股票外汇技术分析英文版ppt (16).ppt

John Ehlers 805-927-3065 ehlers@ eMiniZ.com IndiceZ.com ISColleagues In Trading Seminar17 Feb 20071ENGINEERS ARE ASAS ANYONE2Fibanacci Ratios3Patterns• Thousands of patterns have been catalogued– Double Bottom, Head Vars: gamma(0), alpha(0), beta(0), BP(0), Lead(0);beta = Cosine(360 / Period); gamma = 1 / Cosine(720*delta / Period); alpha = gamma - SquareRoot(gamma*gamma - 1); BP = .5*(1 - alpha)*(Price - Price[2]) + beta*(1 + alpha)*BP[1] - alpha*BP[2]; Lead = (Period / 6.28318)*(BP - BP [1]);Plot1(BP,“bp“); Plot2(Lead, “lead“);35BandPass Filter• Eliminates both high frequency and low frequency noise• Design is a tradeoff between selectivity and transient response36BandPass Response Study37Channelized Receiver• Uses a bank of contiguous bandpass filters • Spacing and bandwidth are controllable • Detect the amplitude at the output of each filter• Can use resolution enhancement transform also38How to Use Measured Cycles• Replace fixed-length parameters with dominant cycle fraction – Makes these indicators adaptive to current market conditions • Examples – RSI: 0.5*dominant cycle – Stochastic: 0.5*dominant cycle – CCI: dominant cycle – MACD: 0.5*dominant cycle & dominant cycle • By definition, trends have low cycle content – Cycle peaks or valleys can be used to pick the best entry in the direction of the trend39Adaptive Strategy ImprovementFixed-Length RSI (and length optimized)DFT-Tuned RSI40Trends•Slope is constant across one full cycle period –This defines a trend for me•I model the market as an “instantaneous trendline” plus the dominant cycle•Best to trade the trend if the slope is greater than the cycle peak-to-peak amplitude•Trends can also be defined on the basis of cycle length for mode-switching strategies 41Strategy Design• KISS • Base strategy on some sound principle • Establish orthogonal parameters • Use at least 30 trades per parameter in testing– Minimizes curve-fitting • ALWAYS evaluate using out-of-sample tests • Optimize on percent profitable trades – (in TradeStation) – Better to optimize on (ProfitFactor) * (% Profitable)42Voting Systems• Systems that have voting components can be effective– Example: Elder’s Triple Screen System • System components should be uncorrelated to avoid weighted votes– RSI and Stochastic are highly correlated, for example – A moving average and oscillator tend to be uncorrelated – 5:1 time spread is adequate to use the same indicator in two timeframes to produce a valid vote43Trading Your IRA• Cannot sell short or trade Futures in most IRAs •Create “synthetic” shorts and longs using options –In the money options have a delta = 1 (theoretically, 0.8 practically) –In the money option is better than having a built-in stop loss • You cannot lose more than you paid for the option • A worthless option can possibly be revived before expiration –Options produce leverage • A $4 option on a $130 index gives 0.8*(130/4) = 26:1 leverage •Trade ProShares for 2X leverage both long and short –www.IS will soon be available to do this QLD Ultra Q SSO Ultra S&P500 DDM Ultra DOW30 MVV Ultra MidCap 400 UWM Ultra RussellQID UltraShort Q SDS UltraShort S&P500 DXD UltraShort Dow30 MZZ UltraShort MidCap 400 TWM UltraShort Russell44How to Optimize Strategies• Start with orthogonal parameters • Optimize one parameter at a time • View Strategy Optimization Report– Display should be a gentle “mound” around the optimal parameter value – An “erratic” display shows the parameter is not optimizing anything – just different performance for different parameter values • Iterate optimization through the parameter set to reduce optimization time– This is called a “hillclimb” optimization – If the parameter values change much your parameters are not orthogonal45Portfolio Diversification• All issues within the portfolio should be uncorrelated to reduce risk • If so, each doubling of issues reduces variation from mean equity growth by .707 • Portfolio reaches a point of diminishing returns– 4 issues cuts variance in half – 16 issues cuts variance in half again – 64 issues required to reduce variance by half again • Better strategy is to trade indices to get the benefit of their averaging46Monte Carlo Analysis•Shows statistics of a large number of trades –Enables the use of recent, more relevant trades •Enables statistical evaluation of risk and reward/risk ratio47Trading System Evaluation• Profit Factor and % Profitable Trades are all you need to know to evaluate trading systems • These are analogous to Payout and Probability of Winning in gaming • Glossary: $W = gross winnings #W = number of winning trades $L = gross losses (usually normalized to 1) #L = number of winning trades PF = Profit Factor = $W / $L % = Percent Winning Trades {(1-%) = Percent Losing Trades} ….as fractions48Some Interesting RelationshipsBreakeven occurs when T = 0. In this case:49Weighted Av。