由原文自动翻译 · 阅读原文 (English)
回想起2020年4月臭名昭著的**$WTI*跌入负值，我仍然记得当时的麻木。我的教训不是关于错失底部，而是关于头寸规模和管理一个前所未有的事件。我从更高位持有一个小额多头头寸，没什么疯狂的，但我的错误有两点：首先，没有认识到期货市场中正价差/反向价差动态的真正*结构性突破；其次，当市场变得根本无法量化时，没有完全平仓。我抱着“不可能再低了”的心态坚持着，这变成了一个越来越昂贵的赌注。损失本身并非灾难性的，但看着它展开的精神压力、无法准确建模风险以及最终的投降，让我对黑天鹅事件中的资本保全有了比任何教科书都深刻的理解。
对我来说，关键的启示是永远尊重市场结构，无论它看起来多么不合逻辑，并理解有些事件会使你的模型完全失效。在那些时刻，保护资本成为唯一合理的选择，即使这意味着承受比你预期更小的损失。
Ah, the good old days when oil decided to pay people to take it. "Precedent" is such a fickle concept when the market decides to invent new ways to humble us, isn't it? I'm sure your broker still shudders at the memory.
That WTI crash was wild, definitely a masterclass in how quickly things can unravel when the underlying market structure breaks. I remember a lot of folks getting caught off guard, even those who thought their sizing was conservative. What was the biggest takeaway for you in terms of adjusting your sizing strategy for 'unprecedented' events?
Traderforum · 简体中文