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原文链接: https://www.brookstradingcourse.com/ask-al/backtesting/ 生成时间: 2026-09-04 15:01
BPA trading room Q&A: March 17, 2015
BPA交易室问答：2015年3月17日
An article said backtesting is the first step to becoming a profitable trader. Do you agree with this and how do you advise a beginning trader to start?
有文章说回测是成为盈利交易者的第一步。你同意这种说法吗？你会怎样建议新手交易者起步？
Audio duration: 6min 9sec
音频时长：6分9秒
Audio transcript
音频文字稿
Backtesting is more complex than traders think
回测比交易者想象的要复杂得多
Every now and then, somebody brings up backtesting, and I can talk for hours about backtesting, and I think that advice is horrible advice because, backtesting is far more complicated than what most traders who backtest understand. There’s really a lot of math in backtesting, and there are all kinds of assumptions. Let me just say that most people who are backtesting and coming up with results, like in TradeStation, and they’re coming up with all these profitable strategies, are fooling themselves. They’re not intentionally fooling themselves, but they don’t understand what they are doing. They think they understand what they are doing. They’re creating stuff that just looks exactly like what TradeStation says, or any other, E-signal or anything else, MetaTrader; it doesn’t matter which one. But you will lose money if you backtest ideas and trade those ideas. You will lose money because backtesting is much more mathematically rigorous than what it appears.
偶尔会有人提起回测，我可以就回测讲好几个小时，我认为这个建议是糟糕的建议，因为回测远比大多数进行回测的交易者所理解的要复杂得多。回测里其实有大量的数学，还有各种各样的假设。我想说的是，大多数进行回测并得出结果的人——比如在 TradeStation 中——他们得到的所有这些盈利策略，实际上是在自欺。他们不是故意自欺，只是他们不明白自己在做什么。他们以为自己明白。他们所做的只不过是与 TradeStation 所说的一模一样，或者是 E-signal、MetaTrader 等等其他平台的输出，不管用哪个。但如果你对想法进行回测然后按照那些想法交易，你会亏钱。你会亏钱，因为回测在数学上要比表面上看起来严格得多。
Institutions backtest, yes, but…
机构也会回测，没错，但…
If it was so simple that anybody in their first week of trading can come up with a trading idea and backtest it, and then use it to make money, do you think that you are smarter than a physicist or engineer at Goldman Sachs who has been writing algorithms for 20 years? Do you think in the first week or two you’re going to come up with an idea that these guys, who have spent 20 years doing this, have not thought of? You obviously know that anything—any idea that can be backtested has been backtested. Every hedge fund, every high frequency trading firms has a room filled with physicists, mathematicians, engineers, and they get paid $300,000, $500,000 a year to backtest. That’s all they do all day long. And they have horribly boring jobs; they just sit at a desk and do backtesting all day long, but they don’t care because as a mathematician, or an engineer, or a physicist, you have no other place in the world where you’re gonna get paid $300,000 or $400,000 to do that stuff. So, they know they have a crummy job, but they don’t care. They’re getting paid a lot of money to do a crummy job, and so they do it, and they get to live a lifestyle that they could not possibly otherwise live if they were not doing that crummy job.
如果这件事真的如此简单——任何人在交易的第一周就能想出一个交易点子，进行回测，然后用它赚钱——你会认为自己比高盛的物理学家或工程师更聪明吗？他们已经写算法写了20年。你觉得自己在第一周或两周内就能想出他们这20年从未想过的点子吗？你显然知道——任何可以被回测的点子都已经被回测过了。每对冲基金，每家高频交易公司都有一间屋子，里面坐满了物理学家、数学家和工程师，他们每年拿着30万美元、50万美元的薪水来做回测。这就是他们一天到晚在做的全部工作。他们的工作枯燥乏味；他们只是整天坐在办公桌前做回测，但他们并不在意，因为作为数学家、工程师或物理学家，在世界上别处找不到能拿到30万或40万美元去做这些事的工作。于是，他们知道自己的工作很糟糕，但他们并不在意。他们拿着高额薪水去做一份糟糕的工作，因此他们这么做，进而获得了一种如果不做这份糟糕工作就无法拥有的生活方式。
Back to backtesting, okay? If I’m taking a bet—if someone’s asking me, “Al, I’ll give you even odds. Bet on that physicist with a PhD from MIT coming up with an idea, or bet on this beginner trader who has been trading for six months, and started backtesting a few weeks ago.” I’m being facetious, and I don’t want to be cruel, but I’m trying to make the point that if there is a good workable idea, it’s already been found by a thousand guys on Wall Street who have been doing this for a long, long time. People who run the hedge funds and the high-frequency trading firms, they’re doing all this stuff. And I don’t know if you have any idea how many algorithms a high-frequency trading firm has, but probably most of them have thousands of different things that they use when they trade. And, you know what they do at the end of a week, at the end of three days, at the end of two days? They stop using whatever they’re using, because stuff that works only works for a few days. So if they’re doing stuff that works in a trading range environment, they have programs that measure trading ranginess of the market and trendiness of the market, and they’re constantly switching their algorithms to fit the market. And when a trader is thinking about backtesting, they’re thinking about a Holy Grail; they’re thinking about a goose that’s going to lay golden eggs for them forever, and it ain’t gonna happen. And if you come up with a perfect trade, a golden goose, and it’s working consistently, it will probably take two days before 50 other guys on Wall Street discover it, and they’ll start doing it, and then the reality is your golden goose will die.
回到回测这个话题，好吗？如果我在下注——如果有人问我：“Al，我给你相同的赔率。你押注那个拥有麻省理工学院博士学位的物理学家能想出一个点子，还是押注那个刚交易了六个月、几周前才开始回测的新手交易员？”我是在开玩笑，我不想残忍，但我想说明的是，如果有一个好的可行点子，华尔街上已经有成千上万的人发现了它，他们已经做了很长很长时间了。那些管理对冲基金和高频交易公司的的人，他们都在做这些事情。我不知道你是否知道高频交易公司有多少算法，但他们可能在交易时使用了数千种不同的东西。你知道他们在一个星期结束时、三天结束时、两天结束时会做什么吗？他们停止使用他们正在使用的任何东西，因为有效的方法只能有效几天。所以，如果他们在区间震荡环境中做有效的事情，他们就有程序来衡量市场的区间震荡性和趋势性，他们会不断调整他们的算法以适应市场。当交易员考虑回测时，他们是在寻找圣杯；他们认为会有一只鹅永远为他们下金蛋，但这不会发生。如果你想出一个完美的交易策略，一只金鹅，并且它持续有效，那么可能只需要两天时间，华尔街上的另外50个人就会发现它，并开始使用它，然后现实情况是，你的金鹅就会死去。
Far too many variables
变量实在太多了
I say that, and I’m a guy who’s done over 10,000 hours of backtesting. So it’s not like, “Oh, Al’s just saying it.” No, I’ve done 10,000 hours of backtesting, so I’ve done all kinds of backtesting, and at the end of it all, after doing it for years, it’s my opinion that, at least for my personality as an active trader, I cannot make money based upon backtested ideas. Theoretically, I could, but, I see too many exceptions. So if I backtest an idea, I see, “Oh, what if the prior two bars are big bear bars closing below their midpoints?” Well, suppose one’s closing above its midpoint. Suppose the range is 50 percent bigger than an average range? Suppose it’s occurring in an environment where the moving averages have a slope of whatever—20 or something?
我这么说，是因为我已经做了超过10,000小时的回测。所以这不是“哦，Al只是这么说”的情况。不，我已经做了10,000小时的回测，所以我做了各种各样的回测，最后，在做了这么多年之后，我认为，至少对于我这个活跃交易员的性格来说，我无法基于回测的想法赚钱。理论上，我是可以的，但我看到了太多的例外情况。所以，如果我回测一个想法，我会想：“哦，如果前两根K线是大阴线，收盘价低于中点，会怎么样？”假设其中一根K线的收盘价高于中点。假设区间比平均区间大50%？假设这发生在移动均线斜率为20或类似的环境中？
There are so many variables. And then you have to factor in higher time frames. You don’t have to do any of it, right? You can be just simple. If the open of the day closes above its midpoint, do I buy above the high of the bar? Do I do it for a swing? Do I do it for a scalp?
变量很多。然后还要考虑更高时间周期。你其实不需要做这些，对吧？你可以保持简单。如果当天的开盘价收盘位置在其中点之上，我是否应该在该K线最高价之上买入？这是为了波段吗？还是为了剥头皮？
If we have five consecutive bull bars, do I buy or sell? Five consecutive bull bars, you buy—it went up, Five consecutive bull bars, you buy—it went down!
如果出现五连阳线，我该买还是卖？五连阳线，你买——它上涨了！五连阳线，你买——它下跌了！
I’m sorry about going on with this, but I think that backtesting is a terrible idea. I think it makes much more sense to try to understand what the markets are doing. Are you going to understand the kinds of stuff that I’m talking about: about what’s going on – on bar 10, what’s going on – on bar 37? You don’t have to understand that to trade profitably, but if you learn how to draw channel lines and trend lines, I think you’re in really good shape. If you learn how to recognize potential lower low major trend reversals, and either buy them or wait for a breakout and then buy, I think you’re in good shape. But beyond that, I think backtesting—it’s more recreation than it is on an occupation. I don’t think you’re going to make money doing it.
我说得多了，抱歉。但我认为回测是个糟透了的主意。我认为去弄清楚市场在做什么更有意义。你能否明白我在说的那些东西：比如10号K线上发生了什么，37号K线上发生了什么？你不必懂这些就能盈利交易，但如果你学会画通道线和趋势线，我觉得你已经很不错了。如果你学会识别潜在的更低低点主要趋势反转，然后要么直接买入，要么等待突破后再买，我觉得你已经做得不错了。除此之外，我认为回测更像是娱乐而不是工作。我相信你靠它赚不到钱。
Al Brooks
Al Brooks
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