學者研究: 新手做當沖，成功率不到1%

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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.

Keywords: day trade, day trading for a living, retail investors, HFT, course providers, futures market

JEL Classification: D14; G02

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3423101

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相關討論在下面的連結: 有一些不錯的評論，我會往下貼出來。

https://www.elitetrader.com/et/t ... -impossible.335869/

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The research/study seemed quite rigorous to me. It is much better, in my non professional opinion, than the Taiwan study. Those of you who said they only studied new day traders obviously did not read the paper. They studied the outcome of those who persisted and traded > 1 year. There were no improvements.
(以前也有類似的研究台灣市場的當沖者報酬率)

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This is not what they're arguing. No one is arguing about "it takes a long time to learn a hard skill and trading is a hard skill".

What they are arguing, effectively, is that as a new day trader the barrier to entry is so high it effectively is impossible to do properly from what they defined as starting from a stand-still. You can attribute this to a number of things - leverage being the key in my mind. Unlike your examples trading has a major barrier to entry: you need to build the capital up to do it and when you blow out you have to decide to either build it up again or quit - most people quit. They are not arguing about perseverance they are arguing the leveraged instruments do not give a new day trader a fighting chance. An equivalency to your example would be if an Electrician was kicked out of the program for any failure at ANY time in their learning, and had to start all over from the beginning (including re-paying for tuition!)

You can even look to stories of yore from Reminiscences of a Stock Operator to see that this is true there. Jesse Livermore detonated more than enough million dollar accounts before learning anything, and at the end was broke.

Again, they are NOT arguing the SKILL is unlearnable. They are arguing the practicality of LEARNING the skill given the barrier to entry and beginning with no skill is probabilistically virtually impossible. People are attaching far too much of their own experience to this study. Its ridiculous how offended people are at literal science being done on the problem that we all know is true - brokers in general are just commission farms.

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I tracked down a description of a slightly more optimistic study on Brett Steenbarger's TraderFeed site. This study found that a small number of daytraders "are able to outperform consistently".

Steenbarger's article is pasted below and can be found at
http://traderfeed.blogspot.com/2 ... aders-actually.html

What Proportion of Daytraders Actually Makes Money?
I strongly recommend reading the research study of speculator skill from Barber, Lee, Liu, and Odean. They studied the returns of daytraders over a 15-year period, the largest sample I am aware of in such a study. Their study is also unique in that it looks at the ability of traders to make money in a second year after having made money in the first.
The authors conclude that "there is clear performance persistence." The very top traders who make money net of fees tend to continue to make money going forward. The traders who lose money tend to continue losing money.

Here is the most important conclusion, however:

"In the average year, 360,000 individuals engage in day trading. While about 13% earn profits net of fees in the typical year, the results of our analysis suggest that less than 1% of day traders (less than 1,000 out of 360,000) are able to outperform consistently." (p. 15).

In other words, 87% of day traders in a given year lose money after fees are taken into account. About .28%--one in 360--is able to make money after fees year over year.

To be sure, that small group of very successful day traders earns a significant return. After expenses, they average +28 bps per day. Compare that to the 350,000 out of 360,000 daytraders who average a daily loss of 5.7 bps per day after expenses.
The authors conclude that day trading skill genuinely exists. They also conclude that it is very, very rare.

Further Reading: Can Day Traders Be Successful?

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What is telling about day trading is the following:

After all these years, there are exactly two rigorous studies on day trading, one from Taiwan the other from Brazil. The US, where financial markets are supposed to be the most transparent, data are most complete and available, has none? When I first learned to day trade I ask Schwab to see if there were studies, either internal or external on day trading, got a blank stare. Why is it so difficult to study when data are available? Could it be all brokerages are afraid to let the cat out of the bag?

On ET, most who spoke out against the paper claimed to be successful day traders making a nice living day trading and I don't have reasons to doubt you. I am just telling you I couldn't and gave up, went swing, later swing options and never look back.

My hat off to those who are able to make a living day trading.

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近年來全球唯二的當沖客的學術研究，研究的市場對象是台灣:

https://faculty.haas.berkeley.ed ... arning%20110217.pdf

peter5168

其實，我一直覺得..當沖照理來說應該會比留倉要穩當得多~
前提是要有一套期望值為正的系統 + 不貪的心態 + 紀律。

這不禁又讓我想到這句==>>> Plan Your Trade and Trade Your Plan. ^_^

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非洲大草原跑的最快的動物，大家都知道。但牠會常常沖來沖去嗎?

快跑有很大的成本，當沖也有很大的手續費。

當沖也許可以每天填飽肚子，不用煩惱明天，但是實際上找到PREY再開始跑才對。

當然，有些人適合當沖，有時候選擇權賣方也可能隔日沖，但是，大部分的交易員忽略了當沖根本就是浪費很寶貴的精力和金錢。

當然啦，選擇權賣方如果亂做一通，隔天的風險一定也很大。但現在市場上很多賣方也變的比以前更好。

半杯水

很多年前，我弄懂一些事後，歸納出有兩種人會賺錢。

第一種：手很快
要起漲或起趺的時後，他能比人早一步發現，早一步搶到單，要反轉的時後，他又能比人早發現，早出場。也就是，天下武功，唯快不破的觀念。但這需要的門坎很高，無論是自身的能力，或是搭配用下來單的工具，都很要求，更糟的是，部位很大的時後，進出會越來越難。

第二種：氣很長
大家一起沉到水裡，所有的人都憋死了，他還能悠悠哉哉的再等上一時半刻，才緩緩浮出水面吸口氣。這就是本多終勝的觀念。缺點是，很慢，非常慢，實在有夠慢! 優點是，穩贏，贏很大，而且部位越大越好操作。

弄種這些後，我就決定要當第二種人。不過，同道很少，幾乎每個用這種方法的都是賺錢的多，很少看到用這種方法又輸錢的。只是這類方法賺的太慢了，所以實在吸引不了什麼人。

大多數人還是推崇，小資金，高槓杆，天天賺。說得很漂亮，有夢最美，目前看到真得做得到的，倒是極少數，雖然也不會說完全找不到這類的高手，但就是真的很少數。