一目均衡图和
德马克指标™
PRESENTED BY
提姆·麦卡洛
技术战略总监
邮箱: tim.mccullough@lloydsbanking.com
电话. +44 207 158 8280
2011年9月6日
目录
一目均衡图
•
概述和误解
•
解读
德马克指标™
•
背景
•
TD 序列™
•
TD Combo™
一目均衡图和德马克指标™
•
结合应用
2
一目均衡图
概述和误解
概述
•
一种跟踪趋势的方法
•
将价格与趋势中不同阶段的数据作比较，以及与不同历史阶段的趋势数据作比较。
•
在较大的趋势校正中的长期支撑/阻力目标
误解
•
这是一种日式的方法，所以只适用于日本市场。”
• 并非如此。一目均衡图这种趋势跟踪方法衡量的是人的非理性行为，而这种行为在所
有自由市场都是存在。
•
“只能应用于同样源于日本的阴阳烛图。”
• 并非如此。一目均衡图是完全不同的一种方法。可以和其它多种形式的技术分析相结
合。
3
一目均衡图
概述
• 5条线
EUR/JPY, monthly, 1999 - 2011
Source: CQG Inc
4
转换线
应用
EUR/JPY, monthly, 1999 - 2011
•
•
Source: CQG Inc
将收盘价与转换线比较 (9日内的中间价=(9日内最高价+9日内最低价)/2)
•
•
如果收盘价小于转换线，趋势看跌
如果收盘价大于转换线，趋势看涨
如果收盘价穿过转换线，这是趋势可能被打破的第一个信号。
•
转换线从上一个趋势的支撑位变为下一个趋势的阻力位。
5
基准线
应用
EUR/JPY, monthly, 1999 - 2011
•
将收盘价与基准线比较 (26日内的中间价(26日内最高价+26日内最低价)/2)
•
•
•
如果收盘价小于基准线，趋势看跌
如果收盘价大于基准线，趋势看涨
如果收盘价穿过基准线，这是趋势可能结束的第二个信号。
•
•
Source: CQG Inc
从上一个趋势的第二个支撑位变为下一个趋势的第二个阻力位
如果转换线穿过了基准线和云带，那么趋势反转的可能性就更大了。
6
先行带1
应用
EUR/JPY, monthly, 1999 - 2011
Source: CQG Inc
•
将今日收市价与前移的26天转换线与基准线平均值（（转换线+基准线）/2）比较
•
将收盘价与短期趋势中的历史数据比较
•
•
•
如果收盘价小于先行带1，趋势看跌
如果收盘价大于先行带1，趋势看涨
在上涨趋势中形成云带顶部，在下降趋势中形成云带底部。
7
先行带2
应用
EUR/JPY, monthly, 1999 - 2011
•
将今日收市价与前移26天的52日内中间价（（52日内最高+52日内最低）/2）比较
•
•
•
如果收盘价小于先行带2，趋势看跌
如果收盘价大于先行带2，趋势看涨
将先行带1与先行带2相比
•
•
•
Source: CQG Inc
如果先行带1小于先行带2，印证了看跌趋势（非常滞后的指标）
如果先行带1大于先行带2，印证了看涨趋势（非常滞后的指标）
在上升趋势钟形成云带底部，在下降趋势中形成云带顶部。
8
云带
应用
EUR/JPY, monthly, 1999 - 2011
•
比较26天前的短期与长期趋势支撑位/阻力位
•
没有颜色变化的云带长度代表历史趋势的长期
•
如果有频繁交叉，避免云带分析（长期区间的市场，而不是趋势中的市场）
•
云层“厚重”表明历史趋势更加持久，所以云带分析更加可行。
Source: CQG Inc
9
迟行带
应用
EUR/JPY, monthly, 1999 - 2011
•
Source: CQG Inc
迟行带= 将当前市价后移（向左）26天
•
经常会被忽略或者误以为是历史价格，因为人们总是会习惯性地被图表右侧吸引。
•
将当前价格与26天前的历史价格，即其余4条线比较。
•
在更早的趋势中与其它线进行作比较分析。
(So additional layer of analysis with other Ichimoku lines in even earlier parts of trend)
•
在重大反转中，尤其在云带，会出现长期的支撑位/阻力位
10
德马克指标™
背景
•
汤姆 德马克从1960s开始从事股票分析
•
根据多年经验总结出判断市场时机的技巧
•定位趋势的开端、发展和衰竭
•可用于所有资产类型和时间框架
•70个左右的指标, 所有均为机械构成
•在逆势操作者中最为出名的是TD 序列™ and TD Combo™
•
他曾为索罗斯、都铎·琼斯等人献策。
•
现在是SAC对冲基金斯蒂文·科恩的顾问
•
市场研究有限责任公司的CEO
11
TD 序列™ & TD Combo™
概述
在趋势衰竭中的两大用途
•
•
当市场处于长期高位/低位时的重大反转
•
纯逆势操作指标
•
心理上最难出手交易的时刻
•
通常有最佳的风险/回报比率
长期趋势/区间内的极端短期高/低位
•
逆势操作看短期德马克指标；但长期趋势/区间，参考一目均衡图
•
在长期趋势的方向上看，心理上更愿意交易
•
如果长期趋势准确性较低，则改进短期时机选择和风险管理
12
TD 序列™
概述
•
逆势、选择市场时机的指标
•
可用于所有资产类型和时间框架，确定可能的趋势衰竭时机
•
机械开端、发展和完成
•
当进行逆势大笔交易时，利用流动性
•
尤其适合期权
•
需要耐心和自律
•
不包含交易模型和体系(Does not comprise a trading model or system)
13
TD 序列™
长期案例
CSI 300, monthly, 2005- 2011
Source: Bloomberg Finance LP
•
下降之后，等待收盘价反弹超过4天前收盘价，新的看涨趋势TD Setup™开始。
•
等待至少9个连续柱状线，每个收盘价均超过4天前收盘价，TD Setup™完成
•
TD Setup™ 达到第9柱状线，TD Countdown™开始 (单独的规则)
•
TD Countdown™ 达到13柱状线，趋势反转更可能开始
•
风险水平自动产生趋势衰竭区
14
TD 序列™
短期案例
AUD/USD, 240 minutes, July - August 2011
•
短期图表可能给出多个TD Sequential™ 反转信号
• 更长期的潜在趋势可能制造几个TD Setup™ 形态
• 每个TD Setup™ 形态都可能发展为一个单独的TD 序列13™
•
在反转最终开始之前，风险水平将受到测试
• (请参见关于突破实际风险水平时的德马克具体指导原则)
Source: Bloomberg Finance LP
15
TD Combo™
概述
•
逆势操作、选择市场时机的指标, 与TD 序列™类似
•
适用于具有强劲势头的陡峭趋势
•
经常在趋势中极端价格异动时，先于TD序列™发出逆势操作信号。
•
最佳风险/回报比率，但心理上最不愿交易
•
需要自律
•
可以与不完整的TD 序列结合使用，尤其通过期权
16
TD Combo™
长期案例
Forward-Dated Brent Oil, quarterly, 1997 - 2011
Source: Bloomberg Finance LP
•
TD Setup™ 必须达到至少9个柱状线 (和TD 序列™一样)
•
TD Countdown™的规则比 TD Sequential™更加复杂
• TD Countdown™ 可以与TD Setup™同时开始
• TD Combo™在截至即日的趋势极端处完成第13个柱状线（这点与TD序列 ™不同)
•
TD Combo™经常比较 TD 序列™在心理上更难以作出交易决定
• 但TD Combo™经常给出更好的风险/回报机会
17
TD Combo™
短期案例
Agricultural Bank of China (A), daily, 2010 - 2011
•
在准确信号发出时，心理上很难进行交易 (13柱状线)
•
没有趋势跟踪指标可以给出如此精确的时机，如此有利的风险/回报比率
•
在13柱状线完成之前需要耐心
Source: Bloomberg Finance LP
18
TD Combo™ 加TD 序列™
期权案例
German Bund yield, daily, July – Nov 2010
•
TD Combo™ 经常会先于TD Sequential™完成
•
当收益达到TD Combo 13™时，卖出看跌期权
• 截至即日趋势中最低水平
• 可能出现较强波动
•
当收益达到TD Combo 13™时，买入看涨期权
• 由于趋势出现反转信号，可能出现较小波动
• 在TD Combo 13™该点做空看跌期权，挣得时间耗损
(Time decay already earned on short put option at TD Combo 13™)
Source: Bloomberg Finance LP
19
结合一目均衡图和德马克指标™
长期趋势中的短期德马克指标
•
当市场没有处于极端水平时，根据逆势信号交易在心理上较为容易。
•
目前长期趋势中发生短期校正之后，当市场测试并验证了该长期趋势的支撑线/阻力线，在
心理上更加容易。
•
长期趋势支撑/阻力线（如一目均衡图）需要等待每个长期价格柱状图的收盘价，以印证是
否支撑/阻力线被打破，或是否短期校正已结束、并已重回长期趋势。
•
当按照长期趋势方向交易时，时机较不明朗，风险管理也没有吸引力。
•
短期逆势操作信号（如德马克指标）可给出短期校正结束时的最佳交易时机。
•
从短期图表德马克指标得到风险管理水平通常比从长期一目均衡图支撑/阻力线得到的要更
具吸引力。
20
一目均衡图和德马克指标™
短期校正之后跟踪长期趋势
Euribor June 2012, monthly, 2008 – 2011
•
短期校正之后，随长期趋势交易
•
•
•
使用一目均衡图确定长期趋势支撑位
跟随长期趋势交易，在心理上较为容易
但是一目均衡图对于校正结束时间的预测是不准确的
•
•
Euribor June 2012, daily, Jan - May – 2011
收盘价（如月末）可能离一目均衡图趋势支撑位很远
在短期图标上使用德马克指标™
•
•
在更准确的时间买入
改善短期风险管理
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