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雷达卡
蒹葭苍苍，
白露为霜。
寒蝉凄切，
雁影成双。
所谓伊人，
在水一方。
市场行情有时就像浓雾中看朦胧的美少女，为了让大家看得更清楚点，今天除了介绍情绪量化前沿课题外，多上几幅焦炭合约图供大家欣赏, 懂图和方法的人绝对保证可以把这个美少女看的通彻
。Quantifying Mind: The Neuropsychology of Trading
One of the traditional challenges researchpsychologists have faced is the reliance upon the self-report of experimentalsubjects for data on such variables as moods, intentions, etc. With the adventof functional magnetic resonance imaging (fMRI), it has become possible totrack cerebral blood flow patterns among subjects as they perform varioustasks. This allows researchers to see which areas of the brain are activatedduring standardized tasks that draw upon particular cognitive functions.
Such standardization is necessary whenassessing the functioning of particular patients. For instance, a task calledthe PASAT (Paced Auditory Serial Addition Test) presents subjects with a seriesof numbers. Each number in the series is followed by n seconds of silencebefore the next number is presented. The task is for subjects to add the seriesof numbers mentally. This tests auditory processing speed, attention, andcalculating ability. By obtaining fMRI pictures of normal subjects engaging inthe PASAT, we have a sense for the brain regions that are activated whenengaged in these functions. When a brain damaged patient is asked to performthe PASAT, the fMRI reveals those relevant brain regions that are not receivingadequate blood flow. Interestingly, whenefforts at cognitive rehabilitation are undertaken, the brain damaged patientscan regain some of their skill at tasks such as the PASAT. This is corroboratedby fMRI pictures that show new regions of blood flow to those brain areasassociated with auditory processing and attention.
The implications of this work are profound,suggesting that the brain is much more plastic than has been assumed in thepast. With imaging, we can now see the brain develop new blood flow patterns. Obsessive-compulsivepatients, for example, who have undergone successful behavioral psychotherapyreveal structural brain changes before and after their treatment. In thefuture, such changes might even constitute an objective measure of whether apharmacotherapy or psychotherapy has been successful.
One of my longstanding passions has been toidentify the brain regions that are activated during trading, and particularlythe patterns of brain activation that distinguish successful traders from theirless successful counterparts. It is reasonable to believe that traders who experienceemotional interference with their trading, for example, would display differentblood flow patterns under fMRI than traders who maintain a reasoned disciplinein their work. It is also reasonable to believe that neophyte traders mightshow different blood flow patterns than their more experienced peers. (Research,for example, finds that novel tasks tend to be processed in the right cerebralhemisphere, while routine tasks are processed dominantly in the left. Intriguingly, negative emotional experiencealso tends to be lateralized to the right).
There are significant logisticaldifficulties in studying trading with fMRI. Imaging is very expensive, andgetting on the magnet at busy medical centers is not easy. Perhaps even moredaunting is the challenge of placing an entire trading station inside an MRItube and creating realistic trading conditions. Finally, there is the challengeof creating standardized trading tasks, so that different individuals can be assessedon the same metrics.
One way I've tried to begin exploring thebrain/trading relationship is through a novel form of biofeedback. Mostbiofeedback measures physiological arousal, and is used to track patterns ofanxiety for the purpose of relaxation. Forehead skin temperature biofeedback,however, evaluates minute shifts in skin temperature on a real time basis. Thisreflects increases or decreases of cerebral blood flow to the frontal regionsof the brain, which are the mind's "executive center". The logicbehind the biofeedback unit is that skin temperatures should increase whensubjects are engaged in such processes as concentration, judgment, planning,and verbal reasoning. Conversely, forehead skin temperatures should decreasewhen subjects are frustrated or otherwise emotionally aroused and when they arephysically active.
I commissioned an engineer to build such amachine (since none are commercially available) and have been engaged in usingit for research purposes. Most recently, I have created standardized tasks forthe unit that involve varying degrees of emotionality, activity,attention/concentration, etc. By taking forehead skin temperatures every 10seconds during task performance and calculating the standard deviation of thereadings, I can compare the distribution of temperature scores under one set oftask conditions with those derived from other tasks. The readings stronglysupport the underlying rationale of the device: tasks requiring the greatestmental effort consistently generate the highest temperature readings. Thebiofeedback unit appears to be an accurate means for quantifying the degree towhich subjects are exercising their executive brain functions.
An interesting side note: Very high skinforehead temperature readings that are sustained over a period of minutes areinvariably accompanied by major mood shifts, in which subjects report feelingsconsistent with being "in the zone". They report an unusual degree ofclarity, focus, present-centeredness, and ease of thought. I should emphasizethat this is not a placebo effect: thedigital readings of the machine are hidden from the subjects so that they haveno idea of whether their readings are high or low.
In my most recent experimentation, I attachmyself to the biofeedback unit while placing a variety of trades in the market.Unlike fMRI, there is no logistical problem with being hooked up to the machinewhile trading. Specifically, I tried to create two very different tradingconditions: 1) uncertain, frustratingtrading where I made decisions intuitively on the basis of common technicaloscillators and chart patterns, and 2) structured trading where I traded atested, mechanical system. To keep conditions constant, I traded over identicaltime frames in similar afternoon markets. During the seat-of-the-pants trading,I started with relatively high forehead skin temperature readings, whichdeteriorated over the course of the trade. In the structured trading, however,my readings continued significantly higher throughout the trade. In fact, theaverage readings were much higher than the highest levels recorded during mystandardized concentration tasks. Objectively (and subjectively) I was in thezone--but only when trading was structured.
The reason for this is a bit subtle. In theseat-of-the-pants trading, I didn't really know what to look for to base mydecisions and had to flit from screen to screen to pick up (probably random) cuesof strength and weakness. My attention was highly divided, and--because thetrade duration was short (less than a half hour)--I felt rushed in mydecision-making. During the mechanical trading, however, I knew exactly what tofollow on a minute to minute basis and stayed glued to a customized screen thatcontained all the relevant data for decision making. My attention was notdivided, and I experienced no sense of time pressure or frustration. (Yes, the mechanical trading has also beenmore profitable).
Much more experimentation remains to beperformed. How are the biofeedback readings (reflecting sustained concentrationand mental effort) affected by large increases in market volatility or positionsize? By holding period? By the nature of the trading system? Do successfultraders sustain significantly different readings from unsuccessful ones? Howmuch individual variability in readings occurs during hot and cold tradingperiods?
Perhaps the most intriguing questionsinvolve training. Can we train people to sustain mental effort and access"the zone"? Would such training improve trading performance byenhancing trader discipline, pattern recognition, and problem-solving? Candysfunctional trading patterns (blaming self for bad trades, failing to takevalid trading signals, impulsively trading when valid signals are absent) beeliminated by reprocessing anxiety during states of high frontalactivation? This, I believe, representsan important frontier for trading psychology.
2019年9月9日下午三点焦炭主力合约J2001分析结果，一切尽在不言之中，尽在图中了。。。
Price is currently in the SECOND 4 daycycle, of the FIRST 8 day cycle, of the SECOND 16 day cycle, of the SECOND 34day cycle, of the 65 day cycle.
Updated FPA reveals that the dominant cyclehas a wavelength of 34.2d, or 34 bars. This is assumed to be the 40d nominalwave, which implies that all waves will be approximately the same (0% variance)as nominal. This cycle is RISING 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 very little because despitenear-term volatility the FLD becomes range-bound.
The sub-dominant cycle (next wave down fromthe dominant cycle) has a wavelength of 16.9d, or 17 bars. This is assumed tobe the 20d nominal wave. This cycle is beginning to RISE, and is accelerating.This is probably the SECOND of 2 sub-waves. The underlying trend to this cycleis currently slightly UP, likely slowing down. Recent fulfilled projectionshowever indicate that the underlying trend is FLAT, probably turning DOWN. Thefuture FLD indicates that this cycle will influence prices to FALL.
The pre-dominant cycle (next wave up fromthe dominant cycle) has a wavelength of 65.0d, or 65 bars. This is assumed tobe the 80d nominal wave. This cycle is overdue for a TROUGH (and a smallnest-of-highs). The underlying trend to this cycle is currently slightly UP,likely accelerating. Recent fulfilled projections however would seem toindicate that the underlying trend is STRONGLY DOWN. The future FLD indicatesthat this cycle will influence prices to RISE.
Σ L is currently UP (strength: 1), and accelerating.
The 34.2d CYCLE component of Σ L iscurrently UP (strength: 1), but decelerating.
The 16.9d CYCLE component of Σ L iscurrently FLAT, likely TURNING DOWN.
The 8.5d CYCLE component of Σ L iscurrently DOWN (strength: 1), and accelerating.
The 4.3d CYCLE component of Σ L iscurrently DOWN (strength: 1)
The last phasing analysis was 3 bars ago.In that time price has RISEN by 45.50 to 1963.50.
FLD PATTERN PROGRESSION: Phasing Analysischanges have most likely resulted in a projection pattern discontinuity. As aresult neither of the projection sequences match and so there is no validprogression analysis possible.
DETAILED FLD PATTERN/PRICE CORRELATION:
Price did move UP (for 3 bars) as expectedby the FIRST sequence (ref #0) of the previous pattern and has approachedwithin 1% of the target of 1980.05 (13.05 short) which is adequate to considerthis target ACHIEVED. This point was reached 4 bars LATER than expected.
The SECOND sequence (ref #1) of theprevious pattern could have started, in which case: Price has got no closer tothe target of 1860.27. The closest price has gotten to this target so far is1913.00 (2.8% short), 4 bars ago. This target is only expected to be achievedin 22 bars. The crossing of the 4 day VTL (expected 2 bars ago) has NOT YEToccurred. The crossing of the 4 day FLD (expected 2 bars ago) has NOT YEToccurred. The crossing of the 9 day FLD (expected 1.5 bars ago) has NOT YEToccurred. The crossing of the 18 day FLD (expected 0.5 bars ago) has NOT YEToccurred.
CURRENT FLD PATTERN PROJECTION:
Price is currently moving UP (last close1963.5), in an UPWARD FLD pattern.
The first FLD pattern sequence (ref #2)projects a price movement UP to a target of 2044.13 by about 2019/9/15.
The second FLD pattern sequence (ref #3)projects a price movement DOWN to a target of 1860.27 by about 2019/10/1.
OUTSTANDING FLD PROJECTIONS:
65.0d: no projection
34.2d: no projection
16.9d Normal FLD projection created on2019/9/5 projecting a price rise of 76.6250 to 1984.2500 by 2019/9/16. This isstill a valid projection target.
8.5d Normal FLD projection created on2019/9/1 projecting a price rise of 57.7084 to 1946.4170 by 2019/9/7. Thisprojection target was reached and exceeded on 2019/9/5.
4.3d: no projection
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