金融市场技术分析 道氏理论和趋势分析 北京, 2011年 9月6日 David Sneddon 董事总经理, 全球策略技术分析 +44 (0)20 7888 7173 david. sneddon@credit-suisse. com FOR IMPORTANT DISCLOSURE INFORMATION relating to analyst certification, the Firm’s rating system, and potential conflicts of interest regarding issuers that are the subject of this report, please refer to the Disclosure Appendix.
目录 • 介绍 • 趋势分析 • 趋势的定义 • 道氏理论 • 支撑和阻力 • 基本原则 • 趋势线、趋势通道 • 收盘价和横线 • 扇形原则 • 基本趋势、次级趋势、短暂趋势 • 趋势力度 • 三个市场阶段 • 回撤、 整理、修正 • 验证 • 速度线 • 成交量 • 非传统趋势线 • 回归 • 缺点 • 其它趋势 具 • 心理 1
什么是技术分析？
技术分析 “我们所关心的并不是一项投资的真实价值，而是受大众 心理影响的市场对它的估值。” J M 凯恩斯(1935) 价值 大众心理 3
技术分析 研究过去价格行为，以预测未来价格行为。 基本原理: • 价格包含所有贴现因素 • 价格随趋势变动 • 历史不断重演 4
道氏理论
查尔斯 • 道: 1851 -1902 • 1882年，与爱德华 • 琼斯一同创建了道琼斯公司 • 1889年，创刊出版《华尔街日报》 ，并任首位编辑 • 1884年，创立了首个股票市场平均指数，由 11支股票组成 • 1896年，创立了道琼斯 业平均指数，包含 12支股票 • 后衍生为两个指数，另一个是道琼斯铁路平均指数，包含 20支股票。即后来的 道·琼斯运输业股价平均指数 • 1928年道琼斯 业平均指数股票复盖面扩大到 30种 • 1929年又添加了公用事业股票价格指数 • 道本意是将他的平均指数作为经济的晴雨表 • 而非作为股票的预测 具 6
道氏理论 – 西方技术分析的起源 • 道氏的《华尔街日报》社论在其身后重印，1903年收入塞缪尔·纳尔逊的经典著 作《股市投机原理》一书中 • “道氏理论”作为专有名词首次被使用 • 道氏理论仍是今天大部分常用西方技术分析的核心 • 六大核心原理: • 平均指数（市场/价格）包含一切 • 市场有三种核心趋势 • 趋势分为三个阶段 • 各种平均指数必须相互验证 • 成交量必须验证趋势 • 在观察到明确的反转信号之前，趋势被假定一直持续 7
道琼斯 业平均指数: 1900 -1940 Original 12 stocks: • General Electric • American Cotton Oil Company • American Sugar Company • American Tobacco Company • Chicago Gas Company • Distilling & Cattle Feeding Company • Laclede Gas Company • National Lead Company • North American Company • Tennessee Coal, Iron & Railroad Company • US Leather Company • United States Rubber Company Source: CQG, Credit Suisse 8
道指, 收盘价和横线 道氏相信，只需要关注收盘价，而 非日间最高价和最低价。 “横线”通常是指持续至少两周的横向 区间。换句话说，就是“矩形”的持续 形态。详情见后。 Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 9
市场可归为 3种核心趋势 • 基本趋势或大趋势 • 从几个月（6个月？）到数年不等 • 次级趋势或中趋势 • 从2 -3周，到 3 -6个月不等。价格回撤幅度一般为基本趋 势的1/3 或 2/3。 • 短暂趋势或小趋势 • 几小时（甚至几分钟？），到 2 -3周不等。 These are not hard and fast timeframes, but guidelines, and opinion will vary from analyst to analyst 10
基本趋势、次级趋势、短暂趋势 From 2003 to 2007, 10 yr US yields were in a Primary uptrend Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 11
基本趋势、次级趋势、短暂趋势 Within the secondary downtrend, we have minor uptrends. Within this primary uptrend for yields, we have secondary downtrends. Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 12
基本趋势、次级趋势、短暂趋势 In fact, 10 yr US yields have been in a Primary downtrend since at least the early 1980’s, consistently making lower lows and lower highs. Source: CQG, Credit Suisse 13
趋势有三个不同阶段 • 第 1阶段 – 积累期: • 熊市末尾牛市开端，坏消息频传。“消息灵通”的投资商开始精明地逐步买进， 或“积累”。这个阶段也叫“建仓”期，价格行为横向移动。 • 第 2阶段 – 参与期: • 投资者参与度不断增加，经济及基本面新闻趋缓还阳。技术分析和趋势跟踪 系统进场。大趋势正式开始。 • 第 3阶段 – 出货期: • “消息灵通”的投资商开始出货，“出清”长仓。但“热钱”继续推升参与度。经济 新闻捷报频传。市场处于鼎盛阶段。牛市的终结，熊市的开端。 14
趋势有三个不同阶段 1. 积累 2. 参与 3. 3 出货 1 2 Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 15
验证 • 在健康的经济形势下，真正的牛市必须同时反映在产品生产公司和产品运输公司的 股价上。 • 业指数创下新高，只有当运输业指数也同时创下新高时，才能得以验证。 • 反之，市场则可能出现反转。 Non-confirmation – warns of reversal Bull market confirmed Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 16
2007/2008和2011，均未得到类似验证。 Dow Jones Industrials – Blue Dow Jones Transports - Red Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 17
趋势 – 成交量与未平仓合约数 应验证趋势方向 成交量= 某交易日或交易时段实际合约交易数量 未平仓合约数= 交易日结束时未完成合约的数量； 或，交易日结束时未完成的短仓及长仓合约总数 趋势 成交量 未平仓合约数 市场 上升 上升 上升 强 上升 下降 下降 弱 下降 上升 上升 强 下降 下降 下降 弱 18
以成交量为验证 Volume for the S&P 500 increased sharply on the completion of the top. Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 19
成交量 Care must be taken when using outright volume to define broader trends. Underlying structure of market can change. Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 20
成交量净额指标 Cumulative volume is often better. On Balance Volume (OBV) adds or subtracts volume depending on whether market closes higher or lower that day. Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 21
运动中的趋势……. …. 假设一直持续，直到出现决定性的趋势反转信号。 不要与趋势抗争。趋势会告诉你市场何时反转。 黄金的月图表再次证明了趋势跟踪的方法可以斩获极大 收益。 借Jesse Livermore 的话来说：“追涨杀跌是股市常态， 买的再高也不嫌贵，卖再低也不嫌贱。” Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 22
缺点 道氏理论经常为人诟病的地方: • 不能预测拐点 • 不能给出目标 • 着眼太过长期 • 太过笼统 • 陈旧过时？ 23
趋势分析 我们将去向何处 ?
各种趋势具有相似的特点 10年期美国国债收益 Time series data in both 10 yr US yields and EUR/USD show very similar properties. EUR/USD We look to identify tools to use for a general nonspecific trend, and then apply across assets. 25
第 1步 – 定义趋势 Uptrend – Higher Highs and Higher Lows – Be long Downtrend – Lower Lows and Lower Highs – Be short In an uptrend, we like to see higher volume on the rallies, and lower volume on the setbacks. Vice-versa in a downtrend. A trend in motion … is more likely to continue than reverse. We let the trend tell us when it has reversed. i. e. , Do not fight a trend. Source: CQG, Credit Suisse 26
交易趋势 – 趋势线 如何画趋势线: • 上升的趋势线连接各低点 • 下降的趋势线连接各高点 • 一条趋势线至少必须有三个点 BUY G BUY F E D A B C mo stop ith th ves w nd e tre SELL 一条好的趋势线： • 所连接的点越多越好 • 倾角为 45º 是最可持续的 • 趋势持续时间越长越好 27
趋势线 & 进入/退出市场 Trendlines offer: • Discipline • Timing/market entry • Risk/reward • Stop placement • Market information Russell 2000 Source: CQG, Credit Suisse 28
趋势线 – 每小时 Dow Jones Industrial Average – 60 -minute bar chart Apply the same principle to every timeframe Source: CQG, Credit Suisse 29
趋势线 – 每周 5 yr US T-Note - Weekly Using trendlines forces you to run a long or a short. No second-guessing of tops or bottoms. Position is closed by being stopped out ! Source: CQG, Credit Suisse 30
差额(以及曲线) We also apply trendlines to spreads and curves S&P Utils v S&P Pharma Source: CQG, Credit Suisse 31
趋势线 – 第二高点/低点…. S&P 500 Pharmaceuticals A better trendline is often established after the 2 nd low or high. Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 32
内部趋势线 Markets can often spike through trendlines, and then subsequently re-hold. One solution is to ignore the “tails”. EUR/USD Source: CQG, Credit Suisse 33
内部趋势线 USD/BRL But, sometimes irregular trendlines or pivot lines are often called internal trendlines. Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 34
市场信息 The breaking of an important trend can give as much information as a trend holding. The break of a 5 -touch trendline that has been in existence for well over 3 years for USD/JPY proved a significant signal. Source: CQG, Credit Suisse 35
市场信息 India Nifty DAX Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 36
趋势通道 Once a trendline is established, a parallel is often drawn. Can enhance our trading opportunities: • Location to take profit • Counter-trend trade opportunities • Market information Source: CQG, Credit Suisse 37
趋势通道可用于所有时间框架 GPB/USD – 10 minute chart Source: CQG, Credit Suisse 38
趋势与趋势通道: 对数 vs 算术 Note, remember to use log scaling for Equity & Commodity markets. This can have a dramatic impact on signals. WTI Crude – Linear WTI Crude - Log Source: CQG, Credit Suisse 39
也可应用回归分析 Can be useful, but, is often backward looking. Similar application to a Bollinger Band. Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 40
回 撤
回撤 • 道氏理论认为，次生趋势在重新回归原趋势之前，价格回撤幅度一般为主 要趋势的1/3 到 2/3。 • 一旦高点/低点有望确定，就可以应用回撤百分点确定潜在的拐点区域。 • 但常用的方法是斐波拉契回撤 – 38. 2%, 50%, 61. 8% • 趋势中的回撤目标 • 趋势延续目标 • 阻力位与支撑位 • 时机 具 42
斐波拉契回撤 如何确定回撤水平 在上升趋势当中: • 确定反弹的高点 – A • 确定反弹的低点 – B • 测算B到A的垂直距离= C • 用核心回撤百分比乘以C，将得到的数值从B中扣除 B = 150 B C = B-A = 140 A = 10 A X = 96. 52 38. 2% retracement (X) X = B – [38. 2%(C) ] X = 150 – [(140/100)*38. 2] X = 150 – [1. 4*38. 2] X = 96. 52 43
斐波拉契回撤 A 10 yr German Yield - Daily X In a downtrend A = 4. 450 ; B = 3. 417 C = A – B = 1. 033 X = B + 38. 2%(C) X = 3. 417 + 0. 394606 = 3. 811606 Actual high = 3. 811 B Source: CQG, Credit Suisse 44
斐波拉契扇形线 • 判断支撑、阻力以及趋势是否健康，要考虑 时间及价格的因素。 B • 使用同样地方法计算标准回撤。选择两个极 端点（A点到B点）。计算它们之间的绝对价 格差（BC）。 38. 2% • 可用于处于上升趋势和下降趋势的市场。 50% 61. 8% A • 在BC线上标出回撤率分别为 38. 2%、50% 和 61. 8%的价位。 • 以A点为顶点，将其与已求得的回撤点连接， 作扇形线，从而得出潜在的支撑位。 C 45
费氏扇形案例分析 – 铜(伦敦金属交易所LME) The 50% and 61. 8% Fibonacci Fan lines have provided support for Copper’s (LME) decline off the 2011 high. Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 46
速度线 B • 与斐波拉契扇形线在概念上类似。 • 选择两个极端点（A点到B点）。计算它们 之间的绝对价格差（BC）。 • 计算BC的距离，并标出BC 1/3、 2/3的水平。 1/3 • 可用于处于上升趋势和下降趋势的市场。 • 以A点为顶点，将其与1/3点、2/3点连接， 作扇形线，从而得出潜在的支撑位或阻力位。 2/3 A C 47
速度线案例分析 – 铜(伦敦金属交易所LME) Dow Jones Industrial Average – 60 -minute bar chart Coppers break of the 1/3 speed line has seen it revert to support at the 2 -/3 line. Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 48
江恩角 1 X 4 = 1 unit time for units of price Price 1 X 3 • 和斐波拉契扇形线及速度线不同，江恩角是从 单点（最高点或最低点）出发，不需要第二个 极端点。 1 X 2 1 X 1 • 另一种确定支撑、阻力及趋势健康的方法。 • 横轴代表时间，纵轴代表价格。 • 1 X 1角表示 1个时间单位运行1个价格单位； 1 x 2 线表示 1个时间单位运行2个价格单位。以此类推。 • 一旦一条线突破了顶部或底部，就将移到下一 条线。 2 X 1 • 江恩认为 1 X 1 夹角是最重要的夹角，代表价格与时间 的完美平衡，被他视为最可持续的趋势。 3 X 1 A Time 49
江恩角案例分析 – 10年期美国国债收益 Dow Jones Industrial Average – 60 -minute bar chart 10 yr US Yields have repeatedly found support and resistance (support) at various Gann angles Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 50
整理和修正
整理和修正 正确判断整理期、修正期和反转期常被认为是最具挑战的任务。 我们所关注的归根结底是形态分析 – 反转形态与持续形态的分析。 形态顶点 对称三角形 尖端 成交量萎缩 52
对称三角形 GBP/USD Source: CQG, Credit Suisse 53
对称三角形 Gold Source: CQG, Credit Suisse 54
趋势力度
趋向变动指标系统 • 由威尔斯·魏尔德设计，在《技术交易系统新概念》一书中进行了介绍。 • 他设计了目标和机械系统，以判断市场是趋势市场还是区间市场。 • 由三条线组成：与整体趋势强度相关的ADX，形成系统主干的两条趋向线+DI and –DI。 • 趋向变动是通过比较两个相邻的高点和低点来确定的 • +DI与正趋向变动相关，–DI与负趋向变动相关 56
计算趋向变动线 • 绘制屏幕上显示的DI线需要两步。 • 计算始于比较四个点。当天的高点与前一天的高点比较，当天的低点与前一天的低点比较。 • 高点之差大于低点之差，则为+DI 25 20 Here we can see the difference between the highs is greater than the difference between the lows, thus resulting in +DI 17 15 • 反之，则为-DI • 计算至少 14天的差值，得到原始DI线。 • 使用平均真实波动 (ATR) 对 +DI (+DI 14) 、 –DI (-DI 14) 线作平滑化处理。 57
趋向系统（DMI） Crossings by the DI lines generate buy and sell signals, when the crossing occurs above 25. 58
计算平均趋向指数 • 平均趋向指数(ADX)是用前几页得出的平滑化 +DI 14 、–DI 14 线计算的。 • 第一步是计算趋向变动 (DM) 指数. 取平滑+DI 14的绝对值，减去平滑 –DI 14的值。 将所得结果除以+DI 14、–DI 14之和。 • 平均趋向指数 (ADX) 是连续 14天趋向变动指数的平均值。 59
趋势定义: ADX从趋向线衍生而来，可用于衡量趋向变动的强度。 GBP/USD § +DI and –DI lines are used to generate the ADX line, which measures the strength of the directional movement and determines if a trend exists. § Below 20 – weak/non-trending ; Above 20 – market is starting to trend; Above 40 – strong trend 40 Non-trending 20 Trending Source: CQG, Credit Suisse 60
相对趋势
相对趋势, 更准确地说 – 相对强势 Credit Suisse We analyse the trend or performance of a stock relative to the broader market – i. e. , a sector or an index. We apply exactly the same trend analysis to ratio or relative line, as we would to the individual stock. We are concerned with the direction of the relative trend, not the value. Credit Suisse/SMI ratio Relative trending higher – the stock is outperforming. Relative trendline lower – the stock is underperforming. Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 62
相对强势 DJ Stoxx 600 Construction & Materials A break in the trend or the completion of a pattern in the relative will often lead a break in the actual price trend Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 63
相对强势 A break in the trend or the completion of a pattern in the relative will often lead a break in the actual price trend Credit Suisse Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 64
阻力与支撑 我们在途中何处停止？
阻力与支撑 市场停止上升/下降的地方 阻力。在一价位有足够的卖方供给以 阻止股价升高，从而形成高点。 支撑。在某一价位有足够的买力出现，起 码制止下跌趋向，从而形成低点。 66
阻力与支撑 阻力位与支撑位可从以下很多来源中找到： • 先前高位 • 先前低位 • 潜在阻力（趋势线） • 移动平均线 • 斐波拉契水平 • 基准点 • 形态目标 • 缺口及其它… 最重要的阻力和支撑是各种阻力位和支撑位聚集的地方。 在某一价位附近形成的阻力/支撑，市场就越有可能在该处暂停。 67
来自先前高点的阻力 FTSE 100 Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 68
来自先前低点的阻力 Dow Jones Euro Stoxx 50 - Daily Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 69
趋势线与移动平均阻力 EUR/USD & 40 -week moving average Source: CQG, Credit Suisse 70
斐波拉契阻力 10 YR US YIELD – DAILY Source: CQG, Credit Suisse 71
缺口 Gaps – Please mind them! Only to be used in markets where they occur infrequently. Additionally, different gaps can have different implications: • Normal • Breakaway • Running • Exhaustive Source: Reuters, Credit Suisse 72
缺口 – 突破 73
阻力与支撑 Once broken, resistance and support reverse roles. Resistance becomes Support becomes Resistance Source: Reuters Limited, Credit Suisse 74
聚类 – 10年期美国国债收益 The best levels are often where see levels “cluster” together Source: CQG, Credit Suisse 75
聚类 - S&P 500 Source: CQG, Credit Suisse 76
心理
心理 “任何一个人，作为个体看，都是足够理智和通情达理的， 但如果作为群体中一员，立刻就成为白痴一个。” 席勒 作为群体的一员，我们所受到的影响和作为个人是不同的: 群体的“智力”低于个体 群体的生存与繁衍最重要的特征就是个体责任的缺失 恐惧与贪婪 78
价格周期当中的心理 ‘More good news, I am doubling my longs. ’ ‘Still buying on dips. ’ ‘News is getting better, I am going long. ’ ‘Only a squeeze pullback, news still good. ’ ‘Some good news, maybe I shall cover short. ’ ‘News gets worse, I better exit longs. ’ ‘Nothing changed, price will go back down. ’ ‘I told you before, I am still short. ’ ‘All news is bad, price will go a lot lower. ’ Sideways Trending (UP) Sideways Trending (DOWN) Source: Credit Suisse 79
德马克
什么是德马克? 汤姆 德马克 – 技术分析的新科学 设计了一系列指标，用来判断趋势衰竭，及潜在的趋势反转区 德马克被视为逆向操作指标 核心研究： TD Setup Trend (TDST) TD Sequential TD Combo 81
不同时间图表组合使用: WTI 原油– 周表与日表 Daily and Weekly 13 Sequential & Combo at the lows ! Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 82
S&P 500 – 不要孤立使用 与其它 具配合使用效果最佳 1200/1240 = • 61. 8% retracement of 2007/2009 bear market. • Target from 2008/2009 base. • “Lehman” breakdown resistance. Also have MACD divergence Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse 83
Disclosure Appendix §Analyst Certification §I, David Sneddon, certify that (1) the views expressed in this report accurately reflect my personal views about all of the subject companies and securities and (2) no part of my compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this report. §Important Disclosures §Credit Suisse's policy is only to publish investment research that is impartial, independent, clear, fair and not misleading. 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Скачать презентацию 金融市场技术分析 道氏理论和趋势分析 北京 2011年 9月6日 David Sneddon 董事总经理
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