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cover of episode 292 · Laurens Bensdorp - Running 55+ Systematic Trading Strategies Simultaneously

292 · Laurens Bensdorp - Running 55+ Systematic Trading Strategies Simultaneously

2024/12/5
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Chat With Traders

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#personal finance and investment#investor perception and behavior#strategies for navigating current times#strategies for current times#investment banking#financial identity#personal resilience strategies#personal growth and resilience People
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Laurens Bensdorp
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我通过同时运行55个不同的交易系统来进行交易,这些系统涵盖了趋势跟踪、均值回归等多种策略,并应用于股票、期货和商品等多种资产类别。这种多系统策略的核心在于平滑收益曲线和降低回撤风险。 单个交易系统即使拥有很高的年化收益率,也可能面临巨大的回撤风险。而通过组合多个不同类型的系统,当一部分策略表现不佳时,其他策略可以弥补损失,从而创造更平滑的收益曲线。 这种方法的优势在于提高了策略的稳健性。我并不依赖于单一策略,而是拥有多个不同的收益来源。即使有四五个系统表现不佳,我也不会太担心,因为其他系统仍然在盈利。 此外,多系统策略也提高了交易频率,这使得我能够更快地从回撤中恢复。 我的系统完全自动化运行,由我与商业伙伴共同开发的软件进行管理。这对于管理如此多的系统至关重要,可以避免人为错误,并提高交易效率。 在风险管理方面,我为每个系统设置了不同的止损水平,以适应不同的市场环境和风险承受能力。例如,均值回归策略的止损设置会比较宽松,而趋势跟踪策略的止损设置则会比较严格。 我不会对任何策略进行过度优化,而是不断开发新的策略来应对市场变化。我的目标是创造一个更加稳健的交易系统,能够在各种市场环境下都能获得稳定的收益。 我所有的策略资金分配比例相同,避免人为偏见。我不会根据近期表现来调整资金分配,而是让系统持续运行。 在系统设计方面,我坚持所有系统都必须由我自己设计,因为只有这样才能充分理解其优缺点,并根据自身情况进行调整。只有自己设计的系统,我才能在回撤期间保持耐心和信心,因为我了解系统亏损的原因。 市场环境会不断变化,因此我需要设计多种策略来应对各种市场情况,包括那些我从未遇到过的市场事件。

Deep Dive

55个交易系统:我的稳健交易之道

我是一位系统化交易者,我的交易策略的核心是同时运行55个不同的交易系统。这些系统并非千篇一律,而是涵盖了趋势跟踪和均值回归等多种策略,并应用于股票、期货和商品等多种资产类别,目标只有一个:平滑收益曲线,降低回撤风险。

单一交易系统,即使拥有令人艳羡的年化收益率,也可能潜藏着巨大的回撤风险。这就好比把所有鸡蛋放在同一个篮子里,一旦篮子破了,所有鸡蛋都碎了。而我的多系统策略,则如同分散投资,将风险有效地分散开来。当一部分策略表现不佳时,其他策略可以起到缓冲作用,从而创造更平滑、更稳定的收益曲线。

这种多系统策略的优势在于其稳健性。我不依赖于任何单一策略,而是拥有多个不同的收益来源。即使有四五个系统表现不佳,我也不会过于担忧,因为其他系统仍然在盈利。这就好比拥有多条河流,即使其中几条断流,其他的河流仍然可以保证水源的供应。

此外,多系统策略也显著提高了交易频率。更高的交易频率意味着我有更多机会从回撤中迅速恢复,就像在崎岖的山路上行驶,频繁的调整方向可以更快地到达目的地。

为了实现这一策略,我与商业伙伴共同开发了一套完全自动化的交易软件。这套软件不仅能够自动执行交易,还能进行回测和风险管理,对于管理如此众多的系统至关重要。自动化交易不仅提高了效率,更重要的是避免了人为错误,减少了因情绪波动而导致的错误操作。

在风险管理方面,我不会对每个系统采用相同的止损策略。相反,我根据不同系统的特点和市场环境,设置了不同的止损水平。例如,均值回归策略的止损设置通常会比较宽松,因为这类策略通常持仓时间较短;而趋势跟踪策略的止损设置则会比较严格,以保护利润。

我从不沉迷于对现有系统的过度优化。相反,我始终致力于开发新的策略,以应对不断变化的市场环境。我的目标不是追求短期的高收益,而是构建一个更加稳健的交易系统,能够在各种市场环境下都能获得稳定的收益。

所有策略的资金分配比例完全相同,我避免任何人为偏见。我不会根据近期表现来调整资金分配,而是让系统持续运行,让数据说话。

最后,也是最重要的一点,我坚持所有交易系统都必须由我自己设计。只有这样,我才能充分理解每个系统的优缺点,并在回撤期间保持耐心和信心。因为我了解系统亏损的原因,所以能够坦然面对,并从中吸取经验教训。

市场环境瞬息万变,我深知未来会与过去不同。因此,我需要设计多种策略来应对各种市场情况,包括那些我从未遇到过的市场事件。55个系统,正是为了应对这种不确定性而构建的稳健防御体系。

Chapters
Laurens Bensdorp's trading journey started with years of losses using discretionary methods. He transitioned to systematic trading, creating over 55 systems for consistent returns and reduced risk. This approach led to better returns, smaller drawdowns, and less time spent trading.
  • Years of losses as a discretionary trader
  • Transition to systematic trading
  • Creation of over 55 trading systems
  • Improved returns, reduced drawdowns, and less time spent trading

Shownotes Transcript

Laurens Bensdorp's trading journey began with years of losses as a discretionary trader. Frustrated by inconsistent results and mounting stress, he embarked on a mission to develop systematic trading approaches. His goal was simple but ambitious: create reliable systems that would deliver steady returns while minimizing losses.

This transformation wasn't overnight. Through years of careful development and testing, Bensdorp gained deep insights into the cyclical nature of his trading systems - understanding when they were likely to generate profits or face losses. His persistence paid off. By eventually creating and implementing over 55 different trading systems, he achieved what seemed impossible: better returns, smaller drawdowns, and remarkably, less time spent managing his trades.

About Laurens Bensdorp

Laurens Bensdorp launched his finance career at a Dutch venture capital firm in 2000, where he discovered his passion for trading. After years of studying successful investors' methods, he developed automated trading platforms that maximize profits while minimizing time investment.

Featured in Van Tharp's "Trading Beyond the Matrix," Bensdorp went on to author two international bestsellers: "The 30 Minute Stocktrader" (2017) and "Automated Stock Trading Systems" (2020). Both books have been translated into multiple languages.

As the pioneer of personality-based automated trading systems, Bensdorp now co-hosts seminars with renowned trader Tom Basso and mentors elite clients. Through his foundation, Fundación Albenco, he supports educational initiatives for underprivileged children in Colombia.

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