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1、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中文翻译由河源外汇论坛友情提供+44(0)20 7888 7173david.sneddoncredit-,FOR IMPORTANT DISCLOSURE INFORMATION relating to analyst certification,the Firms rating system,and potential conflicts of interest regarding issuers that are the subject of this report,please refer to th
2、e Disclosure Appendix.,目录,介绍 道氏理论 基本原则 收盘价和横线 基本趋势、次级趋势、短暂趋势 三个市场阶段 验证 成交量 缺点,趋势分析 趋势的定义 支撑和阻力 趋势线、趋势通道 扇形原则 趋势力度 回撤、整理、修正 速度线 非传统趋势线 回归,其它趋势工具心理,什么是技术分析？,“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,技术分析,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,技术分析,研究过去价格行为，以预测未来价格行为。,道氏理论,查尔斯道:1851-1902,1
3、882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，创立了道琼斯工业平均指数，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年道琼斯工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工具,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
4、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,道琼斯工业平均指数:1900-1940,Source:CQG,Credit Suisse,Original 12 stocks:General Electric American Cotton Oil Company American Sugar Company American Tobacco Company Chicago Gas Company Distilling&Cattle Feed
5、ing Company Laclede Gas Company National Lead Company North American Company Tennessee Coal,Iron&Railroad Company US Leather Company United States Rubber Company,道指,收盘价和横线,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,“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。,道氏相信，只需要关注收盘价，而非日间最高价和
6、最低价。,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,基本趋势、次级趋势、短暂趋势,From 2003 to 2007,10yr US yields were in a Primary uptrend,Source:Upd
7、ata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,基本趋势、次级趋势、短暂趋势,Within this primary uptrend for yields,we have secondary downtrends.,Within the secondary downtrend,we have minor uptrends.,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,基本趋势、次级趋势、短暂趋势,Source:CQG,Credit Suisse,In fa
8、ct,10yr US yields have been in a Primary downtrend since at least the early 1980s,consistently making lower lows and lower highs.,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
9、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。,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,趋势有三个不同阶段,1,2,3,积累参与出货,验证,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,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。工业指数创下新高，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。,Bull market confirme
10、d,Non-confirmation warns of reversal,2007/2008和2011，均未得到类似验证。,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,Dow Jones Industrials BlueDow Jones Transports-Red,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,以成交量为验证,Source:Updata,the BLOOMBERG PR
11、OFESSIONAL service,Credit Suisse,Volume for the S&P 500 increased sharply on the completion of the top.,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,成交量净额指标,Cumulat
12、ive 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,运动中的趋势.,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,.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。
13、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。”,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？,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,EUR/USD,We look to identify tools to use for a general non-specific trend,and then apply across assets.,Time series data in
14、 both 10yr US yields and EUR/USD show very similar properties.,Uptrend Higher Highs and Higher Lows Be long,Downtrend Lower Lows and Lower Highs Be short,第1步 定义趋势,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
15、:CQG,Credit Suisse,In an uptrend,we like to see higher volume on the rallies,and lower volume on the setbacks.Vice-versa in a downtrend.,A,B,C,D,BUY,E,F,G,SELL,BUY,BUY,stop moves with the trend,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,一条好的趋势线：所连接的点越多越好 倾角为45 是最可持续的 趋势持续时间越长越好,趋势线&进入/退出市
16、场,Trendlines offer:Discipline Timing/market entry Risk/reward Stop placement Market information,Russell 2000,Source:CQG,Credit Suisse,趋势线 每小时,Apply the same principle to every timeframe,Dow Jones Industrial Average 60-minute bar chart,Source:CQG,Credit Suisse,趋势线 每周,5yr US T-Note-Weekly,Source:CQG,C
17、redit Suisse,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!,差额(以及曲线),We also apply trendlines to spreads and curves,Source:CQG,Credit Suisse,S&P Utils v S&P Pharma,趋势线 第二高点/低点.,S&P 500 Pharmaceuticals,A better trend
18、line is often established after the 2nd low or high.,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,内部趋势线,Source:CQG,Credit Suisse,Markets can often spike through trendlines,and then subsequently re-hold.One solution is to ignore the“tails”.,EUR/USD,内部趋势线,Source:Updata,the BLOOMBERG
19、PROFESSIONAL service,Credit Suisse,But,sometimes irregular trendlines or pivot lines are often called internal trendlines.,USD/BRL,市场信息,Source:CQG,Credit Suisse,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 exist
20、ence for well over 3 years for USD/JPY proved a significant signal.,市场信息,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,India Nifty,DAX,Once a trendline is established,a parallel is often drawn.Can enhance our trading opportunities:Location to take profit Counter-trend trade opportun
21、ities Market information,趋势通道,Source:CQG,Credit Suisse,趋势通道可用于所有时间框架,Source:CQG,Credit Suisse,GPB/USD 10 minute chart,趋势与趋势通道:对数 vs 算术,Source:CQG,Credit Suisse,Note,remember to use log scaling for Equity&Commodity markets.This can have a dramatic impact on signals.,WTI Crude-Log,WTI Crude Linear,也可应
22、用回归分析,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,Can be useful,but,is often backward looking.Similar application to a Bollinger Band.,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工具,斐波拉契回撤,
23、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,A=10,B=150,C=B-A=140,38.2%retracement(X),A,B,X=96.52,X=B 38.2%(C)X=150(140/100)*38.2X=150 1.4*38.2X=96.52,斐波拉契回撤,10yr German Yield-Daily,A,B,X,In a downtrend,A=4.450;B=3.417C=A B=1.033X=B+38.2%(C)X=3.417+0.394606=3.811606Actua
24、l high=3.811,Source:CQG,Credit Suisse,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。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）。可用于处于上升趋势和下降趋势的市场。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。,斐波拉契扇形线,38.2%,50%,61.8%,A,B,C,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 provid
25、ed support for Coppers(LME)decline off the 2011 high.,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,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BC1/3、2/3的水平。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。,速度线,1/3,2/3,A,B,C,速度线案例分析 铜(伦敦金属交易所LME),Dow Jones I
26、ndustrial Average 60-minute bar chart,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,Coppers break of the 1/3 speed line has seen it revert to support at the 2-/3 line.,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。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。1X1角表示1个时间单位运行1个价格单位；1x2线表示1个时间单位运行2个价
27、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。江恩认为1X1 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。,江恩角,1X1,1X2,A,1X3,1X4=1 unit time for units of price,2X1,3X1,Price,Time,江恩角案例分析 10年期美国国债收益,Dow Jones Industrial Average 60-minute bar chart,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,10yr US Yields have r
28、epeatedly found support and resistance(support)at various Gann angles,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。,对称三角形,尖端,形态顶点,成交量萎缩,整理和修正,GBP/USD,对称三角形,Source:CQG,Credit Suisse,Gold,对称三角形,Source:CQG,Credit Suisse,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
29、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,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,20,25,15,17,Here we can see the difference between the highs is greater than the difference between the lows,thus resultin
30、g in+DI,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(+DI14)、DI(-DI14)线作平滑化处理。,趋向系统（DMI）,Crossings by the DI lines generate buy and sell signals,when the crossing occurs above 25.,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+DI14、DI14 线计算的。第一步是计算趋向变动(DM)指数.取平滑+DI14的绝对值，减去平滑 DI14的值。将所得结果除以+DI14、DI14之和。平均趋向指数(ADX)是
31、连续14天趋向变动指数的平均值。,GBP/USD,Non-trending,趋势定义:ADX,Source:CQG,Credit Suisse,ADX从趋向线衍生而来，可用于衡量趋向变动的强度。,+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 tren
32、d;Above 40 strong trend,Trending,20,40,相对趋势,相对趋势,更准确地说 相对强势,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 directi
33、on of the relative trend,not the value.,Relative trending higher the stock is outperforming.Relative trendline lower the stock is underperforming.,Credit Suisse,Credit Suisse/SMI ratio,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,相对强势,A break in the trend or the completion of a pat
34、tern in the relative will often lead a break in the actual price trend,DJ Stoxx 600 Construction&Materials,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,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
35、Suisse,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,阻力与支撑我们在途中何处停止？,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。,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。,阻力与支撑,FTS
36、E 100,来自先前高点的阻力,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,来自先前低点的阻力,Dow Jones Euro Stoxx 50-Daily,Source:Updata,the BLOOMBERG PROFESSIONAL service,Credit Suisse,EUR/USD&40-week moving average,趋势线与移动平均阻力,Source:CQG,Credit Suisse,10YR US YIELD DAILY,斐波拉契阻力,Source:CQG,Credit Suisse
37、,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,缺口,Source:Reuters,Credit Suisse,缺口 突破,Once broken,resistance and support reverse roles.Resistance becomes SupportSupport bec
38、omes Resistance,阻力与支撑,Source:Reuters Limited,Credit Suisse,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,聚类-S&P 500,Source:CQG,Credit Suisse,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,心理,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
39、特征就是个体责任的缺失,恐惧与贪婪,Sideways,Trending(UP),Trending(DOWN),Still buying on dips.,Only a squeeze pullback,news still good.,More good news,I am doubling my longs.,News gets worse,I better exit longs.,News is getting better,I am going long.,Some good news,maybe I shall cover short.,I told you before,I am s
40、till short.,Nothing changed,price will go back down.,All news is bad,price will go a lot lower.,Sideways,价格周期当中的心理,Source:Credit Suisse,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 SetupTD Setup Trend(TDST)TD SequentialTD Combo,不同时间图表组合使用:WTI 原油 周表与日表,Daily and Weekly 1
41、3 Sequential&Combo at the lows!,Source:the BLOOMBERG PROFESSIONAL service,Credit Suisse,S&P 500 不要孤立使用,Source:the BLOOMBERG PROFESSIONAL service,Credit Suisse,1200/1240,与其它工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 hav
42、e MACD divergence,Disclosure Appendix,Analyst CertificationI,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
43、 specific recommendations or views expressed in this report.Important Disclosures Credit Suisses policy is only to publish investment research that is impartial,independent,clear,fair and not misleading.For more detail,please refer to Credit Suisses Policies for Managing Conflicts of Interest in con
44、nection with Investment Research:http:/Credit Suisses policy is to publish research reports as it deems appropriate,based on developments with the subject issuer,the sector or the market that may have a material impact on the research views or opinions stated herein.The analyst(s)involved in the pre
45、paration of this research report received compensation that is based upon various factors,including Credit Suisses total revenues,a portion of which are generated by Credit Suisses Investment Banking and Fixed Income Divisions.Credit Suisse may trade as principal in the securities or derivatives of
46、the issuers that are the subject of this report.At any point in time,Credit Suisse is likely to have significant holdings in the securities mentioned in this report.As at the date of this report,Credit Suisse acts as a market maker or liquidity provider in the debt securities of the subject issuer(s
47、)mentioned in this report.For important disclosure information on securities recommended in this report,please visit the website at https:/firesearchdisclosure.credit-or call+1-212-538-7625.For the history of any relative value trade ideas suggested by the Fixed Income research department as well as
48、 fundamental recommendations provided by the Emerging Markets Sovereign Strategy Group over the previous 12 months,please view the document at http:/research-and-Credit Suisse clients with access to the Locus website may refer to http:/www.credit-For the history of recommendations provided by Techni
49、cal Analysis,please visit the website at http:/www.credit-Credit Suisse does not provide any tax advice.Any statement herein regarding any US federal tax is not intended or written to be used,and cannot be used,by any taxpayer for the purposes of avoiding any penalties.Emerging Markets Bond Recommen
50、dation Definitions Buy:Indicates a recommended buy on our expectation that the issue will deliver a return higher than the risk-free rate.Sell:Indicates a recommended sell on our expectation that the issue will deliver a return lower than the risk-free rate.Corporate Bond Fundamental Recommendation
