罗伯特·科利：《技术市场指标百科全书》第二版

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Chapter 1

Introducing Technical

Market Indicators

24 Advantages of Using Technical Market Indicators

1. Technical Market Indicators can be selected or discarded based on logic,

common sense, and practical workability based on past performance.

2. Technical Market Indicators can be approached in a systematic, scientific

way.

3. Technical Market Indicators provide a precisely quantified framework for

organizing information about actual observed market behavior.

4. Technical Market Indicators can provide a firm foundation for making

speculative decisions, grounded on historical precedent.

5. Technical Market Indicators save precious time. We do not need to spend

decades of time personally observing the market to learn to take advantage

of its behavioral patterns. Effective indicator testing and selection is an eas-

ier, quicker, and less costly way to learn from historical precedent.

6. Different Technical Market Indicators can be tailored for each of the three

possible trend directions: up, down, and sideways.

7. Technical Market Indicators can be tailored to detect trends in any time

frame. Due to the fractal nature of markets, trends unfold in a similar fash-

ion in various time intervals. So, Technical Market Indicators can be

adapted to the dominant major trends that typically last for years, the

intermediate-term movements that typically last for a few weeks to a few

months, the day-to-day minor trends, and the momentary fluctuations that

concern very short-term traders.

8. Technical Market Indicators can be applied to the full range of financial in-

struments: stocks, futures, commodities, currencies, and anything else that

trades in an open market.

9. Technical Market Indicators can be designed to detect trends and probable

changes in trends in the timeliest manner available. Markets anticipate the

4 Evaluating Technical Market Indicators

probable future trends, and Technical Market Indicators put us on the lead-

ing edge of market trends. In contrast, most investors react too late because

they are focusing on lagging fundamentals, including current news.

10. Technical Market Indicators allow us to make clear-cut decisions without

uncertainty, guesswork, confusion, anxiety, and stress because they can be

precisely defined and tested.

11. Technical Market Indicators offer precise and objective signals that can free

us from forecasts, opinion, bias, ego, hope, greed, and fear, which interfere

with accurate perception of developing market trends. By acting on objec-

tive Technical Market Indicator signals with a dispassionate attitude and a

minimum of emotional and mental involvement, we can maximize our

chances of success.

12. Our Nine Steps to Walk-Forward Simulation of Technical Market Indica-

tors offer an objective and orderly procedure for selecting reasonable and

specific Technical Market Indicator parameters. These Nine Steps allow us

to establish precise decision rules based on entirely objective back-testing

of actual past market behavior.

13. Tested and precisely defined Technical Market Indicator rules give us spe-

cific signals that allow us to confidently execute trades. We can feel confi-

dent because these are the rules that would have maximized reward/risk

performance over actual past market behavior.

14. Although the future is unlikely to exactly mirror the past, assuming that fu-

ture market behavior will resemble the past is the best available assumption

on which to base our current decisions. Thus, we can select specific Tech-

nical Market Indicator parameters that would have worked best in the past.

15. Technical Market Indicators can offer more flexibility and adaptability than

alternative decision-making methods. Technical analysis can be stretched to

include data extraneous to the market being analyzed, such as inter-market

comparisons, sentiment surveys, and cycle studies, along with data consid-

ered fundamental, such as economic and monetary data. Technical analyti-

cal tools can detect trends and trend changes in any data series.

16. Technical Market Indicators can be relatively quick and easy to use com-

pared to alternative decision-making methods. All too often investment

strategy is incompletely defined or excessively complex with an over-

whelming number of hard-to-quantify variables. Many complex systems

are impossible to understand and monitor. In contrast, many Technical

Market Indicators offer simple, sensible, intuitively obvious, easy-to-

understand, and precisely defined formulas based on a manageable number

of variables. These qualities can enable us to execute decisions with the

timely and disciplined consistency that is vital for success in the financial

markets.

Introducing Technical Market Indicators 5

17. Technical Market Indicator research always produces valuable information.

Even when an indicator fails to produce an obviously useful result, we ben-

efit because we can discard that indicator and free our attention for research

in other directions. And for very bad indicators that lose money, we can try

reversing their signals, buying when they turn negative and selling when

they turn positive, if logic permits.

18. Traditional Technical Market Indicators can be adapted to incorporate the

most up-to-date and sophisticated mathematical and statistical tools.

19. Conservation of capital is the first rule of any prudent investment strategy,

and the probability of large losses can be effectively reduced by the disci-

plined application of tested Technical Market Indicators. Historical research

can allow us to precisely define our methods for risk control. Risk reduction

means greater consistency of profitable returns.

20. Playing the probabilities based on historically tested Technical Market In-

dicators, with risk controls to limit damage when the improbable happens,

is the best we can do. The alternatives (to search in vain for consistently ac-

curate forecasts of the future, to react to news developments, or to follow

the latest market guru) do not work.

21. Technical Market Indicators are more accessible than ever before. Thanks

to improving technology, the historical data necessary for independent re-

search is easy to acquire and process.

22. Increasingly, Technical Market Indicators are the preferred decision-

making tools of well-informed market participants. Technical Market

Indicators are used by the majority of the most successful investors and

traders.

23. The same Technical Market Indicators used by top-performing traders and

investors are available now. This book offers the necessary knowledge on

how to formulate and test Technical Market Indicators in an orderly, step-

by-step fashion.

24. Specific Technical Market Indicator parameters offered in this book would

have maximized reward/risk performance over actual market history.

Trends Are the Most Important Considerations in Trading andInvesting

Market prices move in trends. Many variables influence trends. Market prices lead

actual developments in underlying fundamental conditions. Therefore, why trends oc-

cur is not always evident in real time. Sometimes, the reasons are not clear even well

after the trend is over. Technical Market Indicators are designed simply to identify

trends and trend changes without concern for underlying causes and effects.

Trends persist. We do not need to know how long a trend will last. We only need

to know that trends continue until something changes in the supply and demand

6 Evaluating Technical Market Indicators

balance for the financial instrument in the marketplace. And we need to identify trend

changes in a timely manner.

The market’s response to a significant new force unfolds over time as investors

of different abilities and various constraints perceive and react to new developments

at different rates. Market trends begin like rippling rings of water after a pebble has

been tossed into the center of a still pond. At the beginning, the most knowledgeable

and best informed players transact their business based on the new reality, and their

transactions create the first ripple in the market. Following closely, the second best in-

formed react to create a second ring. Soon after, the third best informed investors

make their trades to create a third ring. And so on, until finally the least sophisticated

investors respond to the changed environment. By then the trend is over, and a trend

reversal is at hand. This is the way directional-price trends unfold in waves of buying

and selling.

Human beings buy and sell stocks, and people are moved by their emotions. The

emotional state of the crowd, investor psychology, apart from all rational fundamen-

tal economic considerations, is the most important determinant of investors’ decision-

making and therefore of actual market behavior. Investor psychology is revealed in

Tape Indicators and in specialized Sentiment Indicators in this book.

Trends are detectable in several different time frames, ranging from years to

moments. There are three possible trend directions: up, down, or sideways. These

trend directions differ in different time frames: major long-term trends that last for

years; significant intermediate-term trends that last from a few weeks to a few

months; minor short-term trends that last for days; and noisy momentary trends that

concern only short-term traders. Different trend directions and different time frames

require different specific Technical Market Indicator parameters to maximize

reward/risk performance. This may seem complex, but this complexity can be man-

aged with an orderly identification of appropriate investment objectives and an or-

derly research method as shown in this book.

Back-Testing Technical Market Indicators Has Proved to Be Effective

One of the great advantages of Technical Market Indicators is that they can be tested

against actual market history. Some of the world’s top-performing traders and in-

vestors use back-testing to determine their trading strategies. (See Schwager, Jack D.,

Market Wizards, Interviews with Top Traders, New York Institute of Finance, New

York, 1989, 458 pages.) For example, Richard Dennis ran $400 to $200,000,000 in 16

years of trading on the Chicago futures markets. (Futures “speculation” is about the

same as stock market “investing” except for high leverage, which greatly magnifies

gains and losses.) Like nearly all great futures traders, Dennis is a technician who

studies the behavior of the market itself. Dennis employs mathematicians and com-

puter experts to help him test all known Technical Market Indicators. Based on his re-

Introducing Technical Market Indicators 7

search, he established a set of trading rules that capitalizes on price trends, cuts losses

quickly, and identifies unsustainable excesses. To prove that his methods are valid

and not unique to his personal attributes, Dennis taught his trading rules to 23 raw

trainees, whom he called his Turtles. Although they had no previous trading experi-

ence, 20 of the 23 averaged returns of 100% annually. These results suggest that back-

testing precisely defined trading rules on historical data is a reasonable way to select

trading strategies.

Back-testing Technical Market Indicators has proved to be useful in actual prac-

tice because the market’s behavior patterns do not change dramatically over time. As

Fed Chairman Alan Greenspan said, “Human psychology molds the value system that

drives a competitive market economy. And that process is inextricably linked to hu-

man nature, which appears essentially immutable and, thus, anchors the future to the

past.” And as philosopher George Santayana wrote, in Life of Reason (1906), “Those

who cannot remember the past are condemned to repeat it.”

Traditionally, most investors make decisions based on some combination of

their instincts and the “conventional wisdom” readily available from popular infor-

mation sources. Unfortunately, a subjective consideration of widely discounted

known facts leads to poor decisions and below average results. By relying on shifting

subjective impressions based on an unsystematic sampling of unfiltered information,

the actual decision process becomes impossibly confused. When we cannot analyze

or even identify exactly what went wrong, we cannot learn from mistakes and im-

prove. This may not seem to be a problem when the market is in a generous mood and

it is easy to make money, but when the hard times come—as they always do—a hap-

hazard, untested approach quickly becomes a serious hazard to wealth.

Back-testing Technical Market Indicators provides practical alternatives that of-

fer much better probabilities of success. A tested, objective and systematic strategy

does not rely on forecasts or subjective judgments, and it leaves no room for guess-

work or doubt. Instead, it offers a precise set of instructions that tightly control in-

vestment risks while allowing maximum profits to accumulate. Moreover, by testing

substantial historical data covering many market cycles, we can design a model to

maximize reward and risk tradeoffs in all kinds of market environments.

Types of Technical Market Indicators: Trend, Momentum, Sentiment

Early technicians observed and catalogued all kinds of transaction data. In time,

repetitive patterns were identified and general theories emerged. Trend (price move-

ment: up, down, or sideways) emerged as the primary consideration in technical

analysis.

Momentum (price velocity, or rate of change of price movement) is a leading in-

dicator of a change in price trend direction. Momentum change usually precedes price

trend change. In a typical major market cycle, price begins a new uptrend with very

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