抛硬币交易策略 (Coin-Toss Trading Strategy)

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We determined the volatility of the market by a 10 day exponential moving average of the Average True Range. Our initial stop was three times that volatility reading. Once entry occurred by a coin flip, the same three-times-volatility stop was trailed from the close. However, the stop could only move in our favor. Thus, the stop moved closer whenever the markets moved in our favor or whenever volatility shrank. We also used a 1 percent risk model for our position-sizing.
That's it! That's all there was to the system; a random entry, plus a trailing stop that was three times the volatility, and a 1 percent risk algorithm to size positions. We ran it on 10 markets. And it was always in each market, either long or short, depending upon a coin flip. It's a good illustration of how simplicity works in system development.
Whenever you run a random entry system, you get different results. This system made money on 80 percent of the runs when it only traded one contract per futures market. It made money 100% of the time when a simple 1 percent risk money management system was added.