеры слишком сильно манипулируют параметрами системы, чтобы улучшить результаты на исторических данных. Избегать ее можно, используя несколько систем с разными параметрами и не пытаясь усовершенствовать каждую из них до предела.
Какой подход к оптимизации Джерри рекомендует?
-Джерри рекомендует минимизировать оптимизацию, используя несколько систем с разными входами и выходами, но без чрезмерного изменения параметров. Он также фокусируется на статистике сделок, таких как средняя выигрыш и убыток.
Почему Джерри считает неважным корреляцию при трейдинге?
-Поскольку корреляция не дает точной информации о том, когда следует выходить из сделки. Важнее разнообразие выходов, которые могут привести к разным результатам и улучшить общую прибыль.
Какой совет дает Джерри для успешного трейдинга?
-Джерри советует оставаться верным системе и не пытаться управлять рынком. Он подчеркивает важность дисциплины и последовательности в выполнении системных правил.
Какие средства общения предпочитает Джерри для обмена опытом и знаниями?
-Джерри предпочитает использовать Twitter и Twitter Spaces для общения и обмена опытом с другими трейдерами. Он также проводит еженедельные встречи в Twitter Spaces.
Какой был опыт Джерри с оптимизацией после неудачных месяцев?
-Джерри испытывал плохие результаты после оптимизации, и он быстро прекратил использовать новые правила, которые привели к неожиданно плохим результатам. Он вернулся к более простой и надежной системе.
Чему научил себя опыт оптимизации Джерри?
-Он понял, что слишком много правил и параметров может сделать систему менее надежной и более уязвимой для переоптимизации. Он также осознал важность простоты и последовательности при выполнении систем.
Какие выводы делает Джерри о роли трейдера на рынке?
-Джерри считает, что трейдер должен полагаться на рынок и не пытаться вмешиваться в его тенденции. Успех зависит от правильного использования возможностей, которые предоставляет рынок.
Какой совет Джерри дает по управлению рисками при трейдинге?
-Джерри рекомендует уменьшить леверидж, если требуется, но при этом не пропускать ни одну сделку по системе. Это позволяет сохранить возможность выиграть, когда рынок дает возможность.
Какие личные успехи приписывает Джерри своим методам трейдинга?
-Джерри приписывает свои личные успехи, включая покупку недвижимости и лодок, тому, что он держался долгосрочных трендов на рынке и не спешил выходить из сделок.
Outlines
📈 Обсуждение оптимизации и ее негативных последствий
В данном разделе Джерри Паркер, участник трейдинг-подкаста, делится своим опытом в области оптимизации и переоптимизации торговых систем. Он рассказывает о своем путешествии к успеху, а также о том, как попытки улучшить торговые стратегии могут привести к неожиданным и плохим результатам. Основная проблема, о которой говорит Джерри, заключается в том, что переоптимизация может привести к ухудшению результатов на реальном рынке, и вместо этого лучше следовать простым и проверенным методам, которые с течением времени могут оказаться более надежными.
🤔 Как избегать переоптимизации и подходы к диверсификации
В этом разделе Джерри Паркер обсуждает, как избежать переоптимизации и сохранить эффективность торговых систем. Он предлагает использовать несколько различных систем с разными периодами времени, таких как краткосрочные, среднесрочные и долгосрочные стратегии, чтобы создать диверсификацию. Также он подчеркивает важность простоты и не перегруженности системой, что делает их более надежными и упрощает процесс принятия решений. Вместо того чтобы стремиться к идеальным результатам, лучше сосредоточиться на здоровых торговых статистиках и принятии рыночных колебаний с достоинством.
🔄 Разнообразие входов и выходов в торговых системах
Джерри продолжает обсуждение многообразия в торговых системах, особенно в отношении входов и выходов. Он подчеркивает, что все системы, даже если они входят и выходят из рынка в один и тот же момент, могут приносить прибыль, если они следуют своим правилам. Однако, когда дело доходит до выхода из позиции, различные системы могут давать существенно разные результаты. Это означает, что фокусирование на разнообразии выходных точек может принести больше пользы, чем излишняя оптимизация входных условий. Основная идея заключается в том, чтобы не пытаться контролировать рынок, а лучше довериться своим системам и их способности приносить прибыль в долгосрочной перспективе.
🚫 Не перегружайте торговые системы слишком многими правилами
В заключительной части обсуждения оптимизации Джерри Паркер подчеркивает, что перегружение торговых систем слишком многими правилами и условиями может привести к их нерациональной работе. Вместо этого, он предлагает использовать несколько простых систем с минимальным количеством правил, что обеспечит их более надежную и эффективную работу. Он также подчеркивает важность простоты и удесятеричения правил, что поможет избежать излишней оптимизации и повышает шансы на успех. В целом, Джерри рекомендует оставаться простом и не пытаться управлять рынком, а следовать своим системам и их результатам.
🎣 История успеха и ценность долгосрочной стратегии
В заключительной части разговора Джерри Паркер делится своим личным опытом и успехом, который он достиг благодаря долгосрочным торговым стратегиям. Он подчеркивает, что ключ к успеху заключается в том, чтобы доверять рынкам и их способности приносить прибыль в долгосрочной перспективе. Джерри также отмечает, что важно не пытаться управлять рынком, а просто следовать своим системам и правилам. Он утверждает, что даже среднестатистический трейдер может достичь успеха, если он будет последовательно придерживаться своей стратегии и не будет пытаться выжимать максимальную прибыль из каждого сделки.
Mindmap
Keywords
💡трейдинг
💡оптимизация
💡overoptimization
💡трading systems
💡risk management
💡diversification
💡drawdowns
💡whipsaws
💡Ten Commandments of trend following
💡backtesting
💡trade statistics
Highlights
The dangers of over-optimization in trading and how it can lead to unexpected negative impacts on trading results.
Jerry's personal experience with over-optimization, resulting in a significant drawdown in performance.
The importance of simplicity in trading systems and the potential pitfalls of adding too many rules or parameters.
How diversifying across multiple trend-following systems can help mitigate the risks of over-optimization.
The focus on trade statistics like average win/loss and win percentage, rather than equity curve or volatility.
Jerry's approach of using a few simple systems across various markets and time horizons to increase diversification.
The value of having multiple entries and exits within a strategy to add diversification without over-complicating the system.
The importance of always following your system, even if it means taking small losses consistently.
The benefits of having a cutback rule to reduce position size during drawdowns, while still executing all trades as per the system.
The correlation between different trend-following systems and how it can be misleading in terms of diversification.
The key takeaway that the exits in a trend-following system have a bigger impact on diversification and profitability than the entries.
The importance of not manipulating system entries/exits to force diversification, which can compromise consistency.
The benefits of trading as many markets as possible to ensure different entry/exit points and reduce correlation.
The key lesson of leaving your fate in the hands of the markets and not trying to interfere with big trends.
The importance of being willing to hold onto trends for as long as the system dictates, rather than getting out too early.
The preference for a mediocre, non-overoptimized system that is consistently followed over a more sophisticated approach that can break down.
Jerry's gratitude for the markets and how they have provided his lifestyle, emphasizing the importance of hanging onto long-term trends.
The common mistake traders make of getting out of trades too quickly, missing out on bigger trends.
Transcripts
okay welcome to trading tries the
Journey To Success With Jerry Parker
this is the third part in my three-part
series discussion with Jerry and now in
this talk in this part we're going to be
talking about over optimization and
Jerry's going to share a story of how he
used optimization and the unexpected
impacts it had on his trading results
we're going to talk about over
optimization how we can avoid it and
some solutions for Traders plus a whole
bunch of other stuff as well Jerry
doesn't hold back in this one so let's
get to
it
so now the third one I'd like to talk
about uh which you did uh mention a
little bit already you you were talking
about filtering um now something that I
think catches a lot of Traders out is
optimization or actually over
optimization so can you uh tell us about
some uh experiences you've had with
optimization and perhaps over
optimizing right yeah I have some sad
stories this is the sad part of the
podcast oh no um if I had a violin I'd
play but I don't know how to play either
but well even even so far I've told some
sad stories people are wondering does
this guy ever make any money how's he
been around for almost 40 years so
U uh yeah but I you know when we first
started trading
um the the first four years with Rich
were successful and then the next after
with Chesapeake you know 8 to 10 years
is uh we made money like every year and
that's one of the things about long-term
Trend following is that it has lots of
negative characteristics that we've
already talked about but it's very
reliable on an annual basis or you know
two-year basis it has a tendency to
really uh it may make it'll make money
but it may not be a lot of money but it
really um you have to sit with a lot of
draw downs and a lot of whipsaws but the
one thing it does give you is it's very
reliable and so we were just using these
simple approaches and having so much
success but it kind of like went to our
head a bit in the sense that well let's
do better you know making money every
year that's pretty darn good and our
clients loved it clients were very
greedy and they were throwing money at
us because we were so consistent but we
couldn't help oursel and we tried to do
research and it basically trying to
improve things we were listening to what
other Traders were doing profit
objectives take profit reduce your
positions based upon
volatility and then when we put those in
place we looked at the back test though
and we said this back test is pretty
amazing we're going to even be better
than we've been but then after about 3
or four months we saw performance that
we had never seen on the back test it
was so bad so we
immediately abandoned that that was
another good thing too that it doesn't
always happen with Traders I've seen
Traders get into the same situation and
be so committed to back testing and
research they're almost obsessed with
it that if they turn their back on their
latest research or the whole process of
doing research
then it's they really can't handle it
and we were basically came to the
opposite conclusion we were saying we
just went too far we can add more
markets we can become more Diversified
maybe we should be longer term there's
other things we can do in our research
process it doesn't violate the Ten
Commandments of trend following all the
great rules and philosophy we were I was
taught and
so I think that was a good move on on my
my part to sort of realize this
incredible mistake that I had made
because I literally was looking at just
months worth of data that um probably we
had lost money four months in a row and
our relative performance was pretty bad
and we had never seen something like
that in the back test so that's a very
good sign you know you you look at this
back test and right out of the gate you
know the performance is so bad and it
doesn't look anything like this
wonderful back test go back to the
drawing board and be willing to to
swallow your pride because it's all
about making money and doing what it
takes to make money and it's not about
scratching your itch to make sure to
make you think that how great you are as
a back tester or how smart you are I
like to think that I'm smart but I would
prefer to trade a methodology that's a
little less involved and less complex if
it's going to increase my ability to
make profit
yeah so what are your thoughts on
optimization now do you do you use it at
all or
not I don't use
um yeah I what we what I try to do with
my strategy is I want to like I said
trade as many markets as
possible stocks Commodities currencies
interest rates crypto crypto futures um
and then um have these Trend following
systems that are multiple systems like
maybe four or five different entries
four or five different exits so I think
this adds diversification as well so
literally what we would do is just focus
on um how how short-term can we trade we
don't want to be too
shortterm uh but what's a good
short-term paramet so we would test that
out uh once again just one entry one
exit and a stop loss
and then we would say okay how how
longterm can we
trade and then we would get a pretty
good indication of how that worked and
then we would literally just say okay
just trade a couple systems in between
without really even caring about
optimizing the parameters so much um
another way that we get away from
optimization is we don't pay very much
attention to the equity Equity curve in
the equity stats the draw downs and the
um the volatility and trying to smooth
out that Equity curve whenever you try
to smooth things out and increase your
sharp that's where it all begins that's
where the over optimization begins all
we paid attention to really was the
trade stats the average win the average
loss the average trade the win
percentage there's a hell of a lot of
stuff that happens in between the entry
and the exit right we just ignored it we
were like we don't care what happens in
between we just want to find systems
with healthy
um trade stats and that make the most
amount of money um per uh you know per
small loss so the the win loss ratio
here's what the here's what the average
win is here's what the average loss is
let's try to maximize
that and close our eyes and live with
draw Downs live with
volatility but it trade leverage wise in
a way that makes that possible of course
but I think uh and I've often said over
the years I try to take as little from
the back test as possible here's a good
place to buy there's a pretty good place
to sell we're done and um one of the
things that when you get into this trend
following uh the way we do it when you
get it you'll see that there is
this um group of parameters the shortest
to the longest where this all the
systems make about the same amount of
money and to me that's very
company
um so yeah I'm trying to give you lots
of examples in verbage but really I try
not to use
research very much or back testing very
much and and these are the reasons why
it's totally unnecessary we want our
systems
to and then we then we don't want to
stay too long and give back too much
profit that's kind of our job stay
within those parameters make it as
robust as possible with these few rules
and parameters as possible yeah yeah so
I like that approach of um having
multiple systems within the strategy I
guess that look over different uh time
Horizons like you mentioned shorter term
and longer term and then some in the
middle what about for people who maybe
don't have the capital requirements to
be able to do that and they've got to
just go I can just do one system here
how do you think they should approach it
yeah I think that's a little bit tougher
um I think
hopefully you can do at least two
systems a shorter term and a longer
term um yeah you know you have to maybe
yeah that that could be a little
difficult Capital requirements um for
sure but
um a good Trend following
system with um just one system if that's
all that you can do at the time it'll
help you over time get to a place where
you can do more you'll make money as
long as you have a good medium to
longterm strategy that doesn't try to
get in and and get out too quickly I
used to say we take small losses now I
think it's an optimal loss I think all
of these uh entries and exits and
parameters are kind of op optimal um
there's nothing magical there nothing
special really what makes them special
what makes them
work is the is is always doing them
that's the secret
is um always following your system
whether it's one system and maybe later
it'll be two or three or four but don't
do do whatever you can to put yourself
in a situation where you can do all of
the trades in the right way in the
systems way
um
and if you have to make this cutback the
great thing about the cutback too if you
have to trade small for a
while is
it allows you to keep doing the
trades whereas if you sort of like say
well like I'm really on the defensive
here I need to trade smaller I'll I'm
gonna have to choose some trades not to
do that's what you don't want to do you
want to do all the trades in the way
you're supposed to do them and this
cutback rule says oh all we did was just
reduce our leverage reduce our our
current positions and our future
positions for a while but we can go
right back to doing all the trades we're
supposed to do this is Magic this is uh
a
superpower uh being being
consistent
um our our systems are very similar and
they're very
correlated and from a Norm from a
traditional way of measuring correlation
people might ask why do you even bother
they they're all long you know you're
long orange juice or cocoa and you've
been long for a year or two and they've
all been long for a year or two and I'm
like yeah that's wonderful because
they're all making lots of money and so
the correlation measurement is kind of a
trick because it doesn't really matter
so much that in these
Trends um where it really matters your
exits are really going to have a big
impact um correlation is the wrong
measurement the when when you finally
get out of the sugar and the cocoa and
the Yen and some of these and Eli Lily
these exits that you have on your
systems will more than likely produce
vastly different
pnls some will get out near the high
some will give back more profit some
might get out too quickly and then the
market will will go back to the highs
and keep going and the longer term
systems will do better so it's really
for a trend follower looking at the
value of diversifying the exits in terms
of the profit in the trade you sort of
um no you don't know where the perfect
place to get out until after the trade
is done and then when you look at all
the data 4050 years worth of back
testing all the markets the conclusion
that the computer shows you is all these
systems make about the same amount of
money of course they do because you
can't
predict and they'll make the same amount
of money if you did all the trades that
you're supposed to in the way you're
supposed to yeah that's an interesting
Insight Jerry I think a lot of Traders
um when they look at correlation they're
really concerned with the entries and
they're not going to get in a a trade
because the you know they're already in
another trade and just from what you're
saying there that the exits are really
the ones that give you a lot of
diversification have you ever
compared uh entries and exits to see
which ones actually do um you know
provide better
diversification uh yeah for sure I think
the more you can spread them out the
better you know
um yeah so you've got to spread them out
a bit so that it makes you know more of
a
difference um yeah
but sometimes my entries are all the
same on a certain trade all my systems
get in on the same day and it's
definitely possible they can get out on
the same day they kind of these breakout
rules this is this is kind of a function
of using breakouts but um once again um
that brings up another idea of how
important it is to be Diversified so and
trade as many markets as possible if
you're getting in all at at the same
place in the crude maybe the entries in
the heating oil will be a bit different
and more spread out out uh it's very
important too to um not try to
manipulate the systems in the entries
and the exits to try to achieve
something else um like this
diversification or um spreading your
risk out you it just leads you to trying
to um not really follow the system as
much as you should um so I think I have
done that as well um
I want to space it out so I'll force
these systems to space out in some sort
of way that makes me feel better because
I don't like it when they all get in on
the same day you're screwing up with the
power of always doing the same thing
every time which is primo that's the
most important thing yeah y okay all
right well um so how do we summarize all
that Jer you we were just talking about
optimization and you shared so many
different uh uh inside here
so um how do we
summarize uh how do we summarize
that um don't do it I would say that we
we want we we're fine with minimizing
the
optimization right because we're going
to the benefit of not optimizing is more
robustness and more reliability with our
rules and the most important thing about
um you know if you have too many rules
multiple rules multiple parameters let's
all stick with one entry one exit and a
stop loss but multiple systems so the
50-day breakout the 75 day breakout the
100 day
breakout and then we'll have an exit um
in the same you know to get out with a
breakout but um yeah we don't want to
add in more and more filters more and
more uh conditions
uh loose pants let the markets go have
multiple systems that's rather than
overloading your one system with all
these different rules have multiple
systems with almost with very few rules
that's that's how you stay on the right
side of the robustness gods they will
punish you if you put too many rules in
there
yeah I like that yeah all right well uh
just as we finish up here Jerry you
mention mentioned that um we've been
talking all about sad stories uh up to
now do you have a happy story you'd like
to share or maybe some closing closing
comments to finish up for
today right I think my one of my big
lessons of treating all these years in
my style has been um you're you're
really leaving your fate in the hands of
the markets I almost think I don't want
to interfere don't get in the way
uh I promise you you know there's been
lean times and you just have to realize
that the markets will eventually bail
you out and have these big
trends and it is so much fun it's like
fighting a big
fish and Landing that big
fish um and they
will um when you have the opportunities
your job is to do the right thing with
the opportunities it's not to uh you
cannot produce these big trends the one
thing that you need to be successful is
totally out of your control the only
control you have is did I do what I
should have done with my possibly
mediocre system but a mediocre I'll take
a mediocre Trader a mediocre systematic
approach that's not over optimized in a
person who's dedicated and willing to do
all the trades and hang on to those
Trends and not be eager to get out too
quickly
uh over a more sophisticated approach
that can break uh much more easily so I
am so thankful for these markets that we
have and how they have bought all the
houses that I own and all my boats and
all my standard of living just because
uh I hung on to those long-term trends
whenever I talk to Traders that's the
one thing that they all tell me is I got
out too quickly I think um you want to
be that person who
try to stay as long as you can and you
only have to stay as long as your system
tells you to you can uh it's not like
you have to do something that's not
correct we only do it because the
computer tells us to do
it yeah well what a way to end our
discussion Jerry thank you very much for
that actually before we go I have to ask
you what's that picture behind you there
uh that what the
story that is um a Christmas gift from
my son
one of my sons gave me that it's my
picture instead of Leonardo Di
caprius play the turtle of Wall Street
right yeah yeah yeah yeah so um yeah
that's pretty funny right yeah I love it
yeah all right Jerry well uh thank you
very much for our discussion today for
anyone who wants to uh learn more from
you or get in touch with you how can
they do
that uh well first of all thanks for
having me it's been fun it went by
really quickly uh thanks for um giving
me this opportunity and ask me all these
good questions you really brought it
brought out the my juices were flowing
my memories were flowing um and but yeah
chesp capital.com and Twitter RJ Parker
jr9 uh Twitter and I'm on Twitter
spaces um we do a trend following spaces
every Friday 7
a.m. New York time and we we have some
Aussies on there so I know it's late yes
9 or 10 o'clock at night but I did uh I
did one of those spaces from uh from
Australia actually late at night so it
can be done and we have some good
friends on there so that's a good place
to learn about trading and uh to have
some camaraderie about trading November
was a tough month so it's good to have
people to uh we're going through the
same thing sometimes yeah yeah and you
post recordings of those on your Twitter
account as well because I listened to
one a few weeks back and it was great so
thank you for sharing that even though I
didn't make the the call it was really
nice to listen back to so I'll have
links to all that on underneath the
video here for anyone who didn't catch
it just then and go and uh check that
out so uh and also if you enjoyed my
chat with Jerry and everything that
Jerry shared with us today please give
us a thumbs up on the video and don't
forget to hit subscribe and the bell
button to be notified of any new content
all right Jerry well thank you again for
today it's been an honor speaking with
you and it did go by so fast it was
really enjoyable any closing
comments no no comments okay um we uh we
exhausted all I have um but thank you
for having me again it was wonderful I
enjoy hope to see you soon yeah likewise
take care take
care
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