金融市场技术分析
道氏理论和趋势分析
北京, 2011年9月6日
David Sneddon
董事总经理, 全球策略技术分析
+44 (0)20 7888 7173
david.sneddon@credit-suisse.com
FOR IMPORTANT DISCLOSURE INFORMATION relating to analyst certification, the Firm’s rating system, and potential conflicts of
interest regarding issuers that are the subject of this report, please refer to the Disclosure Appendix.
目录
• 介绍
• 趋势分析
• 趋势的定义
• 道氏理论
• 支撑和阻力
• 基本原则
• 趋势线、趋势通道
• 收盘价和横线
• 扇形原则
• 基本趋势、次级趋势、短暂趋势
• 趋势力度
• 三个市场阶段
• 回撤、 整理、修正
• 验证
• 速度线
• 成交量
• 非传统趋势线
• 回归
• 缺点
• 其它趋势工具
• 心理
1
什么是技术分析？
技术分析
“我们所关心的并不是一项投资的真实价值，而是受大
众心理影响的市场对它的估值。”
J M 凯恩斯(1935)
价值
大众心理
3
技术分析
研究过去价格行为，以预测未来价格行为。
基本原理:
• 价格包含所有贴现因素
• 价格随趋势变动
• 历史不断重演
4
道氏理论
查尔斯•道: 1851-1902
• 1882年，与爱德华•琼斯一同创建了道琼斯公司
• 1889年，创刊出版《华尔街日报》 ，并任首位编辑
• 1884年，创立了首个股票市场平均指数，由11支股票组成
• 1896年，创立了道琼斯工业平均指数，包含12支股票
• 后衍生为两个指数，另一个是道琼斯铁路平均指数，包含20支股票。即后来的
道·琼斯运输业股价平均指数
• 1928年道琼斯工业平均指数股票复盖面扩大到30种
• 1929年又添加了公用事业股票价格指数
• 道本意是将他的平均指数作为经济的晴雨表
• 而非作为股票的预测工具
6
道氏理论 – 西方技术分析的起源
• 道氏的《华尔街日报》社论在其身后重印，1903年收入塞缪尔·纳尔逊的经典著
作《股市投机原理》一书中
• “道氏理论”作为专有名词首次被使用
• 道氏理论仍是今天大部分常用西方技术分析的核心
• 六大核心原理:
• 平均指数（市场/价格）包含一切
• 市场有三种核心趋势
• 趋势分为三个阶段
• 各种平均指数必须相互验证
• 成交量必须验证趋势
• 在观察到明确的反转信号之前，趋势被假定一直持续
7
道琼斯工业平均指数: 1900-1940
Original 12 stocks:
• General Electric
• American Cotton Oil Company
• American Sugar Company
• American Tobacco Company
• Chicago Gas Company
• Distilling & Cattle Feeding Company
• Laclede Gas Company
• National Lead Company
• North American Company
• Tennessee Coal, Iron & Railroad Company
• US Leather Company
• United States Rubber Company
Source: CQG, Credit Suisse
8
道指, 收盘价和横线
道氏相信，只需要关注收盘价，而
非日间最高价和最低价。
“横线”通常是指持续至少两周的
横向区间。换句话说，就是“矩形”
的持续形态。详情见后。
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
9
市场可归为3种核心趋势
• 基本趋势或大趋势
• 从几个月（6个月？）到数年不等
• 次级趋势或中趋势
• 从2-3周，到3-6个月不等。价格回撤幅度一般为基本趋
势的1/3 或2/3。
• 短暂趋势或小趋势
• 几小时（甚至几分钟？），到2-3周不等。
These are not hard and fast timeframes, but guidelines, and opinion will
vary from analyst to analyst
10
基本趋势、次级趋势、短暂趋势
From 2003 to 2007, 10yr US yields
were in a Primary uptrend
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
11
基本趋势、次级趋势、短暂趋势
Within the secondary
downtrend, we have
minor uptrends.
Within this primary uptrend for yields,
we have secondary downtrends.
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
12
基本趋势、次级趋势、短暂趋势
In fact, 10yr US yields have been in a Primary
downtrend since at least the early 1980’s,
consistently making lower lows and lower highs.
Source: CQG, Credit Suisse
13
趋势有三个不同阶段
• 第1阶段 – 积累期:
• 熊市末尾牛市开端，坏消息频传。“消息灵通”的投资商开始精明地逐步买
进，或“积累”。这个阶段也叫“建仓”期，价格行为横向移动。
• 第2阶段 – 参与期:
• 投资者参与度不断增加，经济及基本面新闻趋缓还阳。技术分析和趋势跟踪
系统进场。大趋势正式开始。
• 第3阶段 – 出货期:
• “消息灵通”的投资商开始出货，“出清”长仓。但“热钱”继续推升参与
度。经济新闻捷报频传。市场处于鼎盛阶段。牛市的终结，熊市的开端。
14
趋势有三个不同阶段
1.
积累
2.
参与
3.
出货
3
1
2
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
15
验证
• 在健康的经济形势下，真正的牛市必须同时反映在产品生产公司和产品运输公司的
股价上。
• 工业指数创下新高，只有当运输业指数也同时创下新高时，才能得以验证。
• 反之，市场则可能出现反转。
Non-confirmation – warns of reversal
Bull market confirmed
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
16
2007/2008和2011，均未得到类似验证。
Dow Jones Industrials – Blue
Dow Jones Transports - Red
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
17
趋势 – 成交量与未平仓合约数
应验证趋势方向
成交量= 某交易日或交易时段实际合约交易数量
未平仓合约数= 交易日结束时未完成合约的数量；
或，交易日结束时未完成的短仓及长仓合约总数
趋势
成交量
未平仓合约数
市场
上升
上升
上升
强
上升
下降
下降
弱
下降
上升
上升
强
下降
下降
下降
弱
18
以成交量为验证
Volume for the S&P 500 increased
sharply on the completion of the top.
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
19
成交量
Care must be taken when using outright
volume to define broader trends.
Underlying structure of market can change.
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
20
成交量净额指标
Cumulative volume is often better.
On Balance Volume (OBV) adds or subtracts
volume depending on whether market closes
higher or lower that day.
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
21
运动中的趋势…….
….假设一直持续，直到出现决定性的趋势反转信号。
不要与趋势抗争。趋势会告诉你市场何时反转。
黄金的月图表再次证明了趋势跟踪的方法可以斩获极大
收益。
借Jesse Livermore 的话来说：“追涨杀跌是股市常态，
买的再高也不嫌贵，卖再低也不嫌贱。”
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
22
缺点
道氏理论经常为人诟病的地方:
• 不能预测拐点
• 不能给出目标
• 着眼太过长期
• 太过笼统
• 陈旧过时？
23
趋势分析
我们将去向何处 ?
各种趋势具有相似的特点
10年期美国国债收益
Time series data in both 10yr US yields and
EUR/USD show very similar properties.
EUR/USD
We look to identify tools to use for a general nonspecific trend, and then apply across assets.
25
第1步 – 定义趋势
Uptrend – Higher Highs and Higher Lows – Be long
Downtrend – Lower Lows and Lower Highs – Be short
In an uptrend, we like to see higher volume on the rallies, and
lower volume on the setbacks. Vice-versa in a downtrend.
A trend in motion … is more likely to continue than reverse.
We let the trend tell us when it has reversed.
i.e., Do not fight a trend.
Source: CQG, Credit Suisse
26
交易趋势 – 趋势线
如何画趋势线:
• 上升的趋势线连接各低点
• 下降的趋势线连接各高点
• 一条趋势线至少必须有三个点
BUY
G
BUY
BUY
F
E
D
B
SELL
C
A
一条好的趋势线：
• 所连接的点越多越好
• 倾角为45º 是最可持续的
• 趋势持续时间越长越好
27
趋势线 & 进入/退出市场
Russell 2000
Trendlines offer:
• Discipline
• Timing/market entry
• Risk/reward
• Stop placement
• Market information
Source: CQG, Credit Suisse
28
趋势线 – 每小时
Dow Jones Industrial Average – 60-minute bar chart
Apply the same principle to every timeframe
Source: CQG, Credit Suisse
29
趋势线 – 每周
5yr US T-Note - Weekly
Using trendlines forces you to run a long
or a short. No second-guessing of tops
or bottoms.
Position is closed by being stopped out !
Source: CQG, Credit Suisse
30
差额(以及曲线)
We also apply trendlines to spreads and curves
S&P Utils v S&P Pharma
Source: CQG, Credit Suisse
31
趋势线 – 第二高点/低点….
S&P 500 Pharmaceuticals
A better trendline is often established after
the 2nd low or high.
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
32
内部趋势线
EUR/USD
Markets can often spike through trendlines,
and then subsequently re-hold.
One solution is to ignore the “tails”.
Source: CQG, Credit Suisse
33
内部趋势线
USD/BRL
But, sometimes irregular trendlines or pivot
lines are often called internal trendlines.
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
34
市场信息
The breaking of an important trend can give
as much information as a trend holding.
The break of a 5-touch trendline that has
been in existence for well over 3 years
for USD/JPY proved a significant signal.
Source: CQG, Credit Suisse
35
市场信息
India Nifty
DAX
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
36
趋势通道
Once a trendline is established, a
parallel is often drawn.
Can enhance our trading opportunities:
• Location to take profit
• Counter-trend trade
opportunities
• Market information
Source: CQG, Credit Suisse
37
趋势通道可用于所有时间框架
GPB/USD – 10 minute chart
Source: CQG, Credit Suisse
38
趋势与趋势通道: 对数 vs 算术
Note, remember to use log
scaling for Equity & Commodity
markets. This can have a
dramatic impact on signals.
WTI Crude – Linear
WTI Crude - Log
Source: CQG, Credit Suisse
39
也可应用回归分析
Can be useful, but, is often backward looking.
Similar application to a Bollinger Band.
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
40
回
撤
回撤
• 道氏理论认为，次生趋势在重新回归原趋势之前，价格回撤幅度一般为主
要趋势的1/3 到2/3。
• 一旦高点/低点有望确定，就可以应用回撤百分点确定潜在的拐点区域。
• 但常用的方法是斐波拉契回撤 – 38.2%, 50%, 61.8%
• 趋势中的回撤目标
• 趋势延续目标
• 阻力位与支撑位
• 时机工具
42
斐波拉契回撤
如何确定回撤水平
在上升趋势当中:
• 确定反弹的高点 – A
• 确定反弹的低点 – B
• 测算B到A的垂直距离= C
• 用核心回撤百分比乘以C，将得到的数值从B中扣除
B = 150
B
C = B-A = 140
A = 10
A
X = 96.52
38.2% retracement (X)
X = B – [38.2%(C) ]
X = 150 – [(140/100)*38.2]
X = 150 – [1.4*38.2]
X = 96.52
43
斐波拉契回撤
A
10yr German Yield - Daily
X
In a downtrend
A = 4.450 ; B = 3.417
C = A – B = 1.033
X = B + 38.2%(C)
X = 3.417 + 0.394606 = 3.811606
Actual high = 3.811
B
Source: CQG, Credit Suisse
44
斐波拉契扇形线
• 判断支撑、阻力以及趋势是否健康，要考虑
时间及价格的因素。
B
• 使用同样地方法计算标准回撤。选择两个极
端点（A点到B点）。计算它们之间的绝对价
格差（BC）。
38.2%
A
• 可用于处于上升趋势和下降趋势的市场。
50%
• 在BC线上标出回撤率分别为38.2%、50% 和
61.8%的价位。
61.8%
• 以A点为顶点，将其与已求得的回撤点连接，
作扇形线，从而得出潜在的支撑位。
C
45
费氏扇形案例分析 – 铜(伦敦金属交易所LME)
The 50% and 61.8% Fibonacci Fan lines have
provided support for Copper’s (LME) decline off
the 2011 high.
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
46
速度线
B
• 与斐波拉契扇形线在概念上类似。
• 选择两个极端点（A点到B点）。计算它们
之间的绝对价格差（BC）。
• 计算BC的距离，并标出BC1/3、 2/3的水平。
1/3
• 可用于处于上升趋势和下降趋势的市场。
• 以A点为顶点，将其与1/3点、2/3点连接，
作扇形线，从而得出潜在的支撑位或阻力位。
2/3
A
C
47
速度线案例分析 – 铜(伦敦金属交易所LME)
Dow Jones Industrial Average – 60-minute bar chart
Coppers break of the 1/3 speed line has seen it
revert to support at the 2-/3 line.
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
48
江恩角
• 和斐波拉契扇形线及速度线不同，江恩角是从
单点（最高点或最低点）出发，不需要第二个
极端点。
1X4 = 1 unit
time for units
of price
1X3
1X2
• 另一种确定支撑、阻力及趋势健康的方法。
Price
• 横轴代表时间，纵轴代表价格。
1X1
2X1
• 1X1角表示1个时间单位运行1个价格单位；1x2
线表示1个时间单位运行2个价格单位。以此类
推。
• 一旦一条线突破了顶部或底部，就将移到下一
条线。
• 江恩认为1X1 夹角是最重要的夹角，代表价格与时间
的完美平衡，被他视为最可持续的趋势。
3X1
A
Time
49
江恩角案例分析 – 10年期美国国债收益
Dow Jones Industrial Average – 60-minute bar chart
10yr US Yields have
repeatedly found support
and resistance (support)
at various Gann angles
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
50
整理和修正
整理和修正
正确判断整理期、修正期和反转期常被认为是最具挑战的任务。
我们所关注的归根结底是形态分析 – 反转形态与持续形态的分析。
形态顶点
对称三角形
尖端
成交量萎缩
52
对称三角形
GBP/USD
Source: CQG, Credit Suisse
53
对称三角形
Gold
Source: CQG, Credit Suisse
54
趋势力度
趋向变动指标系统
• 由威尔斯·魏尔德设计，在《技术交易系统新概念》一书中进行了介绍。
• 他设计了目标和机械系统，以判断市场是趋势市场还是区间市场。
• 由三条线组成：与整体趋势强度相关的ADX，形成系统主干的两条趋向线+DI
and –DI。
• 趋向变动是通过比较两个相邻的高点和低点来确定的
• +DI与正趋向变动相关，–DI与负趋向变动相关
56
计算趋向变动线
• 绘制屏幕上显示的DI线需要两步。
• 计算始于比较四个点。当天的高点与前一天的高点比较，当天的低点与前一天的低点比较。
• 高点之差大于低点之差，则为+DI
25
20
Here we can see the difference between the highs is greater
than the difference between the lows, thus resulting in +DI
17
15
• 反之，则为-DI
• 计算至少14天的差值，得到原始DI线。
• 使用平均真实波动 (ATR) 对 +DI (+DI14) 、 –DI (-DI14) 线作平滑化处理。
57
趋向系统（DMI）
Crossings by the DI lines generate buy
and sell signals, when the crossing
occurs above 25.
58
计算平均趋向指数
• 平均趋向指数(ADX)是用前几页得出的平滑化 +DI14 、–DI14 线计算的。
• 第一步是计算趋向变动 (DM) 指数. 取平滑+DI14的绝对值，减去平滑 –DI14的值。
将所得结果除以+DI14、–DI14之和。
• 平均趋向指数 (ADX) 是连续14天趋向变动指数的平均值。
59
趋势定义: ADX
ADX从趋向线衍生而来，可用于衡量趋向变动的强度。
GBP/USD
 +DI and –DI lines are used to generate the ADX line, which
measures the strength of the directional movement and
determines if a trend exists.
 Below 20 – weak/non-trending ; Above 20 – market is starting
to trend; Above 40 – strong trend
40
Non-trending
20
Trending
Source: CQG, Credit Suisse
60
相对趋势
相对趋势, 更准确地说 – 相对强势
Credit Suisse
We analyse the trend or performance
of a stock relative to the broader
market – i.e., a sector or an index.
We apply exactly the same trend
analysis to ratio or relative line, as we
would to the individual stock.
We are concerned with the direction
of the relative trend, not the value.
Credit Suisse/SMI ratio
Relative trending higher – the stock is outperforming.
Relative trendline lower – the stock is underperforming.
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
62
相对强势
DJ Stoxx 600 Construction & Materials
A break in the trend or the completion
of a pattern in the relative will often
lead a break in the actual price trend
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
63
相对强势
A break in the trend or the completion
of a pattern in the relative will often
lead a break in the actual price trend
Credit Suisse
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
64
阻力与支撑
我们在途中何处停止？
阻力与支撑
市场停止上升/下降的地方
阻力。在一价位有足够的卖方供给以
阻止股价升高，从而形成高点。
支撑。在某一价位有足够的买力出现，起
码制止下跌趋向，从而形成低点。
66
阻力与支撑
阻力位与支撑位可从以下很多来源中找到：
• 先前高位
• 先前低位
• 潜在阻力（趋势线）
• 移动平均线
• 斐波拉契水平
• 基准点
• 形态目标
• 缺口及其它…
最重要的阻力和支撑是各种阻力位和支撑位聚集的地方。
在某一价位附近形成的阻力/支撑，市场就越有可能在该处暂停。
67
来自先前高点的阻力
FTSE 100
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
68
来自先前低点的阻力
Dow Jones Euro Stoxx 50 - Daily
Source: Updata, the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
69
趋势线与移动平均阻力
EUR/USD & 40-week moving average
Source: CQG, Credit Suisse
70
斐波拉契阻力
10YR US YIELD – DAILY
Source: CQG, Credit Suisse
71
缺口
EUR/USD - DAILY BAR
04Oct02 - 27Nov03
Pr
USD
EUR= , Bid, O/H/L/C Bar
18Nov03 1.1744 1.1791 1.1737 1.1746
EUR= , Close(Bid), MA 63
18Nov03 1.1445
1.18
1.16
1.14
1.12
gap
1.1
1.08
1.06
1.04
Gaps – Please mind them! Only to be used in markets where they occur
infrequently. Additionally, different gaps can have different implications:
• Normal
• Breakaway
• Running
• Exhaustive
Nov02
Dec
Jan03
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
1.02
1
0.98
Nov
Source: Reuters, Credit Suisse
72
缺口 – 突破
73
阻力与支撑
HANG SENG
01Jan97 - 30Sep03
/.HSI , Last Trade, O/H/L/C Bar
16Jan05 13573.42 13649.43 13435.43 13541.57
Pr
HKD
Log
17000
16000
15000
14000
13000
12000
11000
10000
9000
Once broken, resistance and support reverse roles.
Resistance becomes Support
Support becomes Resistance
8000
7000
Jan97
Jul
Jan98
Jul
Jan99
Jul
Jan00
Jul
Jan01
Jul
Jan02
Jul
Jan03
Jul
Source: Reuters Limited, Credit Suisse
74
聚类 – 10年期美国国债收益
The best levels are often where see
levels “cluster” together
Source: CQG, Credit Suisse
75
聚类 - S&P 500
Source: CQG, Credit Suisse
76
心理
心理
“任何一个人，作为个体看，都是足够理智和通情达理的
，但如果作为群体中一员，立刻就成为白痴一个。”
席勒
作为群体的一员，我们所受到的影响和作为个人是不同的:
群体的“智力”低于个体
群体的生存与繁衍最重要的特征就是个体责任的缺失
恐惧与贪婪
78
价格周期当中的心理
‘More good news, I am doubling my longs.’
‘Still buying on dips.’
‘News is getting better, I am going long.’
‘Only a squeeze pullback,
news still good.’
‘Some good news,
maybe I shall cover short.’
‘News gets worse,
I better exit longs.’
‘Nothing changed,
price will go back down.’
‘I told you before,
I am still short.’
‘All news is bad, price will go a lot lower.’
Sideways
Trending
(UP)
Sideways
Trending
(DOWN)
Source: Credit Suisse
79
德马克
什么是德马克?
汤姆 德马克 – 技术分析的新科学
设计了一系列指标，用来判断趋势衰竭，及潜在的趋势反转区
德马克被视为逆向操作指标
核心研究：
TD Setup
TD Setup Trend (TDST)
TD Sequential
TD Combo
81
不同时间图表组合使用: WTI 原油– 周表与日表
Daily and Weekly 13
Sequential & Combo
at the lows !
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
82
S&P 500 – 不要孤立使用
与其它工具配合使用效果最佳
1200/1240
1200/1240 =
• 61.8% retracement of 2007/2009
bear market.
• Target from 2008/2009 base.
• “Lehman” breakdown resistance.
Also have MACD divergence
Source: the BLOOMBERG PROFESSIONAL™ service, Credit Suisse
83
Disclosure Appendix
Analyst Certification
I, David Sneddon, certify that (1) the views expressed in this report accurately reflect my personal views about all of the subject companies and securities and (2) no part of my compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed in this
report.
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Emerging Markets Bond Recommendation Definitions
Buy: Indicates a recommended buy on our expectation that the issue will deliver a return higher than the risk-free rate.
Sell: Indicates a recommended sell on our expectation that the issue will deliver a return lower than the risk-free rate.
Corporate Bond Fundamental Recommendation Definitions
Buy: Indicates a recommended buy on our expectation that the issue will be a top performer in its sector.
Outperform: Indicates an above-average total return performer within its sector. Bonds in this category have stable or improving credit profiles and are undervalued, or they may be weaker credits that, we believe, are cheap relative to the sector and are expected to outperform on a total-return
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Market Perform: Indicates a bond that is expected to return average performance in its sector.
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In addition to the recommendation, each issue may have a risk category indicating that it is an appropriate holding for an "average" high yield investor, designated as Market, or that it has a higher or lower risk profile, designated as Speculative and Conservative, respectively.
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operating, and financial circumstances. Credit Suisse's rating opinions do not necessarily correlate with those of the rating agencies.
Credit Suisse’s Distribution of Global Credit Research Recommendations* (and Banking Clients)

Global Recommendation Distribution**
Buy
3%
(of which 100% are banking clients)
Outperform
37%
(of which 96% are banking clients)
Market Perform
31%
(of which 95% are banking clients)
Underperform
27%
(of which 96% are banking clients)
Sell
2%
(of which 95% are banking clients)
*Data are as at the end of the previous calendar quarter.
**Percentages do not include securities on the firm’s Restricted List and might not total 100% as a result of rounding.
84
Disclosure Appendix cont’d
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85
CZH
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中国庄禾投资
China ZhuangHe Investment
中文翻译由中国庄禾投资友情提供。
由于译者时间精力有限，译文中难免有疏漏和不当之处，敬请批评指正。
Unofficial translation provided by China Zhuanghe
Investment Consulting Co., Ltd. (CZH)
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