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[公告] 量化投资实践专栏(7) [推广有奖]

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fengyg 企业认证  发表于 2019-8-28 16:26:04 |显示全部楼层 |坛友微信交流群
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Market Timing Profits Using Cycle Analysis


Short-term traders, especially those that are Day-Trading, must have theability to execute precise timing.


Only those who are able to effectively time the markets with strongdiscipline can win the battle against the markets and emerge victorious.


The success rate in trading the markets, whether it be Futures andCommodities, Stocks or the Forex is very low. Only a few collect the moniesinvested or traded by the many.


The trader must keep in mind that in order for there to be a winner therehas to be one or more losers in the business of trading. Therefore, the sharperyou can get your market timing skills and emotional resolve the better off youwill be.

This brings us to the subject of Cycle Analysis.


Market price behavior can be described as a combination of simple cycles,each different in both the period (cycle length) and the amplitude. Each ofthese are operating independently of each other, more or less. This phenomenais not a new concept but has been thoroughly studied. One such example would bethe works of J. M. Hurst, a recommended author on this subject.


You may find this surprising to learn that some of the commonly usedtrading indicators that many traders plot on their price charts are built onthe foundation of cycles. For example, consider the Stochastic, the relativestrength index (RSI), moving average convergence divergence (MACD), andmultiple moving average (MMA) indicators. These indicators oscillate from a lowbase value to a high base value over and over again, with various oscillations(time spans). They help the trader get a sense as to where the market is likelyto go next.


During the 1990's when I was most active on trading forums, you would findsome traders engaged in timing the markets based on some fixed-cycle interval.For example, you might note on the Lean Hogs chart that it was making a bottomabout every 15-days, approximately. So having discovered this, you might waituntil another 15-days (approximately) elapsed in order to time the next bottomand jump into a long trade.


While locating these fixed-cycle periods in the different markets was easyto do when they showed up, many traders would get burned jumping into the tradeat the next interval due only to find that the pattern had disappeared,resulting in big losses.


The problem with this type of cycle analysis is that it focuses on a singlecycle, when in reality market price action is the result of several cyclescombined. So while a single cycle may prove the dominant one for a short periodof time, it will soon appear to vanish as the other cycles with their combinedyet different periods project a different pattern. If a market only tradedbased on a single fixed-interval, everyone would lock onto it and no one wouldtake the opposite side of your trades, thus no more market.


The key to cycle analysis is to find the most dominant cycle periods thatare affecting a particular market and then align them correctly so that you candetermine their respective amplitudes (price values) for each time period. Somecycles will be in their upward swing (positive values) and some in the negativeswings (negative values). When summed up for any time period (the negativevalues will subtract from the positive ones), you get a composite value.Plotted on a chart, you should get basically the same swing pattern that theprice chart itself is displaying.


Due to the element of randomness, no de-trending method exists that willprovide a perfect comparison to current or future price action. But when itcomes to trading, you do not need perfection, or a very close approximation.


To get a visual idea of what this might look like, simply plot aStochastic oscillator onto your price chart. Note how it makes cycle swing topsand bottoms as the market does. New traders often get excited the first timethey use this indicator, thinking that they've found the Holy Grail to markettiming. Unfortunately, there are times this oscillator will get pegged at theroof (overbought) or the basement (oversold) for long periods of time. Thereason for this is that the Stochastic is locked into a shorter-time period(cycle length) and several of the other cycles at work have aligned in the samedirection (upwards or downwards) to overpower the one you are locked into. Atsome point it will return and start oscillating again. The lesson here is thatyou need to be aware of most of them, not just one.


By de-trending market price in order to arrive at the component parts (2-3would be enough), you would then have the basis for plotting out when the nextbottom or top is most likely to occur and use that towards your market timingof trades.

If you find this information enlightening or encouraging and would like tolearn more, I would suggest reading the material from J. M. Hurst and W. D.Gann to get a good foundation on the subject.


2019年8月28日大商所焦炭主力合约J2001下午三点收盘后分析结果供夜盘或明天日盘参考(大家可以根据我发的结果自己打开盘面验证精准性哦)。


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

Formal Phasing Analysis (normal analysis: synchronisedtroughs) reveals that the dominant cycle has a wavelength of 34.8d, or 35 bars.This is assumed to be the 40d nominal wave, which implies that all waves willbe approximately the same (3% variance) as nominal. This cycle is overdue for aTROUGH (and a minor nest-of-lows). The underlying trend to this cycle iscurrently slightly DOWN, likely accelerating. Recent fulfilled projectionsconfirm the trend is DOWN, but indicate that it is STRONGLY DOWN. The futureFLD indicates that this cycle will influence prices to form a trough soon, andthen 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 overdue for a TROUGH (and a very minornest-of-lows). This is probably the SECOND of 2 sub-waves. The underlying trendto this cycle is currently FLAT, likely turning UP. Recent fulfilledprojections however would seem to indicate that the underlying trend isSTRONGLY DOWN. The future FLD indicates that this cycle will influence pricesto form a trough soon, and then rise.

The pre-dominant cycle (next wave up from thedominant cycle) has a wavelength of 67.5d, or 68 bars. This is assumed to bethe 80d nominal wave. This cycle is just beginning to FALL. The underlyingtrend to this cycle is currently slightly DOWN, likely accelerating. Recentfulfilled projections however would seem to indicate that the underlying trendis STRONGLY UP. The future FLD indicates that this cycle will influence pricesto form a trough in a short while, and then rise.

ΣL is currently DOWN (strength: 1), and accelerating.

The 34.8d CYCLE component of Σ L is currentlySTRONGLY DOWN (strength: -3 cycles), and accelerating.

The 17.3d CYCLE component of Σ L is currentlyDOWN (strength: 1), but decelerating.

The 8.7d CYCLE component of Σ L is currentlyFLAT

The 4.3d CYCLE component of Σ L is currentlyFLAT, likely TURNING UP.

The 4.3d cycle might be the ideal tradingcycle, with an average potential of 5.2% per half-cycle. This equates to 51.7%because of leverage settings. However trading such a short cycle is notrecommended. The 17.3d cycle is therefore chosen, with an average potential of8.6% per half-cycle. This equates to 86.0% because of leverage settings.

CURRENT FLD PATTERN PROJECTION:

Price has risen over the past 1 bars (lastclose 1887) in an otherwise DOWNWARD price movement, with the FLD patternindicating an impending UPWARD move, because: It is possible that the firstsequence of the FLD pattern has already been fulfilled, by the low of 1831 on2019/8/28 which would indicate that the second, UPWARD sequence of the patternis now in progress.

The first FLD pattern sequence (ref #0)projects a price movement DOWN to a target of 1799.38 by about 2019/8/27.

The second FLD pattern sequence (ref #1)projects a price movement UP to a target of 2011.67 by about 2019/9/5. Thismove would imply a 4-tier cascade of price crosses over the 4 day to 34 dayFLDs (est: 2019/8/30 & level: 1857.41) . This price move breaks above the 8day, and the 4 day, and the 17 day VTL implying that the trough yet to beformed will be the expected trough of the 34 day cycle.

OUTSTANDING FLD PROJECTIONS:

67.5d: no projection

34.8d Mid-Channel Pause FLD projectioncreated on 2019/8/19 projecting a price fall of 43.5000 to 1938.5000 by2019/8/28. This projection target was reached and exceeded on 2019/8/21.

17.3d Mid-Channel Pause FLD projectioncreated on 2019/8/23 projecting a price fall of 51.2500 to 1896.5000 by2019/8/27. This projection target was reached and exceeded on 2019/8/26.

8.7d Normal FLD projection created on2019/8/19 projecting a price fall of 47.7709 to 1929.9580 by 2019/8/28. Thisprojection target was reached and exceeded on 2019/8/21.

4.3d: no projection





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