期貨交易背後的底層邏輯——摘錄於“The Disciplined Trader'- By Mark Douglas

CHAPTER 15:   The Psychology of Price Movement

My objective for this chapter is to break down and analyze the dynamics and psychology of price movement, first, at its most fundamental level, that of the individual trader; then I will broaden the explanation by examining the behavior of traders collectively as a group. I want to demonstrate that, if you understand the psychological forces inherent within traders' actions, you can easily determine what they believe about the future by just observing what they do. Once you know what traders believe about the future, it's not that difficult to anticipate what they are to do next, under certain circumstances and conditions.

   What is relly important about this insight is that it will help you to understand the distinctions between wishful thinking and the actual potential that exists for the market to move in any given direction. You will be learning to let the market tell you what to do by understanding the forces behind its behavior and then learning to differentiate between pure, uncontaminated market information and how that information is distorted once it starts doing something to you.

  The most fundamental component of the markets is traders. Keep in mind that traders are the only force that can act on prices to make them move. Everything else is secondary. What makes a market? Two trades willing to trade, one wanting to buy and one wanting to sell, who agree on a price and then make a trade.

  What does the last posted price represent? The last posted price is what someone was willimg to pay and what someone was willing to sell for at the moment the two traders agreed on the trade. It reflects an agreement in present value between those traders acting at the price.

  What is a bid? A trader announcing the price at which he is willing to buy. What is the offer? A trader announcing the price at which he is willing to sell. How do traders make money? There are only two ways to play this game to make money. To buy at a price you believeis low relative to where you can sell it back at some future point in time. Or to sell at a price you believe is high relative to where you can buy it back at some future point in time.

  Now let's take a look inside the pit to see what has to happen for prices to move off equilibrium and how this will tell us what traders believe.

  98.18  The offer, sellers attempting to sell high.

  98.17  Equilibrium, the last price.

  98.16  The bid, buyers attempting to buy low.

  Since the only object to trading is to make money we can assume that a trader will not knowingly enter into a trade believing he is going to lose. And for a trade to exist requires two traders who agree to the trade, they are both subjecting themselves to market risk. In other words, the next tick is going to make one of them a winner and the other a loser. Since we know that both traders want to win and neither trader wants to lose, we can assume the both traders have completely opposite beliefs about the future value of the contract. So for two traders to agree on a price and make a trade, they have to have diametrically opposing beliefs about the future. The buyer believes he is buying low relative to where he can sell back at some point in the future, and seller believes he is selling high relative to where he can buy back at some point in the future.

  If the next tick is going to make one of them a winner and a loser, we can assume that neither one of them believes he is going to be the loser. If the seller believed the next tick was going to be up, why wouldn't he have waited to sell it higher? The same is true for the buyer. That is the object of the game and the only way to make money. Basically what we have is a suitation where two opposing forces are clashing; both believe they are right about the future, and only one side can profit at the direct expense of the other.

  If the last price of a bond future was 99.14, what has to happen for the price to movie to 99.15? very simply, some trader has to be willing to bid and pay higher than the last price. This means that relative to the last posted price, he has to be willing to do the opposite of buying low. any trader or group of traders willing to buy high or sell low relative to the last posted price is very significant for several reasons.

  First, a trader willing to buy high or sell low instead of buy low or sell high has to have a stronger conviction in his belief in the future value, even if his conviction is out of panic. Second, he is making the last price a bottom. Third, he is aggressively taking the initiative and is making losers out of everyone who sold at the last price and deepened the losses of those who sold lower. Fourth, he is creating price movement that can possibly gather momentum if other traders perceive the new price as low relative to the future. This will also be true for the trader who is paying up to liquidate a position. On the other hand, the seller on the other side of his trade is being lured into the market by the attractiveness of the high price at which he can sell. He believes he is getting the edge. He is in fact selling high,but he is not creating movement or much of a possibility for momentum in his direction. He is picking a top and waiting for something to happen, hoping it won't go any higher. 

  Now, what do the actions of the two trades represent about the market in its collective form? First, this trade tells us that  nobody had a strong enough belief in the future value to risk selling it to him at the last price or lower. Second, nobody was aggressive enough to want enter the market short or liquidate an existing long position by offering to sell it at the last price or lower. A consummated trade  at the next higher level creates a new equilibrium. This new equilibrium makes winners out of all the buyers at the last level and losers of all the sellers at the last level.

  All of the losers at the last price level or lower would have to maintain a belief in the future value to stay in their position or demonstrate a conviction in this future value by adding on to their positions. This is because each new level the price is bid up makes it that much more attractive to them. If they believed it was high at lower levels, at each higher level, it's even a better trade. However, at the same time, each move the market makes against their position invaildates the sellers expectation of future value. Each move clearly demonstrates that the sellers are passive, that the buyers are the aggressors, and that the buyers have a greater potential to move the market in their direction.

  The fact that buyers are aggressively bidding up the price and paying more and more again tells the observer something. It tells him there aren't enough sellers to meet the buyers' demand for a trade at each new price level. If there is a limited supply of sellers,  those traders wanting to buy will have to compete among one another for the limited number of sellers available willing to take the other side of the trade.

  Just observing this price action tells you that at the present moment, the momentum is in favor  of the buyers. Prices would not be bid up unless there were fewer sellers in relation to the buyers. If trades continue to pay more and more, the price gets further away from old sellers. Eventually their belief in future value will ecode, and one by one the sellers will join the existing pool of buyers competing against one another for the fewer and fewer traders willing to sell. As long as the ratio between buyers and sellers remains as I have just described, there is very little potential for downward price momentum to be established.

  Now what will start to tip the balance to cause the market to fall back? For one thing, old buyers will eventually take profits. When they do, they will be joining the existing pool of sellers, thereby increasing the number of traders available to sell. If a move gathers enough steam, it can become similar to a frenzied shark feeding. Eventually, prices will be driven way out of line with some economic factors other traders perceive as relevant compelling them to enter the market in the opposite direction. If these new traders enter with enough force, it will likely cause old buyers to panic adding to the downward momentum.

  Maybe you can visualized this back and forth action. When there are more sellers than there are buyers to take the other side of the trade, the balance will be tipped. Sellers will then aggressively offer to sell lower than the last price, responding to what they perceive as a limited number of buyers to take the other side of the trade.

  All price movement is a function of group behavior. The market prices flow back and forth like a tug of war between those who believe and expect the market to go up - and consequently buy - and those that believe the market will go lower- and consquently sell.

  If there is no balance between the two forces, one side will gain dominance over the other. As prices move farther away from the weak group, the emotional pain of admitting they are wrong will be in direct conflict with their need to avoid losses. Eventually, one by one they will lose faith in their position and liquidate their trade, adding to the momentum of the dominant force.

  The prevailing force will continue to dominate until there is a general perception that prices have gone too far and are out of line with other related factors. The members of the dominant force will have to switch sides to liquidate their positions, creating momentum in the opposite direction.

  As individuals, if we do not have the strength to actually move prices in the direction we would most benefit from, then the next best thing is to learn to identify and align ourselves with the side that has established dominance until the balance shifts and again align ourselves with the side establishing the strength.

  As prices move back and forth in this tug of war, it creats an ebb and flow that is easily identifiable in price charts . These charts will show us in graphic terms how the forces interact and counteract. They are a visual representation of traders'beliefs in the future and the intensity in which they have been willing to act on those beliefs.

  If, for example, a market has been making consistently higher highs and higher lows, to determine what is likely to happen next, ask yourself the following questions:

  1. What kind of price action will sustain the buyers' beliefs that they can make more money ?

  2. When are sellers likely to come into the market in force?

  3. Where are old buyers likely to take profits ? Where are old sellers likely to lose faith in their positions and bail out?

  4.What would have to happen for buyers to lose faith? What would have to happen to draw new buyers into the market?

   You can answer all these questions by identifying certain significant reference points where buyers' and or sellers' expectations are likely to be raised and where they are likely to be disappointed if they don't get their way.

  Actually, all this works quite nicely in the typical market behavior patterns and price formations with which we are all familiar. So, we are going to look at the psychological makeup of some of these typical patterns. However, before we do, I want to cover a few more definitions.

                                               MARKET BEHAVIOR

 The market's behavior can be defined as the collective action of individuals acting in their own self-interest to profit from future price movement while simulataneously creating that movement as an expression of their beliefs about the future.

  Behavior patterns result from the collective actions of individual trades doing one of three things: initiating positions, holding positions, and liquidating positions.

  What will cause a trader to enter the market? A belief that he can make money and that the current state of the market offers an opportunity to enter into a trade at a price level that is higher or lower than the price at which it can be liquidated.

  What will cause a trader to hold a position? A sustained belief that there is still potential for profit in the trade.

  What will cause a trader to liquidate a trade? A belief that the market no longer provides an opportunity to make money. This would mean in a winning trade that the market no longer has the potential to move in a direction that will allow the trader to accumulate additional profits to the potential profit. In a losing trade, the trader believes that the market no longer has the potential to move in a direction that will allow him to recrover his losses or the trade was a caculated risk in which a predetermined loss level was set in advance.

  If you look at any price chart, you notice that over a period of time, prices will form patterns in a very symmetrical fashion. These kinds of symmetrical-looking price patterns are not an accident. They are a visual representation of the struggle between two opposing forces-tarders squaring off, so to speak,taking sides and then having to switch sides to liquidate their trades.

                              Significant Reference Point

Now, what you would be looking for in these charts are significant market reference points. These are definned as anything that causes trades' expectations to be raised about the possibility of something happening. They are points where a large numbers of traders have taken opposing positions. Based on those expectations, they will continue to hold a position in the belief that the expectation will be fufilled, and most important, they will likely liquidate a position as a resultof the expectation being unfufilled.

  Significant reference points are places where the oppising forces (traders with opposite beliefs about the future) have taken a stand, where they have, in their minds, prescribed for the market very limited ways for it to behave, an either/ or situation.

  The more significant the reference point, the greater the effect traders will have on prices, as the balance of power will shift dramatically between the two opposing forces at these points.

  These expectations about what the market will do, projected into price levels, are especially significant because both sides buyers and sellers, have decided in advance their degree of importance, where one trader is taking one position, betting the market can't or won't do something, and the trade taking the opposite side of the trader is betting that it will.

  So,reference points are price levels where many traders on one side of the market are very likely to give up their beliefs about the future, where the other side will have their beliefs about the future reinforced.  It is where each side expects the market to confirm what they believe to be true. You could say it is a place where the traders' expectations about the future and the future actually meet.

  This means for one side, in their minds, that "the market" will make them winners; their beliefs will be validated. All the traders on the other side, however, will be made losers; they will be feel the market took something away from them and will naturally by disappointed. I want to point out here that the "objective observer" doesn't care one way or the other; she would just be looking for signs and opportunities.

  The greater the expectation traders have about something happening, the less tolerance they have for disappointment. On a collective basis, if you have a whole group of traders who expect something to happen and it doesn't, they will have to trade from the opposite dierection of their original trade to get out of their position.

  On the orther hand, the winners had their beliefs validated, consequently leaving fewer and fewer traders available to let the losers out of their trades. The losers will have to compete among one another for the limited supply of traders willing to take the other side of the trade, the side they originally believed would be successful. For example, if buyers are the losers, they will need other traders to buy from them to get out of their positions. All this activity will result in a great deal of movement in one direction.

                                  Highs and Lows  

Probably the most prominent of these sigenificant reference points are previous highs and lows. If prices are moving steadily higher, buyers will begin to anticipate whether or not prices can penetrate the last high, and the sellers will looking for another top.

  In the mind of the seller,that last top,or other tops in the distant past, was a place where the market meet enough resistance to stop the rally. In other words, enough traders thought the price was expensive the last time it was there, and they will begin to anticipate whether the same will happen again.

  Both buyers and sellers will have raised expectations about the likelihood of the market doing one of two possible things--making new highs or failing to make new highs. As the market approaches this high, if some of them are willing to bid the price past it to some sigenificant level, it could make believers out of other traders who were on the sidelines. If these new traders come into the market as buyers, it will add to the upward momentum, possibly causing old sellers to bail out of their positions. This will also add to the upward  momentumof price movement. 

                                          Support and Resistance

In a falling market, support is a price level where buyers entered the market or old sellers liquidated their shorts with enough force to keep prices from going any lower. In a rising market, resistance is a price level where sellers entered the market or old buyers liquidated their longs with enough force to keep prices from going any higher.

  Support and resistance levels are significant reference points because many traders recognize support and resistance on charts and believe in their significance.

  That statement may seem redundant to some people, but it really illustrates a very important point about the nature of the markets(traders acting on their belief in future value). All beliefs eventually  become self-fulfilling prophecies. If enough traders believe in the significance of support and resistance, and demonstrate their belief by making trades at those levels, they are in effect fulfilling their own beliefs about the future.

  As observers, if we know that each side( in the perpetual tug of war between buyers and sellers) expects one thing to happen, then we will know who will be the winner, who will be the loser, what they will likely do in each case, and how it will affect the balance between the two forces.

  For example, if buyers are bidding up a market, causing prices to rise, and all of a sudden many traders are willing to sell for less than the last price ( or one trade comes into market with a big order to sell), causing an immediate price reversal, the price level at which the market stopped is resistance.

  Now, it really doesn't matter why the balance of force shifted from buyers to sellers. Everybody will have his own reasons for what caused prices to reverse. All them will usually be way beyond the simplest and most obvious reason-- that enough traders were displaying a strong enough conviction in their belief in future value to stop the upward price momentum and create downward price momentum.

  What is really important about this, however, is that many traders will remember the market reversed at that price level, As a result, that price will then have a degree of significance in the mind of those traders who experienced the reversal. 

  This first reversal is a top. What we don't know is whether it will remain a top, how long it will take before it is challenged again, or whether it will ever be challenged again.

  If buyers are dominant enough to bid the market back up to the previous high, they will consider this second attempt a test and begin to anticipate whether or not prices can exceed the previous high. The only way that can happen is it these higher prices actually attract additional traders into the market on the buy side because they believe it is an opportunity to buy low releative to the future. Floor trades are especially aware of whether or not new traders are being attracted into the market from off the floor and act on this information.

  For the sake of this example, if the market reversed very strongly the last time prices approached this level, there will be many traders who will think it will probably reverse again. As a result, they may act on their belief about the low probability of prices trading beyond the last high and thereby prevent it from happening. If more traders are willing to act on the belief that it won't in relation on those who act on the belief that it will, then prices will stop again. 

  Technically, once the market access a previous high or low and fails to penetrate, you then have a defind support and resistance area. Support and resistance are most easily identified in the charts because they graphically represent price movement in reversal. Once support and resistance are established and identified, it can be very easy to trade by putting your orders on either side of the support or resistance line.

  This trade will work if the resistance level has a high degree of significance in the minds of enough traders for them to act and sell against it in relation to those who are willing buy. Each time the market approaches this area, traders will expect either one of two possible things to happen. The market will penetrate, or it will fail again. In any case the price move that results will be significant because one side of the market will be disappointed. And if we know what will validate and disappoint each group, then we can determine how they will likely behave and thereby affect the balance of the market.

  Since the market can display billions of conbinations of bshaviors from one point to the next, significant reference points like support and resistance narrow those behaviors down to two likely possibilities. By putting your order on both sides, you can take advantage of the situation, regardless of what happens.

            Support Becomes Resistance And Resistance Become Support

Many traders have read or heard that old support becomes resistance and old resistance becomes support. This bit of market insight is valid for some very sound psychological reasons.

  If resistance has been established at 95.25, it is because there were enough traders who sold at that price to make it resistance. In fact, it would probaly be the same group of traders who sold st 95.25 each time the market approached that price. So, every time the market rallied up to 95.25 and sold off, it made winners out of all those traders who chose to sell at or near that price. As a result, 95.25 will take on a great deal of significance in the minds of the traders who were successful. Each subsequent time they are successful will only strengthen their belief and faith in that price level.

  Now, the prices rally up to 95.25 again, maybe for the fourth or fifth time, and like the last time, you will have a group of traders who believe in that resistance level and will sell against it. Only this time the buyers are very strong on the way up and continue to buy right on through the resistance level.

  All the traders who choose to sell at 95.25 are now faced with having to deal with a losing trade. Some will get out with a small loss, others will hang on hoping  the market will come back.  In any case, the market invalidated their beliefs about the future, and they are suffering considerably. They had faith in 95.25, and in their minds the market betrayed them.

  If the market happens to come back to 95.25 after rallying for several days, how do you think the group of traders who sold at 95.25 the last time--the ones who believe they were betrayed-- are going to behave? First the traders who were hanging on in hopes of the market coming back will bail out as soon as they are close to being made whole. They are so grateful for getting their money back, there is no way they will stay in that trade regardless of what the possiblilities are for additional profits. They will have to be buyers to liquidate their shorts and will be all too happy to end their suffering.

  The traders who originally cut their losses when the market blew through 95.25 won't consider selling at that price again because of the emotion pain of being wrong the last time they sold at that price. I am not saying they will in turn be buyers at that level, but they are very likely not to sell. The overall effect this will have on the balance of the market is to take away from the existing pool of available sellers at 95.25 (old resistance), thereby causing the balance to be tipped in favor of the buyers. Hence, old resistance becomes support, and old support becomes resistance for the same reasons.

                                            Trends and Trendlines

Trends,a series of higher highs and higher lows, or lower highs and lower lows over a period of time, work because there aren't enough sellers to absorb the number of buyers competing with each other to get into the market during that period of time. Adding to this buying force will be old sellers at lower levels who finally lose faith and bail out of their positions. They will do this in significant numbers when the prices penetrate what they believe to be significant reference points.

  Keep in mind that trends are a function of time. The next tick up could be defined as a one-tick trend. How long will the imbalance between buyers and sellers last?

  In an upward-trending market, prices will retrace because buyers are taking profits. This will create some counteracting pressure, But if the trend continues after a normal retracement, it just tells you there still aren't enough sellers around to absorb all the buyers, with enough left over to create downward momentum. You will know when that happened when the trending market breaks its normal ebb and flow pattern. That is why markets that break trendlines have a tendency to keep on going in the direction of the break,because it signals a significant shift in the balance of forces.

  After a certain period of time, you can notice how trending markets will develop a certain rhythm and flow, making the price movement look very symmertrical on a bar chart. You really don't have to know why this is so, you just have to notice that exists. When this flow is broken (the market trading above or below a significant trend line), it is a good indication the balance of the market forces has shifted. Then ask yourself, What is the likelihood the shift will gain hold and continue trending in the direction of the break?

  You don't even have to know the answer to that question. Put in an order at spot that would confirm the highest probability of a change in the balance, Then wait for the market to define itself. If your order is filled, put a stop where are market shouldn't be to confirm that your order is still valid. "What is s valid trade" you ask, One where the highest probabilities for price movement are in the direction of the prevailing force.

                            High--- Retrace--- Rally to a lower high

I will give you an example. No matter how simple a trade this is, it has very sound psychological reasons for working. In this example, the market made new highs and sold off. The sell-off could be the result of new sellers coming into the market in force, or old buyers selling to take their profits, or a combination of both. prices will continue to drop until enough traders believe the price is cheap and are willing to take the initiative and bid the price back up. As the price approaches the last previous high, buyers will begin to anticipate whether or not prices can penetrate, and sellers will be looking for another top.

  In either case expectations by both will be raised. If some buyers are willing to bid the price past the previous highs to some significant level, it will make believes out of others who were on the sidelines. If they do come in, it will add to the momentum.

  Some old sellers will admit to beimg wrong and will to buy to get of their traders, thus adding to the upward momentum.

  However, what if the market approaches the highs the second time, and sellers come back into the market again with enough force to keep the price from exceeding or equaling the previous high? Buyers will start to become disappointed. Where will they really be disappointed? -- if enough buyers don't come into the market to support the price at the previous low. If prices penetrate that low, watch for buyers to bail out en masse. For them to get out of their position, who is going to buy it from them? If everybody is trying to sell and no one is available to buy, what are prices going to do? Fall like a rock.

  The reason why a bull market is ready to turn into bear market when the general public gets involved is because the gereral public has the least tolerance for risk and consequently needs the most reassurance and confirmation that what they are doing is a sure thing. As a result, They will be the last to be convinced that the rising market represents an opportunity. If a bull market has lasted for any length of time, the general public will feel compelled to jump on the bandwagon so to speak, because of their perception that everyone else is doing it and making money. They will pick up on any reason that sound the most rational to justify their participation, when in reality, they will know very little about what they are doing, but since everyone else is doing iy, how can they go wrong.

  Acountinuing bull market requires the continual infusion of  new traders who are willing to pay higher and higher prices. The longer a bull market lasts, the greater the number of people who are already participating as buyers, leaving fewer and fewer traders who haven't already bought and fewer and fewer traders who are willing to bid the price up. These older buyers obviously want to see the market keep on going up, but they also don't want to get caught holding the bag, if the market stops going up. As their profits accumulate from the higher prices, they start to get nervous about about taking their prdfits. 

  By the time the general public starts buying en masse, the professional traders knows the end is near. How does the professional know this? Because the professional knows that there is a practical limit to the number of people who will participate to bid the price up. There will come a point where everyone who is likely to be a buyer will already bought, quite litterally leaving no one else to buy. The professional trader would like the market to continue to go up indefinitely just like all the other buyers. However, he also understands the impracticality of that happening, so he starts taking his profits while there are still some buyers available to sell to. When the last buyer has brought, the market has no place to go but down.

  The public gets stuck because they weren't willing to take the risk when there was still potential for the market to move. For the market to sustain itself, it needs to attract more people. As big as this country is or the world for that matter, there are only so many people who will buy. Eventually the supply of buyers runsout, and when it does the market falls like a rock.

  The professionals have been selling out their positions before this happens, but once the supply of buyers runs out, the professionals start to compete among one another for the available supply of buyers which is dwinding fast, so they offer lower and lower prices to attract someone into the market so they can get out. At some point, instead of the lower prices being attractive to people, it panics them. The public didn't anticipate losing. Their expectations are very high with very little toleration for disappointment. The only reason they got in was because it was a sure thing. When the public starts to sell, it starts a stampede.

  Again, people will ascribe their actions to some rational reason because nobody wants to be thought of as irrational and panicstricken. The real reson why people panicked and the prices fell is simply because prices didn't keep going up.