股票期货突破技术分析(英文原版)-第35部分

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work。of　Harry　M。　Markowitz；　1990　Nobel　Prize　winner。　He　wrote　a　series　of　papers。in　which　he　demonstrated　that　the　major　part　of　all　share　price　moves。was。due　to　these　macro　factors。rather　than　stock…specific。information。　This。is。analogous。to　knowing　that　the　tide　ising　in　and　will　float　all　boats；　or　it　is。going　out　and　will　leave　them　all　back。on　the　beach。　This。is。more　important　than　knowing　that　this。boat　is。better　than　that　boat。　About　85　percent　of　the　movement　was。due　to　the　tide。　
I　am　not　alone　in　respecting　the　powerful　influence　of　market　trends。　Years。ago；　however；　most　market　participants。believed　in　the　Efficient　Market　Hypothesis；　which　gave　rise　to　the　more　well…known　Random　Walk。Theory。　This。theory　asserts。that　market　movements。are　random。　Therefore　there　is。no　point　in　trying　to　prehend　market　trends。　Predictably　enough；　those　who　asserted　the　contrary　view—technical　analysts；　also　called　chartists—were　considered　fringe　players。　
Nowadays；　however；　it　has。bee　more　than　respectable　to　dismiss。the　Random　Walk。Theory。　Several　Nobel　prizes。have　been　awarded　to　those　who　did　just　that。　I　offer　less。esoteric。proof。　
First；　humans。are　irrational　and　exuberant；　and　have　regularly　overpaid　for　everything　from　tulip　bulbs。to　dot…　stocks；　and　many　things　in　between。　Second；　there　are　in　practice　real…world　markets。that　are　easily　and　demonstrably　different　from　the　markets。that　would　be　created　were　the　organizing　principle　a　random　walk。　
Professor　Benoit　Mandelbrot　has。a　great　way　of　demonstrating　this。　By　plotting　the　deviations。of　actual　prices。around　a　moving　mean　and　paring　them　to　a　random　walk。generated　by　hisputer；　he　can　reduce　the　problem　to　a　party　game。　A　child　with　the　mental　age　of　four；　and　no　previous。training；　can　easily　tell　the　difference。　In　essence；　if　the　markets。were　really　random；　then　the　deviations。would　be　in　Normal；　or　Gaussian；　distribution。　In　fact　they　are　in　skewed；　heteroscedastic；　leptokurtic。distribution。　This。is。the　so…called　fat…tailed　pattern　shown　in　Figure　10。1。　
In　a　leptokurtic。distribution；　prices。spend　far　longer　than　they　should　close　to　the　mean。　They　remain　mean…reverting　and　range…bound。　Then；　when　they　
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It　moves。ahead　of　the　real　world。　It　sometimes。makes　mistakes；　leading　to　the　old　quip　that　the　market　correctly　identified　all　nine　of　the　last　lour　recessions。　
Schumpeter's。model　included　three　cycles。of　different　lengths：　a　very　long　one　that　he　named　after　Kondratieff；　a　ten…year　one　named　after　Juglar；　and　a　four…year　one　named　Kitchin。　
I　use　these　in　the　following　way。　The　long；　Kondratieff　waves。I　call　secular　trends；　as。they　persist　for　longer　than　the　short　cycle。　In　practice　they　tend　to　run　for　multiples。of　the　four…year　wave；　with　sixteen　to　twenty　being　mon　lengths。of　time　to　be　valid。　All　we　need　to　know　at　any　particular　time　is；　are　they　going　up　or　down？　The　sent　of　force　that　drives。these　trends。can　be　technological　innovation；　a　rapid　rate　of　pound　growth　of　GNP　for　a　country；　earnings。growth　for　a　stock；　demographics；　and　expansion　or　contraction　of　valuation。　All　those　forces。themselves。trend。　
When　Great　Britain　was。a　superpower；　the　Kitchin　wave　averaged　4。23　years；　but　it　had　considerable　variation。　An　individual　cycle　could　be　as　short　as　three　years。or　as　long　as。five。　Since　Roosevelt；　however；　the　United　States。has。been　the　superpower；　and　the　cycle　has。bee　phase…locked　to　the　presidential　election　cycle；　which　is。mandated　at　exactly　four　years。　It　is。the　lows。of　the　cycle　that　can　be　locked　down　accurately。　The　analogy　is。with　a　child's。jump　rope。　He　holds　the　ends。of　the　rope　in　his。hands；　but　the　top　of　the　loop　moves。around　rapidly。　In　all　that　time　there　has。been　only　one　time　so　far　when　the　lows。of　the　cycle　were　not　exactly　when　they　should　be。　The　four…year　low　should　have　e　in　1986；　but　the　market　did　not　fall　until　it　crashed　in　late　1987。　The　next　time　that　the　cycle　mistimed　was。in　2006；　as。the　rhythm　indicated　a　market　low；　not　a　high　in　that　year　（see　Figure　10。2）。　

During　the　course　of　a　normal　four…year　period　there　will　tend　always。to　be　a　rotation　of　the　strongest　trends。from　bonds；　to　equities；　to　modities；　always。in　that　order。　Within　the　equity　market　there　will　also　be　a　rotation　of　sectors。starting　with　interest　rate…sensitive　issues；　to　consumption…related；　to　cyclical　laggards。and　resource…related　issues。　This。has　been　well…illustrated　by　the　work。of　Martin　Pring；　Ian　Notley；　and　John　Murphy。　Following　my。system　for　these　rotations。will　lead　to　moderately　active　investment；　but　not　hypoactive。　Typically　I　have　found　that　for　a　large　market　like　the　United　States。or　the　U。K。　the　average　holding　period　for　a　stock。might　be　as。long　as。nine　months。　There　can　also　be　times。when　it　is。nearer　to　three　months。　Total　turnover　is。high　pared　with　a　normal　private　portfolio；　but　low　pared　with　a　hedge　fund。　
Figure　10。3　shows。that　a　secular　downtrend　was。in　place　from　1966　to　1982；　an　era　for　active　management。　From　1982　to　2000　a　secular　uptrend　took。place；　when　a　more　passive　style　worked　well。　Since　2000；　however；　active　management　has。been　required　again。　
Notice　in　Figure　10。4　that；　since　1968；　when　the　S&P　500　index　is。plotted　against　gold　bars。it　has。performed　badly。　What　this。really　emphasizes。is。the　
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Because　it　is　a　democracy　rather　than　a　munist　state；　India　will　likely　be　the　more　rewarding　stock。market。　Certainly　any　investors。who　ten　years。ago　correctly　identified　the　growth　the　Chinese　economy　was。going　to　have　and　duly　bought　a　China　fund　would　by。now　have　lost　about　70　percent　of　their　money。　India；　conversely；　has。done　extremely　well；　as。Figure　10。6　shows。　

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tive　trends。　Buys。are　selected　from　the　top　of　the　list　and　sells。from　the　bottom。　There　will　be　a　bunch　in　the　middle　that　are　neutral。　I　do　not　exert　myself　in　trying　to　find　the　very。best　market　or　stock。　That　is。obviously　a　difficult　task。　Instead　I　do　the　easy　thing　and　identify　the　average　or　below　average。　And　I　don't　own　it。　I　define　a　good　stork。as。one　whose　share　price　goes。up　while　I　do　own　it。　The　winners。select　themselves。by　going　up　and　staying　in　the　top　part　of　the　ranking　list。　Simple　though　this。system　is；　it　works。very。well。　I　have　not　found　a　universe　of　markets。or　stocks。on　which　it　does。not　work；　even　though　the　volatility　of　different　universes。varies　widely。　

Trading　Rules　
We　now　need　to　devise　trading　rules。to　get　us。in　and　out　of　our　selected　positions。　I　have　not　invented　any　new　indicators。　I　did　not　invent　the　wheel　either。　It　seemed　to　be　there　when　I　needed　it　and　I　use　the　ones。on　my　car　because　they　work。well。　It　is。the　same　with　indicators。　We　learn　through　back…testing　that　many　indicators。work。well　some　of　the　time。　A　few　work。well　a　lot　of　the　time。　None　work。well　all　of　the　time。　
In　a　leptokurtic。distribution　prices。will　spend　about　a　third　of　the　time　in　a　narrow　range；　and　about　a　third　of　the　time　each　in　an　uptrend　and　a　downtrend。　Each　situation　requires。three　sets。of　indicators。　What　my　method　values。most　highly　is。not　a　range　trade　but　a　strong　absolute　and　relative　trend。　We　use　the　indicators。（like　RSI；　MACD；　OBV；　Bollinger　bands；　and　others）　that　are　set　up　as。standard　defaults。on　the　Bloomberg　Professional…service。　They　are　more　than　adequate　for　our　needs。　There　is。of　course　a　built…in　bark…test　facility。　
Once　the　appropriate　indicators。have　put　us。into　the　positions；　we　simply　hold　on　until　one　of　the　prices。drops。enough　to　hit　a　stop…loss。level。　We　then　sell　out　and　buy　the　next　stock。or　market　that　has。now　been　promoted　up　our　ranking　table。　We　always。remain　invested　until　the　index　itself　gives。a　sell　signal；　by　hitting　its。own　stop…loss。　

This。level　is。a　trailing　percent　behind　the　rising　price。　We　do　not　use　a　fixed　percentage　trail　but　one　that　varies。with　the　market　or　stock。and　is。proportional　to　the　volatility　that　is。normal　for　that　item。　I　call　this。the　volatility。signature；　or　sometimes　I　call　it　beta　with　bells。on。　For　example；　the　number　for　the　FTSE　index　is。7　percent　（see　Figure　10。9）。　In　a　bull　market　this。index　almost　never　has。a　setback。bigger　than　7　percent。　Trailing　up　this。much　below　the　rising　market　index　will　keep　you　in　a　bull　till　virtually　the　end。　However；　a　stock。like　BP　is。inherently　more　volatile；　and　the　signature　works。out　at　13　percent。　The　price　regularly　swings。that　amount　while　still　in　an　uptrend。　The　signature　for　an　index　like　the　BSE　Sensex　（India）　is。18　percent。　
It　is。delusional　to　think　that　we　can　get　away　with　very　tight　stop…losses。and　never　lose　money。　As。Figure　10。10　shows；　if　the　stop　is。too　tight；　you　will　overtrade　and　make　nothing。　If　you　do　not　risk。anything；　you　will　not　make　anything。　We　can　see　that；　over　time；　the　more　volatility　we　can　accept；　the　more　money　we　will　make；　within　reason。　

Of　course；　we　do　have　to　survive　in　the　game。　Figure　10。11　shows。how　much　we　need　to　make　to　win　back　what　might　be　lost　on　a　very　volatile　swing。　If　we　lose；　say；　5　percent；　we　need　to　make　just　over　5　percent　to　get　back。onside。　If　we　lose　10　percent；　we　need　to　make　only　11　percent　to　be　all　square。　If　we　go　down