资金管理：2%原则

2%原则是风险管理的基本原则（我倾向于使用“风险管理”或“保本”，因为它们比资金管理更具有描述性）。即使时机对你有利，你也不应该让自己的大部分资金处于某笔交易的风险之中。拉里•海特在《市场奇才》（1989年）一书中提到他从朋友那学到的两个教训：

1. 永远不要把你的生活方式作为赌注—— 不要用你的大部分资金进行一次性交易；
2. 永远要清楚最坏的结果会是什么。

海特的1%定律对大部分市场都适用，并演化为短期股票交易的2%原则：不要将大于2%的资产置于某只股票风险中。意思是，即使是连续亏损10次，也只会消耗20%的本金。不是说你需要交易50只不同的股票——你的资金风险远比所购买的股票价格小。

应用2%原则

1. 计算出交易资金量的2%：风险资金
2. 减去买、卖佣金，得到最大风险资金。
3. 计算每股的风险:从买入价减去止损和滑点范围（不是所有的止损都能准确执行）。空单的过程与此相反：在加入滑点范围之前减去买入价的止损。
4. 可买入的最大股数由最大风险资金和每股风险计算得出。

例：

设想你的资金总量为$20,000，每股交易的佣金固定在$50。

1. 你每股交易的风险资金为： $20,000 * 2 % = $400
2. 减去买、卖两笔交易佣金，你最大的可允许风险资金为：$400 - (2 * $50) = $300
3. 计算每股的风险：如果股票的价格为$10.00，你在$9.50处设置止损，那么你每股的风险为50美分。加上滑点风险，比如25美分，那么你每股的交易风险便提高到75美分
4. 因此，你最多可以交易：$300 / $0.75 = 400 股 (共需要$4000本金)

小测试

你的资金为$20,000，每股交易佣金为20美金。在股价为$10.00、止损在at $9.25的情况下，你最多可以买入多少股票？应用2%原则。

提示：减去买、卖的佣金和滑点（比如25美分每股）。

2%原则适合所有的股票交易者吗？

不是所有的投资者都面临同样的成功率（Van Tharp在《通向财务自由之路》称之为可靠率）。短期交易者通常会有更高的成功率，而长期交易者通常会有更高的风险回报比。

成功率 (可靠率)

成功率是盈利股票数量与总交易数量的比例：成功率=盈利交易/(盈利交易+亏损交易）*100%

风险回报比

风险回报比是预期收益和风险资本的比率（实际上它应该被称作回报/风险比，因为它最初是这么表达的）。如果你盈利的平均收益（去除交易佣金）是$1000，每笔交易的风险资本为$400（上面2%原则），那么你的风险回报比为2.5：1（即$1000 / $400)风险回报比 =平均盈利 / 平均风险资本

信心度

并不是说相对于交易者A交易者C将会盈利更多。交易者A的短期交易的交易量比C可能多得多。你或许会遇到下面的情况：

相对风险

我们现在使用二项概率计算器来计算每笔交易20%错误概率的相对风险（网址为 http://faculty.vassar.edu/lowry/ch5apx.html）：

很显然，成功率越高，你每股交易所能承受的亏损也就越大。

请记住，拥有较高风险回报比的交易者C只需要1/10成功率即可实现收支平衡。如果我们比较三者的收支平衡点的话，你会发现低成功率交易者更容易产生亏损交易。

低成功率

尽管你的交易系统或许能盈利，它也有让你亏损的倾向。你可以考虑使用低风险资金（比如1%）。

回归现实

在现实世界中，我们并不会遇到上面例子那么完美的二项分布：

• 盈利没有那么平均；
• 亏损幅度有大小之分——止损有时会因价格缺口而无效；
• 可能性有差别；
• 结果相互影响 – 当某只股票下跌，别的股票也倾向于下跌。

协方差

大多数风险管理系统的最大缺陷是，股价波动会相互影响。交易者手上的交易并不是相互独立的。市场有其运作规律，而这将影响所有股票。当然，也有例外，比如熊市市场中某只股票的上涨或者牛市市场中期某只股票突然下跌。然而，这仅仅是例外。大部分股票都像羊群一样顺势而行。

托马斯•多尔西在《点数图绘图技巧》举出了一个关于某只股票风险例子：

市场与你的股票走势相反，是最大的风险。我们应该如何预防？

预防一系列资本损失

如果你在资产泡沫时期持有大量的银行股票，那么2%原则不足以保护你的资产；与之类似的是你在自然灾害时期持有大量的保险类股票或者互联网热潮时期持有大量的技术类股票。我们需要凭经验快速衡量某一领域或市场交易的风险。

行业的相对独立性

不要在特定的某一行业领域交易。然而不是所有行业都是对等的，比如全球行业分类标准(GICS)中原材料之间的关联度就相当的小，并且可以作为独立的交易领域。除此之外的大部分行业领域都应该当作一个整体对待。

我们可以从上图中看到化工品、容器和包装材料的波动具有一致性，应该被当作一个行业领域交易。别的指数则是相对独立的，需要被分开对待。

行业风险

根据经验，可以将你用于购买某一行业领域股票交易的风险资本限制为每股交易风险资本的三倍（如果采用2%原则的话，你每笔交易的风险资本最大可以是本金的6%）。

意思不是说你每个行业领域只能持有3只股。当你最初的3股没有风险的时候（你已经把止损设置在收支平衡价位之上），你就可以买第4只股；以此类推，每当之前买入的一只股票没有风险的时候，便可以继续买入下一只股票。

不要急于向上移动你的止损。你的止损会让你在趋势来临前出场。同时，如果你的同一行业领域的3股交易在一段合理的时间内接连触及保护性的止损，那么我建议你把该行业内所有的仓位止损设置在当前价位周围。保护性止损，我的意思是追踪止损，可以在趋势改变的时候平仓出场（比如价格靠近长期移动均线的下方）；而一段合理的时间因人而异：对于短期交易者是几天，而对于长期交易者来说则是几周。

市场风险

你可以用类似的方式限制市场的风险。

将你的市场风险资本限定为每股风险资本的5~10倍（如果你采用2%原则，那么你的市场风险资本应该在10%~20%之间）。可以根据你的投资组合适当的调整该比例，并且你交易的周期越短，你的成功率就越高，你将可以承受更大的市场风险。

同时，如果你的保护性止损在一段合理的时间内被接连触发5次的话，那么也建议你缩小所有持仓的止损距离。

资金管理总结

一个针对所有股票交易者的普遍性原则是永远不要将大于2%的风险资本用于购买任何一种股票。这条原则或许不适合具有高风险回报比、较低成功率的长期投资者。并且，这条规则不应该被独立使用：你最大的风险是市场风险，市场中所有股票的走势都趋于同步。为了防止市场风险，你需要限定每一领域以及整个市场中的风险资本。

Money Management: The 2 Percent Rule
The 2 percent rule is a basic tenet of risk management (I prefer the terms "risk management" or "capital preservation" as they are more descriptive than "money management"). Even if the odds are stacked in your favor, it is inadvisable to risk a large portion of your capital on a single trade.
Larry Hite, in Jack Schwager's Market Wizards (1989), mentions two lessons learned from a friend:
3. Never bet your lifestyle -- never risk a large chunk of your capital on a single trade; and
4. Always know what the worst possible outcome is.
Hite goes on describe his 1 percent rule which he applies to a wide range of markets. This has since been adapted by short-term equity traders as the 2 percent rule:
The 2 Percent Rule: Never risk more than 2 percent of your capital on any one stock.
This means that a run of 10 consecutive losses would only consume 20% of your capital. It does not mean that you need to trade 50 different stocks -- your capital at risk is normally far less than the purchase price of the stock.
Applying the 2 Percent Rule
5. Calculate 2 percent of your trading capital: your Capital at Risk
6. Deduct brokerage on the buy and sell to arrive at your Maximum Permissible Risk
7. Calculate your Risk per Share:
Deduct your stop-loss from the buy price and add a provision for slippage (not all stops are executed at the actual limit). For a short trade, the procedure is reversed: deduct the buy price from the stop-loss before adding slippage.
8. The Maximum Number of Shares is then calculated by dividing your Maximum Permissible Risk by the Risk per Share.
EXAMPLE
Imagine that your total share trading capital is $20,000 and your brokerage costs are fixed at $50 per trade.
5. Your Capital at Risk is: $20,000 * 2 percent = $400 per trade.
6. Deduct brokerage, on the buy and sell, and your Maximum Permissible Risk is: $400 - (2 * $50) = $300.
7. Calculate your Risk per Share:
If a stock is priced at $10.00 and you want to place a stop-loss at $9.50, then your risk is 50 cents per share.
Add slippage of say 25 cents and your Risk per Share increases to 75 cents per share.
8. The Maximum Number of Shares that you can buy is therefore:
$300 / $0.75 = 400 shares (at a cost of $4000)
 
QUICK TEST
Your capital is $20,000 and brokerage is reduced to $20 per trade. How many shares of $10.00 can you buy if you place your stop loss at $9.25? Apply the 2 percent rule.
Hint: Remember to allow for brokerage, on the buy and sell, and slippage (of say 25 cents/share).
Click here for the Answer
Is 2 Percent Suitable For All Equity Traders?
Not all traders face the same success rate (or reliability as Van Tharp calls it in Trade Your Way to Financial Freedom). Short-term traders normally achieve higher success rates, while long-term traders generally achieve greater risk-reward ratios.
Success Rate (Reliability)
Your success rate is the number of winning trades expressed as a percentage of your total number of trades:
Success rate = winning trades / (winning trades + losing trades) * 100%
Risk-Reward Ratios
Your risk-reward ratio is your expected gain compared to your capital at risk (it should really be called thereward/risk ratio because that is the way it is normally expressed). If your average gain (after deducting brokerage) on winning trades is $1000 and you have consistently risked $400 per trade (as in the earlier 2 percent rule example), then your risk-reward ratio would be 2.5 to 1 (i.e. $1000 / $400).
Risk-Reward ratio = average gain on winning trades / average capital at risk
Confidence Levels
If we have three traders:
Trader: A B C
Time frame: Short-term Medium Long-term
Success Rate: 75% 50% 25%
Risk-Reward Ratio: 1.0 3.0 10.0
Trader A
Trades short-term and averages 125% profit over all his trades.
Winning trades:  75% * 1 0.75
Less: Losing Trades  25% * 1 -0.25
Average Profit    .50
As a percentage of capital at risk   50%
Trader B
Trades medium-term and averages 200% profit over all his trades.
Winning trades:  50% * 3 1.50
Less: Losing Trades  50% * 1 -0.50
Average Profit    1.00
As a percentage of capital at risk   100%
Trader C
Trades long-term and averages 325% profit over all her trades.
Winning trades:  25% * 10 2.50
Less: Losing Trades  75% * 1 -0.75
Average Profit    1.75
As a percentage of capital at risk   175%
This does not necessarily mean that Trader C is more profitable than A. Trader A (short-term) is likely to make many more trades than Trader C. You could have the following situation:
Trader: A B C
Time frame: Short-term Medium Long-term
Average Profit/Trade 50% 100% 175%
Number of Trades/Year 300 100 40
Times Return on Capital at Risk 150 100 70
Capital at Risk 2% 2% 2%
Annual % Return on Capital 300% 200% 140%
Relative Risk
We now calculate the relative risk that each trader has of a 20% draw-down. Use the binomial probability calculator at http://faculty.vassar.edu/lowry/ch5apx.html:
Trader A B C
Success Rate 75% 50% 25%
Probability of 10 straight losses 0.0001% 0.1% 5.6%
Obviously, the higher your success rate, the greater the percentage that you can risk on each trade.
Bear in mind that, with a higher risk-reward ratio, Trader C only needs one win in 10 trades to break even; while Trader A would need five wins. However, if we compare breakeven points, it is still clear that lower success rates are more likely to suffer from draw-downs.
Trader A B C
Number of wins (out of 10 trades) required to break even 5 2.5 1
Normal Success Rate 75% 50% 25%
Probability of making a net loss in 10 trades 2.0% 5.5% 5.6%
Low Success Rates
Although your trading system may be profitable, if it is susceptible to large draw-downs, consider using a lower percentage of capital at risk (e.g. 1 percent).
Back to the Real World
In real life trading we are not faced with a perfect binomial distribution as in the above example:
• gains are not all equal;
• some losses are bigger than others -- stop losses occasionally fail when prices gap up/down;
• probabilities vary; and
• outcomes influence each other -- when stocks fall, they tend to fall together.
Covariance
The biggest flaw in most risk management systems is that stock movements influence each other. Individual trades are not independent. Markets march in unison and individual stocks follow. Of course there are mavericks: stars that rise in a bear market or collapse in the middle of a bull market, but these are the exception. The majority follow like a flock of sheep.
Thomas Dorsey in Point & Figure Charting gives an example of the risks affecting a typical stock:
Market risk
Sector risk
Stock risk 66%
24%
10%
The risk of the market moving against you is clearly the biggest single risk factor. How do we protect against this?
Protecting your Capital from a String of Losses
The 2 percent rule alone will not protect you if you are holding a large number of banking stocks during an asset bubble; insurance stocks during a natural disaster; or technology stocks during the Dotcom boom. We need a quick rule of thumb to measure our exposure to a particular industry or market.
Independent Sectors
Limit your exposure to specific industry sectors. Not all sectors are created equal, however. Industry groups in the (ICB or GICS) Raw Materials sector have fairly low correlation, and can be treated as separate sectors, while industry groups in most other sectors should be treated as a single unit.
 
We can see from the above chart that Chemicals and Containers & Packaging tend to move in unison and should possibly be treated as one industry sector, but other indexes shown are sufficiently independent to be treated separately.
Sector Risk
As a rule of thumb, limit your Total Capital at Risk in any one industry sector to 3 times your (maximum) Capital at Risk per stock (e.g. 6% of your capital if you are using the 2 percent rule).
This does not mean that you are limited to holding 3 stocks in any one sector. You may buy a fourth stock when one of your initial 3 trades is no longer at risk (when you have moved the stop up above your breakeven point on the trade); and a fifth when you have covered your risk on another trade; and so on.
Just be careful not to move your stops up too quickly. In your haste you may be stopped out too early -- before the trend gets under way.
I also suggest that you tighten your stops across all positions in a sector if protective stops are triggered on 3 straight trades in that sector (within a reasonable time period). By protective stops I mean a trailing stop designed to exit your position if the trend changes (e.g. a close below a long-term MA). A reasonable time period may vary from a few days for short-term trades to several weeks for long-term trades.
Market Risk
You can limit our market risk in a similar fashion.
Limit your Total Capital at Risk in the market to between 5 and 10 times your (maximum) Capital at Risk per stock (e.g. 10% to 20% of your capital if you are using the 2 percent rule). Adjust this percentage to suit your own risk profile. Also, the shorter your time frame and the higher your Success Rate, the greater the percentage that you can comfortably risk.
It is also advisable to tighten your stops across all positions if protective stops are triggered on 5 straight trades within a reasonable time period. Protective stops do not have to be the original stops set on a trade. You may make an overall profit on the trade, but the stop must indicate a trend change.
Money Management Summary
A general rule for equity markets is to never risk more than 2 percent of your capital on any one stock. This rule may not be suitable for long-term traders who enjoy higher risk-reward ratios but lower success rates. The rule should also not be applied in isolation: your biggest risk is market risk where most stocks move in unison. To protect against this we should limit our capital at risk in any one sector and also our capital at risk in the entire market at any one time.

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