[{"data":1,"prerenderedAt":1294},["ShallowReactive",2],{"\u002Fzh\u002Fglossary\u002Fwhat-is-correlation-risk":3,"\u002Fzh\u002Fglossary\u002Fwhat-is-correlation-risk-related":361,"\u002Fzh\u002Fglossary\u002Fwhat-is-correlation-risk-langs":1291},{"id":4,"title":5,"body":6,"category":343,"date":344,"description":345,"draft":346,"extension":347,"meta":348,"navigation":349,"path":350,"related":351,"seo":356,"stem":357,"term":358,"updated":359,"__hash__":360},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-correlation-risk.md","什么是相关性风险？分散投资为何失效",{"type":7,"value":8,"toc":335},"minimark",[9,13,17,26,37,40,107,110,113,158,161,164,172,180,188,191,209,217,233,237,292,295,327],[10,11,12],"p",{},"相关性风险（correlation risk）是指：一些仓位或账户看起来互不相干，背后却受同一个因素驱动，于是一起亏损。这就是为什么看似分散的持仓，到头来只出现一次毫不分散的回撤：风险是按仓位一个个算的，来的时候却是一齐到来。",[14,15,16],"h2",{"id":16},"工作原理",[10,18,19,20,25],{},"两个货币对之间的相关系数，属于",[21,22,24],"a",{"href":23},"\u002Fglossary\u002Fwhat-is-forex-pair-correlation","外汇货币对相关性","的话题。放到整个持仓上，要看的是最后实际剩下几个独立的赌注。",[27,28,33],"pre",{"className":29,"code":31,"language":32},[30],"language-text","独立赌注数 = n ÷ ( 1 + (n − 1) × ρ )\n\nn = 仓位数量\nρ = 仓位之间的平均相关系数\n","text",[34,35,31],"code",{"__ignoreMap":36},"",[10,38,39],{},"三个仓位，每个承担账户 1% 的风险：",[41,42,43,59],"table",{},[44,45,46],"thead",{},[47,48,49,53,56],"tr",{},[50,51,52],"th",{},"平均相关系数",[50,54,55],{},"合计风险",[50,57,58],{},"独立赌注数",[60,61,62,74,85,96],"tbody",{},[47,63,64,68,71],{},[65,66,67],"td",{},"ρ = 0",[65,69,70],{},"1.73%",[65,72,73],{},"3.0",[47,75,76,79,82],{},[65,77,78],{},"ρ = 0.7",[65,80,81],{},"2.68%",[65,83,84],{},"1.25",[47,86,87,90,93],{},[65,88,89],{},"ρ = 1",[65,91,92],{},"3.00%",[65,94,95],{},"1.0",[47,97,98,101,104],{},[65,99,100],{},"ρ = −0.5（三个仓位时的下限）",[65,102,103],{},"≈ 0%",[65,105,106],{},"—",[10,108,109],{},"交易者以为自己冒了三次 1% 的风险。ρ = 1 时，其实是一次冒了 3%。平台上没有任何提示会告诉您这个差别。",[10,111,112],{},"相关的风险敞口有五个来源，大多数持仓同时占了好几个：",[114,115,116,124,135,141,152],"ul",{},[117,118,119,123],"li",{},[120,121,122],"strong",{},"共同的货币腿","。同时做多 EUR\u002FUSD、GBP\u002FUSD 和 AUD\u002FUSD，其实是换了三身行头的同一个做空美元仓位。",[117,125,126,129,130,134],{},[120,127,128],{},"一个策略跑多个品种","。一个 ",[21,131,133],{"href":132},"\u002Fglossary\u002Fwhat-is-an-expert-advisor","EA（智能交易系统）","交易十二个货币对，同一个信号条件就生成十二个仓位。",[117,136,137,140],{},[120,138,139],{},"一个策略跑多个账户","。同一个 EA 复制到四个账户上，就是把一个赌注放大了四倍；要看的是承担风险的资金总额，而不是每个账户各有多少。",[117,142,143,146,147,151],{},[120,144,145],{},"依赖同一种市场状态","。持仓里所有",[21,148,150],{"href":149},"\u002Fglossary\u002Fwhat-is-trend-following","趋势跟踪","系统，不管交易什么，遇到震荡行情都会一起吃亏。",[117,153,154,157],{},[120,155,156],{},"同一个交易场所","。同一家经纪商、同一个报价源、同一套执行。报价源一中断，或者来一波重新报价，所有仓位同时受影响。",[10,159,160],{},"而且 ρ 不是常数：市场平静时，各个仓位各走各的，持仓看上去确实分散；一旦出现流动性事件，它们就会向 1 靠拢。",[14,162,163],{"id":163},"为什么重要",[10,165,166,167,171],{},"相关性风险会让",[21,168,170],{"href":169},"\u002Fglossary\u002Fwhat-is-position-sizing","仓位管理","赖以成立的算术失效。“每笔交易 1%”的规则是对最坏情况的承诺，但前提是交易彼此独立。十个相关仓位各押 1%，规则一丝不差地执行，一天照样可能亏掉 10%。",[10,173,174,175,179],{},"对",[21,176,178],{"href":177},"\u002Fglossary\u002Fwhat-is-margin-level","保证金比例","的冲击也是同样道理：相关的仓位会一起陷入浮亏，整个账户的净值一齐下滑，已用保证金却纹丝不动，强平线逼近的速度比逐个分析仓位时预想的快得多。",[10,181,182,183,187],{},"它还会让业绩记录误导人。四个账户各自只有不大的",[21,184,186],{"href":185},"\u002Fglossary\u002Fwhat-is-drawdown","回撤","，可能全都发生在同样的三天里：分开看是四个数据点，实际上只有一个。",[14,189,190],{"id":190},"数据显示了什么",[10,192,193,194,197,198,201,202,197,205,208],{},"在 ShowMyTrades 上（2026 年 8 月），",[120,195,196],{},"699 名用户运行不止一个账户","，",[120,199,200],{},"429 名用户在不止一家经纪商开有账户","。在有交易历史的公开账户中，自动交易占比的中位数为 ",[120,203,204],{},"99%",[120,206,207],{},"53.9% 的账户自动化程度超过 90%","。统计对象是在本站公开的账户，并不代表全体交易者。",[10,210,211,212,216],{},"这些数字说明了规模。超过一半的用户持有多个账户，约三分之一把账户分散在不同的经纪商，通常是为了不依赖单一交易对手。但这分散的是交易对手，不是策略：如果两边跑的是同一个自动化系统，",[21,213,215],{"href":214},"\u002Fguides\u002Fsame-strategy-different-brokers","两家经纪商只是把同一条净值曲线交出两遍","；而自动交易占比几乎是百分之百，这种情况就成了常态。",[10,218,219,220,224,225,228,229,232],{},"结果也印证了这一点。",[21,221,223],{"href":222},"\u002Fglossary\u002Fwhat-is-maximum-drawdown","最深回撤的中位数","为 ",[120,226,227],{},"9.7%","，但 ",[120,230,231],{},"17.6% 的账户超过了 50%","。这么深的跌幅，很少是某一个仓位出了错，而是一组仓位到头来被证明是同一个仓位。",[14,234,236],{"id":235},"在-showmytrades-上的位置","在 ShowMyTrades 上的位置",[114,238,239,254,270,277,286],{},[117,240,241,244,245,248,249,253],{},[120,242,243],{},"分类统计","模块里的",[120,246,247],{},"按魔术号","标签页，按策略而不是按交易品种拆分记录。两个",[21,250,252],{"href":251},"\u002Fglossary\u002Fwhat-is-a-magic-number","魔术号","如果好时段、坏时段都一样，就是同一个系统贴了两个标签。",[117,255,256,262,263,266,267,269],{},[21,257,259],{"href":258},"\u002Fguides\u002Fcustom-analysis-and-filter-presets",[120,260,261],{},"自定义分析","可以按",[120,264,265],{},"品种","和",[120,268,252],{},"筛选。排除一个魔术号后重新计算各项数字，就能看出这份记录有多少是靠它撑着的。已保存的预设列表在公开页面上不显示，筛选功能则照常可用。",[117,271,272,273,276],{},"图表模块的",[120,274,275],{},"增长","视图，打开两个账户页面对照着看。两条曲线如果在相同日期出现相同的高峰和低谷，不管叫什么名字，都是同一个策略。",[117,278,279,285],{},[21,280,282],{"href":281},"\u002Fglossary\u002Fwhat-is-a-trading-portfolio",[120,283,284],{},"投资组合","把多个账户合并成一个汇总视图：净值曲线、统计和指标全都合在一起。相关性风险针对的是这个总数，而不是每个账户各自的数字。",[117,287,288,291],{},[120,289,290],{},"交易表格","里的魔术号和注释两列，能看出哪个系统在什么时候开了什么仓。",[14,293,294],{"id":294},"常见误解",[114,296,297,304,310,316],{},[117,298,299,300,303],{},"“",[120,301,302],{},"我交易八个货币对，已经分散了。","”如果其中七个都以美元报价，您手里其实是一个放大了八倍的美元仓位。",[117,305,299,306,309],{},[120,307,308],{},"用不同的经纪商，风险就分散了。","”分散的是交易对手和执行，这确实有价值。但同一个策略在两边一模一样地跑，策略本身的风险并没有分散。",[117,311,299,312,315],{},[120,313,314],{},"相关性够稳定，可以拿来做计划。","”它是在正常行情下测出来的，而在造成大幅回撤的行情里，它会向 1 靠拢。",[117,317,299,318,321,322,326],{},[120,319,320],{},"做多一个货币对、同时做空一个相关的货币对，风险就抵消了。","”这只是把方向性赌注换成了交叉赌注，而持有它要付两份",[21,323,325],{"href":324},"\u002Fglossary\u002Fwhat-is-a-spread","点差","和两份库存费。",[10,328,329,330,334],{},"想看到合并后的整体风险敞口，而不是四个分开的页面，请阅读",[21,331,333],{"href":332},"\u002Fguides\u002Ftracking-multiple-accounts-portfolio","在投资组合中追踪多个账户","。",{"title":36,"searchDepth":336,"depth":336,"links":337},2,[338,339,340,341,342],{"id":16,"depth":336,"text":16},{"id":163,"depth":336,"text":163},{"id":190,"depth":336,"text":190},{"id":235,"depth":336,"text":236},{"id":294,"depth":336,"text":294},"风险","2026-08-19T00:00:00.000Z","相关性风险，是指几个仓位或账户看似各自独立，实际押的是同一注。本文讲解相关的风险敞口如何放大回撤，并附数千名交易者的数据。",false,"md",{},true,"\u002Fzh\u002Fglossary\u002Fwhat-is-correlation-risk",[352,353,354,355],"what-is-forex-pair-correlation","what-is-drawdown","what-is-position-sizing","what-is-margin-level",{"title":5,"description":345},"zh\u002F5.glossary\u002Fwhat-is-correlation-risk","相关性风险 (Correlation Risk)","2026-09-24T00:00:00.000Z","O47Vu9WYin37xzzy2BkP-7d68-Yw2EaPgPLKtMpFkVw",[362,569,823,1094],{"id":363,"title":364,"body":365,"category":557,"date":344,"description":558,"draft":346,"extension":347,"meta":559,"navigation":349,"path":560,"related":561,"seo":565,"stem":566,"term":567,"updated":344,"__hash__":568},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-drawdown.md","什么是回撤？定义、公式与真实数据",{"type":7,"value":366,"toc":550},[367,370,372,375,381,384,387,420,422,425,432,435,438,448,450,455,470,473,475,496,511,513,543],[10,368,369],{},"回撤是账户价值从此前的峰值跌到之后低点的幅度，用峰值的百分比表示。它衡量的是账户离自己最好的时候跌了多少，而不是某一笔交易亏了多少。回撤是累积的，所以 20% 的回撤，可能来自四十笔小亏损，也可能来自一次巨亏。",[14,371,16],{"id":16},[10,373,374],{},"每个账户都有一条随时更新的高水位线，也就是它曾经达到的最高价值。回撤就是任意时刻账户低于这条线的距离。",[27,376,379],{"className":377,"code":378,"language":32},[30],"回撤 % = (峰值 − 当前值) \u002F 峰值 × 100\n",[34,380,378],{"__ignoreMap":36},[10,382,383],{},"这条线只升不降。账户一创新高，高水位线就移到新高，回撤归零。在那之前，只要低于峰值，每一天都算在回撤中，不管账户是在下跌还是在横盘磨蹭。",[10,385,386],{},"这个数字到底是什么意思，要看三组区分：",[114,388,389,399,405],{},[117,390,391,394,395,398],{},[120,392,393],{},"相对回撤与绝对回撤","。相对回撤就是上面的百分比。MetaTrader 报告的绝对回撤，是账户低于",[120,396,397],{},"初始入金","的金额，这是完全不同的数字：一个当前比峰值低 40% 的账户，绝对回撤可能显示为 0%。",[117,400,401,404],{},[120,402,403],{},"净值回撤与余额回撤","。净值回撤包含持仓的浮动亏损。余额回撤只看已平仓交易，所以一笔亏损只要不兑现，就永远不会出现在里面。",[117,406,407,410,411,414,415,419],{},[120,408,409],{},"当前回撤与最大回撤","。当前回撤是账户今天的位置。历史上最差的那一次是",[21,412,413],{"href":222},"最大回撤","，大多数",[21,416,418],{"href":417},"\u002Fglossary\u002Fwhat-is-a-track-record","业绩记录","引用的就是它。",[14,421,163],{"id":163},[10,423,424],{},"一个策略值不值得投资，回撤是硬约束，因为亏损和盈利的复利效果并不对称。跌 20%，要涨 25% 才能回本；跌 50%，要涨 100%。",[10,426,427],{},[428,429],"img",{"alt":430,"src":431},"亏损 10% 需要 11.1% 的盈利才能弥补，25% 需要 33.3%，50% 需要 100%，70% 需要 233%","\u002Fimages\u002Farticles\u002Frecovery-asymmetry.svg",[10,433,434],{},"跌幅一旦超过 50%，回本所需的涨幅就比亏损本身还大。",[10,436,437],{},"让人离开市场的，也是这个数字。几乎没有人会在急速暴跌中放弃，那时心里还抱着希望。人们是在不温不火的回升熬到第九个月时放弃的。深度只占一半，另一半是持续时间，而它在收益图上根本看不出来。",[10,439,440,441,266,443,447],{},"另外，回撤主要取决于",[21,442,170],{"href":169},[21,444,446],{"href":445},"\u002Fglossary\u002Fwhat-is-a-stop-loss","止损","纪律，远远超过入场质量。两位交易者信号完全一样、手数不同，胜率会一模一样，生存能力却天差地别。",[14,449,190],{"id":190},[10,451,452,453,334],{},"以下数字只描述在 ShowMyTrades 上发布的账户，并不是对全体交易者的调查。截至 2026 年 8 月，根据 15,436,464 笔已同步交易，有交易历史的已发布账户，历史最深回撤中位数为 ",[120,454,227],{},[10,456,457,458,462,463,197,466,469],{},"再看同一批账户赚了多少。",[21,459,461],{"href":460},"\u002Fglossary\u002Fwhat-is-time-weighted-return","时间加权收益率","中位数为 ",[120,464,465],{},"+3.2%",[120,467,468],{},"63.0%"," 的账户长期为正。也就是说，处在中位数的账户，一路上回吐的幅度，大约是最终收益的三倍：承受的风险比得到的结果大，而且大出的是倍数，不是一星半点。",[10,471,472],{},"让回撤数字有意义的，是这个比值，而不是回撤本身有多深。宣称收益很高、回撤却只有百分之二三的账户并非不可能，但它处在这个分布的最边缘，这种极端情况要靠账户页面上的其余内容来证明。",[14,474,236],{"id":235},[10,476,477,478,481,482,485,486,488,489,495],{},"在每个已发布账户页面上，",[120,479,480],{},"账户统计","面板在",[120,483,484],{},"月均 %"," 下方连续两行显示两个数字：",[120,487,186],{},"，基于净值计算，包含持仓的浮动亏损；以及",[21,490,492],{"href":491},"\u002Fglossary\u002Fwhat-is-drawdown-on-balance",[120,493,494],{},"余额回撤","，只基于已平仓结果。两者都是历史最大值，不是今天的读数，而且都来自经纪商的数据，不是账户所有者自己填的。",[10,497,498,499,501,502,505,506,510],{},"图表模块有一个",[120,500,186],{},"视图，用柱状图画出账户整个生命周期的每日回撤。下跌",[120,503,504],{},"持续了多久","，在这里直接就能看出来，不用靠推测，这是任何一个醒目的百分比都表达不了的。",[21,507,509],{"href":508},"\u002Ftools\u002Fdrawdown-calculator","回撤计算器","可以用您自己的余额算出回本需要多少涨幅。",[14,512,294],{"id":294},[114,514,515,521,527,537],{},[117,516,299,517,520],{},[120,518,519],{},"回撤就是我亏得最多的那一笔。","”不是。它是一条从峰值到谷底的累积路径，中间可能有几百笔交易，盈利单也包括在内。",[117,522,299,523,526],{},[120,524,525],{},"回本之后，我的回撤又回到零了。","”当前回撤是这样。最大回撤按设计永远不会降：这样，一个好季度就抹不掉一个坏季度。",[117,528,299,529,532,533,334],{},[120,530,531],{},"回撤低，说明风险低。","”新账户回撤低，通常只说明还没经受考验。这里已发布账户的已平仓交易数中位数是 171 笔；不到几百笔时，",[21,534,536],{"href":535},"\u002Fguides\u002Fhow-much-history-a-track-record-needs","回撤小反映的是样本量，而不是风险特征",[117,538,299,539,542],{},[120,540,541],{},"余额回撤才是真正的回撤。","”它只是更好看的那个。网格和摊平加仓类系统正是靠死扛亏损单不平，才让余额回撤一直很小。",[10,544,545,546,334],{},"回撤如何和账户页面上的其他数字对照着看，请参阅",[21,547,549],{"href":548},"\u002Fguides\u002Freading-a-trading-account-dashboard","如何读懂交易账户控制台",{"title":36,"searchDepth":336,"depth":336,"links":551},[552,553,554,555,556],{"id":16,"depth":336,"text":16},{"id":163,"depth":336,"text":163},{"id":190,"depth":336,"text":190},{"id":235,"depth":336,"text":236},{"id":294,"depth":336,"text":294},"指标","回撤是账户价值从峰值到谷底的跌幅，用百分比表示。本文介绍公式、它为什么是累积的，以及数千个真实交易账户的数据。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-drawdown",[562,354,563,564],"what-is-maximum-drawdown","what-is-a-stop-loss","what-is-a-profit-factor",{"title":364,"description":558},"zh\u002F5.glossary\u002Fwhat-is-drawdown","回撤 (Drawdown)","tI3oDk8FJPfBVP8sboa1RV13uVvVqDQQ3BpyQp8BpuI",{"id":570,"title":571,"body":572,"category":811,"date":344,"description":812,"draft":346,"extension":347,"meta":813,"navigation":349,"path":814,"related":815,"seo":819,"stem":820,"term":821,"updated":359,"__hash__":822},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-forex-pair-correlation.md","什么是外汇货币对相关性？隐藏的集中风险",{"type":7,"value":573,"toc":804},[574,582,584,587,593,598,609,611,614,620,623,634,636,647,663,678,680,725,734,762,764,797],[10,575,576,577,581],{},"外汇货币对相关性，指两个货币对一起波动的程度，用介于 −1 和 +1 之间的系数表示。每个货币对都是两种货币的比价，所以只要两个货币对含有同一种货币，它们在一定程度上就是在押同一件事。持有",[21,578,580],{"href":579},"\u002Fglossary\u002Fwhat-is-correlation-risk","三个相关仓位","的交易者，并没有把风险分散到三笔交易上：他持有的其实是一个更大的仓位，而这个仓位的大小是碰巧凑出来的，不是自己决定的。",[14,583,16],{"id":16},[10,585,586],{},"这个系数等于两组收益序列的协方差，除以二者标准差的乘积。",[27,588,591],{"className":589,"code":590,"language":32},[30],"ρ = cov(A, B) \u002F (σA × σB)\n\nρ = +1.0        走势完全相同\nρ =  0.0        互不相关\nρ = −1.0        走势完全相反\n|ρ| > 0.7       计算仓位时把两者视为一个仓位\n",[34,592,590],{"__ignoreMap":36},[10,594,595,596,334],{},"背后的机制是算术，不是市场情绪。做多 EUR\u002FUSD、做多 GBP\u002FUSD、做多 AUD\u002FUSD，是做空美元的三种方式，美元一走强，三笔同时亏。做多 EUR\u002FUSD、做多 EUR\u002FGBP、做多 EUR\u002FJPY，则是做多欧元的三种方式。还有些货币对从构成上就是负相关的：EUR\u002FUSD 和 USD\u002FCHF 里的美元在相反的两侧，两个都做多，几乎等于什么都没持有，却要付两份",[21,597,325],{"href":324},[10,599,600,601,604,605,608],{},"它的危险来自两个特性。第一，相关性",[120,602,603],{},"不稳定","：最近一个月测出的系数，说的不是这两个货币对的固有属性，只是最近一个月的观察结果。第二，它",[120,606,607],{},"在压力下会升高","：正当最需要分散化的时候，资金成批涌入或撤出美元，各货币对的相关性都向 1 靠拢。",[14,610,163],{"id":163},[10,612,613],{},"相关仓位的风险是相乘的，不是相加的。合并后的风险敞口，遵循的是和任何双资产投资组合相同的公式。",[27,615,618],{"className":616,"code":617,"language":32},[30],"σ_total = √( σA² + σB² + 2 × ρ × σA × σB )\n",[34,619,617],{"__ignoreMap":36},[10,621,622],{},"ρ = 0 时，两个 1% 的仓位合起来约为 1.4% 的风险敞口；ρ = 0.9 时，合起来约为 1.95%，几乎等于两者相加。三笔这样的交易，单笔都在合理的风险限额之内，合起来却突破了账户的限额，而每一条单独的规则都没有违反。",[10,624,625,626,628,629,633],{},"这就是为什么",[21,627,170],{"href":169},"很有纪律的账户，照样会出现大幅回撤。规则一条没破，只是数的是仓位个数，而不是风险敞口；整个持仓组合的",[21,630,632],{"href":631},"\u002Fglossary\u002Fwhat-is-volatility","波动率","，是交易者自以为的两到三倍。",[14,635,190],{"id":190},[10,637,638,639,642,643,646],{},"以 ShowMyTrades 上有交易历史的公开账户为样本（2026 年 8 月），总交易量为 ",[120,640,641],{},"1,724,575 手","，账户已平仓交易数的中位数为 ",[120,644,645],{},"171 笔","。这个数量足以让集中度在品种分类统计里显现出来，也足以让一组相关仓位主导整份记录。",[10,648,649,650,224,653,228,655,658,659,662],{},"没有明说的集中度，会在回撤分布里露出马脚。",[21,651,652],{"href":222},"历史最深回撤的中位数",[120,654,227],{},[120,656,657],{},"38.2%"," 的账户曾从峰值下跌超过 20%，",[120,660,661],{},"17.6%"," 曾亏掉峰值的一半以上。单笔手数都不大的账户亏到这种程度，通常意味着许多仓位在同进同退。",[10,664,665,666,669,670,673,674,677],{},"用反向持仓抵消风险敞口而不平仓，是要持续付费的，这在总额里看得出来。这些账户共支付了 ",[120,667,668],{},"$4,782,670 的佣金","和 ",[120,671,672],{},"$862,547 的库存费","；在隔夜持仓的账户中，",[120,675,676],{},"86.3%"," 的净库存费为负。两个货币对互相对冲着持有，费用照样一天天累计，而当初开仓想承担的风险，大半却被抵消掉了。",[14,679,236],{"id":235},[10,681,682,684,685,688,689,692,693,266,696,699,700,692,703,706,707,710,711,713,714,717,718,266,721,724],{},[120,683,243],{},"模块就是检查集中度的工具。它的",[120,686,687],{},"按品种","标签页列出账户交易过的每个品种，分",[120,690,691],{},"做多","、",[120,694,695],{},"做空",[120,697,698],{},"合计","三栏，每栏都有",[120,701,702],{},"交易",[120,704,705],{},"点数","和盈利，另有",[120,708,709],{},"盈利单（%）","。先看",[120,712,265],{},"列：好几行都含 USD、方向又全都一样，那就是一个美元仓位拆到了几个代码上。",[120,715,716],{},"图表","视图会画出",[120,719,720],{},"按货币对统计交易",[120,722,723],{},"按货币对统计盈利","，不读表格也能看出交易是否集中在最大的几个品种上。",[10,726,727,733],{},[21,728,730,732],{"href":729},"\u002Fguides\u002Fmagic-numbers-and-strategy-labels",[120,731,247],{},"标签页","对策略做同样的检查：这些相关的行是同一个 EA（智能交易系统）做出来的，还是几个 EA 撞在了同一种货币上，一看便知。",[10,735,736,737,739,740,743,744,746,747,750,751,754,755,758,759,761],{},"在",[120,738,290],{},"里看",[120,741,742],{},"开仓时间","列，留意扎堆的地方：同一分钟内在不同品种上开出好几张订单，这是一次相关的入场，不是分散的入场。",[120,745,261],{},"侧边面板可以按品种、魔术号以及",[120,748,749],{},"买入（做多）"," \u002F ",[120,752,753],{},"卖出（做空）"," 筛选，排除某一组货币后重新计算统计数据，看看这份记录有多少是靠它撑着的。再看",[120,756,757],{},"图表模块","的",[120,760,186],{},"视图，效果就出来了：相关的持仓组合是一下子跌下去的，而不是分好几步。",[14,763,294],{"id":294},[114,765,766,772,781,791],{},[117,767,299,768,771],{},[120,769,770],{},"一个货币对就是一个交易品种。","”它是两种货币。EUR\u002FUSD 同时是一个欧元仓位和一个美元仓位，所以凡是报价里含有这两种货币之一的品种，它都会跟着一起动。",[117,773,299,774,777,778,780],{},[120,775,776],{},"相关系数能告诉我仓位该开多大。","”它只说明两个仓位怎样一起波动，不说明波动多远。定仓位要把相关性和",[21,779,632],{"href":631},"结合起来看：两个都很平静的品种即使高度相关，问题也不大。",[117,782,299,783,786,787,790],{},[120,784,785],{},"每个货币对只有一个相关系数。","”每个货币对在",[120,788,789],{},"每个时间窗口","里各有一个数：两个品种按小时看可能毫不相干，按周看却同进同退。",[117,792,299,793,796],{},[120,794,795],{},"这只适用于主要外汇货币对。","”以美元报价的黄金、指数和加密货币对，和 EUR\u002FUSD 归在同一组的情况，比交易者想象的更常见。",[10,798,799,800,334],{},"如果想从交易量而不是盈利的角度看集中度，请参阅",[21,801,803],{"href":802},"\u002Fguides\u002Ftrading-volume-analysis","交易量分析",{"title":36,"searchDepth":336,"depth":336,"links":805},[806,807,808,809,810],{"id":16,"depth":336,"text":16},{"id":163,"depth":336,"text":163},{"id":190,"depth":336,"text":190},{"id":235,"depth":336,"text":236},{"id":294,"depth":336,"text":294},"策略","含有同一种货币的货币对会一起涨跌。相关性衡量的是这种联动有多紧，三笔看似各自独立的交易，就是因为它变成了同一个仓位。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-forex-pair-correlation",[816,817,354,818],"what-is-correlation-risk","what-is-volatility","what-is-leverage",{"title":571,"description":812},"zh\u002F5.glossary\u002Fwhat-is-forex-pair-correlation","外汇货币对相关性 (Forex Pair Correlation)","EO9V84b99m2LdKbsdx3ArhjOdhSDLW4oTuHtQ1aHh5M",{"id":824,"title":825,"body":826,"category":343,"date":344,"description":1084,"draft":346,"extension":347,"meta":1085,"navigation":349,"path":1086,"related":1087,"seo":1090,"stem":1091,"term":1092,"updated":359,"__hash__":1093},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-margin-level.md","什么是保证金比例？公式与强制平仓水平",{"type":7,"value":827,"toc":1077},[828,831,833,839,842,850,925,928,934,963,965,973,975,986,989,1000,1002,1005,1044,1046,1072],[10,829,830],{},"保证金比例（margin level）是账户净值除以持仓占用的保证金，用百分比表示。经纪商就是看这个数字来判断您的仓位资金是否还够；一旦跌破公布的阈值，平台会先警告您，然后替您平仓。",[14,832,16],{"id":16},[27,834,837],{"className":835,"code":836,"language":32},[30],"净值       = 余额 + 持仓的浮动盈亏\n已用保证金 = Σ (仓位大小 × 合约规模 × 价格) ÷ 杠杆\n保证金比例 = (净值 ÷ 已用保证金) × 100\n可用保证金 = 净值 − 已用保证金\n",[34,838,836],{"__ignoreMap":36},[10,840,841],{},"500% 表示净值是已占用抵押品的五倍；100% 表示两者正好相等。低于 100%，账户就是在硬撑着已经覆盖不了的仓位。",[10,843,844,845,849],{},"举个例子：$10,000 的账户以 1:100 ",[21,846,848],{"href":847},"\u002Fglossary\u002Fwhat-is-leverage","杠杆","开 5 手 EUR\u002FUSD。已用保证金约 $5,400，保证金比例起始为 185%，这么大的仓位每点价值 $50。",[41,851,852,867],{},[44,853,854],{},[47,855,856,859,862,864],{},[50,857,858],{},"不利波动",[50,860,861],{},"净值",[50,863,178],{},[50,865,866],{},"可用保证金",[60,868,869,883,897,911],{},[47,870,871,874,877,880],{},[65,872,873],{},"0 点",[65,875,876],{},"$10,000",[65,878,879],{},"185%",[65,881,882],{},"$4,600",[47,884,885,888,891,894],{},[65,886,887],{},"−60 点",[65,889,890],{},"$7,000",[65,892,893],{},"130%",[65,895,896],{},"$1,600",[47,898,899,902,905,908],{},[65,900,901],{},"−120 点",[65,903,904],{},"$4,000",[65,906,907],{},"74%",[65,909,910],{},"−$1,400",[47,912,913,916,919,922],{},[65,914,915],{},"−146 点",[65,917,918],{},"$2,700",[65,920,921],{},"50%",[65,923,924],{},"−$2,700",[10,926,927],{},"146 点的波动，在有重要新闻的一周里对 EUR\u002FUSD 来说再平常不过，却足以让这个账户从看似宽裕直接走到经纪商的阈值被强平。阈值通常是 100% 和 50%，但具体数值永远写在合同里，没有统一标准。",[10,929,930,933],{},[120,931,932],{},"为什么越是亏损，它跌得越快","。手数不变时，这个比率是直线下降的，但有四件事偏偏在最糟糕的时刻打破这个前提：",[114,935,936,942,948,954],{},[117,937,938,941],{},[120,939,940],{},"分母不会跟着您缩小","。已用保证金冻结在开仓时的规模上，所以浮亏的每一美元都只从分子里扣。",[117,943,944,947],{},[120,945,946],{},"亏损的交易者会加仓","。逆势加仓摊平、网格和马丁格尔系统在价格走反时会开更多仓位：净值在降，已用保证金却在升，比率于是呈非线性下跌。",[117,949,950,953],{},[120,951,952],{},"波动加剧时保证金要求会提高","。重大数据公布前和周末前，经纪商会下调杠杆。价格一动没动，您碰都没碰的仓位，已用保证金也会增加。",[117,955,956,959,960,962],{},[120,957,958],{},"亏损时点差也在扩大","。净值按平仓时会用到的价格计算，所以",[21,961,325],{"href":324},"一旦暴涨，整个持仓会被一次性重新定价。",[14,964,163],{"id":163},[10,966,967,968,972],{},"保证金比例会在行情最差的位置，把未实现的亏损变成被迫兑现的亏损，",[21,969,971],{"href":970},"\u002Fglossary\u002Fwhat-is-a-margin-call","追加保证金通知","背后就是这套机制。它也让人换个角度看仓位管理：开一个仓位，等于选定账户能承受多大的价格波动，超过这个幅度，平仓就由别人说了算；而这段缓冲有多少点，在您点下按钮之前就能算出来。",[14,974,190],{"id":190},[10,976,977,978,224,980,982,983,208],{},"在 ShowMyTrades 上有交易历史的公开账户中（2026 年 8 月），",[21,979,223],{"href":222},[120,981,227],{},"，但有 ",[120,984,985],{},"17.6% 超过了 50%",[10,987,988],{},"把这个 50% 放到比率上看。保证金比例和净值同比例变化：一个看似宽裕、处于 200% 的账户，净值一旦减半，就已经降到通常的追加保证金阈值 100%；要跌到 50% 的强平线，净值大约要跌掉四分之三。而跌幅超过一半的，大约每六个公开账户里就有一个。",[10,990,991,992,994,995,999],{},"剩下的情况，看两个公开的回撤数字之间的差距就知道了。",[120,993,186],{},"按净值计算，包含浮亏；",[21,996,997],{"href":491},[120,998,494],{},"只算已平仓的结果。前者如果远大于后者，说明账户曾背着很深的未实现亏损，换句话说，它的保证金比例曾经很低。",[14,1001,236],{"id":235},[10,1003,1004],{},"已用保证金不公开，所以账户页面上都没有保证金比例仪表。不过分子，以及决定分母的两个变量，都能看到。",[114,1006,1007,1021,1027,1038],{},[117,1008,1009,266,1012,1014,1015,1017,1018,1020],{},[120,1010,1011],{},"余额",[120,1013,861],{},"，就在",[120,1016,480],{},"面板",[120,1019,494],{},"下面的两行，净值后面的括号里还有一个百分比，即净值占余额的比例。远低于 100%，说明这个账户此刻正背着浮亏，保证金比例也在跟着下降。",[117,1022,1023,1024,1026],{},"账户头部的",[120,1025,848],{},"徽章，在经纪商和账户货币旁边：每个仓位的名义价值都要除以它，所以第一笔订单下单之前，分母就已经定了。",[117,1028,1029,1031,1032,1037],{},[120,1030,290],{},"里的",[21,1033,1034],{"href":802},[120,1035,1036],{},"交易量","列，以手为单位，这是已用保证金的另一半。大手数的好几张单同时开着，意味着同样的净值要面对一个很大的分母。",[117,1039,1040,1043],{},[120,1041,1042],{},"最高余额","，就在净值下面一行，是账户的余额峰值，能看出净值现在离账户自己的最好水平差了多少。",[14,1045,294],{"id":294},[114,1047,1048,1054,1060,1066],{},[117,1049,299,1050,1053],{},[120,1051,1052],{},"保证金比例就是我的杠杆。","”两者有关，但不是一回事。杠杆按交易品种设定，决定已用保证金；保证金比例是实时比率，每个报价都会让它变动。",[117,1055,299,1056,1059],{},[120,1057,1058],{},"1,000% 就安全了。","”对当前这组仓位来说是安全的。再开四个同样大小的仓位，同样的净值就要覆盖五倍的抵押品。",[117,1061,299,1062,1065],{},[120,1063,1064],{},"可用保证金是我能出金的钱。","”它是没被占用的净值，里面还包括尚未兑现、随时可能消失的浮盈。",[117,1067,299,1068,1071],{},[120,1069,1070],{},"平掉一个仓位就解决了。","”效果并不成比例。平掉最大的仓位释放的保证金最多，比率回升最快；平掉最小的仓位，可能根本不足以让比率回到阈值之上。而强制平仓时平台先平哪一个，由不得您。",[10,1073,1074,1075,334],{},"想了解净值、余额和回撤如何结合起来看，请参阅",[21,1076,549],{"href":548},{"title":36,"searchDepth":336,"depth":336,"links":1078},[1079,1080,1081,1082,1083],{"id":16,"depth":336,"text":16},{"id":163,"depth":336,"text":163},{"id":190,"depth":336,"text":190},{"id":235,"depth":336,"text":236},{"id":294,"depth":336,"text":294},"保证金比例是净值除以已用保证金得出的百分比。本文介绍计算公式、追加保证金通知与强制平仓的阈值，以及为什么越亏它跌得越快。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-margin-level",[1088,818,354,1089],"what-is-a-margin-call","what-is-a-daily-drawdown-limit",{"title":825,"description":1084},"zh\u002F5.glossary\u002Fwhat-is-margin-level","保证金比例 (Margin Level)","wAwD0--wtm3Vyc0ZQtbnfz-W8hspXAqYPj8JJ628gkY",{"id":1095,"title":1096,"body":1097,"category":343,"date":344,"description":1283,"draft":346,"extension":347,"meta":1284,"navigation":349,"path":1285,"related":1286,"seo":1287,"stem":1288,"term":1289,"updated":344,"__hash__":1290},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-position-sizing.md","什么是仓位管理？公式与手数计算",{"type":7,"value":1098,"toc":1276},[1099,1105,1107,1110,1116,1119,1125,1131,1134,1154,1160,1163,1165,1168,1173,1175,1187,1190,1203,1205,1212,1237,1239,1269],[10,1100,1101,1102,1104],{},"仓位管理（position sizing）决定一笔交易开多大，依据是这笔交易失败时您愿意亏掉账户的多少。它用两个数把风险百分比换算成手数：到止损的距离，以及这个手数下一个点值多少钱。账户的",[21,1103,186],{"href":185},"特征就由这一个变量决定，而且它是在交易前选定的，不是交易后才发现的。",[14,1106,16],{"id":16},[10,1108,1109],{},"分三步，按顺序来。",[27,1111,1114],{"className":1112,"code":1113,"language":32},[30],"1. 风险金额   = 账户余额 × 风险 %\n2. 点值　　   = 合约规模 × 以报价货币计的一个点 × 换算为账户货币的汇率\n3. 仓位大小   = 风险金额 \u002F (止损距离点数 × 每手点值)\n",[34,1115,1113],{"__ignoreMap":36},[10,1117,1118],{},"举个例子：$10,000 的账户，每笔交易风险 1%，EUR\u002FUSD 止损 50 点，一标准手每点 $10：",[27,1120,1123],{"className":1121,"code":1122,"language":32},[30],"风险金额   = 10,000 × 0.01      = $100\n仓位大小   = 100 \u002F (50 × 10)    = 0.20 手\n",[34,1124,1122],{"__ignoreMap":36},[10,1126,1127,1128,1130],{},"止损放宽到 100 点，同样 $100 的风险就只能开 0.10 手。风险不变，手数跟着调整。整个思路就在这种反向关系里，也正因为如此，仓位管理和",[21,1129,446],{"href":445},"位置不能分开决定。",[10,1132,1133],{},"实践中最常用的有三种方法：",[114,1135,1136,1142,1148],{},[117,1137,1138,1141],{},[120,1139,1140],{},"固定手数","。不管止损多远、余额多少，永远 0.10 手。简单，但止损和余额一变，单笔风险就跟着漂移。",[117,1143,1144,1147],{},[120,1145,1146],{},"百分比风险（固定比例）","。也就是上面的公式。风险始终与账户成比例，账户缩水时，按金额计的亏损也随之变小，回本在算术上才有可能。",[117,1149,1150,1153],{},[120,1151,1152],{},"马丁格尔递增","。亏损后加大手数，想把亏损扳回来。盈利频繁而且每笔都小，净值曲线漂亮得无可挑剔，但结果的分布有一条很厚的左尾，而且会一下子全部兑现。",[10,1155,1156],{},[428,1157],{"alt":1158,"src":1159},"每次亏损后手数加倍，对比按净值固定比例下单：胜率相同，市场相同，结局相反","\u002Fimages\u002Farticles\u002Flot-progression.svg",[10,1161,1162],{},"一个账户用的是哪一种，光看手数就能看出来。",[14,1164,163],{"id":163},[10,1166,1167],{},"入场决定您能不能赢，仓位管理决定您还能不能留下来做下一笔。两个交易者用同样的信号、同样的止损，胜率一模一样，账户却天差地别，因为一个每笔只冒 0.5% 的风险，另一个冒 8%。",[10,1169,1170,1172],{},[21,1171,848],{"href":847},"真正造成伤害，也是通过仓位管理。高杠杆本身不是风险，只是允许您去冒险。风险来自用这份许可开出的仓位：按它的止损距离，一笔亏损大到账户连亏两次都扛不住。",[14,1174,190],{"id":190},[10,1176,1177,1178,1180,1181,197,1184,1186],{},"仓位管理会在回撤的尾部留下痕迹。在 ShowMyTrades 上有交易历史的已发布账户中（2026 年 8 月；统计对象是在本站公开的账户，并不代表所有交易者），",[120,1179,657],{}," 曾",[21,1182,1183],{"href":222},"回撤超过 20%",[120,1185,661],{}," 亏掉了峰值的一半以上。",[10,1188,1189],{},"规模定得合理的固定比例账户，很少会落到最后这一档。按每笔 1% 的风险亏掉 50%，大约要连亏 69 次。落在这条尾部里的账户，一般另有原因：亏损后不断加码，或者定手数时根本没考虑止损。",[10,1191,1192,1193,197,1195,1198,1199,1202],{},"再看看仓位大小是谁定的：这些账户自动交易占比的中位数为 ",[120,1194,204],{},[120,1196,1197],{},"53.9%"," 的账户自动化程度超过 90%，低于 10% 的则有 ",[120,1200,1201],{},"42.2%","。在一半以上的已发布账户上，仓位大小只是 EA 设置里的一行，设好一次，余额怎么变都不再调整。",[14,1204,236],{"id":235},[10,1206,1207,1211],{},[21,1208,1210],{"href":1209},"\u002Ftools\u002Fposition-size-calculator","仓位计算器","用实时价格、以您的账户货币套用上面的公式，风险可以按百分比或固定金额设定，止损可以用价格或点数表示。",[10,1213,1214,1215,1217,1218,1220,1221,1223,1224,1227,1228,244,1231,1236],{},"在已发布账户的页面上，仓位管理可以实际核查，不必凭空猜测。",[120,1216,290],{},"有一列",[120,1219,1036],{},"，列出每笔交易的手数，每亏一次就加一级的手数一眼就能看出来。",[120,1222,261],{},"提供",[120,1225,1226],{},"手数","的最小\u002F最大筛选：把下限设在账户正常手数之上，看看剩下的交易是不是都紧跟在亏损之后出现，这就是马丁格尔的特征。",[120,1229,1230],{},"高级统计",[21,1232,1233],{"href":802},[120,1234,1235],{},"总手数","给出汇总值；所有已发布账户累计交易了 1,724,575 手。",[14,1238,294],{"id":294},[114,1240,1241,1247,1257,1263],{},[117,1242,299,1243,1246],{},[120,1244,1245],{},"风险 2%，就是动用账户的 2%。","”不是。2% 是止损被触发时的亏损。仓位占用的保证金是另一个完全不同的数字，由杠杆决定。",[117,1248,299,1249,1252,1253,1256],{},[120,1250,1251],{},"我每笔只冒 1% 的风险，所以最坏也就亏 1%。","”只有同时只开一个仓位时才成立。",[21,1254,1255],{"href":579},"五个相关的仓位","各占 1%，其实是一笔换了装扮的 5% 交易，而相关的货币对偏偏在最伤人的时候同涨同跌。",[117,1258,299,1259,1262],{},[120,1260,1261],{},"不设止损，就没有风险要算。","”没有止损，仓位大小公式就没有分母：风险不是很小，而是根本无法定义，它的真实数值就是追加保证金通知。",[117,1264,299,1265,1268],{},[120,1266,1267],{},"复利就是不断加仓。","”固定比例的仓位管理是双向调整的。赢了加手数、亏了却不减，这不是复利，而是一个慢慢收紧的棘轮，把账户推向一场您定仓位时从未考虑过的回撤。",[10,1270,1271,1272,334],{},"全套风险与仓位管理工具，以及各自适用的场景，请参阅",[21,1273,1275],{"href":1274},"\u002Fguides\u002Fforex-calculators-guide","外汇计算器指南",{"title":36,"searchDepth":336,"depth":336,"links":1277},[1278,1279,1280,1281,1282],{"id":16,"depth":336,"text":16},{"id":163,"depth":336,"text":163},{"id":190,"depth":336,"text":190},{"id":235,"depth":336,"text":236},{"id":294,"depth":336,"text":294},"仓位管理就是根据止损距离和点值，把风险百分比换算成手数。本文介绍公式、三种常见方法，以及仓位定错的代价。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-position-sizing",[353,562,563,818],{"title":1096,"description":1283},"zh\u002F5.glossary\u002Fwhat-is-position-sizing","仓位管理 (Position Sizing)","5hi2OmhGtFDhESyalituW-Nh51a9wIit5SKZxEMEQyk",[1292,1293],{"path":579},{"path":350},1793898060316]