The Position Management Of The Fund Is The Absolute Principle: There Is No End Of Eggs Under The Nest.

"Win win, add a deficit," the futures trader's daily self ridicule, in the "double eleven" night really staged.

"To float the surplus as a margin, a single stock is full and full of positions. Once you encounter the market like last Friday night, if you only get a 10% decrease, you will earn more before you get back to the night before liberation."

A private futures fund trader Wang Li Li (a pseudonym) said, "and this may be sporadic in daily life, in the extreme market last Friday night, but a large number of emerging."

11 on the evening of 9 o'clock, including cotton, iron ore and other varieties continued a week of gratifying rally, at 9:20 or so sealed up or impact trading.

Wang Li, who stared in front of the plate, secretly conjecture, "this goes on to say that next Monday is another big line".

However, this joy lasted only 20 minutes. At 9:44, Zheng Mian 1701 suddenly appeared empty single plate, and the increase in 1 minutes was narrowed from 7% to 5%.

At this point, Zheng cotton 1701 fell from the highest point of 17005 yuan to the lowest point of 14775 yuan, less than 7 minutes, with a fluctuation range of more than 13%, compared with the closing price of 15890 yuan after the afternoon closing, which is directly from the limit to the limit.

At the same time, almost all varieties in the night plate smashed quickly, PTA, soybean meal, soybeans, soybean oil, rubber, rapeseed meal, palm and other varieties touched the limit, and the holdings of many varieties also greatly reduced, for example, Zheng Mian 1701 only night plate reduced by 125662 handheld warehouse, close to the original position 1/3.

What is the concept of 13% fluctuation? Usually 8-10 times the leverage ratio.

This means that if the market falls 1%, the margin of accounts will be reduced by 8%-10%.

If a decrease of more than 10%, the deposit of the account will be lost long ago.

When the crash is completed in a short time, Futures Company's wind control is often strong enough to notify the trader's margin margin directly.

If you have full warehouse holding Zheng cotton before, 7 minutes later, your account not only does not hold any positions, even the security deposit is gone, all return to zero.

Wang Li said.

Luckily, the account maintained by Wang Li has maintained a constant margin. In this year's "up to the sky" market, it has not dared to float the margin as a margin. The strategy ensures that they earn "limited" (such as a constant margin of 100 thousand yuan, a daily profit of up to 100 thousand yuan, and a linear increase in the margin of the account).

On the evening of 11 nights, even if the price of multiple varieties was contracted at the limit price, the overall loss rate would not exceed 30%.

But not everyone is as conservative as Wang Li.

On the Internet, the "Zhengzhou future apartment 90's one elder sister", in February 16th this year, invested 100 thousand yuan into coke, which has been full of warehouses. In October 31st, it became 330 million yuan. On the evening of 11, it made more cotton on the daily limit board, and then returned to zero after 5 minutes.

"Some people think this is a piece, but in theory, this is not impossible.

Take the bull market as an example. If the initial margin of 100 thousand yuan and the leverage of 10 times, the market will rise by 10% a day, and the margin balance of the account after closing will be two times the original one.

If the floating margin is used as a margin, and the situation can continue, the margin balance of the account will increase exponentially according to the 2 party.

This is not impossible at the beginning of this year from the beginning of the year to the end of the commodity futures market.

Wang Li explained, "of course, in this way, as long as there is a 10% decline, one will lose light."

What is even more frightening is that in such a fierce market, the automatic protective stop may be invalid, and the actual loss can not be controlled at all.

The WeChat public number, as the "trend trading daddy," recalls the tragic situation, said: "the default stop I placed on cotton, after the night limit again, has been above the highest price by more than 10%. On the evening of 11, it was not counted at such a distance, and it was actually sold on the price of the price limit, much more than expected.

The reason for this problem is: it falls too fast, the stop loss list is too late to be reported, or it is not ready to be matched, and it is directly traded at the price limit.

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"This is very similar to last year's stock market crash and earlier this year when it was blown up, and it may not be sold at the limit, not to mention a higher possible stop loss price."

Wang Li said, not only that, but because of the 11 day night plate ups and downturns are all too sharp, not only many bullets, even the bears did not survive the "darkness before dawn", at the opening of the night was quickly riot or surrender, "double kill" reappearance.

At the same time, due to the rapid decline and huge volume of pactions, Wenhua financial and other futures trading software failed, many accounts and the network was interrupted and unable to land.

"Not to mention our new private placement, many of the old futures traders have never seen such an extreme market."

Wang Li sighed, "in this market, it is lucky to survive."

The recent money making effect of commodity futures market is obvious. Overheated and bubble become the reason why regulators can not intervene without a large amount of speculative capital coming into the market.

And the general manager of a well-known futures private company in Shanghai, Gao Qiang (a pseudonym), said that the extreme market of last Friday night is also a feedback for the early supervision.

Data show that in October, the Shanghai and Shenzhen 300 rose by 2.55%, while at the same time, the management futures performance was good, leading to the strategy of private placement with the average return of 4.13%, and the second fixed increase strategy was nearly 2.5 percentage points.

To lengthen the time, the three quarter average of subjective futures and procedural futures is based on the statistics of financial management on the grid.

Although ranked in the middle reaches, the average earnings of the former 1/4 ranked the 14.44% and 5.46%, much higher than those of other types of funds.

In the first half of the year, when the stock strategy fund returns were generally low or even negative, the performance of managed futures was even more pleasant.

In the first half of the year, the highest yield of the stock strategy is 5.21%, the arbitrage strategy is the highest 11.96%, the Alfa strategy is 17.32%, the relative value strategy is 11.84%, the bond strategy is 37.59%, and the programming futures are 64.29%, and the futures are the highest.

"There is no doubt that the huge money making effect has brought more smart money to us.

When we talk privately with our peers, we even feel that some of these funds are speculative speculation from the real estate market back to the commodity futures market.

And the commodity futures market is a very small market, and can not afford such a large amount of money.

Gao Qiang said.

He mentioned that on the evening of November 8th, the notice issued by Zheng Shang about carrying out information preparation for information management product account information, all kinds of asset management products (including but not limited to our asset management products, securities companies, fund companies, trust companies, private equity fund management agencies, insurance companies and other asset management products) issued by the company, and related information and holding shares, investment consultant information and fund managers related information need to be reported, in fact, it is already a reminder.

He further explained that in fact two months ago, the exchanges had checked these items, and this time they were re counted, that is, they wanted to "cool down" the market.

Moreover, since November, a number of announcements have been issued by the Shang Dynasty, Da Shang and Zheng Shang to adjust paction fees for many varieties.

The intent to curb speculative overheating is obvious.

"Before last Friday night, the agencies were really doing more. After all, the capacity is so fierce now that futures prices are still lower than spot prices, and institutions are naturally going to do more."

"As before, regulators did not allow the stock market to be malicious," he said.

According to other media reports, the 9 day of the SFC, in addition to requiring the futures exchanges to ensure a reasonable and orderly market order, also requires all Futures Company not to engage in capital distribution business or to participate in the distribution of business in any form.

"As a matter of fact, the market volume will be squeezed even if the exchange rules are revised every time. People with sharp smell may withdraw early. After all, trend trading is following the trend of the market, and on the other hand, it is not wise to follow the trend of policy and reverse the trend."

Gao Qiang said.

He added that in theory, in the face of such a huge amount of empty smashing, high frequency trading can be used to test the depth of CTP's disk and thus turn empty in advance. However, because high-frequency trading is subject to many restrictions and strict supervision in China, it can be spared from the "big blood washing" futures private placement to almost zero.

There is no end of eggs under the nest, and reflection after disaster is more important than lament.

"Trend trading" is summed up in the review. "The biggest black swan is often the key when all the measures are likely to fail; in the leveraged market, discipline is equivalent to life; because the importance of doing right and wrong is completely asymmetric, and there is more wrong with it, so defense is always the first priority, and always fear the market."

Wang Li said that "self control" position management is the key factor that he can survive this time.

Futures market is a big fight. If the position management can not be put in the first place and the risk can not be controlled within its own limits, it may encounter a fatal blow at any time.

In addition, he believes that not all futures.

Both can withstand the "great sorrow and sadness" of trend trading. Most of the naked and naked space are mostly huge surprises or great sadness.

Therefore, he prefers to decentralization in strategy, and cross species and intertemporal arbitrage are the mainstream practices.

"For example, I am optimistic about the recent black market, and think that the rebar and Coke will rise and the former is stronger than the latter. Then I will do multiple thread steel and empty the same amount of coke at the same time, so that I earn or lose only the difference between them. For example, I find that the forward price of the same variety is rising faster, and the recent contract has not seen a significant increase, so I can make more short-term contracts and short forward contracts, and then reverse the closing price when the future price difference converges."

He said, "of course, even this relatively conservative strategy is likely to fail to encounter black swans. For example, in the cross variety arbitrage, the empty holdings are rapidly rip off, and in the market" more empty ", many have also lost the hedge protection.

Therefore, the most important thing is to manage the positions and retain the surplus.

In the highly leveraged futures market, the outcome of all in is likely to be a win or a crushing defeat.