一目均衡图和德马克指标 ™

PRESENTED BY

一目均衡图和德马克指标™

提姆 · 麦卡洛技术战略总监邮箱 : [email protected]

电话 . +44 207 158 8280

2011 年 9 月 6 日

2

一目均衡图

• 概述和误解

• 解读

目录

德马克指标™

• 背景

• TD 序列™

• TD Combo™

一目均衡图和德马克指标™

• 结合应用

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概述

• 一种跟踪趋势的方法

• 将价格与趋势中不同阶段的数据作比较，以及与不同历史阶段的趋势数据作比较。

• 在较大的趋势校正中的长期支撑 / 阻力目标

一目均衡图概述和误解

误解

• 这是一种日式的方法，所以只适用于日本市场。” • 并非如此。一目均衡图这种趋势跟踪方法衡量的是人的非理性行为，而这种行为在所

有自由市场都是存在。

• “只能应用于同样源于日本的阴阳烛图。” • 并非如此。一目均衡图是完全不同的一种方法。可以和其它多种形式的技术分析相结

合。

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EUR/JPY, monthly, 1999 - 2011

一目均衡图概述

• 5 条线

Source: CQG Inc

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• 将收盘价与转换线比较 (9 日内的中间价 =(9 日内最高价 +9 日内最低价 )/2) • 如果收盘价小于转换线，趋势看跌• 如果收盘价大于转换线，趋势看涨

• 如果收盘价穿过转换线，这是趋势可能被打破的第一个信号。• 转换线从上一个趋势的支撑位变为下一个趋势的阻力位。

转换线应用

EUR/JPY, monthly, 1999 - 2011 Source: CQG Inc

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• 将收盘价与基准线比较 (26 日内的中间价 (26 日内最高价 +26 日内最低价 )/2) • 如果收盘价小于基准线，趋势看跌• 如果收盘价大于基准线，趋势看涨

• 如果收盘价穿过基准线，这是趋势可能结束的第二个信号。• 从上一个趋势的第二个支撑位变为下一个趋势的第二个阻力位

• 如果转换线穿过了基准线和云带，那么趋势反转的可能性就更大了。

基准线应用

EUR/JPY, monthly, 1999 - 2011 Source: CQG Inc

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先行带 1应用

• 将今日收市价与前移的 26 天转换线与基准线平均值（（转换线 + 基准线） /2 ）比较

• 将收盘价与短期趋势中的历史数据比较• 如果收盘价小于先行带 1 ，趋势看跌• 如果收盘价大于先行带 1 ，趋势看涨

• 在上涨趋势中形成云带顶部，在下降趋势中形成云带底部。

Source: CQG Inc

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先行带 2应用

• 将今日收市价与前移 26 天的 52 日内中间价（（ 52 日内最高 +52 日内最低） /2 ）比较 • 如果收盘价小于先行带 2 ，趋势看跌• 如果收盘价大于先行带 2 ，趋势看涨

• 将先行带 1 与先行带 2 相比• 如果先行带 1 小于先行带 2 ，印证了看跌趋势（非常滞后的指标）• 如果先行带 1 大于先行带 2 ，印证了看涨趋势（非常滞后的指标）

• 在上升趋势钟形成云带底部，在下降趋势中形成云带顶部。

Source: CQG Inc

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云带应用

• 比较 26 天前的短期与长期趋势支撑位 / 阻力位

• 没有颜色变化的云带长度代表历史趋势的长期

• 如果有频繁交叉，避免云带分析（长期区间的市场，而不是趋势中的市场）

• 云层“厚重”表明历史趋势更加持久，所以云带分析更加可行。

Source: CQG Inc

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迟行带应用

• 迟行带 = 将当前市价后移（向左） 26 天• 经常会被忽略或者误以为是历史价格，因为人们总是会习惯性地被图表右侧吸引。

• 将当前价格与 26 天前的历史价格，即其余 4 条线比较。

• 在更早的趋势中与其它线进行作比较分析。 (So additional layer of analysis with other Ichimoku lines in even earlier parts of trend)

• 在重大反转中，尤其在云带，会出现长期的支撑位 / 阻力位

Source: CQG Inc

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德马克指标™背景

• 汤姆德马克从 1960s 开始从事股票分析

• 根据多年经验总结出判断市场时机的技巧•定位趋势的开端、发展和衰竭•可用于所有资产类型和时间框架•70 个左右的指标 , 所有均为机械构成•在逆势操作者中最为出名的是 TD 序列™ and TD Combo™

• 他曾为索罗斯、都铎 ·琼斯等人献策。

• 现在是 SAC对冲基金斯蒂文 ·科恩的顾问

• 市场研究有限责任公司的 CEO

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TD 序列™ & TD Combo™概述

在趋势衰竭中的两大用途

• 当市场处于长期高位 / 低位时的重大反转

• 纯逆势操作指标

• 心理上最难出手交易的时刻

• 通常有最佳的风险 /回报比率

• 长期趋势 / 区间内的极端短期高 / 低位

• 逆势操作看短期德马克指标；但长期趋势 / 区间，参考一目均衡图

• 在长期趋势的方向上看，心理上更愿意交易

• 如果长期趋势准确性较低，则改进短期时机选择和风险管理

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TD 序列™概述

• 逆势、选择市场时机的指标

• 可用于所有资产类型和时间框架，确定可能的趋势衰竭时机

• 机械开端、发展和完成

• 当进行逆势大笔交易时，利用流动性

• 尤其适合期权

• 需要耐心和自律

• 不包含交易模型和体系 (Does not comprise a trading model or system)

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TD 序列™长期案例

• 下降之后，等待收盘价反弹超过 4 天前收盘价，新的看涨趋势 TD Setup™ 开始。

• 等待至少 9 个连续柱状线，每个收盘价均超过 4 天前收盘价， TD Setup™ 完成

• TD Setup™ 达到第 9柱状线， TD Countdown™ 开始 (单独的规则 )

• TD Countdown™ 达到 13柱状线，趋势反转更可能开始

• 风险水平自动产生趋势衰竭区

CSI 300, monthly, 2005- 2011 Source: Bloomberg Finance LP

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TD 序列™短期案例

• 短期图表可能给出多个 TD Sequential™ 反转信号• 更长期的潜在趋势可能制造几个 TD Setup™ 形态• 每个 TD Setup™ 形态都可能发展为一个单独的 TD 序列 13™

• 在反转最终开始之前，风险水平将受到测试• (请参见关于突破实际风险水平时的德马克具体指导原则 )

AUD/USD, 240 minutes, July - August 2011 Source: Bloomberg Finance LP

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TD Combo™概述

• 逆势操作、选择市场时机的指标 , 与 TD 序列™ 类似

• 适用于具有强劲势头的陡峭趋势

• 经常在趋势中极端价格异动时，先于 TD 序列™发出逆势操作信号。

• 最佳风险 /回报比率，但心理上最不愿交易

• 需要自律

• 可以与不完整的 TD 序列结合使用，尤其通过期权

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TD Combo™长期案例

• TD Setup™ 必须达到至少 9 个柱状线 ( 和 TD 序列™一样 )

• TD Countdown™ 的规则比 TD Sequential™ 更加复杂• TD Countdown™ 可以与 TD Setup™ 同时开始• TD Combo™ 在截至即日的趋势极端处完成第 13 个柱状线（这点与 TD 序列 ™不同 )

• TD Combo™ 经常比较 TD 序列™在心理上更难以作出交易决定• 但 TD Combo™ 经常给出更好的风险 /回报机会

Forward-Dated Brent Oil, quarterly, 1997 - 2011 Source: Bloomberg Finance LP

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TD Combo™短期案例

Agricultural Bank of China (A), daily, 2010 - 2011 Source: Bloomberg Finance LP

• 在准确信号发出时，心理上很难进行交易 (13柱状线 )

• 没有趋势跟踪指标可以给出如此精确的时机，如此有利的风险 /回报比率

• 在 13柱状线完成之前需要耐心

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TD Combo™ 加 TD 序列™ 期权案例

• TD Combo™ 经常会先于 TD Sequential™ 完成

• 当收益达到 TD Combo 13™ 时，卖出看跌期权• 截至即日趋势中最低水平• 可能出现较强波动

• 当收益达到 TD Combo 13™ 时，买入看涨期权• 由于趋势出现反转信号，可能出现较小波动• 在 TD Combo 13™该点做空看跌期权，挣得时间耗损 (Time decay already earned on short put option at TD Combo 13™)

German Bund yield, daily, July – Nov 2010 Source: Bloomberg Finance LP

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结合一目均衡图和德马克指标™长期趋势中的短期德马克指标

• 当市场没有处于极端水平时，根据逆势信号交易在心理上较为容易。

• 目前长期趋势中发生短期校正之后，当市场测试并验证了该长期趋势的支撑线 / 阻力线，在心理上更加容易。

• 长期趋势支撑 / 阻力线（如一目均衡图）需要等待每个长期价格柱状图的收盘价，以印证是否支撑 / 阻力线被打破，或是否短期校正已结束、并已重回长期趋势。

• 当按照长期趋势方向交易时，时机较不明朗，风险管理也没有吸引力。

• 短期逆势操作信号（如德马克指标）可给出短期校正结束时的最佳交易时机。

• 从短期图表德马克指标得到风险管理水平通常比从长期一目均衡图支撑 / 阻力线得到的要更具吸引力。

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一目均衡图和德马克指标™ 短期校正之后跟踪长期趋势

• 短期校正之后，随长期趋势交易• 使用一目均衡图确定长期趋势支撑位• 跟随长期趋势交易，在心理上较为容易

• 但是一目均衡图对于校正结束时间的预测是不准确的• 收盘价（如月末）可能离一目均衡图趋势支撑位很远

• 在短期图标上使用德马克指标™• 在更准确的时间买入• 改善短期风险管理

Euribor June 2012, monthly, 2008 – 2011 Euribor June 2012, daily, Jan - May – 2011

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Important Notice

This presentation does not constitute or imply an offer or commitment whatsoever on the part of Lloyds TSB Bank plc (“Lloyds TSB”). Any such offer may only be made after the negotiation of satisfactory documentation and only after appropriate credit authority has been obtained. The pricing discussed herein is based on our view of current market conditions and is for discussion purposes only.This presentation and all ancillary documents relating to it (together the "Presentation") was prepared by Lloyds TSB exclusively for you for the purpose of analysing certain potential transactions. The Presentation is being made available on a strictly confidential basis to you and is intended only for the internal use of authorised recipients (“Recipients”) and no part of it may be disclosed to any third party. This Presentation and the information contained herein are the property of Lloyds TSB. Recipients are hereby notified that photocopying, scanning, or any other form of reproduction, or distribution - in whole or in part - to any other person at any time is strictly prohibited without the prior written consent of Lloyds TSB.The information in this Presentation reflects prevailing conditions and our judgment as of this date, all of which are subject to change or amendment without notice and the delivery of such amended information at any time does not imply that the information (whether amended or not) contained in this Presentation is correct as of any time subsequent to its date. Whilst Lloyds TSB have exercised reasonable care in preparing this presentation and any views or information expressed or presented are based on sources they believe to be accurate and reliable, neither Lloyds TSB, nor any of their officers, servants, agents, employees or advisors make any representation or warranty, express or implied, as to the fairness, accuracy, adequacy, completeness or correctness of such information, nor as to the achievement or reasonableness of any projections, targets, estimates, or forecasts and nothing in this Presentation should be relied upon as a promise or representation as to the future. Neither Lloyds TSB nor any of their officers, servants, agents, employees or advisors or any affiliate or any person connected with them accepts any liability whatsoever for any direct, indirect or consequential damages or losses arising from any use of this Presentation or its contents or otherwise arising in connection therewith. Lloyds TSB undertakes no obligation to update or correct any information contained herein or otherwise to advise as to any future changes to it. Applicable tax, accounting and legal considerations are subject to change and in all cases independent professional advice should be sought in those areas. This Presentation is provided for information purposes only: there has been no independent verification of the contents of this Presentation. It does not constitute or contain investment advice. It is not and shall not be construed as an offer, invitation, recommendation or solicitation to sell, issue, purchase or subscribe for any securities in any jurisdiction or to enter into any transaction. It is not and shall not be construed as an offer to arrange, underwrite, finance, purchase or sell any security, financial instrument, assets, business, or otherwise provide monies to any party. Such offers may only be provided in writing after satisfactory legal, financial, tax, accounting and commercial due diligence, as well as approval from the relevant business and credit committees of Lloyds TSB and/or their affiliates. The information contained in this Presentation is in summary form for the convenience of presentation and may therefore not be complete.Products and services that may be referenced in the Presentation may be provided through affiliates of Lloyds TSB or any person connected with them. Lloyds TSB and their affiliates prohibits employees from offering a favourable research rating or specific price target or changing a rating or target to get a mandate and Lloyds TSB and their affiliates prohibit research analysts from being compensated for involvement in investment banking transactions, except to the extent that such participation is intended to benefit investor clients. Lloyds TSB, their affiliates, their respective directors or officers or persons connected with them may have an interest in any financial instrument mentioned in this Presentation. Lloyds Bank Corporate Markets is a trading name of Lloyds TSB. Lloyds TSB’s registered office is 25 Gresham Street, London EC2V 7HN and it is registered in England and Wales under No. 2065.Lloyds TSB is authorised and regulated in the United Kingdom by the Financial Services Authority.

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中文翻译由中国庄禾投资友情提供。由于译者时间精力有限，译文中难免有疏漏和不当之处，敬请批评指正。

Unofficial translation provided by China Zhuanghe Investment Consulting Co., Ltd. (CZH)

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一目均衡图和 德马克指标 ™

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一目均衡图和德马克指标 ™