Джек Швагер. Технический Анализ. Полный Курс

Technical
Analysis
Jack D. Schwager
John Wiley & Sons, Inc.

New York Chichester Brisbane Toronto Singapore

6-
2009
336.76.003.12
65.261
33
. . 1-12, 14
. . 13, 15-24
.
33 . / . 6- . .:
, 2009. 804 .
ISBN 978-5-9614-1014-3
,
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336.76.003.12
65.261
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John Wiley & Sons, Inc., 1996. All Rights Reserved.

, ,
ISBN 978-5-9614-1014-3 (.) . , 2008.
ISBN 0-471-02051-6 (.) John Wiley & Sons, Ltd.

.......................................................... 12
........................................................................................... 14
.............................................................................. 15
I. ............................................................... 17
1. :
?......................................................... 19
2. ........................................................................... 33
........................................................... 33
:

.................... 37
.............................................................. 39
- ............................................................. 41
................................................................ 43
3. .................................................................................. 45

.............................. 45
( ) .............................................. 55
.................................................. 63
........................................................... 73
4. .................................................................. 79
: ................ 79
............................................. 82
5. ..................................................... 87
........................................................... 87
................ 90

............................................. 97
,
......................................... 97
............................................ 103
6
6. ................................................................ 105
........................................................ 105
(continuation patterns) .................. 124
.................................................... 134
7. ? ............................. 153
8.
.......................................................... 159
9. (stop-loss points) ......................... 167
10.
.................................... 175

.......................................................... 175
(measured move) .......................... 176
................................................................. 182
............................... 184
/
(overbought/oversold) ....................................................... 184
.......................................... 190
............................................... 198
......................................................... 198
............................................... 198
11. ....................... 199
............................................................... 199
................................. 199
.......................................... 206
...................................................... 207
....................... 217
................ 223
,
....................................... 223

,
.......................... 228
................................... 241
() .............................. 252
7
............ 252
....................................................................... 253
12.
:

................................ 255

...................................................... 255

................................................. 256

......... 261
....................................................................... 265
13.
( ( )) ...................... 293

? ........................................... 295

............................................................. 297
....................................................................... 312
( ) ............................................ 313
II.
................................................... 323
14. ................................. 325

............................................... 326
III. ........................................... 537
15. ( . ) ........................................... 539

.............................. 540

(the momentum oscillator) ................................................. 544
8
(rate of change) ...................................... 545

-
(moving average convergence-divergence) .......................... 545
(relative strengh index) ....... 561
(stochastic) .......................... 562

(the moving average channel)............................................. 563
-M -W
(micro-M tops and micro-W bottoms) ................................. 570
....................................................................... 574
16.
( ) ................................................ 575
? ............................ 575
........................................... 578
..................................................... 580

........................... 582
................................... 608
....................................................................... 612
IV.
..................................... 613
17. :
......................................................... 615
......... 615
........... 616
............................................... 617
...................................... 618

................... 629

........................... 633
............................................ 643
............................................................... 646

......................................... 649
9
18. .............................. 651

? ..................... 651
.................................. 652
..................................................................... 653
...................................... 662

..................................................................... 672
....................................................................... 680
19.
.......................................... 681

.......................... 681
................................ 682

() ....... 683
.................................................. 686
................... 691
....................................................................... 693
20. ..................... 695
................................... 695
................................... 698
....................................................... 701
.............................................. 701
...................................... 703
........................................................ 704
....................................................... 707
?............................................ 720
.............................. 722
......................... 725
.................................................... 726

................................... 727
............................ 729
21. .................................. 733
......................... 733
10
........................................................ 735
............................... 738

(Return Retracement Ratio RRR) ................................... 742
/
(Gain to Pain) ..................................................................... 747
........................... 747
,
..................................................... 748

? ...................................................... 750
/

............................................. 750
............ 754
....................................................................... 757
V. .................... 761
22. ................................................... 763

1: ....................... 763
2: ................................. 764
3: ................ 765
4:
.................... 769
5: .................................. 769
6: ................................. 772
7: .................................. 772
23.
................................................. 775
............................................................... 776

( )..................................................... 778

( )..................................................... 779
........ 780
11
............................................ 782
................................................................ 783
............................................................ 786
24. ....................................................................... 787

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4.6.
:
,
J93 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J94 Feb Mar Apr May Jun
4.7.
:
,
83 F M A M J J A S O N D 84 F M A M J J A S O N D 85 F M A M J J A S O N D 86 F M A M J J A S O N D 87F M A M J J A S O N D 88
4.8.
:
, 1993
J92 Jul Aug Sep Oct Nov Dec J93 Feb Mar Apr May Jun Jul
4.9.
:
, 1990
M 9 0 A p r M a y J u n J u l A u g S e p
4.10.
:
, 1990
D89 J90 Feb Mar Apr May Jun Jul Aug Sep Oct
5

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,
5.2.

:
, 1993
5.3.

: ,
1992
5.4.

: ,

J92 Jul Aug Sep Oct Nov Dec J93 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J94
90 I.

-
, .
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, 1988 .
1985 ., 1989 . -
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90 N D 91 F M A M J J A S O N D 92 F M A M J J A S O N D 93 F
94 I.
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90 N D 91 F M A M J J A S O N D 92 F M A M J J A S O N D 93 F
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12600
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.
(Gaps)
,

. :
1. (Common Gap).
. . 6.16.3
,
.
2. (Breakaway Gap). -
, -
, , (. 6.1 6.2).
,
,
.
3. (Runaway Gap). ,
. -
. -

(. 6.16.3).
106 I.
4. (Exhaustion Gap).
, -
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6. 107
6.1.
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M 9 4 A p r M a y J u n J u l A u g S e p O c t N o v D e c
2. .
3. , .
,
.
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-
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108 I.
6.2.
:
, 1995
D93 J94 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J95
() (-
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1. Ht Max(Ht 1, Ht + 1) > k ADTR,

6. 109
6.3.
:
, 1992

M91 Jun Jul Aug Sep Oct Nov Dec J92 Feb Mar Apr
Ht ;
Ht 1 ;
Ht + 1 ;
k (, k = 0,75);
ADTR
10 *.
2. Ht Ct > 3 (Ct Lt),
Ct ;
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* -
.
.
. (
. 3, . 61.)
110 I.
6.4.
: , 1995
F94 Mar Apr May Jun Jul Aug Sep Oct Nov Dec J95 Feb Mar
3. Ht >
N ,
N (, N = 50).
,

10 ( k = 0,75).
, -
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,
50 , , -
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6. 111
6.5.
: , 1991
J90 Aug Sep Oct Nov Dec J91 Feb Mar Apr May Jun Jul
(Reversal Days)
(reversal high day) -

: ,
,
. ,
(reversal low day) , -
,
.
,
.

, , -
, . ,
, -
, . ,
:
112 I.
6.6.
: , 1991
M 9 0 A p r M a y J u n J u l A u g S e p O c t N o v D e c J 9 1 F e b M a r
,
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6. 113
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!: , 1994
O 9 3 N o v D e c J 9 4 F e b M a r A p r M a y J u n J u l
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6. 115
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:
, 1994
Mar -94 Apr May Jun Jul Aug Sep Oct
,
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,
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. -
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116 I.
(Thrust Days)
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.

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6. 117
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118 I.
6.11.
:
, 1994
Jan-94 February March April May
: ; .
, , -
, (. 6.12).
, -
, (. 6.13). . 18

.

(Wide-Ranging Days)
, -
. -
.
6. 119
6.12.
:
, 1993
Nov-92 December Jan-93 February March
: U ; D .
. ,
(volatility ratio VR) k (, k = 2,0). VR
, -
N- (, N = 15).
. ,
, -
,
. . 6.146.16
,
. . 6.16
,
.
-
, ,
120 I.
6.13.
: , 1991
A 9 0 M a y J u n J u l A u g S e p O c t N o v D e c
: U ; D .
. . 6.17 6.18
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,
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,
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, , ,
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.18
.
6.14.
:
, 1994
6.15.
: , 1993
6.16.
: , 1993

6.17.
:
,
F91 Mar Apr May Jun Jul Aug Sep Oct Nov Dec J92 Feb Mar
6.18.
:
, 1993
6.19.
:
,
-

124 I.

(CONTINUATION PATTERNS)
,
. ,
,
, .
(Triangles)
: -
(. 6.20 6.21), (. 6.22 6.23)
(. 6.24 6.25). -
, . -
,
. -
, .
, . 6.26, -
1994 . , ,
.
(Flags and Pennants)

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6.20.
:
,
M93 Apr May Jun Jul Aug Sep Oct Nov Dec J94 Feb Mar Apr May Jun
6.21.
:
,
6.22.
: , 1992
J91 Aug Sep Oct Nov Dec J92 Feb Mar Apr May Jun Jul Aug Sep
6.23.
: , 1992

6.24.
:
,
M88 Apr May Jun Jul Aug Sep Oct Nov Dec J89 Feb Mar Apr May Jun Jul
6.25.
:
,
O92 Nov Dec J93 Feb Mar Apr May Jun Jul Aug Sep Oct
128 I.
6.26.
:
, 1995
J93 Jul Aug Sep Oct Nov Dec J94 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
.
( )
.
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,
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,
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6. 129
6.27.
: , 1995
A94 May Jun Jul Aug Sep Oct Nov Dec J95 Feb Mar
. ,
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6.28.
: , 1992

,
-

6.29.

: , 1990
J 9 5 F e b M a r A p r M a y J u n J u l A u g S e p
6.30.

: , 1994
6.31.

: , 1993
A u g S e p O c t N o v D e c J 9 4 F e b M a r A p r M a y J u n J u l
6.32.

: , 1993
A 9 2 S e p O c t N o v D e c J 9 3 F e b M a r A p r M a y J u n J u l
6.33.

:
,
M90 Jun Jul Aug Sep Oct Nov Dec J91 Feb Mar Apr May Jun Jul
6.34.

:
,
J91 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J94 Feb
6.35.

: , 1994
134 I.
6.36.

:
, 1994
N93 Dec J94 Feb Mar Apr May Jun Jul Aug Sep Oct Nov

V-
V- (. 6.37)
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92 J A S O N D 93 F M A M J J A S O N D 94 F M A M J J
6.38.
V- :
,
V-

M92 Jun Jul Aug Sep Oct Nov Dec J93 Feb Mar Apr May
136 I.
, ,
-
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,
6.39.
:
,

A92 May Jun Jul Aug Sep Oct Nov Dec J93 Feb Mar Apr May Jun Jul
6.40.
:
10- ,

90 M A M J J A S O N D 91 F M A M J J A S O N D 92 F M A M J J A S O N D 93F M A M J J A S O N D 94F M A M J J A S O N D 95 F M A M J J
6.41.
:
,
6.42.
:
,

6.43.
:
,

O90 Nov Dec J91 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J92 Feb Mar
6.44.
: , 1995

O90 Nov Dec J91 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J92 Feb Mar
140 I.
6.45.
: , 1993

O 9 2 N o v D e c J 9 3 F e b M a r A p r M a y J u n
(. 6.46). , -
,
(. 6.47). , -

,
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,
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. ,

.
6.46.
: , 1991
J 9 0 J u l A u g S e p O c t N o v D e c J 9 1 F e b
6.47.
: , 1992
142 I.
,
;
, . . 6.49 -
-
. . 6.50 ,
:

. . 6.51 ,
.
. ( , . 6.51
,
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.
(Triangles)
,
, . . 6.54 6.55
. ,
.
(Wedge)

(. 6.56 6.57). ,
,
.
, .
. 6.58 . -
. . 6.59 6.60 -
,
.
, -
.
(Island Reversal)
,
,
.
6.48.
:

MATIF
A 9 3 S e p O c t N o v D e c J 9 4 F e b M a r A p r
6.49.
: , 1994
S93 Oct Nov Dec J94 Feb Mar Apr May Jun Jul Aug
6.50.
: , 1995
J94 Aug Sep Oct Nov Dec J95 Feb Mar Apr May
6.51.
:
,
A93 May Jun Jul Aug Sep Oct Nov Dec J94 Feb Mar Apr May Jun Jul Aug
6.52.
: , 1994
J93 Jul Aug Sep Oct Nov Dec J94 Feb Mar Apr May
6.53.
: , 1992
S 9 1 O c t N o v D e c J 9 2 F e b M a r A p r M a y J u n J u l
6.54.
: , 1991
F 9 1 M a r A p r M a y J u n J u l A u g S e p
6.55.
:
, 1995.
6.56.
: , 1993
A92 Sep Oct Nov Dec J93 Feb Mar Apr May Jun Jul
6.57.
:
,
F91 Mar Apr May Jun Jul Aug Sep Oct Nov Dec J92 Feb Mar Apr May Jun
6.58.
:
,
M93 Apr May Jun Jul Aug Sep Oct Nov Dec J94 Feb Mar Apr May Jun Jul
6.59.
: ,

6. 149
6.60.
: ,

. 6.61 6.62 ,
- ,
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,
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35
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150 I.
6.61.
: , 1994
M 9 4 A p r M a y J u n J u l A u g S e p O c t N o v
.
, , ,
, -
.
, -
, ,
.
6.62.
: , 1994
S93 Oct Nov Dec J94 Feb Mar Apr May Jun Jul Aug Sep Oct
6.63.
: , 1994
6.64.
: , 1992
6.65.
: , 1992
A92 May Jun Jul Aug Sep Oct Nov Dec

7
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1992 . (. 7.1), -
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1991 .

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156 I.
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7.1.
:
, 1992
M90 Apr May Jun Jul Aug Sep Oct Nov Dec J91
7.2.
:
, 1992
M90 Apr May Jun Jul Aug Sep Oct Nov Dec J91 Feb Mar Apr May
7.3.

: , 1992

90 D 91 F M A M J J A S O N D 92 F M A M J J A S
7.4.
:
,

8

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160 I.
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O 9 3 N o v D e c J 9 4 F e b M a r A p r M a y
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1995 . ,
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8. 163
8.3.
50%- :
, 1994

50%-

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1994 . , , -
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8.4.
: , 1995
RD

M94 Jun Jul Aug Sep Oct Nov Dec J95 Feb
8.5.

: , 1995
M94 Jun Jul Aug Sep Oct Nov Dec J95 Feb Mar
8.6.
:
, 1994
6525
6475
6425
6375
6325
6275
6225
6175
6125
6075
6025
5975
5925
5875
5825
5775
5725
5675
5625
N D 9 4 F M A M J J A S
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.
9

(stop-loss points)
.
,
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(stop-loss liquidation point) -
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GTC (good till canceled), ,
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1994 . , -

(. 9.1).
168 I.
9.1.

:
, 1994
O93 Nov Dec J94 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
,
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,
.
1. . -
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.
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9. (stop-loss points) 169
9.2.

:
, 1995
M 9 4 A p r M a y J u n J u l A u g S e p O c t N o v D e c J 9 5 F e b
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2. . -
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9. (stop-loss points) 171
9.3.

: , 1994

.
( -
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$15 000 ( -
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, ,
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.
172 I.
.
(trailing stop).
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M 9 4 J u n J u l A u g S e p O c t N o v D e c J 9 5 F e b M a r
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9.6.
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10. 177
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178 I.
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O93 Nov Dec J94 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J95 Feb Mar Apr May Jun
10.4.
: , 1994
O 9 3 N o v D e c J 9 4 F e b M a r A p r M a y J u n J u l A u g S e p
10.5.
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O 9 3 J u l A u g S e p O c t N o v D e c J 9 4 F e b M a r A p r M a y J u n
182 I.
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10. 183
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184 I.
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(J. Welles Wilder, Jr., New Concepts in Technical Trading
Systems. Winston-Salem, North Carolina: Hunter Publishing Co., 1978).
10.8.
:
, 1994

-
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D 9 3 J 9 4 F e b M a r A p r M a y J u n J u l A u g S e p O c t N o v D e c
10.9.
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O93 Nov Dec J94 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J95 Feb
10.10.
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3000
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2800
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M J J A S O N D 9 5 F M
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10. 191
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Sep-94 October November December Jan-95
: 1 9 ; 1 13 .
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10.14.
: , 1994
Sep-93 October November December Jan-94
: 1 9 ; 1 13 .
: , CQG.
10.15.
: , 1995

( )
Now-93 December Jan-95 February
: 1 9 ; 1 13 .
: , CQG.
196 I.
10.16.
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D92 J93 Feb Mar Apr May Jun Jul Aug Sep Oct
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11.6.
: , 1993
J 9 2 J u l A u g S e p O c t N o v D e c J 9 3 F e b M a r A p r M a y J u n J u l
206 I.
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11.9.
: , 1995
J 9 4 A u g S e p O c t N o v D e c J 9 5 F e b M a r
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210 I.
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11.11.
: , 1993
11.12.
: , 1993
M 9 3 A p r M a y J u n J u l A u g S e p O k t N o v D e c
11.13.
: , 1992
A 9 1 S e p O k t N o v D e c J 9 2 F e b M a r A p r M a y J u n J u l
11.14.
: , 1991
-
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J 9 0 J u l A u g S e p O k t N o v D e c J 9 1 F e b M a r A p r M a y J u n Jul
11.15.
: , 1995
D93 J94 Feb Mar Apr May Jun Jul Aug Sep Okt Nov Dec J95 Feb Mar
11. 217
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11.16.
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11.17.
: , 1991
J 9 0 J u l A u g S e p O k t N o v D e c J 9 4 F e b M a r A p r M a y J u n J u l
11.18.
: , 1992
F 9 1 M a r A p r M a y J u n J u l A u g S e p O k t N o v D e c J 9 4 F e b M a r
11.19.
: , 1995
J 9 4 F e b M a r A p r M a y J u n J u l A u g S e p O k t N o v D e c J 9 5 F e b
11.20.
: , 1994

-
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J 9 3 J u l A u g S e p O k t N o v D e c J 9 5 F e b M a r
11. 223
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J 9 3 F e b M a r A p r M a y J u n J u l A u g S e p O k t N o v
11.22.
: , 1995
A94 May Jun Jul Aug Sep Okt Nov Dec J95 Feb Mar
11.23.
: , 1992
D 9 1 J 9 2 F e b M a r A p r M a y J u n J u l A u g S e p O k t N o v
11.24.
: , 1994
J 9 3 A u g S e p O k t N o v D e c J 9 4 F e b M a r A p r M a y J u n
228 I.
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11.26.
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11.32.
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: , 1993
11.33.
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: , 1992
N 9 1 D e c J 9 2 F e b M a r A p r M a y J u n J u l A u g S e p O k t N o v D e c
11.34.
,
: , 1993
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D 9 2 J 9 3 F e b M a r A p r M a y J u n J u l
11.35.
,
: , 1992
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M 9 1 A p r M a y J u n J u l A u g S e p O k t N o v D e c J 9 2 F e b M a r
11. 241
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11.37.
: , 1994
1994 .,
. 11.36
11.38.
: ,
A91 May Jun Jul Aug Sep Okt Nov Dec J92 Feb Mar Apr May Jun Jul Aug Sep Okt Nov
11.39.
: , 1995
D93 J94 Feb Mar Apr May Jun Jul Aug Sep Okt Nov Dec J95 Feb Mar
11.40.
: , 1993
J 9 2 A u g S e p O k t N o v D e c J 9 3 F e b M a r A p r M a y J u n
11.41.
:
,
J 9 1 A u g S e p O k t N o v D e c J 9 2 F e b M a r A p r M a y J u n J u l A u g
11.42.
: , 1993
A 9 2 S e p O k t N o v D e c J 9 3 F e b M a r A p r M a y J u n J u l
11.43.
: , 1991
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J 9 0 J u l A u g S e p O k t N o v D e c J 9 1 F e b M a r A p r M a y J u n
11.44.
: , 1995
J 9 4 F e b M a r A p r M a y J u n J u l A u g S e p O k t N o v D e c J 9 5
11.45.
:
,

-
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A92 Sep Okt Nov Dec J93 Feb Mar Apr May Jun Jul Aug Sep Okt Nov Dec J94 Feb Mar Apr
252 I.
11.46.
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()
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* - Daiwa Securities America,

Inc., -. Japanese Candlestick Charting
Techniques. Beyond Candlesticks New Japanese Trading
Tecniques. ,
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Wall Street Journal, Institutional Investor, L.A. Times,
Barrons Japan Economic Journal.
- CNBC. (
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294 I.
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25 36 6835 246 6160
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19 26 3288 149 2838
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28 46 3120 39 1100
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19 63 8325 313 5950
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316 I.
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19 37 8675 292 5550
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26 46 4830 118 3080
25 52 3860 89 2230
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71 44 26 563 323 22 925
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84 37 12 860 70 5920
93 32 7705 83 7695
101 35 11 813 83 8400
65 31 7563 116 7563
97 40 14 760 132 12 780
74 35 7784 105 7747
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32 53 3288 93 2975
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13. 317
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45 38 7625 129 5825
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74 42 15 370 115 8480
78 33 13 795 177 13 770
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56 30 7663 123 6888
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41 39 6770 129 5300
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318 I.
. 13.1
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17 47 11 150 377 6412
26 42 3980 135 3500
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13. 319
. 13.1
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60 38 2463 39 2325
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8 38 1488 48 388
18 39 688 9 163
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56 52 1825 45 2513
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29 45 4689 70 2038
320 I.
. 13.1
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32 47 5150 127 4075
9 56 2350 532 4787
5 40 3350 365 1825
8 25 1350 169 1350
9 56 2420 533 4975
8 38 1638 77 613
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8 63 6725 542 4338
11 27 6400 582 6400
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14 29 1820 56 790
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25 32 2888 116 2888
25 32 4490 144 3610
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5 40 3181 538 2688

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3 67 1088 71 212
8 25 4275 534 4275
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6 50 610 278 1665
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13. 321
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5 40 1825 260 1300
8 25 11 250 813 6500
11 36 9662 878 9662
14 21 4380 269 3760
14 21 5335 381 5335
19 32 6375 336 6375
24 42 4813 182 4363
24 21 7350 290 6970
13 46 1991 8 100
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8 38 6200 775 6200
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8 25 1725 216 1725
12 42 2350 170 2038
12 17 4380 365 4380
10 50 625 155 1554
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9 56 1700 136 1225
18 44 4200 181 3262
14 36 11 925 733 10 263
11 27 2350 174 1910
21 43 1660 70 1465
21 38 7413 325 6825
12 33 1950 96 1150
17 41 4050 11 180
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322 I.
. 13.1
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3 33 825 142 425
12 42 3662 187 2250
5 20 2725 15 75
5 20 1760 352 1760
15 53 1410 184 2760
8 50 3263 330 2638
5 20 1650 208 1038
8 25 2510 135 1080
8 25 2157 226 1808
(w) ( 10 )
21 24 17 725 722 15 163

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18 56 4063 351 6325
13 31 7738 319 4150
10 60 1360 76 760
19 58 3735 249 4725
21 38 8938 364 7638
12 50 1338 64 763
16 38 9900 366 5860
12 42 4034 336 4034
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12 50 3063 373 4475
5 20 2475 288 1438
4 50 1080 170 680
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II

14

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14.32.
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14. 391
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14.33.
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D e c J 9 4 F e b M a r A p r M a y J u n J u l A u g S e p
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14. 395
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M 9 4 J u n J u l A u g S e p O c t N o v D e c

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398 II.
14.36.
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14. 403
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14.39.
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A94 May Jun Jul Aug Sept Oct Nov Dec

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14. 405
14.40.
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M94 Jun Jul Aug Sep Oct Nov
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, 1995

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14. 409
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410 II.
14.42.
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416 II.
14.45.
, 1995
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14. 417
14.46.
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14. 419
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420 II.
14.47.
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14. 421
14.48.
, 1994
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14. 423
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14.50.
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14.50.
, 1994
J93 Jul Aug Sep Oct Nov Dec J94 Feb Mar
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14. 427
14.51.
, 1994
S 9 3 O c t N o v D e c J 9 4 F e b M a r A p r M a y J u n
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14.51.
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14. 429
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430 II.
14.52.
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14. 431
14.53.
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F93 Mar Apr May Jun Jul Aug

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432 II.
14.53.
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A93 May Jun Jul Aug Sep Oct Nov
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14. 433
14.54.
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434 II.
14.54.
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438 II.
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14. 439
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14.57.
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14.58.
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O92 Nov Dec J93 Feb Mar Apr May Jun Jul Aug Sep Oct
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14.60.
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14.63.
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14. 453
14.64.
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14. 463
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14.69.
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J94 Feb Mar Apr May Jun Jul
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14. 465
14.70.
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14.70.
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14. 467
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F 9 4 M a r A p r M a y J u n J u l A u g S e p O c t
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468 II.
14.71.
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14. 469
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Sep94 Oct Nov Dec J95 Feb Mar
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14. 473
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14.74.
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J 9 4 A u g S e p O c t N o v D e c J 9 5 F e b M a r A p r

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14.75.
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14. 477
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478 II.
14.76.
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14. 479
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14. 481
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14. 483
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14.79.
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S 9 3 O c t N o v D e c J 9 4 F e b M a r A p r May
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14. 485
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14. 487
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14. 527
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, 1993

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J92 Jul Aug Sep Oct Nov Dec J93 Feb Mar Apr May Jun
1.
.
2. , -
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528 II.
14.101.
, 1993
A92 Sep Oct Nov Dec J93 Feb Mar Apr May Jun Jul Aug
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.
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,
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14. 529
14.102.
, 1993
A 9 2 S e p O c t N o v D e c J 9 3 F e b M a r A p r M a y J u n J u l A u g
1. .
2.
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.
?
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530 II.
14.102.
, 1993
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)
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(. 14.102),
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.
14. 531
14.103.
, 1993
S 9 2 O c t N o v D e c J 9 3 F e b M a r A p r M a y J u n J u l A u g S e p

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532 II.
14.103.
, 1993
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14. 533
14.104.
, 1994
J 9 3 F e b M a r A p r M a y J u n J u l A u g S e p O c t N o v Dec
,
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.
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)
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?
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534 II.
14.104.
, 1994

(
1994 .)
-

J 9 3 A u g S e p O c t N o v D e c J 9 4 F e b M a r A p r M a y J u n
-
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14. 535
14.105.
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536 II.
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J u l A u g S e p O c t N o v D e c J 9 5 F e b M a r
: 5- 20- , .
15.2.

J u l A u g S e p O c t N o v D e c J 9 5 F e b M a r
: , 5- 20- . -
+1,00, 1,00.
544 III.

: -/
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(THE MOMENTUM OSCILLATOR)

,
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(RATE OF CHANGE)
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N o v D e c J 9 5 F e b
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O c t N o v D e c J 9 5 F e b
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15.5.

D e c J 9 5 F e b M a r
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S e p O c t N o v D e c J 9 5 F e b M a r
: 50- 1994 . , .
15.7.

: 1994 . -
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15.10.

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: 9

v D e c J 9 5 F e b M a r
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15. 555
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15.13.
MACD
MACD

-

: MACD, -
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15.14.
MACD

: 50

MACD
n J u l A u g S e p O c t N o v D e c
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RSI
: 50

RSI: 9

O c t N o v D e c J 9 5 F e b
: 1994 . : ,
.
15.16.
RSI
: 20
RSI: 9
N o v D e c J 9 5 F e b M a r
: , , -
. ,
13 , .
15. 561

(RELATIVE STRENGH INDEX)
(RSI) . -
-. -
(New Concepts in Technical Trading Systems), 1978 .
RSI
, -
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RSI /-

.
RSI

. RSI :
RSI = 100 [100/1 + RS],
RS
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14 ,
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70 30
80 20. -
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.
RSI -
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.
562 III.
RSI
(. 15.15),
RSI
(. 15.16).
RSI, -
,
RSI.

(STOCHASTIC)
1950- -
, Investment Educators.

-
. , 14-

14 .
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.

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: 20

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S e p O c t N o v D e c
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568 III.
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570 III.

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Tudor Investment,
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16. 577
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582 III.
16.5.

25

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16. 583
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584 III.
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590 III.
16.6.

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(rate of change, ROC)
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134,50 141,20 132,40 138,90

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(2,1287 + 2,1498 + 2,1219)/3 (2,1498 + 2,1219 + 2,1427)/3
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2 1800 1610 1394 1443 1766 2037 1796 1753 1946 1727,22
3 1918 1826 1847 1684 1577 1559 1811 1793 1644 1739,89
4 1645 1568 1541 1570 1690 1822 1723 1705 1626 1654,44
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7 1680 1685 1651 1715 1825 1817 1754 1753 1822 1744,67
8 1780 1834 1855 1907 2213 2200 2195 2146 1745 1986,11
9 1784 1905 1975 2006 1866 1929 1983 1963 1907 1924,22
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11 1793 1841 1913 2018 2050 2060 2183 2305 2301 2051,56
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16. 597
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1, 9- 2 ..
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55 ( 1 10),
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* : (1)
Perry Kaufman. The New Commodity Trading Systems and Methods. John Wiley &
Sons, -, 1987; (2) Techical Analysis of Stock and Commodities, . . 1995,
. 66.
17. : 621
17.1.

10-

1 80,50
2 81,00
3 81,90
4 81,40
5 83,10
6 82,60
7 82,20
8 83,10
9 84,40
10 85,20 82,54
11 84,60 82,95
12 83,90 83,24
13 84,40 83,49
14 85,20 83,87
15 86,10 84,17
16 85,40 84,45
17 84,10 84,64
18 83,50 84,68
19 83,90 84,63
20 83,10 84,42
21 82,50 84,21
22 81,90 84,01
23 81,20 83,69
24 81,60 83,33
25 82,20 82,94
26 82,80 82,68
27 83,40 82,61
28 83,80 82,64
29 83,90 82,64
30 83,50 82,68
622 IV.
EWMA , -
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EWMAt = aPt + (1 a) EWMAt1 .
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17.1.

1993 . 35-
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A S O N D 9 3 F M A M J J A S O N D
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17.2
1994, ,
12-
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17. : 625
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1994, ,
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17.4.
1994, ,

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17.5.
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N93 Dec J94 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J95 Feb Mar
: B, S N = 7; B , S N = 40.
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.
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628 IV.
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1993 .
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630 IV.
17.6.
,
:

O 9 3 N o v D e c J 9 4 F e b M a r A p r M a y J u n J u l A u g
: : 10- -
; S : 10-
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17.8.
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D 9 3 J 9 4 F e b M a r A p r M a y J u n J u l A u g S e p O c t
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J92 Jul Aug Sep Oct Nov Dec J93 Feb Mar Apr May Jun Jul Aug Sep
: B, S N 12; B , S = -
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17.10.
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1992 . 1993 .
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17. : 645
17.13.
:

O93 Nov Dec J94 Feb Mar Apr May Jun Jul Aug
: ,
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1981 . ( -
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650 IV.
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18. 653
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N2 . , PTR
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654 IV.

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.
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.

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18. 655

. 18.1 .
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.

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1993 .
1995 . , ,
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.)

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N2 = 2, , PTR, -
N1 = 0 N2 = 0. , PTR
PTR, .)
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,
.
656 IV.
18.1.

k N1 N2
1 1,6 0 0
2 1,6 3 0
3 1,6 6 0
4 1,6 0 3
5 1,6 3 3
6 1,6 6 3
7 1,6 0 6
8 1,6 3 6
9 1,6 6 6
10 2,0 0 0
11 2,0 3 0
12 2,0 6 0
13 2,0 0 3
14 2,0 3 3
15 2,0 6 3
16 2,0 0 6
17 2,0 3 6
18 2,0 6 6
19 2,4 0 0
20 2,4 3 0
21 2,4 6 0
22 2,4 0 3
23 2,4 3 3
24 2,4 6 3
25 2,4 0 6
26 2,4 3 6
27 2,4 6 6
1993 . ,
8 (. 18.1).
PTR, -
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18. 657
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18 1993 .
(. 18.1).
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29 1994 ., -
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1994 .,
,
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1994 . (. 18.3).
(. 18.4).
.
, 13 1995 . -
, -
(28 1994 .).
,
.
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(N1 = 4, N2 = 2), ,
(N1 =0, N2 = 0)? , -
658 IV.
18.1.
,
1:
D 9 2 J 9 3 F e b M a r A p r M a y J u n
: . B, S
N1 = 0 N2 = 0; B , S
N1 = 4 N2 = 2.
1993 .
(. 18.1), N2
PTR PTR. -
1993 . (. 18.1), PTR,
, (
N2 )
, -
.
-
1993 . (. 18.2), .
PTR -
PTR. -
, ,
18. 659
18.2.
,
2:
: . B, S
N1 = 0 N2 = 0; B , S
N1 = 4 N2 = 2.
1 1993 .,
(3 1994 .) (. 18.2). -
1993 . (. 18.1) N2-
PTR ,
1994 . 1994 . -
(. 18.3).
, -
,
. ,
PTR,
N1 N2,

.
660 IV.
18.3.
,
3:
F94 Mar Apr May Jun Jul Aug Sep Oct Nov Dec
: . B, S
N1 = 0 N2 = 0; B , S
N1 = 4 N2 = 2.
, - -
, -

, ,
N1 N2. , PTR, -
N1 N2, , -
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PTR , N1 = 4, N2 = 2 (
. 18.4 ),
1 1994 .
,
3 1995 .,
.
18. 661
18.4.
,
4:

PTR
N1=4, N2=2
O94 Nov Dec J95 Feb Mar Apr May
: . B, S
N1 = 0 N2 = 0; B , S
N1 = 4 N2 = 2.

, -
N1 N2, .
, , .
, -
,
.
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,
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1993 . ,
, (top), . -
,
662 IV.
.
. 20.

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664 IV.
. 18.2 .
, , -
.
18.2.

N1 N2
1 3 2
2 3 3
3 3 4
4 3 5
5 5 2
6 5 3
7 5 4
8 7 2
9 7 3
10 7 4
,
. 18.518.9 ,
N1 = 5 N2 = 4. -
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, 1992 . (. 18.5).
,
(
).
,
1993 . (. 18.5).

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18. 665
18.5.
(N2 = 4), 1:

S 9 2 O c t N o v D e c J 9 3 F e b M a r A p r M a y J u n
: . -
.
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4 1993 .,
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, N1 ,
. , 1993 .
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2 1993 .
(. 18.6) 10 16
($16 000 ) !
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666 IV.
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5/27/92 1992 338,20 338,20 368,90

5/28/92 1992 337,00 337,00 367,70
5/29/92 1992 336,40 336,40 367,10
6/1/92 1992 343,60 5,90 5,90 337,70 368,40
6/2/92 1992 345,20 5,90 339,30 370,00

11/27/92 1992 334,00 5,90 328,10 358,80
11/30/92 1992 334,30 5,90 328,40 359,10
12/1/92 1993 339,00 4,10 10,00 329,00 359,70
12/2/92 1993 339,80 10,00 329,80 360,50

5/27/93 1993 381,40 10,00 371,40 402,10
5/28/93 1993 378,30 10,00 368,30 399,00
. 19.1
(1) (2) (3) (4) (5) (6) (7)

[. (3) + . (5)] [. (6) + 30,70]
6/1/93 1993 374,70 5,60 15,60 359,10 389,80

6/2/93 1993 374,10 15,60 358,50 389,20

11/29/93 1993 369,40 15,60 358,80 384,50

11/30/93 1993 368,80 15,60 354,20 384,90
12/1/93 1994 380,30 5,80 21,40 358,90 389,60
12/2/93 1994 379,30 21,40 357,90 388,60

5/27/94 1994 384,70 21,40 363,30 394,00
5/31/94 1994 387,10 21,40 365,70 396,40
6/1/94 1994 392,70 9,30 30,70 362,00 392,70
6/2/94 1994 393,20 30,70 362,50 393,20
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8-
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8-
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20.3.
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8-
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8-
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20.7.
():

19891990 19911992 19931994
8-
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8-
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8-
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7780 3020 5390 6340
11 840 9240 8130 8420
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7650 1760 3380 6430
1640 2190 590 2730
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20.12.
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9180 1680 4770 9180
3340 240 1670 3620
1370 90 1050 1370
720 1890 1640 1780
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560 480 440 340
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1380 160 340 1380
810 1690 1410 1850
22 700 11 570 5010 3200
20.13
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. .

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6210 3660 3300 1410
3620 2460 260 3060
490 1900 1460 930
1600 3650 2690 790
2200 2200 1700 890
1910 1910 640 1030
2120 1570 240 2060
1600 950 500 1600
880 570 550 240
32 230 3950 1360 900
20.14.
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23 170 1040 6860 14 110
18 800 11 460 6720 1740
5250 110 1430 120
6730 210 1280 940
15 360 2980 3220 9830
4110 760 390 3420
4670 11 680 5330 510
5070 1640 140 310
5930 3060 2800 7650
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. Commodity
Traders Consumers Report
$299.

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20. 725
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1987 . -
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20. 729

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730 IV.
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1992 . (. 20.3),
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20. 731
20.3.
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:
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J91 Aug Sep Oct Nov Dec J92 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
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732 IV.
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21

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* . Alternative to
Sharpe Ratio Better Measure of Performance, Futures, . 5657, March 1985.
** ,
( ),
(commodity trading advisors CTA). ,
, .
, -
.
*** -
, . ,
,
.
734 IV.
21.1.

: J. Schwager, Alternative to Sharpe Ratio Better Measure of Performance,

Futures, . 56, March 1985.
( ),
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2550% , , ,
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21. 735
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SR = ,
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;
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E . , -
.
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.
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. , , -
, ,
.
, -
.
:
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N 2
i X
i =1
sd = ,
N 1
X ;
Xi ;
N .
736 IV.
N
. , -
, N = 36.

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,
.
21. 737
21.2.

,

5%
,
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738 IV.
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1. .
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40% ,
6 30%.
, , 60% (12 5%).

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$0,8858((1,40)6 (0,70)6 = 0,8858).
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** . Alternative to Sharpe Ratio Better
Measure of Performance, Futures, . 57-58, March 1985.
21. 739
.
-
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2.
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, . .
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. 21.3 ,
,
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3.
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. 21.4 -
$100 000,
F.
$48 000, $24 000 . $8000
$4000, -
F $48 000 12 -
$96 000 .
.
, ,
.
, -
F .
21.3.
,

,

21.4.

,

: J. Schwager, Alternative to Sharpe Ratio Better Measure of Performance,

Futures, . 56, March 1985.
21. 741
21.1.

1 0 0 2000 2000
2 1000 1000 2000 4000
3 0 1000 2000 6000
4 0 1000 2000 8000
5 1000 2000 2000 10 000
6 0 2000 2000 8000
7 8000 10 000 2000 10 000
8 0 10 000 2000 12 000
9 0 10 000 2000 14 000
10 0 10 000 2000 12 000
11 1000 11 000 2000 10 000
12 1000 12 000 2000 8000
13 0 12 000 2000 10 000
14 0 12 000 2000 12 000
15 1000 13 000 2000 14 000
16 0 13 000 2000 16 000
17 8000 21 000 2000 18 000
18 0 21 000 2000 16 000
19 1000 22 000 2000 14 000
20 0 22 000 2000 16 000
21 0 22 000 2000 18 000
22 1000 23 000 2000 20 000
23 0 23 000 2000 22 000
24 1000 24 000 2000 24 000
= 1000 = 1000
24 000
E 2
SRC = = = 1,57.
sd 14 (1000 0) + 8 (1000 1000) + 2 (1000 8000)
2 2 2
12
23
742 IV.
. 21.1
24 000
SRD = 2 = 1,96.
18 (1000 2000) + 6 (1000 2000)
2 2
12
23
E , -
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,

12 .

()
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).
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,

(
).

(RETURN RETRACEMENT RATIO RRR)
RRR ,
,
. , RRR -
. RRR -
(R),
(avrage maximum
retracement measure AMR):
R
RRR = .
AMR
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 IV.

.
RRR :
R
RRR = ,
AMR
R
( );
1 n
AMR = MR i ,
n i =1
n ;
MR i = max (MRPPi , MRSL i ),
PE i E i
MRPPi = ,
PE i
E i ME i
MRSL i = ,
E i1
Ei i;
PEi i ;
Ei 1 ,
i;
MEi i
.
, MRPPi , MRSLi
.
R -
*:
* R, R = 0,30, . Alternative
to Sharpe Ratio Better Measure of Performance, Futures, p. 58, March 1985.
21. 745
S(1 + R)N = E,
S ;
E ;
N ;
R
( ).
(R):
E
R=N 1.
S
R, -
:
1
R = antilog (logE logS) 1.
N
, $100 000 $285 610 , -

30%*:
R = antilog [1/4(log 285 610 log 100 000)] 1,
R = antilog [1/4(5,4557734 5)] 1,
R = antilog [0,11394335] 1 = 0,30.
RRR -
, -
. ,

. -
, ,
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RRR , -
**, .
,
, ,
* Exel RRR Schwager on
Futures: Managed Trading.
** ,
RRR, . , -
-
, ,
RRR .
746 IV.
, -
. ,
$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 -
,
.
* , -
. ,
, , ,
. ( , ,
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/
.
21. 747
/
(GAIN TO PAIN)
/ (AGPR) -
RRR. AGPR
:
AGPR = AAR / AAMR,
AAR ;
AAMR -
,

( )
.
RRR , AGPR,
, -
(, ).
AGPR, -
,
. , AGPR, 3, ,
,
( ).

, , -
, -
,
. (ML)
MRSLi ( MRPHi, )

ML = max(MRSLi).
MRSLi
.
ML
/,
, ,
748 IV.
-
. , - ML
. , ML -
.
ML - (
RRR).
,

-
, .
1. .
(ENPPT) :
ENPPT = (%P)(AP) (%L)(AL),
%P ;
%L , ;
AP ;
AL .
,
ENPPT , -
(-
, ..). ,
ENPPT $50,
, , -
.
ENPPT ,
. ENPPT
, , -
. , ,
$2000,
, ,
100 ENPPT $1000 ( -
).
2. /, .
/, (TBPLR), -
:
21. 749
TBPLR =
(%P )(AP ).
(%L )(AL )
-
. TBPLR ,
, ,
, -
. TBPLR :
(1) ENPPT,
. ,
:
TBPLR
, ,
$ $
400 200 75 25 6
B 200 100 50 50 2
, (
, ). ,
: B
100 , 10,
(AMR) , , -
, .
B
, *.
(2) TBPLR (
). , -
,
, TBPLR , , -

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.
(3) TBPLR -
,
.
* = (ENPPT N) / F, N , F
( ).
= (250 10)/F, = (50
100) / F.
750 IV.

?
RRR (AMR)
, ,
-
,
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. RRR, ,
.
RRR, , -
, .
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. :
,
RRR . ,

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.
-
ENPPT, , -

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(MR),
. , AGPR
, .
-
/ ,
.
,
.
.
21. 751
G
/ = ,
G R
= ,
F
G ;
R (, sd, AMR, ML);
F , .
F
. F
, .
F = kR,
k ( ).
, -

G G 1 G
= = .
F kR k R
, G/R
. ,
/,
.
k, ,
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= R/kR = 1/k).

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752 IV.
-
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, $ 10 000 50 000
, $ 20 000 80 000
, $ 100 000 100 000
0,50 0,625
, -
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). ,
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1,3
.
$54 000,
[$50 000 (1,3 $80 000)], $16 000, -
.
, -
*.
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$100 000.
, -
, . ,
$25 000 ,
$100 000 , -
($12 500).
21. 753
, $ 20 000 5000
, $ 20 000 4000
, $ 100 000 100 000
1,0 1,25
D ,
. -

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, 0,93
, 82%
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, $ 2000 12500
, $ 100 000 100 000
5,0 4,0
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754 IV.
( )
F, ,
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F. ,
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3
0,139%.
F: = $12 500/ (12,5%)
$4000/ (4%) .
,
*.
(
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.
1. (net asset value). (NAV)

(
), ,
$1000. , NAV 2000 , -
. -
NAV 1000.
:
,

NAV
1 r1 (1000)(1 + r1)
2 r2 (1000)(1 + r1)(1 + r2)
3 r3 (1000)(1 + r1)(1 + r2)(1 + r3)
...
n rn (1000)(1 + r1)(1 + r2)(1 + r3)...(1 + rn)
* , . 753.
21. 755
,
+10%, 10%
+20%, NAV :
(1000)(1 + 0,1)(1 0,1)(1 + 0,2) = 1188.
. 21.5 NAV -
1991 . 1995 . . 21.6

NAV. . 21.6 ,
, -
. , 10%-
. 21.6 , NAV = 2000,
10%- ,
NAV = 1000. . 21.5
. ,
NAV, , -
,
, .
NAV ,
. ,
, NAV. ,
,
:

, ,
NAV
1 +11% 1% (1000)(1,11)6(0,99)6 = 1760

2 +21% 11% (1000)(1,21)6(0,89)6 = 1560
3 +31% 21% (1000)(1,31)6(0,79)6 = 1230
4 +41% 31% (1000)(1,41)6(0,69)6 = 850
5 +51% 41% (1000)(1,51)6(0,59)6 = 500

NAV, , -

.
, NAV , -
, . ,
NAV, (.
756 IV.
. 21.6), - ,
.
NAV, -
, , .
2. *.
, .
, -
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( -
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,
MRPP RRR. . 21.7 21.8
,
. 21.5 21.6. ( ,
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NAV,
**.
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NAV,
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NAV ,
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1000 .
* . .
** , ,
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.
21. 757
21.5.
NAV
1.
-
.
2. /
:
. ;
b. .
3.
:
.
, ;
b.
;
21.6.
NAV ( )
21.7.
:

21. 759
21.8.
:
c.

.
4. RRR ,
,
( -
,
, ).
-
,
, , -

.
5. AGPR ,
, RRR.
6. ENPPT , ,

.
760 IV.
7. , ML
.
8. , / -
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.
,
,
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9. RRR -
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).
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.
V
22

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764 V. C

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22. 765
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766 V. C
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20 -

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22. 767
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