【原文推送】克罗谈投资策略（04）

Winners and Losers

In his memoirs written in 1829, Bourriene recounts an incident in which Napoleon was asked which troops he considered the best. “Those which are victorious, Madame,” replied the emperor.

布里埃内在1829年所写的回忆录中，谈到一件往事，有人问拿破仑哪支军队最好。“得胜的军队最好，女士，”皇帝答道。

I was reminded of this incident while perusing some notes on the subject of winners and losers in the commodity arena. The Wall Street Journal of January 10, 1983, printed a survey of 20 senior commodity specialists and their best investment bets for the first half of that year. Three points were given to first choice, two points to second choice, and one to third choice. The results were:

在阅读一些关于赢家和输家的评论时，我就会想到下面这个故事。1983年1月10日《华尔街日报》发表了一篇调查报告，20位资深商品专家推荐当年上半年最好的投资产品。第一个选择得3分，第二个选择得2分，第三个选择1分。结果如下：

Some interesting observations here bear further reflection. First and most obvious, all recommendations were on the buy side. This proved a mistake since, of the top six selections, only two - stock indexes and copper - advanced during the six-month period. Of the remaining four selections, gold and foreign currencies were down, and cattle and silver just managed a sideways move. And, while all selections were biased to the long side, the few serious bull markets during the period-corn, beans, cocoa, cotton, and sugar-were totally overlooked.

这里有一些很有趣的地方，值得我们进一步深思。首先以及最明显的，专家所有的建议都是买入。这显然是个错误，因为在6项优先选择中，只有2项——股指期货和铜——在之后的6个月内上涨。其余4项中，黄金，外汇下跌，活牛和白银只是横向盘整。而且，虽然所有的选择都偏多，那段期间内不少真正的多头市场，如玉米、黄豆、可可豆、棉花和糖，却完全没人提到。

Isn’t it noteworthy that copper appears so consistently on the list? It was also second selection in the previous (second-half 1982) survey and was first selection in the first-half 1982 survey. The actual price action of the red metal, as well as the composite decision of the successful players, was apparently not affected by its recurring top selection during this year-and-a-half period. The market barely managed a broad sideways move (down during most of 1982 and up during first-half 1983).

铜一再上榜不值得我们注意吗？上一次（1982年下半年）的调查中，铜排名第二，1982年上半年的调查排名第一。在前后一年半的期间内，虽然铜一再名列前茅，实际的价格趋势，以及成功的交易者所做的决定，却不受这排名的影响。这段期间内，铜价勉强在很宽的区间内横向盘整（1982年大部分时候下跌，1983年上半年上涨）。

The point of this exercise is to show how difficult it is to predict the course of futures prices - even a mere six months ahead. The dismal record of these experts should encourage serious commodity players to note two things:

上面的回顾告诉我们：预测期货价格趋势十分困难——即使只是预测未来6个月的趋势也没那么容易。专家们常常出错，这么差的表现提醒认真的商品交易者要注意两件事情：

1. The experts are frequently wrong, and

1. 专家常常是错的，而且

2. A technical approach to commodity investment and timing, coupled with sound money management and a focus on trend following rather than trend predicting, are really the best ways to operate for maximum results.

2. 交易商品求取最高利润的方法，是掌握好的时机，运用技术方法，同时必须有优秀的资金管理，并把注意力重点放在趋势的跟踪上，而不是放在趋势的预测上。

But a thoughtful student of these markets must ask the question, Why are the experts so often wrong; why do so many traders lose money? The answers may be circuitous and often are difficult to pin down. However, it may be constructive to reflect on what I call “the speculators'laments.”

市场中善于思考的学生一定会问：为什么专家常常犯错？为什么有那么多的交易者亏钱？答案不太好说。但是，我命名的“投机者的悲叹”一说，可能对你有建设性的启发。

With the exception of my 1975 -1980 sabbatical, I have spent most of the past 30-odd years in a quiet, secluded office, either on Wall Street or aboard a large boat, with trading screen, phones, technical studies, and other necessary accoutrements at hand. Invariably, my principal focus toward markets has been to try to make lots of money on my favorable positions and avoid getting wiped out or taking big losses on my adverse ones.

除了1975年-1980年我在休息，过去30多年来，大部分时间我都待在华尔街或一艘船上，坐在安静隐蔽的办公室里，里面有交易屏幕、电话、技术研究资料以及其它必须的装备。当然我一心一意关注的是：赚钱的仓位赚的越多越好，亏钱的仓位亏的越少越好，同时也要避免惨遭洗盘。

I have invariably played a lone hand - and very much by choice, having learned to do this early on starting with my first years as a Merrill Lynch commodity broker. During one particular period, some of the cocoa crowd initiated me into their daily after-the-close sessions at the venerable Coachman tavern in lower Manhattan. Here, the cocoa fraternity used to huddle on late afternoons, with the commercials and large locals trying, by way of liberal quantities of free drinks and even free market tips, to sucker the commission house brokers and their clients into untenable and unprofitable positions. The lesson from these sessions emerged loud and clear: Not much good comes from sharing trading ideas and market opinions with others regardless of their presumed experience or expertise. The universal truth on the Street is “Those who know, don't tell; those who tell, don't know.”

我一直独来独往，一个人交易——这完全是个人的选择，这是我第一年在美林公司当经纪人时学会的。有一段特别的时期，一群做可可豆的人让我加入每天收盘后的聚会，地点选在曼哈顿南区大名鼎鼎的马车夫酒馆。这些可可豆期友通常都会聊到很晚。里面的商户和本地大户无限制供应免费饮料，甚至免费市场小道消息，目的是引诱经纪行的经纪人和他们客户建立错误的仓位。我们可以从这种聚会得到一个教训：不管别人多么有经验或多么能干，跟别人分享交易思想和市场意见，是不会有太大好处的。金融市场上放诸四海皆准的真理是：“知者不言，言者不知”。

Over the ensuing years, I've occasionally had the opportunity lecture or teach a course on futures trading. My presentations generally focused on market strategy, tactics, and money management, rather than on a series of market tips on what to buy or sell. I nearly always came away feeling that I had profited by each such experience, that I had expanded my knowledge or understanding of my chosen profession.

接下来几年，我偶尔有机会演讲或教授期货交易方面的课程。我所讲的内容大体上以市场策略，战术和资金管理为重点，而不是讲一大堆市场小道消息，告诉别人要买什么，要卖什么。每次上完课，我都觉得自己有收获，觉得对自己所选择的行业又有了更深一层的认识，知识领域扩大了。

Perhaps the most memorable of these events was a series of trading seminars I conducted in Miami, Chicago, New York, Dallas, and Los Angeles on successive weekends. Attendees ranged in age from 19 to 86, with several parent-offspring and, of course, husband-wife teams among the participants. The level of experience ranged from total neophyte all the way to professional floor and upstairs trader. And, although I spoke more than I listened, I did manage to ask a lot of questions. The replies were particularly enlightening.

这里面记忆最深刻的，也许当属周末在迈阿密、芝加哥、纽约、达拉斯和洛杉矶所举办的一系列投资研讨会。出席者年龄从19岁到86岁都有，也有父子，夫妇同来的。听讲者的经验从纯粹的新手到专业现场交易者和大额交易者都有。虽然我讲的比听的多，但我会问很多问题，所听到的答案深富启发性。

I discovered a surprising commonality of experiences among the several hundred participants. And the speculators'laments really weren't all that different for the novices, although many of he experienced and professional operators were understandably reluctant to admit to them. Perhaps the frustration most common to speculators, both amateur and professional, is this: “I watch the market moves in the direction of my analysis; finally, when I take the position, prices abruptly reverse and careen in the opposite direction” Will it console you to know that all traders feel the same frustration at one time or another? It is primarily a consequence of inept tactics and timing, rather than a plot by “them” to get you (and me) out of the market with big losses. But how could “they” possibly know that you (and I) just bought or sold and are now vulnerable for a reversal? I was once so struck by succession of these whipsaws, that I imagined even if I put on the perfect hedge of buying and selling the very same future, “they” could still find a way to smoke me out with a loss on both legs of the position. Illogical perhaps, but it sure feels this way after a discouraging succession of whipsaw losses.

我发现几百位听众的经验都差不多，让我吃惊。关于投机者的悲叹，新手会悲叹，很多有经验的专业交易者也会悲叹，只是他们不愿承认而已。不管是专业的，还是业余的投机者，最常见的挫折也许是：“我看到市场按照我分析的方向移动，而当我建立仓位之后，价格突然反转，往相反的方向走。”其实所有的交易者都会遇到这样的挫折，这话能不能让你心里好受一点？这种现象之所以发生，主要是因为战术和进出时机不当，而不是“他们”怀有阴谋，刻意把你（和我）洗出市场，产生巨大的亏损。“他们”怎么可能知道你（和我）刚买或刚卖，趋势一反转，你就招架不住？我曾经碰到过这种上下洗盘，让我深受打击，心有余悸之余，还胡思乱想，认为自己即使同时买入和卖出同一个期货，“他们”也能找到办法修理我，让我两个仓位都发生亏损。这种想法可能不合逻辑，但在一连串的洗盘亏损后，我们一定会有这种草木皆兵的感觉，觉得处处有人跟自己作对。

A corollary to this lament is this: “I invariably buy on strength near the top of every rally and sell on weakness near every bottom.” In fact, the accumulation of ineptly timed buy or sell orders by undermargined speculators, who tend to buy when everyone else is buying and to sell when everyone else is selling, are what makes tops and bottoms - at least on a short to intermediate-term basis. The result of such careless and poorly timed trading is predictable-big losses and small profits, with an overall tendency to red ink.

悲叹的表现是：“我总是在反弹的高点附近买入，在底部附近卖出。”事实上，这种情况的产生，是因为投机者总是在大家都买入的时候跟着买，大家都卖出的时候跟着卖，于是就形成头部和底部——至少在短期到中期的情况会是如此。这种不用心和进出时机不当的后果是可以预见的——那一定是很大的亏损和很小的利润，整体算下来，当然是亏损。

Do these quotations sound familiar?

下面这些话你是不是觉得很熟悉？

“I told my broker to buy sugar, but he talked me out of it.” (Translation: The speaker may have been thinking about getting into some long-sugar but didn’t-and, of course, the market went up).

“我叫经纪人帮我买入糖，但他叫我卖出。”（这话的意思是：讲话的人可能一直想做多糖期货，但是没做成——当然了，接下来价格上涨了。）

“My broker called and told me to buy some sugar. I wasn't keen on the idea, but he talked me into it.” (Translation: The speaker bought some sugar, and it went down shortly after the trade).

“我的经纪人打电话来，叫我买入一些糖。我不觉得这个主意有什么好，但是他说服了我，叫我买入了一些。”（这话的意思是：讲话的人接下来确实买了一些糖，但是一买入，价格马上就下跌了。）

If these quotations don't sound familiar, either you have just started trading or you have a very short memory! These nearly universal quotations express a nearly universal phenomenon - that is, we invariably find a convenient way to rationalize our errors, mistakes, and miscalculations. May I suggest a sure-fire antidote to this losers mentality?

如果你没有听过这样的话，要么你是新手，要么你太健忘！这样的话到处都能听到，显示了一种普遍的现象——那就是我们喜欢用简单的方法为自己的错误找借口。可不可以让我推荐一个解药，根治这种输家心态？

Analyze your markets and lay out your strategy and tactical moves in privacy. Don't ask anyone’s advice - that includes brokerage advisories, market tips, and even well-intentioned floor gossip. And don't offer your advice to anyone else. You don’t care if Cargill is buying corn, Gill and Duffus is selling cocoa, or Salomon is buying bonds. You stick to your objective analysis and market projection based on whichever method or technique has proven itself viable to you, and you revise that strategy only on the basis of pragmatic and objective technical evidence. Such evidence could be a signal from your charts, from your computer system, or from your friend the margin clerk, who reminds you that your position has moved adversely and that your account has become undermargined. In short, if you do make money in your trading, stand up and take the accolades. If you lose money, you alone take the rap. Obviously, you will need the confidence and the courage of your convictions to trade into or out of a market. If you don’t have that confidence, you probably shouldn’t be making the trade (except to close an adverse position to limit your lose exposure).

我的办法是：自己分析市场，部署好策略和战术，不要让别人知道。别去请教别人的意见——所谓别人的意见，包括经纪人的忠告、市场建议甚至是好心的营业厅小道消息。同时，不要把你的意见告诉任何人。张三买玉米，李四卖可可豆或者王五买债券，你都不必在意。只要有某种方法或技术证明对你管用，你就根据这种方法或技术去做客观的分析和市场研判，并且坚守分析和研判的结果就可以了。此外，只有在合乎实际和客观的技术证据显示有必要时，才修正交易策略。这些证据可能是你的图形，你的电脑交易系统，跟催保证金的职员所发出的信号，他们会提醒你，你的仓位是逆势的，你的账户中保证金已经不足。简而言之，要是你的交易赚了钱，那么你应该抬起胸堂，接受奖赏。如果亏了钱，要自己承担亏损。很显然的，进出市场你都必须有信心和勇气。如果你没有这种信心，就不要交易（除非是要平掉不利的仓位以控制亏损）。

The list of speculators' laments goes on, but they all seem generally related to carelessness or poor trade timing, ignorance of the basic tenets of sound strategy, and lack of confidence and discipline in adhering to a good technical system or trading approach. Serious introspection, then, suggests this thesis: A sound strategy and viable tactics are just as important to overall success as a good technical or charting technique.

投机者的悲叹有很多表现，但是大体来讲，跟以下缺点有关：不用心，进出时机不当，漠视优秀策略的基本原则，缺乏信心，没有纪律，没有坚守良好的技术系统或方法。因此，认真自我反省之后，便会得到以下结论：整体交易要成功，优秀的策略和有效的战术，跟良好的技术或看图技术一样重要。

Finally, no treatise on winners and losers can be complete without some discussion of the desire to win versus the fear of losing. I have never seen this mentioned in any book, article, or even discussion of trading strategy, but the understanding of this point is absolutely essential for successful operations.

最后，如果不谈“赢的渴望对抗输的恐惧”，有关赢家和输家的讨论不算完整。没有什么书籍，文章会谈这个话题，甚至没人讨论过，但是了解这一点，绝对是交易成功的根本要素。

A letter that I received recently from a gentleman in Australia focused on the elusive pursuit of trading profits:

最近我接到澳洲一位男士写来的信，重点是谈交易利润十分难以掌握：

My paper trading has always been far superior to my real trading, and I have been analyzing why this has been so. I am convinced that the answer lies in the simple truth of which is stronger - the desire to win or the fear of losing. In paper trading, there is only the desire to win. In real trading, there is often only, or principally, the fear of losing.

我在纸上模拟交易的结果总是比我实际的交易要好很多，我也分析过为什么会这样。结果我相信答案在于一个很简单的真理，也就是要看赢的渴望和输的恐惧，哪一个比较强烈。纸面上的模拟交易中，只有赢的渴望，而实际的交易中，主要是输的恐惧。

Isn't this the universal experience? Every one of us has been impressed at how much better our paper portfolios have performed vis-a-vis our real money portfolios. The same might be said about the paper and “model portfolios” touted by newsletter and brokerage firms. One of the reasons underlying this excessive preoccupation with the fear of losing is that the speculator usually overtrades, both in terms of the size of his position as well as the turnover activity in the account. It is important - no, essential - that the trader control these urges to overposition or overtrade. My general rule here is that some $2,000 to $4,000  in equity should underlie each futures position. Also, day-trading and short-swing scalping should be left to the professional or floor operator, who is generally well-capitalized and experienced at this type of trading and who pays negligible transaction fees. Patience and discipline are the necessary attributes here, since profits will accrue to the operator who understands and utilizes accurate timing, albeit on a smaller scale, rather than to the large trader whose tactics or trade timing are careless or inaccurate.

这不是很普遍的经验吗？我们每个人都有很深的印象，发现自己在纸上的投资组合表现远比实际的投资组合要好。投资报道和经纪商所鼓吹的模拟操作和示范组合，也会出现同样的情况。过分沉浸在输的恐惧中，导致投机者过度交易，不是所建仓位太大，就是进出过分频繁。交易者必须控制他们的重仓交易和频繁交易，这是非常重要的。这方面，我的一般原则是每个期货仓位，都必须有约2000-4000元作为后盾。此外，日内交易和做短线的行为应该留给专业交易者或现场交易者去做，因为专业或现场交易者的资金通常较为充裕，他们有经验，只需支付极低的手续费。在这里，耐心和纪律是必要的素质，因为懂得和能够准确运用进出时机的交易者，即使本金不大，也能因此积累利润。进出金额大的交易者，如果战术上漫不经心或者进出时机不准确，并不能赚钱。

I have letters from dozens of speculators, many of them novice traders, who have reported two and three years of consistently profitable results from using long-term computer trading systems. The recurring theme in these communications is the necessity of following the system precisely, in an objective and disciplined manner. These experiences can be a source of inspiration to those traders who find the pursuit of consistent profits within a risk-controlled environment an elusive objective. Chapter Twelve is devoted to this subject.

我接到数十位投机者的来信，其中有很多是新手，他们在信中提到，利用长期电脑交易系统两三年，他们一直赚钱。这些信中一再出现的一个要点是：我们有必要用客观和严守纪律的态度，一丝不苟地遵照系统的指示去做。这些经验可以给其他交易者一个启示，知道要怎么做，才能在风险受到控制的环境中，以及目标捉摸难定的情况下，经常获得利润。第十二章会专门讨论这个主题。

相关阅读：

【原文推送】克罗谈投资策略（01）

【原文推送】克罗谈投资策略（02）

【原文推送】克罗谈投资策略（03）

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