Research - zaujímavé články

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Re: Research - zaujímavé články

Poslaťod jaroslav80 » Str 06 05, 2019 7:16 pm

Plus samozrejme dane, dane a este raz dane.
Ze do toho vobec niekto ide. To uz ta lopata mi pripada logickejsia.
jaroslav80
 
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Re: Research - zaujímavé články

Poslaťod radvan » Štv 08 22, 2019 11:47 am

snad to tu nezapadne ...

EXTREMNE dobry paper, ktory ukazuje, aku sancu ma bezny retialovy daytrader - v principe ~0 ... ale tak pome na to:

https://papers.ssrn.com/sol3/papers.cfm ... id=3423101

Abstract:
"We show that it is virtually impossible for an individual to day trade for a living,
contrary to what course providers claim. We observe all individuals who began to day
trade between 2013 and 2015 in the Brazilian equity futures market, the third in terms
of volume in the world, and persisted for at least 300 days: 97% of them lost money, only
0.4% earned more than a bank teller (US$54 per day), and the top individual earned
only US$310 per day with great risk (a standard deviation of US$2,560). Additionally,
we find no evidence of learning by day trading. "


a teraz trosku dlhsi text:

"Our goal is to inform individuals who are considering day trading as a viable career.
Using a dataset provided to us by the Brazilian SEC (Comissão de Valores Mobiliários), we
follow all individuals who day traded mini-Ibovespa futures contracts 4 for their first time
from 2013 to 2015, a total of 19,646 individuals. Mini-Ibovespa futures are the preferred
assets by day traders in Brazil, being the third most traded equity index futures and options
contracts in the world ahead of the E-mini S&P 500 Futures and S&P 500 Index Options,
for example"


test bol na traderoch co traduju brailsky index, ak si niekto mysli, ze to je fringe index, tak je na nom vacsie mnozstvo tradov ako na E-mini S&P 500 futures ...

"We compute the total net profit obtained by each one of the 19,646 new day traders.
Considering those who day traded for only one day (1,111 individuals), 29.8% obtained
positive net profit. Considering those who day traded for 2 to 50 days (9,978), 51 to 100
days (3,100), 101 to 200 days (2,738), 201 to 300 days (1,168), and more than 300 days
(1,551), 15.5%, 8.9%, 6.8%, 5.4%, and 3.0% obtained positive net profit, respectively."


cim dlhsie trader daytraduje, tym nizsiu sancu ma, ze bude mat asspon nejaky zisk na ucte ... z tych co daytradovali aspon 300 dni (to je v podstate cca jeden kalendarny rok), tak 3% (1 z 33) je profitabilny (profitabiny tu znamena, ze ma na ucte aspon o 1$ viac ako na zaciatku) ...

"The facts that (i) only 47 out of the 1,551 persistent day traders (3.0%) profited net of fees".

47 z 1550 daytraderov bolo profitabilnych .. ale ideme dalej ...

"Only 17 individuals (1.1% of 1,551) earned more than the Brazilian minimum wage (US$ 16 per
day), only eight individuals (0.5% of 1,551) earned more than the initial salary of a bank
teller (US$ 54 per day)"


17ti zarobili za tych 300 dni viac ako $4800 dolarov (1% daytraderov), co je viac ako minimalka ... 8mi (0.5%) zarobili viac ako chlapik v banke za priepazkou ($16200) ... samozrejme, denna standardna odchylka je brutalna (US$ 632 to US$ 3,308) ...
http://www.Quantpedia.com - the leading quantitative trading research company
radvan
 
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Re: Research - zaujímavé články

Poslaťod jogo » Štv 08 22, 2019 1:42 pm

radvan píše: 15.5%, 8.9%, 6.8%, 5.4%, and 3.0% obtained positive net profit, respectively."[/i]


Celkom by ma zaujímalo, či sa táto postupnosť neblíži limitne k nule napr. za 10 rokov daytradingu.

Z 19 646 začínajúcich daytraderov po 300 dňoch zarobilo viac ako minimálnu mzdu iba 17 chlapíkov, tak to je úspešnosť asi 0.1 promile...ty vole, perfektná informácia, díky Radvan. :wink:
Ukladám si ho do svojho fóra, aby som ho vedel v budúcnosti ľahšie nájsť.
Disclaimer: Všetky informácie, ktoré poskytujem na tomto fóre, sú určené výhradne ku študijným účelom. V žiadnom prípade neslúžia ako investičné doporučenie.
jogo
 
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