1、一目均衡圖和 德馬克指標(biāo),提姆麥卡洛 技術(shù)戰(zhàn)略總監(jiān) 中文翻譯由河源外匯論壇友情提供,2011年9月6日,一目均衡圖,概述和誤解 解讀,目錄,德馬克指標(biāo),背景 TD 序列 TD Combo,一目均衡圖和德馬克指標(biāo),結(jié)合應(yīng)用,概述,一種跟蹤趨勢的方法 將價(jià)格與趨勢中不同階段的數(shù)據(jù)作比較，以及與不同歷史階段的趨勢數(shù)據(jù)作比較。 在較大的趨勢校正中的長期支撐/阻力目標(biāo),一目均衡圖概述和誤解,誤解,這是一種日式的方法，所以只適用于日本市場。” 并非如此。一目均衡圖這種趨勢跟蹤方法衡量的是人的非理性行為，而這種行為在所有自由市場都是存在。 “只能應(yīng)用于同樣源于日本的陰陽燭圖?！?并非如此。一目均衡圖是完全不

2、同的一種方法。可以和其它多種形式的技術(shù)分析相結(jié)合。,EUR/JPY, monthly, 1999 - 2011,一目均衡圖概述,5條線,Source: CQG Inc,將收盤價(jià)與轉(zhuǎn)換線比較 (9日內(nèi)的中間價(jià)=(9日內(nèi)最高價(jià)+9日內(nèi)最低價(jià))/2) 如果收盤價(jià)小于轉(zhuǎn)換線，趨勢看跌 如果收盤價(jià)大于轉(zhuǎn)換線，趨勢看漲 如果收盤價(jià)穿過轉(zhuǎn)換線，這是趨勢可能被打破的第一個(gè)信號(hào)。 轉(zhuǎn)換線從上一個(gè)趨勢的支撐位變?yōu)橄乱粋€(gè)趨勢的阻力位。,轉(zhuǎn)換線應(yīng)用,EUR/JPY, monthly, 1999 - 2011,Source: CQG Inc,將收盤價(jià)與基準(zhǔn)線比較 (26日內(nèi)的中間價(jià)(26日內(nèi)最高價(jià)+26日內(nèi)最低價(jià))/2

3、) 如果收盤價(jià)小于基準(zhǔn)線，趨勢看跌 如果收盤價(jià)大于基準(zhǔn)線，趨勢看漲 如果收盤價(jià)穿過基準(zhǔn)線，這是趨勢可能結(jié)束的第二個(gè)信號(hào)。 從上一個(gè)趨勢的第二個(gè)支撐位變?yōu)橄乱粋€(gè)趨勢的第二個(gè)阻力位 如果轉(zhuǎn)換線穿過了基準(zhǔn)線和云帶，那么趨勢反轉(zhuǎn)的可能性就更大了。,基準(zhǔn)線應(yīng)用,EUR/JPY, monthly, 1999 - 2011,Source: CQG Inc,EUR/JPY, monthly, 1999 - 2011,先行帶1應(yīng)用,將今日收市價(jià)與前移的26天轉(zhuǎn)換線與基準(zhǔn)線平均值（轉(zhuǎn)換線+基準(zhǔn)線）/2）比較 將收盤價(jià)與短期趨勢中的歷史數(shù)據(jù)比較 如果收盤價(jià)小于先行帶1，趨勢看跌 如果收盤價(jià)大于先行帶1，趨勢看漲 在

4、上漲趨勢中形成云帶頂部，在下降趨勢中形成云帶底部。,Source: CQG Inc,EUR/JPY, monthly, 1999 - 2011,先行帶2應(yīng)用,將今日收市價(jià)與前移26天的52日內(nèi)中間價(jià)（52日內(nèi)最高+52日內(nèi)最低）/2）比較 如果收盤價(jià)小于先行帶2，趨勢看跌 如果收盤價(jià)大于先行帶2，趨勢看漲 將先行帶1與先行帶2相比 如果先行帶1小于先行帶2，印證了看跌趨勢（非常滯后的指標(biāo)） 如果先行帶1大于先行帶2，印證了看漲趨勢（非常滯后的指標(biāo)） 在上升趨勢鐘形成云帶底部，在下降趨勢中形成云帶頂部。,Source: CQG Inc,EUR/JPY, monthly, 1999 - 2011,

5、云帶應(yīng)用,比較26天前的短期與長期趨勢支撐位/阻力位 沒有顏色變化的云帶長度代表歷史趨勢的長期 如果有頻繁交叉，避免云帶分析（長期區(qū)間的市場，而不是趨勢中的市場） 云層“厚重”表明歷史趨勢更加持久，所以云帶分析更加可行。,Source: CQG Inc,EUR/JPY, monthly, 1999 - 2011,遲行帶應(yīng)用,遲行帶= 將當(dāng)前市價(jià)后移（向左）26天 經(jīng)常會(huì)被忽略或者誤以為是歷史價(jià)格，因?yàn)槿藗兛偸菚?huì)習(xí)慣性地被圖表右側(cè)吸引。 將當(dāng)前價(jià)格與26天前的歷史價(jià)格，即其余4條線比較。 在更早的趨勢中與其它線進(jìn)行作比較分析。 (So additional layer of analysis w

6、ith other Ichimoku lines in even earlier parts of trend) 在重大反轉(zhuǎn)中，尤其在云帶，會(huì)出現(xiàn)長期的支撐位/阻力位,Source: CQG Inc,德馬克指標(biāo) 背景,湯姆 德馬克從1960s開始從事股票分析 根據(jù)多年經(jīng)驗(yàn)總結(jié)出判斷市場時(shí)機(jī)的技巧 定位趨勢的開端、發(fā)展和衰竭 可用于所有資產(chǎn)類型和時(shí)間框架 70個(gè)左右的指標(biāo), 所有均為機(jī)械構(gòu)成 在逆勢操作者中最為出名的是TD 序列 and TD Combo 他曾為索羅斯、都鐸瓊斯等人獻(xiàn)策。 現(xiàn)在是SAC對沖基金斯蒂文科恩的顧問 市場研究有限責(zé)任公司的CEO,TD 序列 & TD Combo概述,在

7、趨勢衰竭中的兩大用途,當(dāng)市場處于長期高位/低位時(shí)的重大反轉(zhuǎn) 純逆勢操作指標(biāo) 心理上最難出手交易的時(shí)刻 通常有最佳的風(fēng)險(xiǎn)/回報(bào)比率 長期趨勢/區(qū)間內(nèi)的極端短期高/低位 逆勢操作看短期德馬克指標(biāo)；但長期趨勢/區(qū)間，參考一目均衡圖 在長期趨勢的方向上看，心理上更愿意交易 如果長期趨勢準(zhǔn)確性較低，則改進(jìn)短期時(shí)機(jī)選擇和風(fēng)險(xiǎn)管理,TD 序列概述,逆勢、選擇市場時(shí)機(jī)的指標(biāo) 可用于所有資產(chǎn)類型和時(shí)間框架，確定可能的趨勢衰竭時(shí)機(jī) 機(jī)械開端、發(fā)展和完成 當(dāng)進(jìn)行逆勢大筆交易時(shí)，利用流動(dòng)性 尤其適合期權(quán) 需要耐心和自律 不包含交易模型和體系(Does not comprise a trading model or s

8、ystem),TD 序列長期案例,下降之后，等待收盤價(jià)反彈超過4天前收盤價(jià)，新的看漲趨勢TD Setup開始。 等待至少9個(gè)連續(xù)柱狀線，每個(gè)收盤價(jià)均超過4天前收盤價(jià)，TD Setup完成 TD Setup 達(dá)到第9柱狀線，TD Countdown開始 (單獨(dú)的規(guī)則) TD Countdown 達(dá)到13柱狀線，趨勢反轉(zhuǎn)更可能開始 風(fēng)險(xiǎn)水平自動(dòng)產(chǎn)生趨勢衰竭區(qū),CSI 300, monthly, 2005- 2011,Source: Bloomberg Finance LP,TD 序列 短期案例,短期圖表可能給出多個(gè)TD Sequential 反轉(zhuǎn)信號(hào) 更長期的潛在趨勢可能制造幾個(gè)TD Setup

9、形態(tài) 每個(gè)TD Setup 形態(tài)都可能發(fā)展為一個(gè)單獨(dú)的TD 序列13 在反轉(zhuǎn)最終開始之前，風(fēng)險(xiǎn)水平將受到測試 (請參見關(guān)于突破實(shí)際風(fēng)險(xiǎn)水平時(shí)的德馬克具體指導(dǎo)原則),AUD/USD, 240 minutes, July - August 2011,Source: Bloomberg Finance LP,TD Combo概述,逆勢操作、選擇市場時(shí)機(jī)的指標(biāo), 與TD 序列類似 適用于具有強(qiáng)勁勢頭的陡峭趨勢 經(jīng)常在趨勢中極端價(jià)格異動(dòng)時(shí)，先于TD序列發(fā)出逆勢操作信號(hào)。 最佳風(fēng)險(xiǎn)/回報(bào)比率，但心理上最不愿交易 需要自律 可以與不完整的TD 序列結(jié)合使用，尤其通過期權(quán),TD Combo長期案例,TD Se

10、tup 必須達(dá)到至少9個(gè)柱狀線 (和TD 序列一樣) TD Countdown的規(guī)則比 TD Sequential更加復(fù)雜 TD Countdown 可以與TD Setup同時(shí)開始 TD Combo在截至即日的趨勢極端處完成第13個(gè)柱狀線（這點(diǎn)與TD序列 不同) TD Combo經(jīng)常比較 TD 序列在心理上更難以作出交易決定 但TD Combo經(jīng)常給出更好的風(fēng)險(xiǎn)/回報(bào)機(jī)會(huì),Forward-Dated Brent Oil, quarterly, 1997 - 2011,Source: Bloomberg Finance LP,TD Combo短期案例,Agricultural Bank of C

11、hina (A), daily, 2010 - 2011,Source: Bloomberg Finance LP,在準(zhǔn)確信號(hào)發(fā)出時(shí)，心理上很難進(jìn)行交易 (13柱狀線) 沒有趨勢跟蹤指標(biāo)可以給出如此精確的時(shí)機(jī)，如此有利的風(fēng)險(xiǎn)/回報(bào)比率 在13柱狀線完成之前需要耐心,TD Combo 加TD 序列 期權(quán)案例,TD Combo 經(jīng)常會(huì)先于TD Sequential完成 當(dāng)收益達(dá)到TD Combo 13時(shí)，賣出看跌期權(quán) 截至即日趨勢中最低水平 可能出現(xiàn)較強(qiáng)波動(dòng) 當(dāng)收益達(dá)到TD Combo 13時(shí)，買入看漲期權(quán) 由于趨勢出現(xiàn)反轉(zhuǎn)信號(hào)，可能出現(xiàn)較小波動(dòng) 在TD Combo 13該點(diǎn)做空看跌期權(quán)，掙得時(shí)間

12、耗損 (Time decay already earned on short put option at TD Combo 13),German Bund yield, daily, July Nov 2010,Source: Bloomberg Finance LP,結(jié)合一目均衡圖和德馬克指標(biāo) 長期趨勢中的短期德馬克指標(biāo),當(dāng)市場沒有處于極端水平時(shí)，根據(jù)逆勢信號(hào)交易在心理上較為容易。 目前長期趨勢中發(fā)生短期校正之后，當(dāng)市場測試并驗(yàn)證了該長期趨勢的支撐線/阻力線，在心理上更加容易。 長期趨勢支撐/阻力線（如一目均衡圖）需要等待每個(gè)長期價(jià)格柱狀圖的收盤價(jià)，以印證是否支撐/阻力線被打破，或是否短期校

13、正已結(jié)束、并已重回長期趨勢。 當(dāng)按照長期趨勢方向交易時(shí)，時(shí)機(jī)較不明朗，風(fēng)險(xiǎn)管理也沒有吸引力。 短期逆勢操作信號(hào)（如德馬克指標(biāo)）可給出短期校正結(jié)束時(shí)的最佳交易時(shí)機(jī)。 從短期圖表德馬克指標(biāo)得到風(fēng)險(xiǎn)管理水平通常比從長期一目均衡圖支撐/阻力線得到的要更具吸引力。,一目均衡圖和德馬克指標(biāo) 短期校正之后跟蹤長期趨勢,短期校正之后，隨長期趨勢交易 使用一目均衡圖確定長期趨勢支撐位 跟隨長期趨勢交易，在心理上較為容易 但是一目均衡圖對于校正結(jié)束時(shí)間的預(yù)測是不準(zhǔn)確的 收盤價(jià)（如月末）可能離一目均衡圖趨勢支撐位很遠(yuǎn) 在短期圖標(biāo)上使用德馬克指標(biāo) 在更準(zhǔn)確的時(shí)間買入 改善短期風(fēng)險(xiǎn)管理,Euribor June 201

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