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fengyg 企业认证  发表于 2019-8-23 16:27:44 |显示全部楼层 |坛友微信交流群
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下面举一个标普500指数用Hurst周期分析的例子供参考:

Hurst-Trading-Cycles-Analysis-SP-500-Index.png


S&P 500 Index Hurst Trading CyclesAnalysis

Figure above shows a weekly Hurst tradingcycles analysis of the S&P 500 index from March 2009 to 3 May 2012. Thevarious plotted lines and labeling may look a bit confusing initially, butlet’s walk through what is being shown here.

Hurst's Cycle Phasing Analysis

The first thing to notice is the grid atthe bottom of the chart with the coloured diamonds and data. This is the outputof Hurst’s third trading tool, the cycle Phasing Analysis.

Cycles build upon each other to formcomposites and it can be very difficult to isolate individual cycles within thecomposite unless a phasing analysis is carried out.

When a long cycle is trending, its shortercomponent cycles tend to be swamped: their amplitudes are muted and they aretherefore hard to pick out.

Similarly, during fast sell offs, cyclestend to compress in length, which again makes them difficult to identify.

In order to resolve the composite into itscomponent parts, the Hurst analyst phases the chart by picking out the cyclelows and marking their time locations in the grid.

The time locations of longest cycle troughs(here the 54 month) are marked in the top row; the next longest (18 month here)in the row below and so on. Because of synchronicity, a long cycle troughcontains all of the troughs of the shorter cycles, which is indicated by stacksof diamonds, for example at grid 20 to the left of the chart.

The real purpose of phasing analysis is tocalculate the period and status of each cycle in the composite. Here we can seethat the Long Monthly cycle (the 18 month) has an actual period of 15.5 months;is 40.2% along its path and its status is therefore Up-Topping. We can also workout the average percentage change of upswings (56%) and downswings (18%).Finally, we can estimate when the next trough is due: for the 18 month it is between21 December 2012 and 15 February 2013. Take a moment to study the grid and the diamondplacements.

A Weekly Hurst Cycles Analysis of S&P500 - Valid Trend Lines(VTLs)

The black VTL drawn between the last 54month cycle low in March 2009 and the first 18 month cycle low in September2010 (grid 95) shows the broad direction of prices over the last 37 months.This VTL was broken from above in August 2011 (grid 143) which means that theprevious peak could be that of the 54 month cycle: thus, the status of thecycle in the lower grid is Strong Down. The problem with this interpretation isthat the most recent peak (5 April 2012) is higher than the purported 54 monthpeak in April 2011.

While this is not impossible (think of anElliott Wave expanded flat), the more conservative approach is to plot the VTLfrom the origin through the second 18 month cycle low – 18 month VTL (2). The 54month cycle is comprised of three major components (the 18 month) rather thanthe more usual two, which gives you two choices. Here we will use the secondVTL. If there is a downside cross of this line by prices (somewhere between1200 and 1300) then we know for certain that the next longer cycle (the 54month) has reversed – this of course is very useful information and hasimportant implications for downside risk going forward. However, it would alsobe a very late signal. So is there any way to get a head start and call the topearlier?

One way would be to look at the status ofthe shorter component Hurst cycles. A 40 week cycle VTL has been drawn towardsthe end of the data (in olive) and this looks vulnerable to a breakdown –in factit has broken on the daily chart. If this VTL goes then we know that the 40week cycle peak is in place. Since an 18 month cycle consists of two 40 weekcycles, this first peak could also be that of the 18 month cycle.Alternatively, the 18 month cycle peak could come higher and later.

We need some additional evidence to convinceus that the upcoming 40 week cycle peak will not be exceeded and is thereforealso the top of not only the 18 month cycle, but also the long 54 month.

A Weekly Hurst Cycles Analysis of S&P500 - Forward Line of Demarcation FLDs

If the current 18 month cycle advance stillhas upside power and we are therefore likely to see a second higher 40 weekcycle peak, then it will show in an FLD upside projection. A black 18 month FLDhas been plotted and prices crossed up through it on 27 January (grid 170) at1,315. Subtracting the 18 month cycle low on 7 October 2011 at 1,074.77 fromthe value of the FLD cross (1,315) gives a difference 240.23 points.

Recalling the earlier example using offsetideal cycles, it should be that the cycle will carry the same distance beyondthe FLD cross, that is to say up to 1555.23 (1,315 + 240.23). What happened howeverwas that the purported high at 1,422.38 on 5 April fell short by 133 points.This undershoot is a clear indication that trend (the sum of the longer cycles)is working against the advance and that a top is likely in place. This in turnsuggests that the 20 week VTL cross will call not only the 40 week peak, butalso the 18 month and therefore, since it is the third and last in the seriesfrom 2009, the 54 month cycle peak.

For extra clarity the cycles are representedby semi-circles in the lower part of the chart. The long grey one is the 54month cycle, the black one represents the 18 month cycles and the small purpleone the 40 week cycle. The vertical red line (i – ii) at the last date (grid180) gives a quick snapshot of what is happening right now and supports the informationprovided in the grid, namely: 54 month - Strong Down; 18 month - Up Topping and40 week strong down.

Finally, let’s take a look at the FLDsarrayed off to the right of the data. This arrangement of tightly clusteredFLDs running in parallel Hurst named a cascade. When we see this after a steepadvance, it is a warning that a sharp reversal is about to take place.

Recall from the earlier description ofideal cycles in anti-phase that when the first cycle crosses down through thesecond, we know that the cycle has recently reversed. Note that the 20 week looksvery close to being crossed, which will add conviction to the 40 week cycle peakcall. In this case think of price action as the lead cycle and the FLD as thesecond out of phase cycle. A penetration also provides a downside projection.

At this stage we can only estimate wherethe intersection will take place, but 1,380 looks about right. The recent highwas 1,422, and so the difference is 42 points. Projecting this value down fromthe FLD cross would bring prices to 1,338 – other things being equal.

Turning our attention now to the lower 40week FLD (purple) it looks like a price cross would take place at around 1,350.Since the 20 week FLD downside projection is 12 points lower, it means that the40 week FLD is also vulnerable to a cross. We can therefore make anotherprojection lower from here.

Taking the difference again between the FLDcross (1,350) and the high (1,422) gives 72 and subtracting this value from theintersection projects down to 1,278.

We can do the same again here with the 18month FLD (black, lowest). If this is crossed at 1,278 then we have a finalprojection down to 1,134, which puts prices back into the August to October2011 base area.

A Weekly Hurst Cycles Analysis of S&P500 - Summary

This has been a whirlwind tour of Hurst’smain concepts and a brief analysis of the S&P 500. I hope it has been useful.Hurst trading cycles analysis seems complicated at first, but once

you get the hang of it, you will start tosee the benefits. An adept Hurst cycles analyst is able to draw the curtainback on the market, so to speak, and look at the inner workings with more clarity.Having a clear view of what is actually going on rather than guessing orrelying on tired, more traditional tools will help you manage risk moreeffectively and trade with more conviction.




2019年8月23日下午三点收盘后的焦炭期货主力合约J2001分析结果(用于23日晚上或26日白天)供参考:

捕获a.PNG



捕获1.PNG


说明如下:

Price is currently in the SECOND 4 daycycle, of the FIRST 8 day cycle, of the SECOND 17 day cycle, of the FIRST 34day cycle, of the 67 day cycle.

Updated FPA reveals that the dominant cyclehas a wavelength of 34.8d, or 35 bars. This is assumed to be the 40d nominalwave, which implies that all waves will be approximately the same (3% variance)as nominal. This cycle is FALLING fast. The underlying trend to this cycle iscurrently FLAT, likely turning DOWN. Recent fulfilled projections however wouldseem to indicate that the underlying trend is STRONGLY DOWN. The future FLDindicates that this cycle will influence prices to RISE.

The sub-dominant cycle (next wave down fromthe dominant cycle) has a wavelength of 17.3d, or 17 bars. This is assumed tobe the 20d nominal wave. This cycle is FALLING fast. This is probably theSECOND of 2 sub-waves. The underlying trend to this cycle is currently slightlyDOWN, likely slowing down. Recent fulfilled projections confirm the trend isDOWN, but indicate that it is STRONGLY DOWN. The future FLD indicates that thiscycle will influence prices to RISE.

The pre-dominant cycle (next wave up fromthe dominant cycle) has a wavelength of 67.5d, or 68 bars. This is assumed tobe the 80d nominal wave. This cycle is approaching a PEAK. The underlying trendto this cycle is currently FLAT, likely turning DOWN. Recent fulfilledprojections however would seem to indicate that the underlying trend isSTRONGLY UP. The future FLD indicates that this cycle will influence prices toform a trough soon, and then rise.

Σ L is currently FLAT, likely TURNING DOWN.

The 34.8d CYCLE component of Σ L iscurrently STRONGLY DOWN (strength: -2 cycles), and accelerating.

The 17.3d CYCLE component of Σ L iscurrently FLAT, likely TURNING UP.

The 8.6d CYCLE component of Σ L iscurrently STRONGLY UP (strength: 2 cycles), and accelerating.

The 4.3d CYCLE component of Σ L is currentlySTRONGLY DOWN (strength: -3 cycles), and accelerating.

The 4.3d cycle might be the ideal tradingcycle, with an average potential of 5.2% per half-cycle.  

The last phasing analysis was 1 bar ago. Inthat time price has FALLEN by 5.5 to 1950.00.

FLD PATTERN PROGRESSION:

Sequence Ref #0 is expected to reach a LOWERtarget of 1822.16(21.71 diff) by the same date, on 2019/8/25

Sequence Ref #1 is expected to reach a HIGHERtarget of 2118.72(-38.88 diff) 12 bars EARLIER, on 2019/9/7

DETAILED FLD PATTERN/PRICE CORRELATION:

Price did move DOWN (for -13 bars) asexpected by the FIRST sequence (ref #0) of the previous pattern and has movedtowards the target of 1800.45. The closest price has gotten to this target sofar is 1915.00 (6.4% short). The target is due in 2 bars.

The SECOND sequence (ref #1)'s trigger isexpected in 2.5 bar(s) and so pattern/price progress for this sequence is not compared.

CURRENT FLD PATTERN PROJECTION:

Price is currently moving DOWN (last close1950), in the final move of an active downwards FLD pattern.

The first FLD pattern sequence (ref #0)projects a price movement DOWN to a target of 1822.16 by about 2019/8/25.

The second FLD pattern sequence (ref #1)projects a price movement UP to a target of 2118.72 by about 2019/9/7.

No short trade is being considered becausethe current trade matrix does not consider short trades on wave four with anunderlying trend of 1.

OUTSTANDING FLD PROJECTIONS:

67.5d: no projection

34.8d: no projection

17.3d: no projection

8.6d Refined FLD projection created on2019/8/20 projecting a price fall of 57.4334 to 1910.6330 by 2019/8/23. This isstill a valid projection target. Normal FLD projection created on 2019/8/19projecting a price fall of 47.7709 to 1929.9580 by 2019/8/24. This projectiontarget was reached and exceeded on 2019/8/21.

4.3d: no projection



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Libby2019 发表于 2019-8-23 19:11:48 来自手机 |显示全部楼层 |坛友微信交流群
都是英文,语言障碍啊{:3_55:}

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fengyg 企业认证  发表于 2019-8-23 20:14:37 |显示全部楼层 |坛友微信交流群
如果大家对周期理论还比较陌生,而英文水平有限,可以暂且参考一下  周期 by 霍华德·马克斯, 或者国内曾经有个叫周金涛的人研究过周期一段时间,坛子和网上都有电子版本,我就不附带上了。不过提醒大家的是,顶多普及一下周期的概念知识,具体在工作或交易中怎么落地和实现,指导交易,可能得学我这介绍的内容。

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