运气与概率-Martingale套利策略

(1)-(Martingale)()1()2(2x1)n:1248163264128256512......()110241010:1+2+4+8+16+32+54+128+256+512=1023(Isolatedprobability)(continuousprobability)(Exponential):(Neverlosemoneyifyouhaveinfinitewealth.)q(1/220/38)Bnnq^n:n1−q^nnB:Martingale10:(1/2)^10=0.0009765=0.09765%1:1-(1/2)^10=99.9023%//(2)-(Martingale)()()25%(Martingale)75%++25%100%MartingaleEUR/CHFAUD/NZDEURCHFAUDNZD(Correlation)(3)-75%(PyramidicalTrading)1.2.(DirectHedge)3.15%30%(100%)50%(100%)100%100%(4)-(Martingale)(Kellycriterion)(MoneyManagement)Martingale((1)-),((2)-),((3)-)(KellyCriterion)(Martingale)(Martingale)(Bettingstrategy)(Martin)(Gale)(Martin)(Gale)(Martingale)(Martin)(Gale)(Martingale)()q(20/3852.6%)Bnnq^n:n1−qnnB:52.6%1−(2q)^n=1-(2*52.6%)^nn0(nn0)6300100(182018/3820/38)2(2)^n:10020040080016003200......()100+200+400+800+1600=3100(3100+3200=6300)6:(20/38)^6=2.1256%1:1-(20/38)^6=97.8744%?Martingale(-)50%(50%)52.6%50%?(RepresentativenessHeuristic)q=20/38=52.6%:q^6=2.1256%7350.3%(:(1-0.526316)x0.021256=0.0100690.978744x(1-0.010069)^67=0.496831-0.49683=50.3%)63001007350.3%15077.2%25091.1%()50%(KellyCriterion)(KellyCriterion):•f*(10%100100*10%=10)•b(b=1)•pMartingale•q1−p11(b=1)b=1:60%40%p=0.6q=0.4:====0.6-0.4=0.2=20%20%f*f*?bq/pf*(b)f*11b=1q=20/38=52.6%p=18/38=48.4%b(=1)52.6/48.4====18/38-20/38=-1/19f*(Independent)?(RepresentativenessHeuristic)2^n2^n1.3~1.51.3:Martingalex=loty=Multiplier():Level1=xLevel2=xyLevel3=xy2Level4=xy3Level5=xy4Level6=xy5Level7=xy6Lot:x+xy+xy2+xy3+xy4+xy5+xy6:x=0.01loty=1.3():Level1=0.01Level2=0.02Level3=0.03Level4=0.04Level5=0.05Level6=0.07Level7=0.09Lot:0.01+0.02+0.03+0.04+0.05+0.07+0.09=0.31Lot1:10010%Margin3100(RepresentativenessHeuristic)=0.01+0.02+0.03+0.04+0.05+0.07=0.22Lot10%Margin2500BreakEvenMartingale?75%()25%():====0.75-0.25=0.5=50%PairStopLossPercent50(50%)60(60%)(5.3)Martingale