股票外汇技术分析英文版ppt (16)
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股票外汇技术分析英文版
An example of how currency pairs trade is if a trader believes the Bank of Japan will intervene to cause a decrease in the Yen against the US Dollar, then the trader would buy USDJPY (buy the US Dollar/sell the Yen). However, if the trader believes that Japanese investors are losing faith in the United States' economy and are pulling money out of the US into Japan, then the trader would sell USDJPY (sell the US Dollar/buy the Yen).
More easily understood quotes Currency futures are time-based derivative products whose prices have the added complication of a forward component. The forward component takes into account a time factor, interest rates, and the interest differentials between various currencies.
The Cost of Trading FOREX
Like equities currency pairs have a bid and ask. • The bid rate is the price at which traders can sell the pair. • The ask rate is the price at which traders can buy the pair.
More easily understood quotes Currency futures are time-based derivative products whose prices have the added complication of a forward component. The forward component takes into account a time factor, interest rates, and the interest differentials between various currencies.
The Cost of Trading FOREX
Like equities currency pairs have a bid and ask. • The bid rate is the price at which traders can sell the pair. • The ask rate is the price at which traders can buy the pair.
股票外汇技术分析英文版ppt (47)
Unconventional Use of Conventional Indicators April 7, 2012 Invest Fair Singapore 2012
Dr. John F. Clayburg
1
Commodity Trading Advisor Disclosure:
2
"There is a risk of loss in trading. It is the nature of commodity and securities trading that where there is the opportunity for profit, there is also the risk of loss. Past performance is not necessarily indicative of future results".
Today's Presentation
Remember that technical analysis is not a world of absolute certainty…. But a world of probabilities and possibilities.
7
"There is a risk of loss in trading. It is the nature of commodity and securities trading that where there is the opportunity for profit, there is also the risk of loss. Past performance is not necessarily indicative of future results".
Dr. John F. Clayburg
1
Commodity Trading Advisor Disclosure:
2
"There is a risk of loss in trading. It is the nature of commodity and securities trading that where there is the opportunity for profit, there is also the risk of loss. Past performance is not necessarily indicative of future results".
Today's Presentation
Remember that technical analysis is not a world of absolute certainty…. But a world of probabilities and possibilities.
7
"There is a risk of loss in trading. It is the nature of commodity and securities trading that where there is the opportunity for profit, there is also the risk of loss. Past performance is not necessarily indicative of future results".
股票外汇技术分析英文版
Each pip is worth $10, 275 pips x $10 = $2,750 profit
Each pip is worth $10, 275 pips x $10 = $2,750 profit
Examples of FOREX Sell Trade
If you think that the Euro will fall relative to the U.S. Dollar you would sell one lot of the EURUSD currency pair.
The EURUSD is trading at 1.1987 when you buy it. The EURUSD is trading at 1.2262 when you sell it.
You bought at 1.1987 and sold at 1.2262 for a profit of .0275 or 275 pips.
Basic of FOREX Pairs
Currencies are quoted in pairs, such as EURUSD or USDJPY. The first listed currency is called the base currency, while the second currency is called the counter or quote currency.
An example of how currency pairs trade is if a trader believes the Bank of Japan will intervene to cause a decrease in the Yen against the US Dollar, then the trader would buy USDJPY (buy the US Dollar/sell the Yen). However, if the trader believes that Japanese investors are losing faith in the United States' economy and are pulling money out of the US into Japan, then the trader would sell USDJPY (sell the US Dollar/buy the Yen).
Each pip is worth $10, 275 pips x $10 = $2,750 profit
Examples of FOREX Sell Trade
If you think that the Euro will fall relative to the U.S. Dollar you would sell one lot of the EURUSD currency pair.
The EURUSD is trading at 1.1987 when you buy it. The EURUSD is trading at 1.2262 when you sell it.
You bought at 1.1987 and sold at 1.2262 for a profit of .0275 or 275 pips.
Basic of FOREX Pairs
Currencies are quoted in pairs, such as EURUSD or USDJPY. The first listed currency is called the base currency, while the second currency is called the counter or quote currency.
An example of how currency pairs trade is if a trader believes the Bank of Japan will intervene to cause a decrease in the Yen against the US Dollar, then the trader would buy USDJPY (buy the US Dollar/sell the Yen). However, if the trader believes that Japanese investors are losing faith in the United States' economy and are pulling money out of the US into Japan, then the trader would sell USDJPY (sell the US Dollar/buy the Yen).
04第二章外汇技术分析PPT课件
6
切线法
按照一定的方式和原则在由价格数据所绘制的图表中 画出一些直线，然后根据这些直线的情况推测价格未 来的发展，这些直线就是切线。
切线主要起支撑和压力的作用，支撑线和压力线向后 的延伸位置对价格的波动起到一定的制约作用。
切线的画法最为重要，画的“好与坏”直接影响预测 的结果。
目前，画切线的方法有很多种，著名的有趋势线、通 道线、黄金分割线、甘氏线等。
10
Байду номын сангаас 波浪法
波浪理论得名与1978年美国人柯林斯出版的专著《波浪理 论》。
波浪理论把价格的上下波动和不同时期的持续上涨下降看 成与波浪的上下起伏一样。波浪的起伏遵循自然界的规律 价格也是遵循波浪起伏所遵循的规律。
波浪起伏规律：上升是5浪，下降是3浪。
它相对于其他技术分析方法，最大的区别就是提前很长时 间预见到顶和底，别的方法往往要等到新的趋势已经确立 之后才能看到。
19
画法：上升趋势－两个低点相连；下降趋势：两个
高点相连
确认、作用、趋势线的突破
20
趋势线画法
21
趋势线：注意事项
假如在一天的交易时间里突破了趋势线，但其收 盘价并没有超出趋势线，这并不算是突破（被称 为假性突破），可以忽略它，而这条趋势线仍然 有用。 当突破趋势线时出现缺口，该突破将是强而有力 上升趋势线买入，下降趋势线卖出 趋势线上测试点越多，趋势线越重要 趋势线突破是趋势转变信号 趋势线越陡峭，其可靠性越低，被突破的可能性 越大。
• 阻力线卖出，支撑线买入 • 持仓
卖出
阻力线 s
s
s
b b
b 支持线
a
买入
b 持仓
25
A
26
通道的运用2
切线法
按照一定的方式和原则在由价格数据所绘制的图表中 画出一些直线，然后根据这些直线的情况推测价格未 来的发展，这些直线就是切线。
切线主要起支撑和压力的作用，支撑线和压力线向后 的延伸位置对价格的波动起到一定的制约作用。
切线的画法最为重要，画的“好与坏”直接影响预测 的结果。
目前，画切线的方法有很多种，著名的有趋势线、通 道线、黄金分割线、甘氏线等。
10
Байду номын сангаас 波浪法
波浪理论得名与1978年美国人柯林斯出版的专著《波浪理 论》。
波浪理论把价格的上下波动和不同时期的持续上涨下降看 成与波浪的上下起伏一样。波浪的起伏遵循自然界的规律 价格也是遵循波浪起伏所遵循的规律。
波浪起伏规律：上升是5浪，下降是3浪。
它相对于其他技术分析方法，最大的区别就是提前很长时 间预见到顶和底，别的方法往往要等到新的趋势已经确立 之后才能看到。
19
画法：上升趋势－两个低点相连；下降趋势：两个
高点相连
确认、作用、趋势线的突破
20
趋势线画法
21
趋势线：注意事项
假如在一天的交易时间里突破了趋势线，但其收 盘价并没有超出趋势线，这并不算是突破（被称 为假性突破），可以忽略它，而这条趋势线仍然 有用。 当突破趋势线时出现缺口，该突破将是强而有力 上升趋势线买入，下降趋势线卖出 趋势线上测试点越多，趋势线越重要 趋势线突破是趋势转变信号 趋势线越陡峭，其可靠性越低，被突破的可能性 越大。
• 阻力线卖出，支撑线买入 • 持仓
卖出
阻力线 s
s
s
b b
b 支持线
a
买入
b 持仓
25
A
26
通道的运用2
股票外汇技术分析英文版ppt (14)
Convexity
d2/di2(ln(Price)) Convexity = [ΣCt(vt+2) (t)(t+1)]/Price
Price Sensitivity
Change in price of asset due to change in interest rate i ΔP = -(ModD)(Original Price)(Δi) +0.5(Convexity)(Original Price)(Δi)2
Price = Dividend/i
(level perpetuity)
If dividends are increasing geometrically by a factor of (1+k) each period, effective interest i for each period, with first dividend = Dividend1 paid at the first period-end:
Stock Pricing
Share Price = PV of Future Dividends
If dividends are constant forever, with first dividend paid at period-end, effective interest i for the period:
Thus, any dividends paid during the transaction, which would normally have been paid to the lender, must be covered by the borrower
股票外汇技术分析英文版ppt (12)
Adjusted BV = BV – (NPV – Acc. Provision)
j
Price multiples: PS multiple
No negative sales Sales is less likely to be manipulated.
Po/So =(Eo/So)(1-b)(1+g)/(r-g)
Cash flows
Growth rate
j
Price multiples
Price Multiples
Link to competitors, industry, past Link to company’s fundamentals – discount cash flows
j
Price multiples: PE multiple
Price multiples: PBV multiple
Book Value is unlikely to be negative. Compared to earnings, book Value is less manipulated. PBV = (ROE-g)/(r-g)
j
Price multiples: P adj BV multiple
j
Analysis:
Top down Bottom up Top down and bottom up
j
Top down / Bottom up
Top down:
Economy -> industry -> firm -> stock Globalization – impact. Firm -> industry -> economy Economy <-> industry <-> firm <-> stock
股票外汇技术分析英文版ppt
Example Courtesy
Examples of Forex Buy Trade
If you think that the Euro will rise relative to the U.S. Dollar you would buy one lot of the EUR/USD currency pair. The EURUSD is trading at 1.1987 when you buy it. The EURUSD is trading at 1.2262 when you sell it.
Concept of a Currency Trade
A currency pair represents the exchange rate between the two currencies. For example, the rate at which the EURUSD is trading represents the number of US Dollars one Euro can purchase.
The price on the FOREX market is simply how many of one currency people are willing to pay for the other currency-that's it.
No commissions. No clearing fees. No exchange fees The fees on Currency futures can eat into profits
Examples of FOREX Sell Trade
If you think that the Euro will fall relative to the U.S. Dollar you would sell one lot of the EURUSD currency pair. The EURUSD is trading at 1.2812 when you sell it. The EURUSD is trading at 1.2285 when you buy it.
Examples of Forex Buy Trade
If you think that the Euro will rise relative to the U.S. Dollar you would buy one lot of the EUR/USD currency pair. The EURUSD is trading at 1.1987 when you buy it. The EURUSD is trading at 1.2262 when you sell it.
Concept of a Currency Trade
A currency pair represents the exchange rate between the two currencies. For example, the rate at which the EURUSD is trading represents the number of US Dollars one Euro can purchase.
The price on the FOREX market is simply how many of one currency people are willing to pay for the other currency-that's it.
No commissions. No clearing fees. No exchange fees The fees on Currency futures can eat into profits
Examples of FOREX Sell Trade
If you think that the Euro will fall relative to the U.S. Dollar you would sell one lot of the EURUSD currency pair. The EURUSD is trading at 1.2812 when you sell it. The EURUSD is trading at 1.2285 when you buy it.
股票外汇技术分析英
Suppose that you begin with a pair of rabbits:
➢Rabbits take one month to mature. Once mature, they can breed offspring ➢Offspring come in pairs (one male and one female). A pair of offspring are born
The “Bump”: Increase in trend by more than 50%
Two lows identify the “lead in” trend
The head is the first advance past the left shoulder
The left shoulder is the first high above the current trend
1, 1, 2, 3, 5, 8, 13, 21, 34, 55, 89, ……
Each number in the Fibonacci sequence is the sum of the previous two 1+ 1 = 2 1+2=3 2 + 3 = 5 ….
These numbers seem to appear a lot in nature…
Chart analysis begins with a time series plot of an asset’s price
Charts can be hourly, daily, weekly, etc.
Higher frequency data will be more detailed, but noisier
➢Rabbits take one month to mature. Once mature, they can breed offspring ➢Offspring come in pairs (one male and one female). A pair of offspring are born
The “Bump”: Increase in trend by more than 50%
Two lows identify the “lead in” trend
The head is the first advance past the left shoulder
The left shoulder is the first high above the current trend
1, 1, 2, 3, 5, 8, 13, 21, 34, 55, 89, ……
Each number in the Fibonacci sequence is the sum of the previous two 1+ 1 = 2 1+2=3 2 + 3 = 5 ….
These numbers seem to appear a lot in nature…
Chart analysis begins with a time series plot of an asset’s price
Charts can be hourly, daily, weekly, etc.
Higher frequency data will be more detailed, but noisier
外汇交易技术分析(PPT 65页)
组合K线形态分析
❖ 8、窗口
（1）普通窗口 （2）突破窗口（3）消耗性窗口
组合K线形态分析
❖ 8、窗口
（4）持续性窗口
组合K线形态分析
❖ 9、平头顶形态
组合K线形态分析
❖ 10、早晨之星（启明星）
组合K线形态分析
❖ 11、黄昏之星
组合K线形态分析
❖ 12、弃婴形态
组合K线形态分析
❖ 13、三连阳见顶和三连阴见底
时是一个趋势的结束和另一个趋势的开始。 ❖ 6、指标的钝化：指标已失去了敏感度？主要发生在持续形
态中。 ❖ 7、指标的适用范围：指标的定义和特性决定了它预测的时
间周期和形态，中线预测指标不能用于短线分析，持续形态 分析指标不能用于反转形态等等。
技术指标分析的内容
1、移动平均线 移动平均线是当今运用最为广泛的技术指标，它是对收盘价进行平均后 生成的一条曲线。MA是连续若干天的价格的算术平均，时间周期就是 MA的参数。参数的选择上，短线操作宜用56小时、36小时、18小时为 长线、中线、短线指标；中线操作上宜用6天、20天、60天为中线指标。
随机指数KDJ
❖ K线作为快线指标，D线作为慢线指标，因此 也简称ＫＤ线。 J=3K-2D.
❖ KD超过80考虑卖出，低于20考虑买入。
Bollinger Bands保力加通道
Bollinger Bands保力加通道是由三条线组成，在中 间的通常为 20 天平均线，而在上下的两条线则分 别为通道顶和通道底.
实战心得
3、外汇交易不能只靠运气和直觉 如果您没有固定的交易方式，那么你的获利很可能是很随机，即靠运气。这种获 利是不能长久的。或者说某一天运气不好将有同样亏损。交易的直觉很重要，但 只靠直觉去做交易则是个冒险行为，了解获利产生的原因及发展出你个人的获利 操作手法才是最重要。
股票外汇技术分析英文()课程
BUYING SIGNAL
Oscillators with Limits
• RSI • Stochastics
Relative Strength Indicator
• Market o s c i l l a t o r s between 0 (minimum) and 100 (maxim
HOWTO INTERPRET STOCHASTICS
1 . DIVERGENCES
2 . CROSSOVERS
"K" WILL OFTEN CROSSOVER "D" BEFORE "D" CHANGES DIRECTION (normal as "K" i s Kwicker)
THE INDICATOR IS STRONGER WHEN"K" CROSSES "D" AFTER "D" HAS CHANGED DIRECTION.
3 . WHENTHE "K-LINE" REACHES NEAR 100
WITH OVERBOUGHT READINGS IN OTHER INDICATORS AN EXTREMELY HIGH "K-LINE" WARNS YOU OF FURTHER STRENGTH ONCE THE INITIAL OVERBOUGHT LEVELS HAVE NEUTRALIZED.
THE ZERO LINE CORRESPONDS TO WHENTHE 2 MAARE IDENTICAL
WHENMACD>0
ST EMAi s above LT EMA
MACD CARACTERISTICS
外汇交易经典技术分析精品PPT课件
随机指数
• 由两条线构成 %K线（快线） %D线（慢线） • 数值0—100
RSI 、KD线的运用
随机指数的运用
• 买入信号：%K线向上穿越%D线 • 卖出信号：%K线向下跌破%D线 • 超买：%D线 越过上限（70或80） • 超卖：%D线 跌破下限（20或30） • 转势信号：底背离、顶背离
谷 • 下降趋势：一系列依次下降的峰和
谷
道琼斯指数月线图（1990-2008）
欧元兑美元
趋势是你的朋友！
趋势分析
• 阻力线 • 支撑线 • 通道线 • 百分比回撤
阻力线
阻力突破变支撑
阻力变支撑
支撑线跌破成为阻力
盘整走势的突破
突破阻力线：买入信号
目标升幅
利用上升通道获利
跌破通道：卖出信号
外汇交易中的技术分析
二008年7月
何谓技术分析？
目的：对未来价格进行预测 依据：研究和分析过去和现在 的价格变化
技术分析的三个假设
• 市场走势包容一切 • 价格以趋势方式波动 • 历史会重演
趋势的基本概念
• 市场的特征就是曲折蜿蜒 • 市场趋势是由波峰和波谷依次上升
或下降方向构成的 • 上升趋势：一系列依次上升的峰和
• 收盘价与MA 在短时间里频繁交 叉，表明走势不明朗
关键：设好移动平均线组合
移动平均线的设置
• 短期均线较灵敏，但常发出错误信号 • 长期均线较为可靠，但不能及时反应
趋势反转 • 当市场处于无趋势阶段，采用短期的
平均线 • 当市场处在趋势良好的阶段，采用长
期均线
MACD的三大运用
• MACD线由负数向上穿越零线 • MACD线由下向上穿越讯号线 • MACD背离
《外汇技术分析》PPT课件
射击之星
倒锤线
实例：如图所示，底部倒锤线的出现，预示着汇价 已到底，第二天大阳线的出现，验证了反转的成 立（圆圈内所示）；而顶部射击之星的出现，虽 有反转的意义，但第二、三天的阳线则上说明此 反转形态不成立（方框内所示）。
3、乌云盖顶形态和刺透（斩回线）形态
概述： （1）在此形态之前，市场应有清晰的上升或下降走势。 （2）此形态由2根K线组成，第二支K线的实体必段穿过第一支K 线实体的一半即50%，且颜色相反。 （3）穿入程度越深，反转意味越浓。
形态意义： 汇价被一根长阴线所加强的下降趋势已经被接连两天的 止损回升所遏制，多数投资者认为市场底部正在构筑，做 多者逐步增加，推动汇价反转回升。
10、黄昏之星
概述： （1）第一天必须是阳线，并且这根阳线处于上升趋势中。 （2）第二天是星型线（即实体和上下影线都很小的K线）， 星型线本身是阴线还是阳线并不重要，重要的是实体与第 一天的阳线实体之间存在窗口跳空。 （3）第二天的实体部分很小，汇价当天在很上范围内波动。 （4）第三天必须是阴线，阴线实体必须推入到第二天星型 线实体内部。若存在窗口跳空，则反转的意义更大。 （见下图）
形态意义： 被一根长阳线所加强的上涨的趋势已经被接连两天的调 整所遏制，第二天的纺轴线显示了趋势的不确定性。第三 天的阴线，收盘更低，显著的趋势反转已经发生。
11、弃婴形态
概述：
（1）弃婴形态是黄昏之星和早晨之星（启明星）形态的一 种特殊形态，它符合黄昏之星和早晨之星（启明星）的一 切条件。 （2）它比前二者所转意义更加强烈，此形态一旦出现，反 转的机率为99.99999999999999999999%！
16、T字线
开盘、收盘价相同。收盘价下方多方买盘积极， 此价位多方有很强的支撑。底部出现此形态为强 烈反转信号。 17、倒T字线 开盘、收盘价相同。收盘价上方空方卖盘积极， 此价位空方有很强的支撑。顶部出现此形态为强 烈反转信号。 18、一字线 开盘、收盘、最高、最低价相同。此形态极少 出现，若出现就是暴涨或暴跌的前兆。
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20
FFT
• Constraints:
– Data is a representative sample of an infinitely long wave – Data must be stationary over the sample time span – Must have an integer number of cycles in the time span
• Example - CCI
– by Donald Lambert in Oct 1980 Futures Magazine
• CCI = (Peak Deviation) / (.015* Mean Deviation) • Why .015?
– Because 1 / .015 = 66.7 – 66.7% is (approximately) one standard deviation
19
Cycle Measurement Techniques
Convert Amplitude to Color so spectrum can be plotted in sync with prices
MESA8 Spectral Estimate (standard against which other techniques will be measured)
13
Coherent Behavior Example
F = -kx Therefore: ma = -kx F = ma
dx/dt = v dv/dt = a Therefore: a = d2x / dt2 And: m*d2x / dt2 = -kx Assume: x = Sin(wt) Then: dx/dt = w*Cos(wt) d2x/dt2 = -w2*Sin(wt) Assumption is true if: w2 = k/m
STEP IMPULSE JERK
CONCLUSIONS: 1. Momentum can NEVER lead the function 2. Momentum is always more disjoint (noisy)
6
Moving Averages
c.g.
Window Moving Average
10
Simple Predictive Trading System
• Rules:
– Buy when Predictor crosses EMA from bottom to top – Sell when Predictor crosses EMA from top to bottom
• Usually produces too many whipsaws to be practical • Crossover ALWAYS happens after the turning point
= a *i + (i - k) - 1 - a *i + a *(k + 1)
0 = a *(k + 1) - 1 Then k = 1/a -1 OR
a = 1/(k + 1)
8
Relationship of Lag and EMA Constant a
k (Lag) .5 1 .4 1.5 .3 2.33 .25 3 .2 4 .1 9 .05 19 • Small a cannot be used for short term analysis due to excessive lag
A Sinewave PDF is not much different from a Squarewave PDF
16
Real Probabilities are NOT Gaussian
Probability Distribution of a 10 Bar Channel Over 15 years of Treasury Bond data
7
Relating Lag to the EMA Constant
• An EMA is calculated as:
g(z) = a*f(z) + (1 - a )*g(z - 1) where g() is the output f() is the input z is the incrementing variable
A Square Wave only has two values A Square Wave is untradeable with conventional Indicators because the switch to the other value has occurred before action can be taken
• Tune your TV to an unused channel and stare at the screen intently
– I guarantee you will see patterns formed out of pure noise
• If seeing is believing, check out /optical.htm
Probability Distribution of a 30 Bar Channel Over 15 years of Treasury Bond data
17
A Phasor Describes a Cycle
Cycle Phasor Quadrature q InPhase Phase Angle
Colleagues In Trading Seminar
17 Feb 2007
John Ehlers
805-927-3065 ehlers@
1
ENGINEERS ARE AS
2 P 1 P 2P C 2 2 T t t x
12
Efficient Market
• Meandering river is a real-world example of the Drunkard’s walk
– Random over a long stretch – Coherent in a short stretch
CONCLUSION: One can create a leading function by taking a derivative when the market is coherent (in a cycle mode). i.e. Cosine(x) leads Sine(x)
14
Many Indicators Assume a Normal Probability Distribution
• Assume the following for a trend mode
– f() increments by 1 for each step of z • has a value of “i” on the “i th” day – k is the output lag i - k = a *i + (1 - a)*(i - k - 1)
• IF THE PROBABILITY DENSITY FUNCTION IS NORMAL
15
What are Probability Density Functions?
A PDF can be created by making the waveform with beads on parallel horizontal wires. Then, turn the frame sideways to see how the beads stack up.
18
Sinewave Indicator Advantages
• Line crossings give advance warning of cyclic turning points • Advancing phase does not increase noise • Indicator can be “tweaked” using theoretical waveforms • No false whipsaws when the market is in a trend mode
11
Drunkard’s Walk
• Position as the random variable • Results in Diffusion Equation
P 2P D 2 t x • Momentum as the random variable • Results in Telegrapher’s Equation
• Cycle Amplitude (Pythagorean Theorem) Amplitude2 = (InPhase)2 + (Quadrature)2 • Phase Angle = ArcTan(Quadrature / InPhase) • Cycle Period when S Phase Angles = 3600
– Very interesting optical illusions
4
Wave Synthesis
• Sinewaves are the primitives to synthesize more complex waves wave = SIN(F*T) - SIN(2*F*T)/2 + SIN(3*F*T)/3
9
Concept of Predictive Filters
• In the trend mode price difference is directly related to time lag
• Procedure to generate a predictive line:
FFT
• Constraints:
– Data is a representative sample of an infinitely long wave – Data must be stationary over the sample time span – Must have an integer number of cycles in the time span
• Example - CCI
– by Donald Lambert in Oct 1980 Futures Magazine
• CCI = (Peak Deviation) / (.015* Mean Deviation) • Why .015?
– Because 1 / .015 = 66.7 – 66.7% is (approximately) one standard deviation
19
Cycle Measurement Techniques
Convert Amplitude to Color so spectrum can be plotted in sync with prices
MESA8 Spectral Estimate (standard against which other techniques will be measured)
13
Coherent Behavior Example
F = -kx Therefore: ma = -kx F = ma
dx/dt = v dv/dt = a Therefore: a = d2x / dt2 And: m*d2x / dt2 = -kx Assume: x = Sin(wt) Then: dx/dt = w*Cos(wt) d2x/dt2 = -w2*Sin(wt) Assumption is true if: w2 = k/m
STEP IMPULSE JERK
CONCLUSIONS: 1. Momentum can NEVER lead the function 2. Momentum is always more disjoint (noisy)
6
Moving Averages
c.g.
Window Moving Average
10
Simple Predictive Trading System
• Rules:
– Buy when Predictor crosses EMA from bottom to top – Sell when Predictor crosses EMA from top to bottom
• Usually produces too many whipsaws to be practical • Crossover ALWAYS happens after the turning point
= a *i + (i - k) - 1 - a *i + a *(k + 1)
0 = a *(k + 1) - 1 Then k = 1/a -1 OR
a = 1/(k + 1)
8
Relationship of Lag and EMA Constant a
k (Lag) .5 1 .4 1.5 .3 2.33 .25 3 .2 4 .1 9 .05 19 • Small a cannot be used for short term analysis due to excessive lag
A Sinewave PDF is not much different from a Squarewave PDF
16
Real Probabilities are NOT Gaussian
Probability Distribution of a 10 Bar Channel Over 15 years of Treasury Bond data
7
Relating Lag to the EMA Constant
• An EMA is calculated as:
g(z) = a*f(z) + (1 - a )*g(z - 1) where g() is the output f() is the input z is the incrementing variable
A Square Wave only has two values A Square Wave is untradeable with conventional Indicators because the switch to the other value has occurred before action can be taken
• Tune your TV to an unused channel and stare at the screen intently
– I guarantee you will see patterns formed out of pure noise
• If seeing is believing, check out /optical.htm
Probability Distribution of a 30 Bar Channel Over 15 years of Treasury Bond data
17
A Phasor Describes a Cycle
Cycle Phasor Quadrature q InPhase Phase Angle
Colleagues In Trading Seminar
17 Feb 2007
John Ehlers
805-927-3065 ehlers@
1
ENGINEERS ARE AS
2 P 1 P 2P C 2 2 T t t x
12
Efficient Market
• Meandering river is a real-world example of the Drunkard’s walk
– Random over a long stretch – Coherent in a short stretch
CONCLUSION: One can create a leading function by taking a derivative when the market is coherent (in a cycle mode). i.e. Cosine(x) leads Sine(x)
14
Many Indicators Assume a Normal Probability Distribution
• Assume the following for a trend mode
– f() increments by 1 for each step of z • has a value of “i” on the “i th” day – k is the output lag i - k = a *i + (1 - a)*(i - k - 1)
• IF THE PROBABILITY DENSITY FUNCTION IS NORMAL
15
What are Probability Density Functions?
A PDF can be created by making the waveform with beads on parallel horizontal wires. Then, turn the frame sideways to see how the beads stack up.
18
Sinewave Indicator Advantages
• Line crossings give advance warning of cyclic turning points • Advancing phase does not increase noise • Indicator can be “tweaked” using theoretical waveforms • No false whipsaws when the market is in a trend mode
11
Drunkard’s Walk
• Position as the random variable • Results in Diffusion Equation
P 2P D 2 t x • Momentum as the random variable • Results in Telegrapher’s Equation
• Cycle Amplitude (Pythagorean Theorem) Amplitude2 = (InPhase)2 + (Quadrature)2 • Phase Angle = ArcTan(Quadrature / InPhase) • Cycle Period when S Phase Angles = 3600
– Very interesting optical illusions
4
Wave Synthesis
• Sinewaves are the primitives to synthesize more complex waves wave = SIN(F*T) - SIN(2*F*T)/2 + SIN(3*F*T)/3
9
Concept of Predictive Filters
• In the trend mode price difference is directly related to time lag
• Procedure to generate a predictive line: