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Джек Швагер - Технический анализ - 2001
Джек Швагер - Технический анализ - 2001
Analysis
Jack D. Schwager
2001
336.76.003.12
65.261
. . 1-12, 14
. . 13, 15-24
.
. . .: , 2001. 768 .
ISBN 5-89684-024-1
, , . , , ,
. .
-, , , , .
336.76.003.12
65.261
, , 2001
.................................................. 12
.................................................................................... 14
...................................................................... 15
1. ....................................................17
1. :
?.................................................. 19
2. ....................................................................33
....................................................33
:
...............37
........................................................39
-........................................................41
..........................................................43
3. ...........................................................................44
..........................44
( ).........................................54
............................................62
.....................................................72
4. ...........................................................77
: ..........77
......................................80
5. ..............................................85
.....................................................85
............88
........................................95
,
....................................95
...................................... 101
6. ......................................................... 103
................................................. 103
(continuation patterns).............122
.............................................132
A. ?....................... 151
B.
................................................... 157
9. (stop-loss points)................... 165
10.
............................... 173
................................................... 173
(measured move).................... 174
..........................................................180
........................ 182
/ .... 182
....................................188
......................................... 196
..................................................196
......................................... 196
11. ................. 197
......................................................... 197
.............................197
...................................204
................................................205
...................215
...........221
,
..................................221
,
......................226
............................239
()...........................250
.......250
.................................................................251
12.
:
.........................252
................................................252
...........................................253
.. 258
.................................................................262
13. ............................289
?......................................291
.....................................................293
..........................................................................295
.................................................................308
( )......................................309
2.
............................................319
14.
...........................321
........................................322
3. ................................533
15. ........................................................................535
........................536
(the momentum oscillator).............................................540
(rate of change)..................................541
-
(moving average convergence-divergence).....................541
(relative strength index).. 557
(stochastic)......................558
(the moving average channel).........................................559
- -W
(micro-M tops and micro-W bottoms).............................566
...................................................................570
16. ..................................571
?.........................571
......................................574
................................................576
......................578
..............................604
...................................................................609
4.
..............................................................611
17. :
....................................................613
..613
.......614
..........................................615
.................................616
................627
.......................631
........................................642
..........................................................645
....................................648
18. .........................650
?...............650
...............................651
.................................................................652
.................................661
.................................................................672
...................................................................675
19.
......................................681
.....................681
...........................682
().. 683
.............................................686
..............692
................................................................... 694
20. ................695
.............................695
..............................698
..................................................701
.........................................701
.................................703
....................................................704
...................................................707
?.......................................721
.........................723
....................725
................................................726
.............................727
......................729
21. ............................733
....................733
.................................................735
........................738
(Return Retracement Ratio RRR)...........................742
/
(Gain to Pain)...............................................................747
.......................747
,
...............................................748
?................................................750
/
......................................751
.......755
................................................................760
5. ....763
22. ............................................765
1: ...............765
2: ...........................766
3: .........767
4:
................771
5: ..........................772
6: ...........................774
7: ............................775
23.
...........................................777
.........................................................778
( )................................................780
( )................................................781
. 782
......................................784
.........................................................785
.....................................................788
24. .................................................................789
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N (, N = 50).
,
10 (
k = 0,75). ,
( ).
, ,
50 , ,
. ( , N .)
,
. .
6. 109
6.5.
: , 1991
(Reversal Days)
(reversal high day)
: , ,
. ,
(reversal low day) , , .
,
.
, , , . ,
, , . ,
:
110 1.
6.6.
: , 1991
,
. . 6.7, , . , .
, ,
, ,
. . 6.8 , .
.
,
. , , , ,
.
. -
6. 111
6.7.
,
: !: ,
1994
: R .
,
. ,
100 10 . , ,
.
,
,
. , ,
, .
,
. ( ,
, , .) -
112 1.
6.8.
,
!: , 1992
91
Sep
Oct
Nov
: R - .
,
. , . 6.7. , . . 6.8
, .
,
. , . ,
( ,
), . ,
, ,
6. 113
6.9.
:
, 1994
,
. , ,
,
, .
.
, .
, , . (,
, .) . 6.9 . ,
.
,
.
.
114 1.
(Thrust Days)
,
. ,
.
.
, .
(
) . ,
.
, (.
. 6.10). , , (
. 6.11). , , , , ( - . 6.11).
(Run Days)
. ,
(
).
.
. ,
:
1.
N (, N = 5)*.
2.
N **.
. , :
1. N
, . 3, : .
, . 3, : .
6. 115
6.10.
:
, 1993
: - ; I - .
2.
N .
, , N . ,
, , ,
. , , , ,
.
. 6.12 6.13 ( N = 5). ,
.
116 1.
6.11.
: , 1994
Jon-94
February
March
April
: - ; 1 - .
, , , (. 6.12). , , (. 6.13). . 18
.
(Wide-Ranging Days)
, .
:
6. 117
6.12.
:
, 1993
Nov-92
December
Jan-93
February
March
: U - ; D - .
118 1.
6.13.
: , 1991
. . 6.17 6.18
-,
,
.
, . . 6.19
,
.
, , ,
. .18 .
6.14.
119
:
, 1994
J93
Aug
Sep
Oct
Nov
Dec
J94
Feb
Mar
A90
May
Jun
Jul
6.15.
: , 1993
120
6.16.
: , 1993
6.17.
:
,
6.18.
:
, 1993
93
Apr
May
Jun
Jul
Aug
Sap
Oct
Nov
121
DM
6.19.
:
,
122 1.
(CONTINUATION PATTERNS)
,
.
, ,
, .
(Triangles)
:
(. 6.20 6.21), (. 6.22 6.23)
(. 6.24 6.25).
, . , .
, . , . 6.26,
- 1994 . , , .
6.20.
:
,
6.21.
: ,
123
124
6.22.
: , 1992
6.23.
: , 1992
6.24.
:
,
6.25.
:
,
125
126 1.
6.26.
:
, 1995
, ,
. ( ) .
, , .. ,
. , . 6.28 , , , .
,
. , . 6.27 6.28, . , , . -
,
, .
, -
6. 127
6.27.
: , 1995
, .
, , , , .
,
. ,
,
, . , ,
, . . 6.29-6.32 , .
,
, . . 6.33-6.36 ,
. ,
.
128
6.28.
: , 1992
6.29.
: , 1990
6.30.
129
: , 1994
J94
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
6.31.
: , 1993
130
6.32.
: , 1993
92
Sep
Oct
Nov
Dec
J93
Feb
Apr
May
Jun
Jill
6.33.
:
,
6.34.
131
:
,
6.35.
: , 1994
132 1.
6.36.
:
, 1994
V-
V- (. 6.37)
(. 6.38). ,
,
(, , , ,
). V- . 6.38, , , V-
. 6.37 - .
,
. , ( ), ,
, ,
.
6.37.
V- : ,
6.38.
V- : ,
133
134 1.
,
,
. . 6.39
. ( , , ,
, ,
.)
() , () (),
() .
, , , . 6.39, , , , , . , . 6.39 ,
-. , , , , , .
,
, .
. 6.40 , 10- , 1990- . , ,
, . ( ) .
, . 6.39,
, .
. 6.41 6.42 .
. 6.43 , ,
. (, ) , .
. 6.44 , ,
. . 6.45 .
.
,
6.39.
:
,
6.40.
:
10- ,
135
136
6.41.
:
,
6.42.
:
,
6.43.
:
,
6.44.
: , 1995
137
138 1.
6.45.
: , 1993
(. 6.46). ,
,
(. 6.47). , , . ,
(. 6.46 6.47). , , . , , , .
( )
, .
. 6.48 . , .
6.46.
: , 1991
6.47.
: , 1992
139
140 1.
,
;
, . . 6.49
. . 6.50 , : . . 6.51
, .
. ( , . 6.51
, .) ,
. 6.52 6.53 .
(Triangles)
, , .
. 6.54 6.55 .
, .
(Wedge)
(. 6.56 6.57). , ,
. ,
. . 6.58 . . . 6.59 6.60
, .
, .
(Island Reversal)
, , .
141
6.48.
:
MATIF
6.49.
: , 1994
142
6.50.
: , 1995
6.51.
:
,
6.52.
: , 1994
6.53. :
, 1992
143
144
6.54.
: , 1991
6.55.
:
, 1995.
6.56.
: , 1993
6.57.
: ,
145
146
6.58.
:
,
6.59.
: ,
6.60.
147
: ,
. 6.61 6.62 ,
- , . 6.63 ,
,
. . 6.64 .
,
(. 6.65).
,
() -
(), .
, ,
.
, . , , ..
. ,
3-5 ,
148
6.61.
: , 1994
, , , . , , , ,
.
,
, , .
6.62.
: , 1994
6.63.
: , 1994
149
150
6.64.
: , 1992
6.65.
: , 1992
?
, :
. !
.
,
.
, ( , ), . :
?;
,
- ,
, ?;
, , , ?
, ,
, , :
1. , ,
. , , ,
. , , , 1991 . ,
1992 .
(. 7.1), ,
. . 7.2 , . , -
152 1.
. (
. 9.) .7.2, . . 7.3 , , , ,
. , ,
. ( , , .. .)
, , .
,
,
.
2. ,
. : ,
-
; , .
, : , (, ).
, . ,
. ,
. , , .
:
. .
. ,
, . .
7. ? 153
.7.2,
. ,
,
. , , , .
3. , .
. , ,
1992 . (. 7.1),
.
. ,
1991 .
(. 7.4), , ,
.
, . ,
(. 7.2) ,
.
, . , ,
1991 .
, . ,
, , . ,
.
4. ( 50%),
154 1.
,
. ,
() , ()
. ,
, . , , ,
,
.
5. ,
. .
. 11 .
, , , , , , ,
. , , , , .
,
. .
, .
7.1.
:
, 1992
7.2.
:
, 1992
155
156
7.3.
: , 1992
7.4.
: ,
: ,
. : (1)
; (2) ,
, ; (3)
,
. ,
. .
, ,
. , , , . , , : ,
?
, 1994 . (. 8.1),
, . , , , -
158 1.
8.1.
? , 1994
. , , .
, ,
35% ,
, .
. 8.2 .
, 1994 .
. ,
. , : [] ,
, , .
, . , , , , : . ,
.
8. ... 159
8.2.
: , 1994
1. .
(
) . ,
,
( ) ,
. , 35 65%
. , ,
. . 8.3 , , 50%. , ( ). :
.
2. . -
160 I.
. , ,
.
. .
, 4. 0. 1
,
, .
1 ,
, ,
. 0 ,
.
.
, 3.
0
.
1 0 , .
. , , . , .
. 8.4 .
RD (reaction defined),
. ,
3, .
,
1995 . ,
RD ,
,
.
3. .
. 6. , . . 8.5 (,
8. ... 161
8.3.
50%- :
, 1994
) , . , ,
, ,
,
. , .
. ,
. 8.5,
.
4. .
,
,
. , ,
-
162 1.
, ,
.
, , ,
. . 8.6,
40- 1994 . , ,
. 40-
. . 8.6 , .
. 17 ,
.
. .
,
, . ,
, , ,
. , ,
, ,
.
,
*. , .
, ,
,
. , . -,
, . , ,
. -,
() .
() .
8.4.
163
: , 1995
8.5.
: , 1995
164
8.6.
: ,
1994
: , 40-
.
: FutureSource; 1986-1995 .; .
(stop-loss points)
.
,
,
. ,
,
,
, ,
.
, ,
, .
166 1.
9.1.
:
, 1994
, -,
.
,
:
1. .
;
. , . ,
. : .
. , .
.
,
. ( ), , ,
. , -
.
. , . ( -
168 1.
:
, , .)
3. .
( - )
, , . , . 9.2 .
.
4. . ,
, , . , , . 9.3
,
( , ), .
5. *. , .
, ,
(. 9.4). ,
.
, , . , .. ,
( ) . ( , .) :
, N . N. 5 15.
. , ,
1993 ., ,
(. 9.5). .
( )
$15 000 ( )!
, , , ,
, ,
. , , ,
.
170 1.
, . .
.
(trailing stop).
. 9.6 . , -,
- . , , , . (, . , ,
.) , ( 1).
( 2). ,
3 4. 4.
: . , ( , ), , ,
GTC,
, . .
9.4.
171
: , 1995
94
Jun
Jul
Aug
Sep
Oct
Nov
Dec
J9S
Feb
Mar
9.5.
,
: , 1993
440
420
400
380
360
340
320
300
280
260
240
172
9.6.
:
, 1995
10
.
. ?
!
.
,
. , ,
. ( ).
?
.
.
, . ,
:
, () .
- ,
, , .
( - . . 2.)
, , ,
, .
174 1.
(MEASURED MOVE)
. , , . ,
30 , , : 30
. ,
, , . , , , , .
. 10.1 . , . , ,
1994 .
1993 . 10.1.
:
, 1994
Oct Nov Dec J94 Feb Apr May Jun Jul Aug Sep Oct Nov Dec
: MM (measured move).
10.
175
, 107-26 (1).
106-16 . , , 1994 .
1994 .
, 99-27 (2).
, 99-24. , ,
,
1994 .
1994 . ,
96-08 (). 96-01, .
, ,
, . ,
,
, , . 2
10.2.
:
,
176 1.
. 12,
, .
. 10.2 ,
1993 .
1994 . (1) , 1994 .
. , 1994 .
. 10.3
.
, .
(1), , 1994 .,
. 2, ,
, ,
, . ,
4, ,
1994 . ,
5, 4.
, , .
,
. ,
,
.
,
, .
. 10.4 , . , ,
(1), (2) (), ,
, . . 10.5 . , (1) (2)
.
10.3. :
,
340
10.4.
: , 1994
O93
Nov
Dec
J94
Feb
Mar
Apr
May
Jun
Jul
Sep
Aug
10.5.
: , 1994
93
Jul
Sep
Oct
Nov
Dec
J94
Feb
Mar
Apr
May
Jun
180 1.
, . ,
, 7 5, 4, 3 2. ,
: 7 : 5 = 1,4; 7 : 4 = 1,75; 7 : 3 = 2,33 7 : 2 = 3,5.
. ( .)
(1,75;
2,33 3,5) (1,4; 1,75 2,33) . ,
, , ,
, (
) ( ), , , , . , , ,
, .
10.6.
93
Nov
Dec
J94
Fob
Mar
Apr
May
Jun
: , 1994
Jul
Aug
Sep
10.
181
. 10.6. ( ,
, . 10.4
.
.) ,
, 162 . ,
(1,75; 2,33 3,5),
. , , 1465.
1749 (1465 + (1,75 X 162) = 1749). (
, .)
1843 (1465 + (2,33 X 162)). 2032 (1465 +
+ (3,5 X 162)). . 10.6.
, 2 1787,
3 1904 4
2052.
,
.
. 10.7 . 2-23 . , (1,4;
1,75 2,33), .
10.7.
: ,
J93 Sep Ocl Nov Dec J94 Fab Apr May Jun Jul Sep Oct Nov Dec
182 1.
. . 10.7.
,
1994 . ( 2 - .)
, . 10.6 10.7,
, .
, . ,
, .
. , ,
. 10.8, , . , . , , . 10.9, , .
,
, .
, .
/
(OVERBOUGHT/OVERSOLD)
/ ,
, , ,
. . 10.10
(RSI relative strength index) /*. RSI RSI . .
. (J. Welles Wilder, Jr., New Concepts in
Technical Trading Systems. Winston-Salem, North Carolina: Hunter Publishing
Co., 1978).
10.8.
:
, 1994
00
410
34
0
330
Nov
Dec
D93
10.9.
:
,
,
93
Nov
Dec
J94
Feb
Mar
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
J95
Feb
10.10.
, :
, 1995
00
186 1.
0 100. ,
70 , 30 .
/ . , 70 30
75 25 80 20. , / ,
.
. 10.10 , 30, ..
, . , RSI 70, .. ,
.
, /
. 10.10 . , , , . / , ,
. : , 8 1994 .,
250 , .
, / . , , .
. 10.10 /
, . . 10.11 /
. , . , .
( ),
, .
, / . 15.
10.11.
: , 1995
00
188 1.
/ (, RSI, - , ) .
, , , /.
.
*. . , ,
, .
:
1. (Setup).
, ,
.
2. (Intersection). ,
,
, ,
. ,
, ,
.
3. (Countdown).
. 0
, . , 13, . ,
. , :
. , .
The New Science of Technical Analysis. John Wiley & Sons Inc., New York, 1994.
10.
189
b. (
).
c. 13
.
,
0, .
:
1. .
.
2. . , , ,
( )
. , , , .
3. .
. 0 , . 13 . , .
, :
a.
.
b. (
).
c. 13
.
,
0.
. 10.12 10.16 , .
,
. ,
.
10.12.
: , 1994
Sep-94
'
October
November
: 1 - 9 - ; 10-12-.
: , CQG.
10.13.
: , 1995
Sep-94
October
November
: 1 9 ; 1013.
: , CQG.
December
Jan-95
10.14. :
, 1994
: 1 - 9 - ; 10-13-.
: , CQG.
v>
10.15.
: , 1995
Now-93
95
December
Jan-
: 1 - 9 - ; 10-13-
: , CQG.
194 1.
10.16.
: ,
: 1 - 9 - ; 10-13 - .
: , CQG.
. 10.12 1994 . ,
(
) , , .
( .)
, .
. 10.13 ,
( 1995 .). -
10.
195
.
, , , . ( ,
.)
, 13- .
. 10.14 ,
1994 . ,
, .
,
, , .
. 10.15, 1995 ., . , .
(
).
, , . . 10.16
.
( )
,
.
, ,
. ,
, .
, , .
, ,
,
.
, ,
.
, , .
196 1.
(contrary opinion) ,
,
, , , .
, , . ,
.
, ,
. / , , , .
, , , .
, , . ,
, ,
, , - . ,
, .
(trailing stops), , ,
. , ,
,
: ,
. . 9.
, ,
.
, ,
.
11
, ,
.
X.
(failed signal) .
, , . , , . 11.1
. ,
. , , (bull trap). ,
, , , . .
, ,
, .
198 1.
11.1.
: , 1993
D92
J93
Apr
Oct
May
Jun
Jul
Aug
Sep
Feb
, .
, .
(. 11.1).
1993 .
(. 11.2). ,
.
,
, , , . .
. 11.3,
, . 1993 .
11. 199
11.2. :
, 1994
Feb
Apr
May
Jun
, .
, ,
. ,
, .
. 11.4 .
1992 ., , , , .
, .
-. (, ,
1992 .
, .)
,
? .
200 1.
11.3.
: , 1993
J92
Jul
Aug
Oct
Nov
Dec
J93
Feb
Mar
Apr
May
Jun
Jul
. , .
.
( ) ,
.
. (, ) , .
,
, . ,
. . 11.5 11.6 . 11.2
11. 201
11.4.
:
, 1993
92
Apr
May
Jun
Jut
Aug
Sep
Oct
Nov
Dec
J93
Mar
11.3, (, ,
). , (. 11.5),
(. 11.6), .
,
, .
, ,
, .
, .
, (, , -
11.5.
: , 1994
- /
J93
Sep
Oct
Nov
Dec
J94
Feb
Mar
Apr
May
N3
11.6.
: , 1993
Sep
Oct
Nov
Dec
J93
204 1.
). ,
/
( )
. , , ,
.
, , ,
.
. 3,
. , .
, ,
. ,
(, ) .
, .
. 11.7 . ,
,
, . , .
, . . 11.8 .
,
. .
,
( II).
, -
11. 205
11.7.
:
, 1994
Apr
JV4
Feb
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
. ,
( III),
,
.
. 11.9
. .
, .
. 6, , .
, -
11.8.
:
, 1992
S91
Oct
Nov
Dec
J92
Feb
Mar
Apr
May
Jun
Jul
: - ( ).
11.9.
: , 1995
J94
Aug
'
Sep
Oct
'
Nov
Dec
J95
Feb
Mar
:
-
).
to
208 1.
. :
;
;
.
, ( )
, , , , ( ) , .
( ),
, .
. 11.10
. , , , , ,
. . . 11.11
,
, , . . 11.12
. (
) , ,
,
.
. 11.13 11.15 . . 11.13 ( ) . (
.) . 11.14 , , , , ,
. , .
. 11.15 . , ,
, .
11.10.
: , 1991
11.11.
N)
: , 1993
N92
Dec
J93
Feb
Jun
Mar
Apr
May
Jul
Aug
Sep
11.12.
: , 1993
93
May
Jun
Ju!
Sep
Okt
Nov
Dec
11.13.
: , 1992
91
Sop
Okt
Nov
Jun
Jul
11.14.
: , 1991
N3
t-
W
12.5
11.15.
: , 1995
N3
11. 215
, ,
, , .
, ,
,
,
, . ( ,
,
, .)
. 6 ,
. , , , , .
( ,
),
.
,
,
.
. 11.16
.
. 11.17
.
. 11.18 ,
, . . 11.19
, .
.
. 11.20 . ,
, . ,
, .
.
N3
11.16.
: , 1994
22
93
Feb
Mar
11.17.
: , 1991
N>
J90
Jul
Jul
Aug
Sep
Okt
Nov
Dec
J94
Fob
Mar
Apr
May
Jun
11.18.
00
: , 1992
F91
Apr
Feb
11.19.
: , 1995
N3
11.20.
: , 1994
11. 221
. 6,
, ,
. , ( ),
,
, , . ,
.
. 11.21 , , , . , , ,
, .
. 11.22 ,
, . , ,
.
.
. 11.23 11.24
. . 11.23
, ,
. ,
. . 11.24 , , ,
.
. 6, , . , ,
, .
11.21.
: , 1993
Sep
Okt
Nov
N)
N
11.22.
: , 1995
to
N5
15.5
12.
0
11.5
11.0
11.23.
: , 1992
11.24.
: , 1994
N)
226 1.
. 11.25, . 6, , , .
, , ,
. . , ,
. . 11.26 ,
, , , .
. 11.27 , , , .
,
. : , ,
, . ,
? , ,
. .
. 11.28 11.30
, .
, . , , .
, , , .
, . 11.28 11.29
, . 11.30
.
; , , .
,
,
.
11.25.
, :
, 1992
N3
11.26.
/ , :
, 1994
N93
Dec
Dec
N
)
N
)
00
11.27.
, ,
: , 1994
N3
Mar
F93
Moy
Sep
Jun
Apr
Okt
Nov
Dec
J94
Fob
to
11.28.
00
, :
, 1992
F91
Apr
Okt
Nov
Dec
J92
Feb
11.29.
/ , :
,
N)
J90
11.30.
, :
, 1993
F92
Apr
May
Sep
Feb
N
W
11. 233
, ,
. ,
, . , .
. 11.31 , , , , .
. .
. 11.31 . ,
. 11.11,
( ),
. , 1993 .
.
. 11.32
. ,
, ,
. , ,
. ,
, , .
. 11.33 ,
. ,
, . . 11.34 ,
.
, . . 11.35 ,
,
. ,
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13.1
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Apr
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524 2.
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15. 557
(RELATIVE STRENGH INDEX)
(RSI) . . (New Concepts in Technical Trading Systems), 1978 .
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586 3.
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4000
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1000
1910
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1930
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1970
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: (1) Perry Kaufman. The New Commodity Trading Systems and Methods.
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1992 ., 1992 .
1993 .
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-
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.
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,
1992 .
. , .
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;
.
17. : 641
17.12.
:
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91
Nov
Dec
192
Mar
Apr
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Jul
Aug
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S ; ()
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17. : 643
17.13.
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Nov
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N = 20, , SMSV. , , ,
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-
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,
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- , .
17. : 647
17.14.
:
( 1981 ., )
D80
J81
Feb
Mar
Apr
Oct
May
Jun
Jul
Aug
Sep
Nov
Dec
9 ( 1). , 10 ,
( 1).
97 ( 2). - , ,
, $1,22 ( 2). ,
25 (.. $9375 ), , , . , 1
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648 4.
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649
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N2 , . , N1 N2 , ( ). N1 = 4, N2 = 2,
,
.
. ,
VR (volatily ratio) k (, / = 2,0). VR
, N (, N = 10).
(PTR Price trigger range). ,
N1
N2 . , PTR
, N2 . ( N2 = 0, PTR
.) PTR
(.. N2 ).
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. PTR .
18. 653
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2. , ,
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PTR
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3. , N2
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PTR. , , PTR, , PTR, . 3 2 1, , PTR ( N2
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.
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N1 , PTR;
N2 , PTR;
k , VR, .
654 4.
. 18.1 .
, ,
.
, ,
1993 . 1995 . , , ,
.
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() S ().
, :
1. , , ,
N1 N2 . ( , PTR
.)
2. , ,
Nl = 4nN2 = 2. ( , PTR
, ,
.)
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PTR, N1 = 0 N2 = 0. ,
PTR ,
.)
, ,
, N1 N2 ( , ). ,
, .
655
18.1.
k
N1
N2
1,6
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
1,6
1,6
1,6
1,6
1,6
1,6
1,6
1,6
2,0
2,0
2,0
2,0
2,0
2,0
2,0
2,0
2,0
2,4
2,4
2,4
2,4
2,4
2,4
2,4
2,4
3
6
0
3
6
0
3
6
0
3
6
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3
6
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3
6
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3
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3
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6
6
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3
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27
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0
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6
6
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3
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6
6
656 4.
,
.
1993 . , 8 (. 18.1).
PTR, , *.
, ,
18 1993 .
(. 18.1).
,
.
, 1993 ., ,
13 1993 .
,
12 1993 . (. 18.2).
,
1993 . .
, ,
, 4 1993 . , , (. 18.2). , , , . , PTR.
,
,
9 . 9 1993 . ,
(. 18.2).
, 29 1994 .,
(. 18.3). ,
PTR, .. 29 1994 ., , 1994 ., , , , ,
, . (,
PTR ,
, .)
18. 657
18.1.
, 1:
: . , S
N1 = 0 N2 = 0; <$>, <> -
N1 = 4 N2 = 2.
658 4.
18.2.
, 2:
11.2
10.8
10.4
: . , S -
N1 = 0 N2 = 0; <>, -
N1 = 4 N2 = 2.
1993 .
(. 18.1), N2 PTR PTR. 1993 . (. 18.1),
PTR, ,
( N2
) , .
1993 . (. 18.2), .
PTR PTR.
18. 659
18.3.
, 3:
: . , S -
N1 = 0 N2 = 0; <>, -
N1 = 4 N2 = 2.
660 4.
18.4.
, 4:
13.8
13.6
13.4
13.2
13.0
12.8
12.6
12.4
12.2
12.0
11.8
11.6
11.4
11.2
11.0
10.8
10.6
10.4
Apr
May
: . , S
N1 = 0 N2 = 0; <>, <^ -
N1 = 4 N2 = 2.
N1 N2, .
, - ,
, , N1 N2.
, PTR, N1 N2, ,
. , , PTR , N1 = 4, N2 = 2 (
. 18.4 ),
1 1994 .
18. 661
, 3 1995 .,
.
, N1 N2, . , , .
, ,
.
,
. ,
, 1993 . 1993 . , ,
(top), . ,
. . 20.
. 6. ,
. , .
,
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.
. :
1. N2 . (-. ,
.)
662 4.
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.)
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1.
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.)
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.)
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2. , ,
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.
3. , ,
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.)
.
18. 663
. ,
.
N1. , .
, N = 3
, , ,
,
.
N2. , ,
,
. ( ,
, ,
.)
. 18.2 .
, ,
.
18.2.
N1
N2
2
3
4
5
6
7
8
9
10
3
3
3
5
5
5
7
7
7
3
4
5
2
3
4
2
3
4
18. 663
. ,
.
N1. , .
, N = 3
, , ,
,
.
N2. , ,
,
. ( ,
, ,
.)
. 18.2 .
, ,
.
18.2.
N1
N2
2
3
4
5
6
7
8
9
10
3
3
3
5
5
5
7
7
7
3
4
5
2
3
4
2
3
4
664 4.
, . 18.5-18.9 , N1 = 5 N2 = 4.
, ,
, . ,
,
1992 . (. 18.5). ,
( ).
, 1993 . (. 18.5).
,
.
, . , , 4 1993 ., . ,
, N1 , . , 1993 .
, .
2 1993 .
(. 18.6) 10 16 ($16 000 ) ! (, )
, . ,
N2 (, 1, 2 3)
1992 . 1993 .
, 1993 ., 1994 . (. 18.7). ,
1993 .
,
. ,
,
.
18. 665
18.5.
(N2 = 4), 1:
$92
Oct
Nov
J93
Fob
Mar
Apr
May
Jun
.
.
1994 .,
,
.
(. 18.7). ,
,
, , ,
(. 18.6 18.7).
, -
666 4.
18.6.
(N2 - 4), 2:
93
May
Jun
Nov
.
.
-
1994 ., - - (. 18.7 18.8). ,
, 10
11 (. 18.8).
, .
: -
18. 667
18.7.
(N2 = 4), 3:
Jun
93
Nov
De
J94
Feb
Mar
Apr
May
. .
, . , , ,
. , .
, N2 = 3 ( 4), (. . 18.10, . 18.6, . 18.11, . 18.8).
18.8.
ON 00
(N2 = 4)., 4:
94
May
Jun
Sep
Oct
Nov
.
.
18.9.
(N2 = 4), 5:
May
110
10
96
95
N94
Dec
J95
Fob
Mar
Apr
.
.
VO
ON
18.10.
(N2 = 3), 1:
116
93
Sep
Oct
.
.
N2 = 3 N2 = 4.
Nov
>J
18.11.
(N2 = 3), 2:
104
93
Sep
00
Nov
.
.
N2 = 3 N2 = 4.
672 4.
. ,
, .
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.
.
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, . .
.
.
.
, . , . .
. ,
N2. ,
, N1 N2-ro . ( , . , .)
18. 673
. , N2. ,
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,
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); .
2. , ,
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.
3. , ,
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N1. , .
N2. ,
.
674 4.
. 18.3 .
.
18.3.
N1
N2
2
3
4
5
6
7
8
9
10
3
3
3
5
5
5
7
7
7
2
3
4
1
2
3
1
2
3
. 18.12-18.16 ,
Nl = 5nN2 = 3.
, ,
,
. ,
, N1
(N1 = 5 ).
1992 . , (. 18.12).
. 1992 . ,
1993 . (. 18.12 18.13).
1993 . 1993 . (. 18.13).
675
, 1 ,
1993 .
(. 18.13). , ,
. ,
, .
1993 . ,
, 1994 ., 1994 . (. 18.14). , , , (. 18.15).
1994 . (. 18.15).
1994 .,
(. 18.16).
.
. , , .
, .
, ,
. ,
, , .
18.12.
, 1:
10S
S92
Oct
Nov
Dec
J93
Feb
Apr
May
Jun
.
.
18.13.
/
, 2:
.
.
18.14.
, 3:
93
Apr
May
Jun
. .
00
18.15.
, 4:
May
. .
ON
18.16.
, 5:
110
9
8
9
7
N94
Dec
J95
May
.
.
00
19
,
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682 4.
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683
..
,
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, , . , , $3,00 () $2,50 . , $2,50
$2,62, . : $3,00
$2,62. ,
38 , ( ) - 12 . .
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,
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.
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= -moio = "
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100 ,
.
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, - $400 ,
1,0% . ,
686 4.
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, . , $404
(1,01 $400 = $404). ,
, .
, , .
, N , N , .
, N,
. ,
20 , N 20. ,
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.
. ;
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.
19.1
( 6).
19.1.
00
00
($/ )*
(1)
(2)
(3)
(4)
(5)
(6)
(7)
5/27/92
1992
338,20
338,20
368,90
5/28/92
5/29/92
6/1/92
6/2/92
1992
1992
1992
1992
337,00
336,40
343,60
345,20
-5,90
-5,90
337,00
336,40
337,70
339,30
367,70
367,10
368,40
370,00
11/27/92
11/30/92
12/1/92
12/2/92
1992
1992
1993
1993
334,00
334,30
339,00
339,80
-5,90
-5,90
-10,00
-10,00
328,10
328,40
329,00
329,80
358,80
359,10
359,70
360,50
5/27/93
5/28/93
1993
1993
381,40
378,30
-10,00
-10,00
371,40
368,30
402,10
399,00
-5,90
-4,10
6/1/93
6/2/93
1993
1993
374,70
374,10
5,6
-15,60
-15,60
359,10
358,50
389,80
389,20
11/29/93
11/30/93
12/1/93
12/2/93
1993
1993
1994
1994
-15,60
-15,60
-21,40
-21,40
358,80
354,20
358,90
357,90
384,50
384,90
389,60
388,60
5/27/94
1994
-21,40
5/31/94
1994
-21,40
6/1/94
1994
384,70 387,10 392,70
-30,70
6/2/94
1994
-9,30 393,20
-30,70
,
.
363,30
365,70
362,00
362,50
394,00
396,40
392,70
393,20
00
690 4.
*.
.
, ,
, ,
. ,
1987-1991 . , . ,
,
, , (1995) 90- (. 19.1). ,
, , ,
.
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. ,
,
, .
,
, ,
.
,
, . ,
, ,
. ( ,
, .)
.
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,
.
. , .
1984
1988
1986
1987
1988
1989
1990
1991
1992
1993
1994
, ,
, . ,
, ,
. . , ,
(, 20 ).
692 4.
,
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,
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.
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.
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(1,01 $400). , -
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.
, Futures 1984 .
696 4.
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. - 1983 .,
, ,
.
1. ,
,
.
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1980 .
1980 . $17 235 (,
$80). $6000
, 287%! , . , , ,
.
,
.
1976 . 1983 .* .
, , , 1973-1975 . ,
.
20.
697
, ,
$20 473. ,
1980 ., $3238 6,5 . , $6000 , 8% 287%
1980 .
. . .
25 1976 . 1983 ., 19
25 . 13 ( )
$22 500, $3000 !
$45 000, $6000
!
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.
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(10, 20, 30, 40 50), 20
(20, 40, 60, 80 100) (, 5, 10 20).
57**.
,
. , (99 + 98 + 97 + ... + 50) 20 = 74 500.
(5 + 4 + 4 + 3 + 3) 3 = 57.
700 4.
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.
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(
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20.1.
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1973-1976 . , .
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20.
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20.2.
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1994,
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, .
3. .
,
. ,
.
, ,
.
,
.
, , N = 7 ,
<5>9,
N = 25 N = 54 ,
. ?
N = 7
, .
, , ,
N = 7. ,
25 < N < 54 , ,
, , .
,
. , , .
.
,
. ,
20. 707
, ,
.
, ,
.
4. . , , , .
, . ,
. , , , ( ). , / , ,
.
, ,
, .
, ,
.
, .
, ,
.
,
. , ?
708 4.
. : , N ;
, N . N: 20, 30, 40, 50, 60, 70, 80, 90 100.
. 20.1-20.10
. ; (19891990; 1991-1992 1993-1994), .
. , ,
, .
, , . ,
1, 2 .. ,
6, , , ,
( ) .
, - ,
, . , ..
,
. 20.1-20.10 , . , . ,
, .
. 20.1-20.10 , .
,
.
, . 20.11-20.14
20. 709
20.1.
( ):
20.2.
( ):
710 4.
20.3.
( ):
8-
1989-1990
1991-1992
1993-1994
20.4.
():
1989 1990
8-
1
2
3
4
5
6
7
8
9
4
7
3
6
8.
19911992
19931994
(D5
6
7
6
3
@
7
4
00
20. 711
20.5.
():
1989-1990
1991-1992
1993-1994
8-
20.6.
():
1989
1990
8-
1
2
3
4
5
6
7
8
9
7
3
4
5
6
(D
19911992
19931994
7
5
@
6
3
4
(2)
6
7
3
5
4
712 4.
20. 713
20.9.
( ):
20.10.
():
714 4.
,
.
,
,
,
. ,
. , , ,
, ( , , ). ,
,
.
. , . , ,
.
, ( ) , ,
. 20.1-20.10, , . , ,
. . 20.15 , , , . 20.1-20.10*.
!
, ,
.
20.11.
715
/ ($) 1989-1990:
-'|!.\---:;*:.-^:.
6670
7780
11840
3390
5850
7650
1640
4970
2090
4240
,'*$'
V-'
-9090
-2180
1420
3020
9240
1700
5330
1760
-2190
-7160
850
4170
5390
8130
1080
3050
3380
-590
-740
-20
-840
6340
8420
-320
1630
6430
-2730
4740
-3290
-5560
'\
^-
20.12.
/ ($) 1991-1992:
3710
9180
3340
1370
-720
5510
560
-2420
1380
810
22700
.
.
-1820
1680
-240
90
-1890
-980
-480
-6090
-160
-1690
. -tim-'
-420
4770
-1670
-1050
-1640
1540
-440
-4650
-340
-1410
-5010
-2920
9180
-3620
1370
-1780
4290
340
-3190
1380
-1850
3200
20. 709
20.1.
( ):
8-
1989-1990
1991-1992
1993-1994
20.2.
( ):
8-
1989-1990
1991-1992
1993-1994
710 4.
20.3.
( ):
8-
1989-1990
1991-1992
1993-1994
20.4.
():
1989 1990
8-
1
2
3
4
5
6
7
8
9
4
7
d)3
6
19911992
19931994
(D5
6
7
6
3
7
4
(1)
(D
3
5
(D
20. 711
20.5.
():
8-
1989-1990
1991-1992
1993-1994
20.6.
():
1989
1990
8-
19911992
19931994
2
3
4
5
6
(f)
7
3
4
7
5
7
8
9
5
6
3
5
4
3
4
(D
67
712 4.
20.7.
():
1989-1990
8-
2
3
5
6
7
8
6
5
(D
1991-1992
3
5
7
4
6
3
5
6
(2)
4
1993-1994
?)
20.8.
( ):
1989-1990
8-
1991-1992
1993-1994
20. 713
20.9.
( ):
1989-1990
8-
1991-1992
1993-1994
20.10.
():
1989-1990
8-
1991-1992
1993-1994
714 4.
,
.
,
,
. ,
. , , ,
, ( , , ). ,
,
.
. , . , ,
.
, ( ) , ,
. 20.1-20.10, , . , ,
. . 20.15 , , , . 20.1-20.10*.
!
,
,
.
20.11.
715
/ ($) 1989-1990:
6670
-9090
-2180
1420
7780
11840
3390
5850
7650
1640
4970
2090
4240
3020
9240
1700
5330
1760
-2190
-7160
850
4170
5390
8130
1080
3050
3380
-590
-740
-20
-840
6340
8420
-320
1630
6430
-2730
4740
-3290
-5560
20.12.
/ ($) 1991-1992:
3710
.
.
-1820
-420
-2920
9180
3340
1370
-720
5510
560
-2420
1380
810
1680
-240
90
-1890
-980
-480
-6090
-160
-1690
4770
-1670
-1050
-1640
1540
-440
-4650
-340
-1410
9180
-3620
1370
-1780
4290
340
-3190
1380
-1850
22760
-ti^tft
-5010
3200
716
20.13
/ ($) 1993-1994:
1160
3500
6210
3620
490
1600
2200
1910
2120
1600
880
-3660
2460
-1900
-3650
2200
1910
1570
950
570
7180
7910
-3300
260
-1460
-2690
-1700
640
-240
500
-550
-1410
-3060
-930
-790
-890
-1030
-2060
1600
-240
20.14.
/ ($)
:
21980
23170
18800
5250
6730
15360
4110
4670
5070
5930
-7410
1040
11460
-110
-210
2980
-760
-11680
1640
3060
'*>||| ;,_
3950
6410
6860
14110
6720
1740
-1430
120
-1280
-940
3220
9830
-390
-3420
-5330
-510
140
-310
-2800
-7650
20. 717
, ,
,
, ,
. () 4,5 ( 9). ,
,
. . 20.15,
, , . 3,3, , 4,5. , ,
,
(2,3). , , (2 8), : 4,7 5,0.
,
( ),
, -, , , . . 20.16
,
( , . 20.15).
. 20.16, !
: N = 20.
N = 20 ( ),
( N = 30 N = 100) . , N = 80
1,3. N (6,7 3,3) , N = 80, , .
, , , ,
, , .
718 4.
20.15.
():
8 1989-1990
1
1
2
3
4
5
6
7
8
9
5
3
2
4
6
7
8
9
1991-1992
7
1993-1994
2
1
6
4
8
3
5
2
9
8
4
1
6
7
3
5
9
3,3
4,7
4,3
2,3
6,0
5,3
5,0
5,0
9,0
20.16
():
, N
N
1989-1990
9
8
7
6
4
5
1
2
3
1991-1992
9
2
5
3
6
7
1
4
8
1993-1994
9
5
3
1
6
8
2
4
7
20
30
40
50
60
70
80
90
100
9,0
5,0
5,0
3,3
5,3
6,7
1,3
3,3
6,0
20. 719
, .
,
.
,
,
.
, ,
.
,
,
. ,
,
: N = 20. ,
N
N.
(N = 20
), ,
( N = 30 N = 100 ).
, , , *:
1. , , , . -
, ,
,
: , , , .
, , , , .
720 4.
( , ). , , .
2. , ,
. ,
, ,
.
3. , ,
.
4. - ,
,
.
, .
5.
.
(,
, ,
).
, ,
: ,
? , : , . -, ,
, (, N # 20
). , ,
. , ,
, , , , , ,
, , .
20. 721
?
, , , .
,
. ,
.
, , ,
. , , .
,
(.. ), , .
, ? .
,
.
. , .
, ,
, , , . (..
, ). , ; ,
1981-1988 . , , 1989-1990 . 1983-1990 . -
722 4.
, 1991-1992 . , 1985-1992
. , 1993-1994 .
, . , , ,
.
, . , . ,
. ,
. , , , . ,
- ( ),
(
).
, ,
,
. , , , . .
:
(simulated results) ( , , (blind simulation)). ,
, ,
, .. .
.
20. 723
, ,
. , ,
, ,
, , . , , , , ,
.
, ( ).
Economics 101, , . , ,
, (, ) (, 16 1), (,
) . , 16 , 16 1 ,
( ).
:
. ,
,
. ,
.
, 200, 400 600% . ( ) 100%
. $100 000 !
? :
. ,
.
- ,
, , . () () .
724 4.
?
.
1. .
,
. , 25
15 100
, 37 500
(25 15 100).
, 37 500
. ,
37 500 ,
, ?
2. .
,
,
.
3. .
(
). ,
,
,
. ,
, .
4. .
, ,
.
5. , , .
(
)
. , -
, ,
(
)
.
,
,
.
6. .
-
20.
725
, ( , -).
, , .
7. .
,
, .
, $299, .
Commodity Traders Consumers Report
$299.
, . , ,
. , . , , - . , , S&P
16 1987 . -
? ,
, ( , ),
.
, , , , , ,
,
. ,
. , , . ,
,
. :
(, ),
726 4.
, ,
.
, .
,
. .
-, , . , ,
,
. -,
,
(, )*.
.
. ,
, , ,
, ,
,
.
. , , , , , , . , ,
,
.
,
. , ,
. ,
( )
. , .
20.
727
: .
, - .
, , . , ,
, , . , . , , ,
, - .
, .
, ,
, ,
. ,
. , ,
. ,
, .
: , , , $3000 ,
. ,
,
$1000 ,
. ( ,
$2000
$1000 . , , $1000 ,
($2000 ) $1000 .) : , ,
.
1. , . : (
).
728 4.
2.
3.
4.
5.
6.
7.
8.
9.
,
.
.
,
.
.
.
.
. (
,
.) .
,
,
.
, , .
, :
. ;
.
.
: , , , ;
, ; , . . . , , ,
, ,
.
,
7 8. , ,
:
20.
729
. , ;
. ,
.
10.
,
. (
.)
11. ,
,
. ( .)
12.
(,
) .
,
/ ,
, , .
, , . , 12. , .
1. ,
(, ,
)
.
,
: . ,
(,
,
, ,
, ),
.
2. .
, -
730 4.
3.
4.
5.
6.
7.
8.
9.
.
.
, :
.
,
. 1994 . (. . 1.2)
1979-1980 . (. . 1.1)
,
.
,
, .
,
. ,
,
,
. (
,
,
.)
,
,
.
,
.
,
.
.
( ) , ,
. ,
, ,
.
,
20. 731
20.3.
, ,
:
,
. , ,
.
10. - ,
.
.
11. ,
,
.
12. ,
, . , , , -
732
1992 . (. 20.3),
, ,
.
.
14
.
14 !
, .
,
. , .
(, ,
, ).
13.
.
14.
(
).
15.
, .
16. ,
, (
) ,
.
21
,
X./I.
*
, **.
,
. . 21.1***.
, , , ,
.
.
Alternative to Sharpe Ratio Better Measure of Performance, Futures, p. 56-57,
March 1985.
,
( ), (commodity trading
advisors ). , , .
,
.
, . , , .
734 4.
21.1.
, ,
, . , , ( ), . , , 25-50% , , , , , .
,
,
. ,
/ ( ),
, , - . (-
21. 735
,
/ 0,15-0,35.)
, .
, .
.
:
E-I
SR = sd
,
/ , sd
.
. ,
. ,
,
.
/ , , . , ,
, ,
.
, . :
sd =
1=1
N
l
X ,
X. , N
.
736 4.
N . , , N = 36.
( ). , , . , . , , .
. 21.2
, .
, .
,
. ,
. , (, , ). , ,
,
.
, , .
. ,
:
1. , ,
,
.
2. ,
/. ( ,
,
,
.) ,
SR = E/scf.
21. 737
21.2.
,
/ ,
. ,
, .
, , :
,
( ). .
E/sd , , . , . ,
738 4.
, , *.
, ,
. - .
,
**
1. . ( ), , ,
. ,
, 40% , 6
30%. , ,
60% (12 5%).
, , -11%.
, ,
,
$0,8858((1,40)6 (0,70)6 = 0,8858).
, ,
, , , .
, ( -
, ( , ). , . , ,
,
. ,
, ,
.
. Alternative to Sharpe Ratio
Better Measure of Performance, Futures, p. 57-58, March 1985.
21. 739
) , ,
.
,
,
.
2.
.
, . .
, , .. ,
. , ,
,
.
. 21.3
,
, D, .
, D
,
, D (. ). ,
, .
3.
.
( )
.
. 21.4 $100 000,
F.
$48 000, $24 000 .
$8000 $4000, F $48 000 12 $96 000 .
. , , . , F
.
740
21.3.
,
,
21 .
,
741
21.1.
2000
2000
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
1000
0
0
1000
0
8000
0
0
0
1000
1000
0
0
1000
0
8000
0
1000
0
0
1000
0
1000
1000
1000
1000
2000
2000
10000
10000
10000
10000
11000
12000
12000
12000
13000
13000
21000
21000
22000
22000
22000
23000
23000
24000
2000
2000
2000
2000
-2000
2000
2000
2000
-2000
-2000
-2000
2000
2000
2000
2000
2000
-2000
-2000
2000
2000
2000
2000
2000
4000
6000
8000
10000
8000
10000
12000
14000
12000
10000
8000
10000
12000
14000
16000
18000
16000
14000
16000
18000
20000
22000
24000
= 1000
= 1000
24,000
V12.
= 1,57
742 4.
21.1. ()
24,000
2
SRD--------------------,
=1,96 .
,
, , 12. , -J12 .*
(RETURN
RETRACEMENT RATIO RRR)
RRR , ,
. , RRR . RRR (R), (average maximum retracement measure AMR):
RRR
AMR
() ,
(,/12 ).
,
(Vl2 ). , , (, )
(, ), (,
12). ,
, ( ).
21. 743
R ,
, , . , R , . AMR
(MR),
MR :
1.
(MRPP),
2.
(MRSL).
, MRPP ,
.
(, )
MRPP ,
, .
MRPP ,
, ( ).
, , ,
MRPP . ,
MRPP, ,
,
.
, MRSL
.
(, ) MRSL , , , .. ,
. , ,
MRSL . ,
MRSL, ,
, , ,
( )
.
MRPP MRSL . , . , MR
MRPP MRSL.
MR (, ). AMR
744 4.
. ,
, .
RRR :
RRR=
AMR
R
( );
E, i,
, i , ,
_! ,
i, ME,
i
.
, MRPP, ,
MRSL, .
R -
*:
R, R = 0,30, .
Alternative to Sharpe Ratio Better Measure of Performance, Futures, p. 58, March
1985.
21. 745
, $100 000 $285 610 ,
30%*:
RRR ,
. ,
.
, , ?
, RRR
, *,
.
Excel RRR
Schwager on Futures: Managed Trading.
746 4.
,
, ,
,
. ,
$50 000, , $200 000.
,
(.. ), , :
1. /
,
**.
2.
,
. ,
$200 000,
+4, -2, -3 +6%,
:
= $200 000.
1 = (200 000) (1,04) = $208 000.
2 = (200 000) (1,04) (0,98) = $203 840.
3 = (200 000) (1,04) (0,98) (0,97) = $197 725.
4 = (200 000) (1,04) (0,98) (0,97) (1,06) = $209 588.
, R AMR
RRR .
,
,
, RRR, . ,
, , RRR .
,
. ,
, ,
, . ( ,
, .) ,
/ .
21. 747
. , ,
RRR . RRR ,
.
/
(GAIN TO PAIN)
/ (AGRP) RRR. AGRP
:
AGRP = AAR/AAMR,
AAR ,
AAMR ,
(
)
.
RRR , AGPR, , (, ).
, AGRP, ,
. , AGRP,
3, , ,
( ).
, , , ,
. (ML) -
748 4.
MRSL ( MRPH,, )
ML = (),
MRSL,.
.
ML
/, , ,
. , - ML . ,
ML . , ML - ( RRR).
,
, :
1. .
(ENPPT)
:
% ,
%L , ,
, AL
.
,
ENPPT ,
(- , ..). , ENPPT $50,
, ,
. ENPPT
, .
21. 749
ENPPT , ,
. , ,
$2000, , ,
100
ENPPT $1000 ( ).
/, .
/, (TBPLR),
:
(%)() :
(%L)(AL) '
. TBPLR
, , , ,
. TBPLR
: (1) ENPPT, . ,
:
,
$
,
$
400
200
75
25
200
100
50
50
TBPLR
, (
, ). , : 100 , 10, (AMR) , , ,
. ,
*.
= (ENPPT x N) / F, N , a F
( ).
= (250 x 10)/F,
= (50 100) / F.
750 4.
(2) TBPLR (
). , , ,
TBPLR , ,
.
, ,
. (3) TBPLR ,
.
?
RRR (AMR)
, , ,
( ) -. RRR, , . RRR,
,
. RRR,
, , .
, RRR , , ,
. : , RRR . ,
, . RRR .
ENPPT, ,
. (MR),
. , AGPR , .
21. 751
/
/ ,
.
,
. :
G ,
R (, sd, AMR, ML), F
, .
F
. F , .
F = kR,
( ).
,
, G/R . ,
/, .
k, , ,
. , ,
752 4.
, , ,
( = R/F = R/kR = l/k).
/ , .
, ,
. , , /, ,
. ( ,
, ..
,
.) ,
. ,
,
/. ( ,
, . , , .)
, , :
, $
, $
, $
10000
50000
20000
100 000
80000
100 000
0,625
0,50
, , ( ). , ,
, . ,
,
10% 1,3 .
21. 753
$54 000,
($50 000 (1,3 $80 000)], $16 000, .
, *.
:
, $
, $
, $
20000
5000
20000
100 000
4000
100 000
1,25
1,0
D ,
.
, . ,
.
, 0,93
,
82% (,
)**.
: .
, $100 000.
, , . , $25 000
, $100 000
, ($12 500).
:
, , . , ( , $100 000)
.
( , , ), ,
,
. ,
$400 000 $500 000 D
, $100 000
, ($25 000).
754 4.
, ,
. *:
, $
, $
, $
10000
50000
2000
100 000
5,0
12500
100 000
4,0
( )
F, , . ,
, F. ,
, 3
0,139%. F:
= $12500/ (12,5%) $4000/ (4%) . ,
**.
(
, .)
,
, .
, ,
, , .
.
, . 699.
21. 755
.
.
1. (net asset value). (NAV) (
), ,
$1000. , NAV 2000 ,
. NAV 1000. :
,
+10%, -10% +20%, NAV :
756 4.
,
NAV, , , , .
NAV ,
. , , NAV.
, ,
:
,
1
+11%
2
3
4
5
+21%
+31%
+41%
+51%
-1%
-11%
-21%
-31%
-41%
NAV
(1000)(1, 11)6(0,99)6 = 1760
(1000)(1, 2 1)6(0,89)6
(1000)(1,31)6(0,79)6
(1000)(1,41)6(0,69)6
(1000)(1,51)6(0,59)6
= 1560
= 1230
= 850
= 500
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