主题：【文摘】在资本市赢利 听一个职业炒手的终极感悟 1 -- 脖子

http://www.stockbook.cn/php/viewthread.php?tid=47369&highlight=%C7%F7%CA%C6%B8%FA%D7%D9

Annual Performance 10 Years

1997 0.00%

1998 0.00%

1999 -1.82%

2000 21.76%

2001 -0.28%

2002 47.14%

2003 -15.84%

2004 -4.51%

2005 -15.01%

2006 -10.73%

Currency Denomination- US Dollars

Track Record Prepared by - N/A

2006 Monthly Return YTD Return Assets Under Mgt

11/30/06 3.60% -10.73% 16,261,000

10/31/06 -3.55% -13.83% 16,609,000

09/30/06 -2.47% -10.66% 30,337,000

08/31/06 -3.22% -8.39% 31,460,000

07/31/06 -3.92% -5.35% 32,590,000

06/30/06 -7.25% -1.48% 33,970,000

Trading Description:

DCM uses two trading systems -- the original Dunn Trading System (\\\"DTS\\\") and the Targets of Opportunity System (\\\"TOPS\\\"). DTS was first implemented in 1974 and has been modified from time to time as research indicated improvements. Its basic strategy, described below, has never changed. There are three programs traded under DTS: Standard (diversified), WMA (financial) and CWMA (currency). WMA is the only one of the DTS programs that is being offered. TOPS was developed by Dunn in 1989, as a new approach to trading in the futures markets. There are also three programs traded under TOPS: D-TOPS (diversified), F-TOPS (financial) and C-TOPS (currency). F-TOPS is the only one of the TOPS programs being offered.

The basic trading strategy for of DCM\\\'s WMA programs is to hold continuous positions (either long or short) with the major price trend of each future in the portfolio. This approach is designed to capture a substantial fraction of the total profit potential from important changes in a future\\\'s price. DTS does not seek to predict when the next important move will occur nor when a particular future or group of futures will enter a choppy and unprofitable trading phase. The system therefore attempts to maintain a balanced and diversified risk posture for each account. This approach is expected to contain the inevitable series of small losses and whipsaws within tolerable limits and leave the accounts in a position to benefit from major price trends whenever they develop. In general terms, DTS is a technical, long-term, major trend following, reversal system. All decisions necessary to implement the DTS strategy are derived from proprietary computer programs designed by Dunn. These programs seek to identify the major trends and turning points for each future and to determine the changes required to maintain a balanced and diversified risk posture for each managed portfolio.

The basic trading strategy underlying TOPS is to constantly monitor dynamic market parameters and to selectively buy or sell futures whenever trading opportunities are indicated. A trading opportunity in a future is signaled when its price reaches a significant level determined by TOPS. Dunn believes that these significant levels indicate that unusual market movement (either up or down) is likely to occur. Therefore, the market is entered, either long or short, and the position is held until a liquidation level is reached. The liquidation level is determined by market parameters and may be either a profit taking or a stop-loss point. Each future in the TOPS portfolio is expected to be out of the market often, awaiting the identification of potential new opportunities. TOPS is a technical, medium-term, opportunistic, trend-following system. The decisions that implement the TOPS strategy are derived from proprietary computer programs designed by Dunn. These programs perform the calculations necessary to identify price levels that Dunn considers significant in the context of a dynamic market environment. These price levels identify potentially favorable buying and selling opportunities for each future in the portfolio. The number of contracts bought or sold is based on the current value of the account and the risk associated with each future.

From time to time, market conditions may be such that, in the opinion of Dunn, execution of trades recommended by DTS or TOPS would be difficult or involve undue risk. In these unusual instances, which Dunn estimates will affect less than 5% of the trading decisions, the computer recommendations may be modified or not taken by Dunn. In addition, the market may occasionally present unique trading opportunities (not signaled by DTS or TOPS) that Dunn may enter into, using its general risk control methodology.

Dunn was organized in September 1974 and began managing commodity accounts in October 1974. Its main business is the management of commodity trading portfolios. It serves as general partner and trading advisor for several limited partnership commodity funds and as trading advisor for other commodity funds and for private accounts.

03-06年的表现一直下滑，对比S&P 500,US Dollar Index,CME Cu-index,可以知道，当价格走势明朗的时候DUNN的系统可以发挥优势，一旦经历波折，就显出了单纯的价格趋势系统的弊端，也可以容易的看出，DUNN是一位长期的仓位持有者。06年下半年的表现也如此一斑，可以断定，DUNN在这几年因选错交易标的而吃了大亏。廉颇老矣。