by Charles Cheng, CFA

 

 

In the recently released official biography of Elon Musk by author Walter Isaacson, there is a story of the famed entrepreneur at a friendly poker game.  He would go all in on every hand, lose and then go buy more chips to double down.  Eventually he did go all in and win a round and then proceeded to leave.  It’s unknown whether he knew that this is a mathematically unsound strategy, or he was counting on the fact that he is one of the world’s wealthiest men to either be able to go more rounds than anyone else or simply not care if he suffered a gigantic loss.  This type of betting rule, where you double the bet after every loss to recover previous losses, is known as a Martingale.  It is also a common trap that investors and traders fall into that can easily lead to catastrophic losses.

在作者沃爾特·艾薩克森（Walter Isaacson）最近發布的埃隆·馬斯克（Elon Musk）的官方傳記中，有一則關於該著名企業家在一場撲克遊戲中的軼事。　他會在每一手牌上押上全部賭注，如果這一局輸了就再去購買更多籌碼以加倍下注。　最終他會在某一局中以全押的情況下贏得一手，然後離場。　不知道他是否知道這是一個在數學理論上並不合理的策略，還是說他指望用自己的鈔能力來支撐住比其他人更多的回合，亦或者他根本不在乎自己是否遭受了巨大的損失。　這種類型的投注規則被稱為馬丁格爾策略（Martingale），即每次輸掉之後都加倍下注以彌補先前的損失。　這也是投資者和交易者容易陷入的常見陷阱，容易導致災難性的損失。　

 

The martingale strategy is enticing for traders and investors because it offers the illusion of guaranteed success and simplicity. It promises an eventual profit by doubling down after each loss, creating a sense of control and psychological comfort. The strategy is easy to understand and implement, making it accessible. Short-term wins further reinforce its appeal, making it seem effective despite inherent risks.

馬丁格爾策略對於交易者和投資者來說很有吸引力，因為它提供了保證成功且簡單的錯覺。　它承諾在每次虧損後加倍下注以最終獲利，從而創造一種控制感和心理安慰。　該策略易於理解和實施。　儘管存在固有風險，但短期的勝利會進一步增強它的吸引力，使它看起來似乎仍然有效。　

 

Source: Rubuxio

 

However, it is fundamentally flawed and risky, relying on the unrealistic assumptions of infinite resources and no betting limits, neither of which are practical. The required bet size grows exponentially with each loss, quickly leading to unmanageably large bets that can exceed an individual’s or institution’s financial limits or the imposed betting limits. A losing streak of six in a row, which, over the course of 100 bets for example, is more probable than not, would increase your bet size to 64x the initial bet and leave you bankrupt or at least out of the game.  In 1995, a single trader bankrupted Barings Bank, one of the UK’s oldest bank by employing a martingale strategy and losing £827 million.

然而，這個策略從根本上來說是有缺陷和風險的，它依賴於無限的資源和沒有投注限制的不切實際的假設，而這兩者都在現實中很難實現。　所需的賭注規模隨著每次損失呈指數級增長，很快就會達到難以管理的規模，它可能超出個人或機構的財務限制或規定的賭注限制。　例如，在 100 次投注的過程中，連續六次失敗的可能性很大，這時，您的投注金額已經增加至初始投注的 64 倍，它將使您破產或至少被迫退出遊戲。　1995 年，一名交易員採用馬丁格爾策略並使英國歷史最悠久的銀行之一巴林銀行破產，損失了 8.27 億英鎊。　

 

This flaw in the strategy when applied to investments is related to position sizes rather than the wisdom of buying more stocks when you’re down.  When stock prices go down, companies get cheaper, so it’s perfectly reasonable to add to a down position.  What isn’t reasonable is to base your investment sizing on making your money back, rather than on probabilities and the amount of capital you have.

該策略在應用於投資時的缺陷與頭寸規模有關，而不是與在股價下跌時購買更多股票有關。　當股價下跌時，公司的價格就會變得更便宜，因此加倉是完全合理的。　而此時不合理的做法是將您的投資規模建立在想要收回資金的大小，它應基於機率和您此時擁有的資本金額。　

 

 

This article reflects the personal views of the author and not any firm’s and should not be viewed as an investment recommendation.

 

 

 

 

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