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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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4.5.
:
, 1993

N92 Dec J93 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

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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.

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5.1.

:
,

5.2.

:
, 1993

N92 Dec J93 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
5.3.

: ,
1992

N91 Dec J92 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

5.4.

: ,

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



-
, .
. 5.55.7 . , . 5.5
, 1988 .
1985 ., 1989 . -
1991 1992 . . 5.6 1990 .
1986 ., 1992 .
1989 . -

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5.7.

:
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93 M A M J J A S O N D 94 F M A M J J A S O N D 95 F
5.8.

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93 M A M J J A S O N D 94 F M A M J J A S O N D 95 F M A M J J

5.9.

: ,

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.

5.10.

:
,


, , ,
. ,
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1991 ., 1992 ., -
1992 . ,
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1990 1991 . (
,
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1994 . 1986 .) , . 5.14,
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5.11.

: ,

93 M A M J J A S O N D 94 F M A M J J A S O N D 95 F

5.12.


:
,

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
5.13.

:
,

5.14.

:
,

93 M A M J J A S O N D 94 F M A M J J A S O N D 95 F
5. 97


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92 A M J J A S O N D 93 F M A M J J A S O N D 94 F

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,
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93 F M A M J J A S O N D 94 F M A M J J A S O N D 95 F M A M J J

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93 A M J J A S O N D 94 F M A M J J A S O N D 95 F M A M J J

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(price envelope band)


.
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:
, 1995

12600
12400
12200
12000
11800
11600
11400
11200
11000
10800
10600
10400
10200
10000
9800
9600
9400
9200
9000

N D 9 4 F M A M J J A S O N D 9 5 F

: FutureSource; 19861995 .; .

5.26.


90- :
, 1995

12600
12400
12200
12000
11800
11600
11400
11200
11000
10800
10600
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11/23 12/01 12/08 12/15 12/22 12/30 1/09 1/16 1/23 1/30 2/06 2/13 2/21

: FutureSource; 19861995 .; .
6
.

(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).
, -
(. 6.1 6.2).
, ,

. -

(.
).

(Spikes)

, -
. -
.
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.
.
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1.
.
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.

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.
, ,
.
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1.
.
6. 107

6.1.
:
, 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 D e c

2. .
3. , .

,
.
. 6.46.6
. . 6.4 , -
,
,
. . 6.5 6.6
-
, .

, .
. ,
108 I.

6.2.
:
, 1995

D93 J94 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J95

() (-
) ,
()?
(),
()?
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. . 6.46.6 -

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-.
,
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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 ;
Lt .

* -
.
.
. (
. 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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.)
, -
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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

,
. . 6.7, ,
. ,

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,
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. 6.8 -
, .
.

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, , ,
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6. 113

6.7.
,
!: , 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

: R .

,

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100 10 . ,
,
.
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114 I.

6.8.
,
!: , 1992

A 9 1 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

: R .

, . ,

. 6.7. , -
. . 6.8
,
.
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, . ,
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,
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6. 115

6.9.
:
, 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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.

, (.
. 6.10). ,
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(Run Days)

. ,
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).
.
. , -
.

1.
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2.
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1.
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6. 117

6.10.
:
, 1993

: ; .

2.
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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
-,
,
.
,
. . 6.19
, -
.
, , ,
.
.18
.
6.14.
:
, 1994

J93 Aug Sep Oct Nov Dec J94 Feb Mar Apr May Jun Jul

6.15.
: , 1993

J92 Jul Aug Sep Oct Nov Dec J93 Feb Mar Apr May Jun Jul
6.16.
: , 1993



N92 Dec J93 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

6.17.
:
,

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

M 9 3 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

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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,
: .
.
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, .

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6.20.
:
,

M93 Apr May Jun Jul Aug Sep Oct Nov Dec J94 Feb Mar Apr May Jun

6.21.
:
,

J90 Aug Sep Oct Nov Dec J91 Feb Mar Apr May Jun Jul
6.22.
: , 1992

J91 Aug Sep Oct Nov Dec J92 Feb Mar Apr May Jun Jul Aug Sep

6.23.
: , 1992

J92 Feb Mar Apr May Jun Jul Aug Sep


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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, . 6.28 ,
,
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, . 6.27 6.28,
. ,
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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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,
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.
,
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, -
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6.28.
: , 1992





,
-






O 9 1 N o v D e c J 9 5 F e b M a r A p r M a y J u n J u l

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

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

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

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 M a y
134 I.

6.36.

:
, 1994

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


V-
V- (. 6.37)
(. 6.38). , -
,
(,
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.


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6.37.
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,
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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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. 6.43 , ,
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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.
:
,

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

6.42.
:
,



J92 Jul Aug Sep Oct Nov Dec J93 Feb Mar Apr May Jun Jul
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). , -

,
. , -
(. 6.46 6.47). ,
,
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, ,
.

( ) -
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. 6.48
. ,

.
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

J92 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
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.

J 9 4 J u l A u g S e p O c t N o v D e c J 9 5 F e b
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 ,
- ,
. 6.63 , -
,
. . 6.64
. , -

(. 6.65).
, ()
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,
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35
, ,
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

M 9 3 A p r M a y J u n J u l A u g S e p O c t N o v
6.64.
: , 1992

J91 Feb Mar Apr May Jun Jul Aug Sep

6.65.
: , 1992

A92 May Jun Jul Aug Sep Oct Nov Dec


7
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1992 .
(. 7.1),
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154 I.


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1992 . (. 7.1), -
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1991 .
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1991 .

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4. -
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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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8.1.
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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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8. 161

8.2.
: , 1994

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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 J u n J u l

1. .
( -
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162 I.

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1995 . ,
RD ,
,
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3. .
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8. 163

8.3.
50%- :
, 1994


50%-

50%-

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164 I.

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: , 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

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5875

5825

5775

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N D 9 4 F M A M J J A S

: , 40-
.

: FutureSource; 19861995 .; .
9

(stop-loss points)
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(. 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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9.2.

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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 J 9 5 F e b

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9.3.

: , 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 D e c


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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

9.5.
,
: , 1993

N 9 2 D e c J 9 3 F e b M a r A p r M a y J u n J u l
9.6.
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10.1.
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, 1994

A93 Sep Oct Nov Dec J94 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

: (measured move).
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10.2.
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J93 Aug Sep Oct Nov Dec J94 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec J95
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.
: , 1994

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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7 5, 4, 3 2. , : 7 : 5 =
= 1,4; 7 : 4 = 1,75; 7 : 3 = 2,33 7 : 2 = 3,5. -

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O93 Nov Dec J94 Feb Mar Apr May Jun Jul Aug Sep
10. 183

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10.7.
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J93 Aug Sep Oct Nov Dec J94 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
184 I.

. . 10.7.
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* RSI . -. -
(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.
, :
, 1995

3000

2900

2800

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2600

2500

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M J J A S O N D 9 5 F M
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M J J A S O N D 9 5 F M

: FutureSource; 19861995 .; .
188 I.

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10.11.
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A M J J A S O N D 9 5 F

: FutureSource; 19861995 .; .
190 I.

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* The New Science of Technical Analysis. John Wiley & Sons Inc., New York, 1994.
10. 191

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: 1 9 ; 1 13 .
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10.13.
: , 1995


Sep-94 October November December Jan-95

: 1 9 ; 1 13 .
: , CQG.
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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200 I.

11.1.
: , 1993

D92 J93 Feb Mar Apr May Jun Jul Aug Sep Oct

, . -
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11.2.
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J93 Aug Sep Oct Nov Dec J94 Feb Mar Apr May Jun

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202 I.

11.3.
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J92 Jul Aug Sep Oct Nov Dec J93 Feb Mar Apr May Jun Jul

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11.4.
:
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M92 Apr May Jun Jul Aug Sep Oct Nov Dec J93 Feb Mar

). ,

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: , 1994

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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
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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11.7.
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, 1994

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

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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

: ( ).
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

: ( ).
210 I.

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F 9 0 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 J 9 1 F e b
11.11.
: , 1993

N 9 2 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
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

-
-

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.
: , 1994

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 J 9 4 F e b M a r
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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11.21.
: , 1993

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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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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
11.26.
, :
, 1994

-
,
-
,
-


N 9 3 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 O k t N o v D e c
11.27.
, ,
: , 1994

-
, -
-

F 9 3 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
11.28.
, :
, 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 2 F e b M a r
11.29.
, :
,

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 J u l
11.30.
, :
, 1993


-
,
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F 9 2 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 3 F e b M a r
11. 235

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S 9 2 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 A u g S e p
11.32.
,
: , 1993

J 9 2 J u l 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 J u l
11.33.
,
: , 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

- -


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

,
-

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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1994 .,
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11.36.
: , 1994

A 9 3 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 A p r
11.37.
: , 1994

1994 .,
. 11.36

J 9 3 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
11.38.
: ,

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

-
-


-

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.
:
,


-
, -

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.
:
,

N90 Dec J91 Feb Mar Apr May Jun Jul Aug Sep Okt Nov Dec

()

. 6, -
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12.1.
, 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
12.2.
, 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
12. 259

12.3.
, 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

(limit-down), 63 61 .
: 60 ,
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260 I.

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COMEX*.
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39 54 2082 106 4130

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18 56 5425 349 6287
19 63 8325 313 5950
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25 44 6790 180 4510
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19 26 5038 235 4463
17 59 3060 106 1800
36 39 13 190 295 634
316 I.

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18 44 4450 182 3275
19 37 8675 292 5550
21 43 12 100 275 5775
26 46 4830 118 3080
25 52 3860 89 2230
12 33 3475 271 3250
18 44 1250 52 938
17 35 6780 287 4880
37 57 2166 131 4857

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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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27 41 16 225 601 16 225
19 26 12 813 674 12 813
29 45 4570 12 350
32 31 6270 95 3050
32 53 3288 93 2975
23 43 2413 18 413
37 38 8030 75 2760
26 35 2870 106 2757
13. 317

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45 38 7625 129 5825
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51 35 31 513 618 31 513
74 42 15 370 115 8480
78 33 13 795 177 13 770
83 43 10 763 78 6463
56 30 7663 123 6888
89 42 9920 51 4510
62 34 10 235 160 9896

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19 26 17 325 912 17 325
29 52 3190 116 3370
30 43 7140 112 33 60
31 45 5038 23 725
22 55 1875 19 425
36 50 3790 212 7650
24 38 3690 111 2669

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28 36 8575 109 3062
28 50 9612 146 4087
41 39 6770 129 5300
12 25 2045 91 1095
27 48 3063 95 2563
30 37 6450 127 3813
24 42 4980 85 2030
36 28 4518 126 4518
318 I.

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25 44 6556 75 1875
13 38 2700 73 950
18 44 4475 171 3075
17 47 11 150 377 6412
26 42 3980 135 3500
4 25 850 138 550
18 50 1738 153 2763
22 36 3888 81 1775
18 33 4990 149 2680
24 42 2187 60 1448

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24 38 14 975 420 10 075
26 38 18 137 440 11 450
36 33 5910 86 3080
11 64 1360 152 1670
26 46 3925 11 275
26 46 4788 37 950
21 57 1350 162 3410
30 33 3026 69 2070

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17 35 9150 272 4625
17 41 14 675 373 6337
23 39 3340 106 2430
4 50 665 51 205
17 47 1700 259 4400
21 48 4200 42 875
17 47 2010 1 10
21 48 1875 119 2503
13. 319

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93 38 7100 59 5525
22 50 6012 98 2162
12 25 4838 327 3925
25 44 3530 128 3190
18 28 3665 79 1425
23 39 6188 269 6188
60 38 2463 39 2325
23 30 8850 160 3690
33 21 7166 201 6638

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5 0 1450 290 1450
8 38 930 116 930
9 56 815 618 5560
8 38 1488 48 388
18 39 688 9 163
7 43 1170 144 1010
13 8 2622 202 2622

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21 52 6975 26 538
12 50 2662 306 3675
24 46 3300 68 1630
18 33 7605 103 1850
23 30 9138 397 9138
56 52 1825 45 2513
23 35 8550 313 7210
29 45 4689 70 2038
320 I.

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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
18 56 738 55 988
7 29 2210 316 2210
11 45 2795 55 607

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8 63 6725 542 4338
11 27 6400 582 6400
14 43 2230 99 1380
14 29 1820 56 790
19 32 5938 294 5588
25 32 2888 116 2888
25 32 4490 144 3610
13 38 1463 60 785

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3 67 1088 71 212
8 25 4275 534 4275
4 75 410 155 620
6 50 610 278 1665
8 13 4525 566 4525
12 33 1163 94 1125
12 17 3580 250 3000
10 40 1028 8 82
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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3 0 3963 1321 3963
8 38 6200 775 6200
4 50 630 2 10
6 33 2350 152 915
8 25 1725 216 1725
12 42 2350 170 2038
12 17 4380 365 4380
10 50 625 155 1554

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22 59 6188 89 1950
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
12 17 3307 247 2958
322 I.

. 13.1

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12 67 3781 35 419
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


9 44 1850 178 1600
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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3 33 1125 367 1100
12 50 3063 373 4475
5 20 2475 288 1438
4 50 1080 170 680
13 77 2575 439 5710
8 50 3025 189 1513
5 40 2500 395 1975
7 29 7890 950 6650
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14.17.
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14.17.
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14.18.
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14.18.
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J 9 4 J u l A u g S e p O c t N o v D e c J95

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14.19.
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14.19.
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14.20.
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14.20.
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14.21.
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14.21.
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14.22.
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14.22.
, 1995

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14.23.
, 1994

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14.23.
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14.24.
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14.24.
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14.25.
, 1993

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14.25.
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14.26.
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14.27.
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14.27.
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14.28.
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14.28.
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14.29.
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14.29.
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14.30.
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14.30.
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14.31.
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14.31.
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14.32.
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14.32.
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14.33.
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392 II.

14.33.
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14.34.
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14.34.
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14.35.
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14.35.
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14.36.
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14.37.
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14.38.
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14.39.
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14.39.
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14.40.
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14.40.
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14.41.
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14.41.
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O94 Nov Dec J95 Feb Mar Apr May

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14. 409

14.42.
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14.42.
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M93 Apr May Jun Jul Aug Sep

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14.45.
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14.45.
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14.46.
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14.46.
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14.47.
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14.47.
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14.48.
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14.49.
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14.49.
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14.50.
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14.50.
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14.51.
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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 M a y J u n
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14.51.
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14.52.
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14.52.
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14.53.
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F93 Mar Apr May Jun Jul Aug


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14.53.
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A93 May Jun Jul Aug Sep Oct Nov

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14.54.
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A93 May Jun Jul Aug Sep Oct


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14.54.
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14.55.
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14.55.
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14.56.
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14.56.
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14.57.
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14.57.
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14.58.
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14.58.
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14.59.
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O92 Nov Dec J93 Feb Mar Apr May Jun Jul Aug Sep Oct

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14.59.
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14.60.
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14.60.
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14.61.
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A93 May Jun Jul Aug



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14.61.
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14.62.
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14.62.
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14.63.
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14.64.
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14.65.
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14.65.
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14.66.
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14.67.
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14.69.
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14.69.
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J94 Feb Mar Apr May Jun Jul

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14.70.
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14.70.
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14. 467

14.71.
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14.71.
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14.72.
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14.72.
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14.73.
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14.74.
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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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476 II.

14.75.
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14.76.
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14.76.
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14.77.
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N 9 2 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

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14.77.
, 1993

N 9 2 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

( )
.

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, . (. .)
14. 481

14.78.
, 1993

N 9 2 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. , , -
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).
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?
, .
482 II.

14.78.
, 1993

M 9 3 J u n J u l A u g S e p O c t N o v D e c

,
(. . 14.77),
-
.
.
14. 483

14.79.
, 1994

J 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

1. .
2. .
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?
, .
484 II.

14.79.
, 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 May

-
.

,
.
, (,
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14. 485

14.80.
, 1994

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 M a y

1. .
2. .
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?
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486 II.

14.80.
, 1994

J94 Feb Mar Apr May Jun Jul

(1)
.

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14. 487

14.81.
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N92 Dec J93 Feb Mar Apr May Jun Jul

, ,
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14.81.
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14. 489

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1. .
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490 II.

14.82.
,
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M93 Apr May Jun Jul Aug Sep Oct Nov Dec

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M93 Apr May Jun Jul Aug Sep Oct Nov Dec

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14.91.
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14.92.
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O93 Nov Dec J94 Feb Mar Apr

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14.98.
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M93 Jun Jul Aug Sep Oct Nov Dec J94 Feb Mar Apr

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14. 523

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14.99.
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O93 Nov Dec J94 Feb Mar Apr May Jun Jul Aug Sep


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526 II.

14.100.
,
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M94 Apr May Jun Jul Aug Sep Oct Nov Dec J95 Feb




, .


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-
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14. 527

14.101.
, 1993



-

-

J92 Jul Aug Sep Oct Nov Dec J93 Feb Mar Apr May Jun

1.
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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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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

(
)

J93 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

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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

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 D e c

, -

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,

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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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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.
, 1994

Mar-94 Apr May Jun Jul Aug

1. .
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536 II.

14.105.
, 1994

A 9 4 M a y 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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III


15

. *

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. .
1920- ,
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*
(A Synergetic Approach to Protable Trading)
. -
(Synergy Fax)
. 25
, , ,
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540 III.


: ().
, , -
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5- ()
20- .

, (:20) -
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(Divergence)



-
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.
15.1.

, (Comex)

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- , .
: FutureSource; 19861995 .; .
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.
: FutureSource; 19861995 .; .
544 III.


: -/
-W.


(THE MOMENTUM OSCILLATOR)


,
. , 9- ,
, -
.
,
(. 15.8). : =
= n, , n n
.
n = 9,
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.

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, -
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15. 545


(RATE OF CHANGE)

(ROC) ,
,
. -
(. 15.10).
9- ROC,
. -
, ROC
1. -
, ROC 1,
, ROC 1.
ROC : ROC = C/Cn, C , Cn
n .

, -
, . -
ROC
, .
,
10 % -
.
ROC ,
.

, .
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, ,
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, ,
.

-
(MOVING AVERAGE CONVERGENCE-DIVERGENCE)

- (MACD), -
,
. -
.
, -
, .
15.3.


N o v D e c J 9 5 F e b

:
.
: FutureSource; 19861995 .; .
15.4.

O c t N o v D e c J 9 5 F e b

: . -
.
: FutureSource; 19861995 .; .
15.5.

D e c J 9 5 F e b M a r

: -
. .
: FutureSource; 19861995 .; .
15.6.


S e p O c t N o v D e c J 9 5 F e b M a r

: 50- 1994 . , .
: FutureSource; 19861995 .; .
15.7.


N o v D e c J 9 5 F e b

: 1994 . -
, .
.
: FutureSource; 19861995 .; .
15.8.
N

S&P

n = 3

n = 9

n = 20

v J 9 5 F e b M a r

: S&P 3-, 9- 20- .


: FutureSource; 19861995 .; .
. 15.9.


: 9 b c

d


D e c J 9 5 F e b M a r

: . b .
c. d .
: FutureSource; 19861995 .; .
15.10.

: 9

: 9



D e c J 9 5 F e b M a r

: -, .
, , , . ,
, .
: FutureSource; 19861995 .; .
15.11.

: 9


v D e c J 9 5 F e b M a r

: 1995 ., 9- .
ROC .
: FutureSource; 19861995 .; .
15. 555

(,
RSI- ), -
MACD
*.
MACD
,
(..
). MACD
. , MACD
,
, ,
.
MACD , .
MACD 12- 26-
; 9- MACD
(. 15.12).
MACD , -
MACD -
. 12-26-9 MACD ,
, .
MACD
MACD.
MACD -
(. 15.12).
, MACD
, MACD
. , MACD -
.
MACD ,
, MACD ,
, MACD .
,
MACD , ,
MACD -
,
. MACD , -
,
(. 15.13
15.14).

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.
15.12.
MACD

: 26

: 12

MACD (- )

MACD

MACD

D e c J 9 5 F e b M a r

: 12- 26- , MACD.


. , 9- MACD, . ,
, MACD. MACD -
MACD.
: FutureSource; 19861995 .; .
15.13.
MACD

MACD


-

D e c J 9 5 F e b M a r

: MACD, -
, .
: FutureSource; 19861995 .; .
15.14.
MACD


: 50

MACD

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

: , -
. MACD .
(.. ).
: FutureSource; 19861995 .; .
15.15.
RSI

: 50

RSI: 9


O c t N o v D e c J 9 5 F e b

: 1994 . : ,
.
: FutureSource; 19861995 .; .
15.16.
RSI

: 20

RSI: 9

N o v D e c J 9 5 F e b M a r

: , , -
. ,
13 , .
: FutureSource; 19861995 .; .
15. 561


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

.
RSI

. RSI :

RSI = 100 [100/1 + RS],

RS
,
.
, 9- RSI,
( ) 9- -
.
, 9- ,
. (RS)
.
, RS RSI
100.
RSI ,
.
14 ,
, 5-, 7- 9- RSI.
70 30
80 20. -
RSI
,
. 9--
RSI 70 30
.
RSI -
, RSI
.
562 III.

RSI
(. 15.15),
RSI
(. 15.16).
RSI, -
,
RSI.


(STOCHASTIC)

1950- -
, Investment Educators.

-
. , 14-

14 .
-
100. , 70
, ,
; , 30 , , -
.

; -
. -
,
, -
,
.

-
.
: %K %D. %K -
: %K = 100 [( Ln)/(Hn Ln)], C ,
Ln n- Hn n- .
%D : %D = 100 (H/L)], H
( Ln), L (Hn Ln).
%K %D ,
.
,
, .
15. 563

%D %K,
%D %D.
%K ,
%D (. 15.17).
14- -
/ 70 30
%K %D.
, , %K %D -
70;
, , %K %D 30.
-

. . 15.18 (-
), . 15.19
.


(THE MOVING AVERAGE CHANNEL)

() ,
.
. -
,
.
, n- -
n- . n = 28.

. , -

.

-
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.
,
.

.

15.17.

S&P

: 5

: 5

N o v D e c J 9 5 F e b M a r

: 5- 5- -
.
: FutureSource; 19861995 .; .
15.18.

: 20

: 14

-

N o v D e c J 9 5 F e b

: , -
.
: FutureSource; 19861995 .; .
15.19.


: 20


: 14

S e p O c t N o v D e c

: ,
.
: FutureSource; 19861995 .; .
15.20.

: 28

: 28

: 14
D e c J 9 5 F e b M a r

: , 28- .
, 28- .
: FutureSource; 19861995 .; .
568 III.

,
, . ( , -

, .)

. ( -

)
.

,
( , ).

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, .


(. 15.21).
-
.
,
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,
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.)

.
,
. -
,
,
.

, , , -

, .
1. ,
,
15.21.

: 28

: 28

: 14
S e p O c t N o v D e c

: , 28- .
, 28- , .
: FutureSource; 19861995 .; .
570 III.


. , MACD, RSI -
, , -
.

.
2.
,
.
, , -
, .
, ,
,
, , -
, .

,
. , -
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- .

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.

- -W
(MICRO-M TOPS AND MICRO-W BOTTOMS)

- -W ,

-
. - .
-
.
, -
. -W -
.
15. 571

, . -
,
-W .
-W
(. 15.22) :

1. -
,
,
.
2. / ,
/
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.
/. -
-W,
, /.
3.
,
.
, , , -
-
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1.
, -
,
.
2. / -
, /
.
/ . -
-,
, /.
3. -
, -
.
,
,
.
15.22.
-W

b
a -W
c d

MACD

D e c J 9 5 F e b

: MACD , . (
-W) MACD. W a .
b / . d, b, -
.
: FutureSource; 19861995 .; .
15.23.
-

- -
c
ab

RSI: 9

J 9 5 F e b M a r

: RSI , RSI, -.
a . b -
/ . , b,
a.
: FutureSource; 19861995 .; .
574 III.

,
, .. . ,
.


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.
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.
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, . 1988 .
Tudor Investment,
. -

. 1968 .
16.1.

: 1749 . -
11 .

16.2.


( )

40-
16. 577

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40- (. 16.2),
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578 III.

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XIX .
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, 1923 .
.
-
XIX-XX -
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Overholt Distillery.
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580 III.

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.

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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.

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622 IV.

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17.10.
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. , ,
(limit day),
. ,
. ,
.
640 IV.

-
,
(, , , -
..).
-
.


-

(, 20- ,
20- ).
.
, -.
,
, -
,
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-
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.
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.
. 20.



, -

* -
, .
.
,
. ,
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, ,
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.
17. : 641

.
,
. -
-
,

.
, -
, .
. 8.
.

1. , ,
10 .
2. ,
10- ,
:
a. , -
.
b. . ( -
,
2 .)

1. , ,
10 .
2. ,
10- ,
:
a. , -
.
b. . ( -
,
2 .)

. 17.12 -
N = 40, 1992 .
.
642 IV.

, -
. , -

, .
, -
, .
, :

1. .
2. () ()
,
(). . 17.12 , -

1992 .

-

. -

,
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, , -
. ,
;

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,
-
.
,

. , (
)
. -
,
. (
, ,

.) , ,
. ,
17. : 643

17.12.
:
1992,

RD

RD

O 9 1 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 S e p

: S ; S -
; RD .

, -
.


, , -
, . ,
.
644 IV.

, , , -
, -
.
,
(
).


. (
,
,
*.)

, -

. , -
,
. , -
,
,
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( ),
.

,
.

.
, ,
. , -
,
,
. -
,
, -
. , ,
,
, . . 17.13 ,
* -
, N = 150.
17. : 645

17.13.
:

O93 Nov Dec J94 Feb Mar Apr May Jun Jul Aug

: ,
. B :
4%- ; S : 4%-
.

-
4% 1993 . 1994 . *.
, ,

. . -
, -
.
* . 17.13 , -
, ,
, .
. 12, ,
. ,
.
646 IV.

-
.
, ,
, -
. ,
.

. -
.
. 15.
,
.
. -
. 15.

.
.
,
(, -
8 ). . . 16,
.

(contrary opinion).

. ,

,
. (
. 10.)

, -
.
, -
, .
-, -
. -,
. , ,
, -
N (.. -
).
17. : 647

SMSV
(single market system variation)
. ,
N = 20, , -
SMSV. ,
, ,
SMSV.
,
. ,
,

.
.

1. . SMSV
. , -
,

. ,
10 SMSV /
, -
10 SMSV. , -

. ,

. , ,
SMSV .
-
SMSV, .
2. . -

.

*, ,
, , ..
.
.
3. . ,
, . -
-

* - ,
.
648 IV.


SMSV. -
,
, ,
()
. 5 ;
B 10 .
.
20- .

. 17.14
1981 . ( -
,
,
- .) (..
20 ) 16 .
17 ,
9 ( 1).
B, 10 ,
( 1).
-
97 ( 2). -
,
, B
, $1,22 ( 2). ,

25 (.. $9375 ), B,
, .
, 1
($18 750 )
! -
,
, .
( )
,
,
.
,
, , , , -
. ,
,
( ). -
17. : 649

17.14.
:
( 1981 ., )

D80 J81 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

,
*.
, ,
, .
,
,
, , .



-
, . -
. 17.2.

* B,
.
.
650 IV.

17.2.

1. 1.
,

1b. -
,

2. 2a.
2b.
2c.

3. - 3.

4. () 4.
-

5. 5. ,
,

6. 6a. ,


6b. -
,

7. - 7. , -

-
,

8. - 8.
, ,
.
. 20

9. 9a. , -

.
9b. -

10. 10.
(
. 20)
18


,
.

-
. -
, -
, . 6.
,
,
, , , -

. -

.

, , -
. -
, ,
, ?
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652 IV.

($70 -
) ,
? ,
-
?
.
, , -
, ..
-
,
. , .
, , , -
, ,
. , , -

-
. ,

.

, . 3,
, (true
range)*, .
, , -
.

. ,
,
,
.

, . -
* -
.
.
. (
. 3.)
18. 653

,
.
.
,
, -
, N1
N2 , N1 N2 ,
. , N1
N2 ,
( -
). N1 = 4, N2 = 2,

, -

.

. , -
VR (volatily ratio) k (, k = 2,0). VR
,
N (, N = 10).

(PTR Price trigger range). , -



N1 -
N2 . , PTR
, N2 -
. ( N2 = 0, PTR
.) PTR
(.. N2
).

. , PTR,
.

. PTR
.
654 IV.


, -
.

1. , , -
PTR. PTR
,
.
2. , , -
PTR. -
PTR
.
3. , N2 -
. ,
PTR.

. , -
,
PTR. , , PTR, -
, PTR,
. 3 2 1,
,
PTR ( N2
). , ,
, N2 = 0
.

. 1
2 3, , PTR
,
, .


N1 , -
PTR;
N2 ,
PTR;
k , VR,
.
18. 655


. 18.1 .
, , -
.


, , -
1993 .
1995 . , ,
, -
. ,

.
,
- .
B () S (). ,
.

1. , , ,
N1 N2 . ( , PTR -
-
.)
2. , ,
N1 = 4 N2 = 2. ( , PTR -
, ,

.)


. , ,
. (-
, PTR, N1 = 4
N2 = 2, , PTR, -
N1 = 0 N2 = 0. , PTR
PTR, .)
, ,
, N1 N2 ( -
, ). ,
, .
,
.
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, -
, *.
* , ,
,
, . (, PTR
,
-
, .)
18. 657

, ,
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 .,
,
. , , -
,
1994 . (. 18.3).
(. 18.4).
.
, 13 1995 . -
, -
(28 1994 .).
,
.
, -
(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:

M 9 3 J u n J u l A u g S e p O c t N o v D e c J 9 4 F e b

: . 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, , -
. , ,
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, .
, , .
, -
,
.
, . -
,
, 1993 .
1993 . ,
, (top), . -
,
662 IV.

.
. 20.


. 6.
, .
,
-
. ,
-
.
,
.


.
.

1.
N2 . (:
, -
.)
2. . (

.)

.
.

1. -
N2 . (:
,
.)
2. . (
-
.)


-
.
18. 663

1. , ,
N1 ,
*.
2. , , -
-
N2 . , ,
-
. ,
.
3. , , -
,
N2 . , -
,
. , -
.

N1. , .
, N = 3
, ,
, -
,
.
N2. , -
, -
,
. ( ,
,
, -
.)

*
. ,
N1
,
N1 . ,
, -
. (, ,
N1 .)
.
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. -
, , -
, . ,

, 1992 . (. 18.5).
,
(
).
,
1993 . (. 18.5).

,
. , -
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

: . -
.

.
, ,
4 1993 .,
. ,
, N1 ,
. , 1993 .
, -
.
2 1993 .
(. 18.6) 10 16
($16 000 ) !
(, ) , -
666 IV.

18.6.
(N2 = 4), 2:

A 9 3 M a y J u n J u l A u g S e p O c t N o v

: . -
.

.
, N2 (-
, 1, 2 3)
1992 . 1993 .
, 1993 ., -
1994 . (. 18.7). ,
1993 .
,
. ,
,
.
1994 ., -
,
18. 667

18.7.
(N2 = 4), 3:

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

: . -
.

-
.

(. 18.7). , -
,
, ,
,
(. 18.6 18.7).
,
- 1994 ., -
(. 18.7
18.8). , ,
10 11
668 IV.

18.8.
(N2 = 4), 4:

A 9 4 M a y J u n J u l A u g S e p O c t N o v D e c

: .
.

(. 18.8). -
,
.
-
:
,
. , ,
,
.
-
, . ,
N2 = 3 ( 4), (. . 18.10,
. 18.6, . 18.11, . 18.8).
18.9.
(N2 = 4), 5:

N 9 4 D e c J 9 5 F e b M a r A p r M a y

: .
.
18.10.
(N2 = 3), 1:

: . -
.
N2 = 3 N2 = 4.
18.11.
(N2 = 3), 2:

: . -
. -
N2 = 3 N2 = 4.
672 IV.


-
. -

, ,
.

. 6.
.

. -
.
. ,
. -
, -
.
.

. -
.
. ,
.
,
.
.


. ,
N2. ,
, N1 N2-
. ( -
,
.
.)
18. 673

. ,
N2. ,
, N1 N2- -
. (
,
.
.)


,
.

1. ,
, N1
(. . 663). (, -
, N1
.)
,
, (..
);
. ( ,
,
.)
,
, (
);
.
2. , ,
N2 1. , , -
,
.
3. , ,
N2 1. , ,
, -
.

N1. , .
N2. ,
.
674 IV.

. 18.3 .

.

18.3.

N1 N2

1 3 1
2 3 2
3 3 3
4 3 4
5 5 1
6 5 2
7 5 3
8 7 1
9 7 2
10 7 3

. 18.1218.16 , -
N1 = 5 N2 = 3.
,
,
, -
. ,
,
N1 (N1 = 5
).
1992 .
,
(. 18.12).
. 1992 .
, -
1993 . (. 18.12 18.13).
1993 . -
1993 . (. 18.13). -
18.12.

, 1:

: . -
.
18.13.

, 2:

: . -
.
18.14.

, 3:

: . -
.
18.15.

, 4:

A 9 4 M a y J u n J u l A u g S e p O c t N o v D e c

: . -
.
18.16.

, 5:

: . -
.
680 IV.

-
,
1 , 1993 .
(. 18.13). , , -
. -
, .
1993 . ,
-
, 1994 ., -
1994 . (. 18.14). ,
, ,
(. 18.15).
-
1994 . (. 18.15).
1994 ., (. 18.16).

.
.
,
. -
,
. ,
,
. -
,
, ,
.
19



, -
,
: .
,
, ,
-
. -
.
,
.
, -
,
, , .
,
. ,
.

-
- .
. -,
682 IV.

,

. , 15- , -
, 6090
. ,
,
. , ,

, . ,
-
.
, ,
, , .
,
-
.
, , -
.
,
-
.
- ,
. . 12
(. 12.112.3). -
,
, (
), -
. ,
,
. -
,
.

-
.

. -
: ,

.. -
19. 683

,
,
.

,
, .
, ,
$3,00 () -
$2,50 . ,
-
$2,50 $2,62,
.

: $3,00 $2,62. , -
38 ,
( ) -
12 . .

. ,
, ,
,
.
, -
. -
,
, ,
, -
.



()
,
.
-
. ,

-
.
,
( ).
684 IV.


. ,
90- , 90-

,
-
.
,
.

, -
.
-
,
100 .
. -
, , .

, ,
20 . 30 -
, .
,
14 13 . ,
30 47
44
.
20
20 ,

(30 ). , 20
51,04, -
51,77, -
, 100 , :

44 47
(51,04) + (51,77) = 51,42 .
91 91

, , -
:

= C2
F
= F C 1
W , W ,
1
C 2 C1 2
C C
2 1
19. 685

C1
;
2 ;
F
, ;
W1 ;
W2 .

, , ,
2 -
, 100 , :

103 100 3 .
= =
103 12 91

100 12 88 .
= =
103 12 91


,
.
100 ,
.

.
.
-


. -
. ,
, -
. -
, ,
. -
, -

.
,
, -
$400
,
686 IV.

1,0% .
, $24,60
* ($2460 ) ( -
). , , -
,
. ,
$404 (1,01  $400 =
= $404). ,
, -
.

, -
,
-
.
, -
N -
, N , .
, N,
. , -
20 ,
N 20. , ,

.

. -
;
-
. ,
,
, , ,
COMEX.

. 19.1 -
( 6). -

* ,
$424,60 (1,016  $400 = $424,60)
, - ($400)
.
19. 687

. (
1992 .) $5,90 -
.
1992 . $5,90 (-
-
),
, 6.
( 1993 .) $4,10 -
( 1992 .). ,

1993 .
, -
($5,90 + $4,10 = $10,00), -
.
5.
-
.
,
.
( )
( 6).
, -
(
1994 .) -
. -
7. ,
$55,00 ,
$24,30.

.

: -
, ,
. ,
(

, -
).
-
(,
).
. , -

19.1.

($/ )*

(1) (2) (3) (4) (5) (6) (7)





[. (3) + . (5)] [. (6) + 30,70]

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

* , .
690 IV.

*. -

.
, , -
, , -

. , 19871991 .
-
, .
, -
, -
,
, -
(1995)
90- (. 19.1). , -

,
, ,

.
,
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.
19. 691

19.1.
:

-
. ,
, ,
. -
. , ,
(, 20 -
).


,
,
, , ,

692 IV.

, , . -
, , ,

, .
,
, -
, ,
. ,
,
.
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, , ,
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).
,

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( -
$400 ,
1,0% ). , -
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= $424,60). - $400.
, 60- -
$404 (1,01  $400).
, -
(

), -
.
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,
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$400,00. ,
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19. 693

), ,

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).
.

,
: (1)
; (2) . -
,

(, ). -
,
694 IV.

. -
,
(
)
.
.
, ,
,
.
20


,
: -
, , -
,
- .

$895,
, . ,
, -
.
-
(). -
B S,
. : ,
.
,

. , -
.
, , , 10
.

* ,
Futures 1984 .
696 IV.

,
. ,
.
, 10 -
.
. ,
.
, , -
: .
?
,
, .
, -
.
-
. - 1983 .,
,
,
.

1. ,
,
.
2. ,
,
.


1980 . 1980 .
$17 235 (,
$80). $6000
, 287%! , -
. ,
, ,
-
.
,
.
1976 . 1983 .*
.

* , , -
,
19731975 . , .
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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, ,
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. ( -
.) -
, 1980 .
.

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:
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, - ,

.
698 IV.

, -
. ,

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. ,
N 7 40, -
(. . 17.5).
. -
, :
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. ,
10
40 . -
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.

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20. 699

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, 10 -
(10, 20, 30, 40 50), 20
(20, 40, 60, 80 100) -
(, 5, 10 20).
57**.
-
, -
.
, , 5, -

* ,
.
, (99 + 98 + 97 + + 50)  20 =
= 74 500.
** (5 + 4 + 4 + 3 + 3)  3 = 57.
700 IV.

,
.

.

.
. -
. -
,
-
. ,
0,005 0,50% 0,05% (.. 0,05; 0,10
0,50). ,
(
).

.
. ,
.
,
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,

.

. -
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.
, -
,
( ): -
N , N-
-
N .
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. , ,
, , , 1
, 2 . ,
,
.

.
( )
20. 701

.
-
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. . ,
()
,
. -
. , ,
, ,

.



. , ,
. 19. , -
,

.


, , -
. ,
-
. ,
, (
1993 . 1995 . ) ,
(. 20.1),
,
.
, -
,

. ,
, 19731976 . -
,
.


702 IV.

20.1.

:

93 F M A M J J A S O N D 94 F M A M J J A S O N D 95 F M

. , , -
,
.

, ,
1020 .
( ,
) , , (-
, 510 ). ,
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,
.
, -
(, 15 ), -
,
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20. 703


.
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.
-
,
15 ,
12 ,
. , ,
15-
14 15 , ,
.


,
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. , -
: . ,
,

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.

1. . ,
-
.
, -
. , ,

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-
, ,
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,
.
. -, -
(,
). -,
, -
(, $100 ).
704 IV.

,
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-
?
2. . -
.
. , -
,
- .
, , -
. -
, .
. 20.2 -
. ,
42,4
($15 900 ), -
16,2 ($6075 ).

, , ,
,
. , ,
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,
.


,
-
. ,
, ,
. ( ,
, .)
, ,
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.
. -
.
.

1. , . ,
,
20. 705

20.2.

,
:
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 D e c

: B, S = ; B , S = .

. ,
, . 21.
2. . -
(,
,
). ,
-
, , , - ,
- -
. . 21
,
, .
706 IV.

3. . -
, .
, -
. ,
, -
.
,
.
, -
, N = 7
,
N < 5 N > 9, -
N = 25 N = 54 ,

. ?
N = 7 , -
. ,
, ,
N = 7. , -

25 < N < 54 , , -
, , .

, .
-
, -
,
. -
.
,
.
, -
,
,

. -
, ,
.
4. .
, ,
,

.
20. 707


,
. ,
.
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(
). , -
/
, ,
. , ,
,
.
, , -

.
-
,
. ,
,
.


,
.
, -

?

.
:
,
N ; ,

N .
N: 20, 30, 40, 50, 60, 70, 80, 90 100.
. 20.120.10
. -
; (19891990;
19911992 19931994),
.
708 IV.

.
, ,
,
.
, ,
. -
,
1, -
2 .. ,
6, , ,
, ( )
.
, - -
, -

, -
. -
, ..
,
. 20.120.10
, . , . -
, -
, .

. 20.120.10 ,
.
-
,
-
.
, . 20.1120.14
-
-
,
. ,
-
,
. ,

. -
, ,
, ,
( , -
20. 709

20.1.
( ):




19891990 19911992 19931994
8-
1 9 6 8
2 8 9 5
3 1 8 4
4 7 5 6
5 5 3 9
6 2 2 2
7 6 4 1
8 3 1 3
9 4 7 7

20.2.
( ):




19891990 19911992 19931994
8-
1 9 9 5
2 1 6 3
3 2 4 8
4 4 7 7
5 5 3 6
6 8 5 9
7 7 8 2
8 6 2 1
9 3 1 4
710 IV.

20.3.
( ):




19891990 19911992 19931994
8-
1 4 3 2
2 8 2 3
3 1 1 8
4 2 6 7
5 9 4 5
6 3 5 4
7 5 9 1
8 6 7 6
9 7 8 9

20.4.
():




19891990 19911992 19931994
8-
1 4 2 6
2 7 5 7
3 9 6 9
4 1 3 3
5 5 9 5
6 2 8 2
7 3 7 1
8 6 4 8
9 8 1 4
20. 711

20.5.
():




19891990 19911992 19931994
8-
1 2 7 7
2 3 1 8
3 5 2 4
4 1 3 6
5 4 8 5
6 7 9 1
7 6 5 2
8 9 4 9
9 8 6 3

20.6.
():




19891990 19911992 19931994
8-
1 8 9 1
2 9 1 8
3 7 7 9
4 3 5 2
5 4 2 6
6 1 8 7
7 5 6 3
8 6 3 5
9 2 4 4
712 IV.

20.7.
():




19891990 19911992 19931994
8-
1 8 7 1
2 6 3 5
3 5 5 6
4 4 1 8
5 7 9 3
6 1 4 2
7 2 6 4
8 3 8 7
9 9 2 9

20.8.
( ):




19891990 19911992 19931994
8-
1 9 9 3
2 4 8 1
3 8 6 2
4 5 4 5
5 6 3 9
6 7 5 6
7 3 1 4
8 1 7 7
9 2 2 8
20. 713

20.9.
( ):




19891990 19911992 19931994
8-
1 5 4 4
2 3 7 7
3 6 2 9
4 1 5 5
5 4 3 6
6 2 9 8
7 7 8 2
8 8 6 3
9 9 1 1

20.10.
():




19891990 19911992 19931994
8-
1 2 8 2
2 8 4 7
3 3 7 5
4 1 5 6
5 4 6 8
6 7 1 1
7 6 3 3
8 5 2 9
9 9 9 4
714 IV.

, ). , -
,

-
-
.
-
. ,
. ,
,

.
, ( -
) , ,
. 20.120.10, , -
. ,
,
.
. 20.15 ,
, ,
. 20.120.10*.

-


!
, ,
, -
, , -
. ()
4,5 ( 9). ,
,
. . 20.15,
, ,
.
3,3, - , 4,5.
,
,
(2,3). , -
, -
* , -
,
.
20.11.
/ ($) 19891990:






. .

6670 9090 2180 1420
7780 3020 5390 6340
11 840 9240 8130 8420
3390 1700 1080 -320
5850 5330 3050 1630
7650 1760 3380 6430
1640 2190 590 2730
4970 7160 740 4740
2090 850 20 3290
4240 4170 840 5560
56 120 7630 16 030 17 080

20.12.
/ ($) 19911992:






. .

3710 1820 420 2920
9180 1680 4770 9180
3340 240 1670 3620
1370 90 1050 1370
720 1890 1640 1780
5510 980 1540 4290
560 480 440 340
2420 6090 4650 3190
1380 160 340 1380
810 1690 1410 1850
22 700 11 570 5010 3200
20.13
/ ($) 19931994:






. .

1160 3500 7180 7910
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.
/ ($) :






. .

21 980 7410 3950 6410
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
111 070 10 9660 19 380
20. 717

(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 IV.

20.15.
():





8- 19891990 19911992 19931994

1 1 7 2 3,3
2 5 1 8 4,7
3 3 6 4 4,3
4 2 4 1 2,3
5 4 8 6 6,0
6 6 3 7 5,3
7 7 5 3 5,0
8 8 2 5 5,0
9 9 9 9 9,0

20.16
():

, N

N


19891990 19911992 19931994
20 9 9 9 9,0
30 8 2 5 5,0
40 7 5 3 5,0
50 6 3 1 3,3
60 4 6 6 5,3
70 5 7 8 6,7
80 1 1 2 1,3
90 2 4 4 3,3
100 3 8 7 6,0
20. 719

: N = 20.
, N -

N.
(N = 20
), ,

-
( N = 30 N = 100 ).

, -
, ,
*.

1. , , -
,
. - -
, ,
, -
:
( , -
). ,

, .
2. , , -
-
. ,
, ,
.
3. , ,
.
4. - ,
,
. -
,
.

*
, , -
,
. , ,
,
.
720 IV.

5.
.
-
(,
).

, -
, :
,
?
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, . -,
,
, -
(, N  20 -
). , ,

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-
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. ,
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.
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), , -
.
20. 721

, ?
.


-
,
. -
.
.
, , -
, -
, , .

(.. , -
).
,
; , 19811988 . -
, -
, 19891990 . -
19831990 .
,
19911992 . , 19851992 .
,
19931994 .
, -
. ,
, ,
.



,
. -
, -
.
,
.
,
. ,
,
722 IV.

, . -
, -
( -
),
(
).
, , -
, .
, ,
,
.
.
: -
(simulated results)
( , -
, (blind
simulation)). , ,
, , .. .

.


-
, , -

. , ,
,
,
, ,
. , , -
, ,
, .

,
( ).
Economics 101, , -
. , , ,
(, )
(, 16 1),
(, )
. ,
20. 723

16 , 16 1 ,
(
).
: -
. ,
, -
. ,
.
,
200, 400 600% . (
) 100% .
$100 000
! -
? : . ,
-
. -
,
,
, . ()
() .
?
.

1. . -
-
, -
. , 25 15
100 ,
37 500 (25  15 
 100). ,
37 500 -
. ,
37 500 , ,
?
2. . -
,

,
.
3. .
(
). , ,
,
724 IV.

. ,
,
.
4. . -
,
,
.
5. , , . (
)

. , - -
, , -
(
) .
,
,

.
6. . -
,
( -
,
-).

, ,
.
7. . -
, -
, . -
,
$299,
. Commodity
Traders Consumers Report
$299.


, . , -
,
. ,

.
, -
20. 725

, -
. , ,
S&P 16
1987 . -
? , ,
( ,
),
.


, , ,
, , , -
, -
.
,
. , ,
. , -
,
. : -
(, ), ,
,
.

, .
,
.
. -, -
, . , ,
,
. -,
, -
(, )*.

.
-
. , ,
, ,

* ( -
)
.
, .
726 IV.

, ,
, -
.


-
. , ,
,
, , , -
. , ,
, .
-
,
.
,
, .
,
:
. , - -
.
,
-
, . -
,
, ,
.
, -
. ,
,
, , -
.
, .
, , -
, , .
, -
. ,
, . ,
,
. : -
, , $3000
, .
20. 727

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



1. , .
:
(
).
,
.
2. .
3. , -
.
4.
.
5.
.
6.
.
7. . (,
-
.) . -
,
, .
8. , , .
, -
:
. ;
b.
.
728 IV.

: , , -
, ;
, ;
,
.

. -
. ,
,
, -
,
,
.
9. , -
7 8. , ,

:
a. ,
;
b. , -
.
10. -
, -
. (
.)
11. , ,
-
. (
.)
12. -
(, )
. -
, /
, ,
, .

, -
, .
, 12.
, -
.
20. 729


1. ,
(, ,
) -
.
,
:
. , -

(, ,
,
, , ),
.
2. . -
, -

.
3.
.

, :
.

,
. -
1994 . (. . 1.2) 19791980 .
(. . 1.1) , -
.
4. ,
, .
,
.
,
,
. ( -
,

, .)
5. , -
, -
.
730 IV.

6. , -
.
7. , -
-
.
.
8. -
( ) , ,
. , ,
, -
.
9. -
,
-
. ,
,
-
.
10. - , -
.
.
11. ,
, -
.
12. , -

, . , , , -
-
1992 . (. 20.3),
, ,
-
.
.
14
. -

14 !
, -
.
,
.
20. 731

20.3.
, ,
:
,

J91 Aug Sep Oct Nov Dec J92 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

,
. -
-
(,
,
,
).
13.
.
14.
( -
).
732 IV.

15. ,
.
16. , -
, (
) ,

.
21


,
.

..

-
, **.
,
. -
. 21.1***.
,
, , ,
.
, , -
, .
, ,
* . 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.

( ),
. , ,
2550% , , ,
, ,
.
, -
, -
.
, -
/ ( ),
, , -
. (

, /
0,150,35.)
21. 735

, . -
,
.



. -
:

EI
SR = ,
sd
;
I ;
sd .

E . , -
.
,
,
.
I ,
,
. , , -
, ,
.
, -
.
:

(X )
N 2
i X
i =1
sd = ,
N 1

X ;
Xi ;
N .
736 IV.

N
. , -
, N = 36.


( ). , -
,
. ,

. ,
,
. . 21.2
, -
.
, -
. -
,
. ,
. ,

(, ,
). , -
, ,
.
-
, ,
. .
,
.

1. , ,
,
.
2. , -
I. ( ,
,
, .)
,

SR = E /sd.

,
.
21. 737

21.2.

,

5%
,

, -
, -
. ,
,
: ,

( ).

.
E/sd ,
, -
. ,
. , -
738 IV.

, ,
*.
, , -
.
-
.

, -
**.

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, . 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 .
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 , -
, , 12.
,

12 .

()
,
( 12 ).
,
( 12
).
, ,
(, ) (-
, ),
(, 12). ,
,

(
).



(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 -
, -
. ,

. -
, ,
? ,
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 -
,
.

* , -
. ,
, , ,
. ( , ,
.) , -
/
.
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

, (
, ). ,
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2 r2 (1000)(1 + r1)(1 + r2)
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* , . 753.
21. 755

,
+10%, 10%
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(1000)(1 + 0,1)(1 0,1)(1 + 0,2) = 1188.

. 21.5 NAV -
1991 . 1995 . . 21.6

NAV. . 21.6 ,
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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


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, . ., 2- ., ., 2008, 428 .


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