02-06 Technical Analysis

技术面分析

Characteristics of Technical Analysis

what:

  • historical price and volume only
  • compute statistics called indicators
  • indicators are heuristics
    why:
  • there is information in prices
  • heuristics work

Q: Fundamental or Technical?

  • moving average of price (T)
  • % change in volume (T)
  • price/earings ratio (F)
  • intrinsic value (F)

When is Technical Analysis effective

  • Individual indicators weak
  • Combinations stronger
  • Look for contrasts (stock vs mkt)
  • shorter time periods
    trading horizon
    milliseconds>>days>>years
    Fundamental:>>>>
    Technical:<<<<
    fast<<decision speed<<slow
    simple>>decision complexity>>complex
    中间 working together

A few good indicators

momentum 动量
  • \mathrm{momentum}[t]=\frac{\mathrm{price}[t]}{\mathrm{price}[t-n]}-1
  • visual/quantitative
Simple moving average, SMA 简单移动平均线
  • \mathrm{SMA}=\frac{price[t]}{price[t-n:t].mean()}-1
  • proxy for value
  • arbitrage opportunity
Bollinger Bands, BB
  • 在SMA的基础上，加两个标准差
  • How to use: look for cross from outside to inside
    BB[t]=\frac{price[t]-SMA[t]}{2\cdot std[t]}
Normalization
  • SMA: -0.5~+0.5
  • momentum: -0.5~+0.5
  • BB: -1~+1
  • PE ratio (市盈率): 1 to 300
    normed=\frac{values-mean()}{values.std()}
T.A. wrap up:
  • hearistics
  • Tucker's approach
  • don't start trading yet
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