技術(shù)面分析
Characteristics of Technical Analysis
what:
- historical price and volume only
- compute statistics called indicators
- indicators are heuristics
why: - there is information in prices
- heuristics work
Q: Fundamental or Technical?
- moving average of price (T)
- % change in volume (T)
- price/earings ratio (F)
- intrinsic value (F)
When is Technical Analysis effective
- Individual indicators weak
- Combinations stronger
- Look for contrasts (stock vs mkt)
- shorter time periods
trading horizon
milliseconds>>days>>years
Fundamental:>>>>
Technical:<<<<
fast<<decision speed<<slow
simple>>decision complexity>>complex
中間 working together
A few good indicators
momentum 動(dòng)量
- visual/quantitative
Simple moving average, SMA 簡(jiǎn)單移動(dòng)平均線
- proxy for value
- arbitrage opportunity
Bollinger Bands, BB
- 在SMA的基礎(chǔ)上闻牡，加兩個(gè)標(biāo)準(zhǔn)差
- How to use: look for cross from outside to inside
Normalization
- SMA: -0.5~+0.5
- momentum: -0.5~+0.5
- BB: -1~+1
- PE ratio (市盈率): 1 to 300
T.A. wrap up:
- hearistics
- Tucker's approach
- don't start trading yet
