個人資料
正文

國語長篇,SEASONAL 1 - 4 (ZT) 轉自 < D調的華麗 >

(2014-12-19 21:14:46) 下一個
HOLIDAY行情揭秘,,序言

偶們經常聽說的市場的節日行情,即如果遇到長周末,會出現隻漲不跌的逼空行情,,剛剛發生的生蛋RALLY,,
再如,,每年一月的行情將代表全年的行情,,一月漲即全年漲,,等等,,那麽,,這些傳說你可以認為無厘頭,但是,其中的策略有明顯的EDGE,這些EDGE甚至遠遠高於偶們平時用的TA,FA,,

即將推出國語長篇之SEASONAL


SEASONAL 1


說到SEASONAL,,第一反應就是,,天燃氣,,天氣冷用的多,,價格高,,要漲,,有木有??

你說說,,今年夏天是多少多少,,現在都冬天了,,價錢還更低,,情何以堪呀,,不WORK嘛,,

那偶們把這個問題留到最後來解釋,,

先來個機械唯物主義,,

每年生蛋節前第X天,,X小於10,,你無腦的買進大盤指數,,節後第一個交易日無腦賣出,,一年就玩這幾天,,

書上都說了,,會賺,,20幾年下來,,你腳著你有多少次會賺??,,注意,,這可是書上已經擺的明牌,,所謂見光S,,

答案
1, 50 - 60%,,很多同學最喜歡這個數,,每次都玩扔硬幣,,
2, 60 - 80%
3, 80 - 90%
4,沒有100%,,OK??!!


SEASONAL 2

不錯,,結果前幾天就說了,,89%,,隻有3年會虧錢,,,分別是,,1997(-1.1%),,2002(-0.5%),,2008(-2%),,

其它24年都是賺的,,而且,,PF = 18,,換句話說,,如果你賺的是虧掉的 18倍,,驚未??

這還隻是完全沒有FILTER,,沒有LEVERAGE的情況,,

這就是SANTA RALLY,,


SEASONAL 3

能比89%更好一些末??YES,,WE CAN DO IT!!

把2008,2002拿掉,,熊市嘛,,RIGHT??唯一問題是你在當年顯然不知道你在熊市,,RIGHT??

於是TA可以HELP,,這次偶用的是ATR,觀察波動率的指標,,
說了無數次了,,美股的特征是熊市下跌時波大,,所以,,當ATR明顯超過平均值時,,暗示投資人比較恐慌,,當遇到長假時,,不是繼續持有,,而是害怕夜長夢多,,於是扔掉了事,,MAKE SENSE?

當偶們加上這個指標後,,勝率會達到95%,,

於是新的問題來了,,隻有生蛋RALLY可以玩嗎??每年隻有一次情何以堪!!

NEW YEAR,MLK,,總統日,,7/4,,LABOR DAY,,THANKSGIVING??這些書上沒寫的,,還有江湖傳說的9/11,,


SEASONAL 4

放心,,偶們都算好了,,偶把PF》 5,勝率》75%的算STABLE,,

最穩定的HOLIDAY是,,

1. SANTA RALLY + NEW YEAR,,因為1/1回過去幾天就是生蛋,,這二個連在一起
2. THANKS GIVING + AFTER THANK-GIVING 一周,,,
3. LABOR DAY,
4. 7/4,,

                //Stable holiday, combined Profit: 779, PF = 14.9, 89%, 1/1/1990 -- 09/15/2014
                _allHolidays.AddRange(holiday.Where(o => o.Month == 1 && o.Day < 5));     //New Year, look back = 9, PF = 9, 88%
                _allHolidays.AddRange(holiday.Where(o => o.Month == 7));     //Independence Day look back = 9, PF = 13, 82%
                _allHolidays.AddRange(holiday.Where(o => o.Month == 9));     //Labor Day look back = 9, PF = 4.5, 88%
                //Combined Before and After Thanksgiving, PF = 27, 89%
                _allHolidays.AddRange(holiday.Where(o => o.Month == 11));     //Thanksgiving look back = 9, PF = 11, 76%
                _allHolidays.Add(holiday.Where(o => o.Month == 11).First().AddDays(LOOK_UP_DAY));     //After Thanksgiving, PF = 5.6, 76%
                _allHolidays.AddRange(holiday.Where(o => o.Month == 12));     //X-MAS look back = 9, PF = 36, 95%

                //Optional
                //_allHolidays.AddRange(holiday.Where(o => o.Month == 1 && o.Day > 7));     //MLK look back = 9, PF = 3.5, 74%
                //_allHolidays.AddRange(holiday.Where(o => o.Month == 2));     //President Day look back = 9, PF = 1.5, 52%
                //_allHolidays.AddRange(holiday.Where(o => o.Month == 3 || o.Month == 4));     //Good Friday look back = 9, PF = 0.8, 47%
                //_allHolidays.AddRange(holiday.Where(o => o.Month == 5));     //Memorial Day look back = 9, PF = 2.0, 47%
                //_allHolidays.Add(new DateTime(i, 9, 11));     //9/11 look back = 9, PF = 4.3, 57%

                //Negative
                //_allHolidays.Add(holiday.Where(o => o.Month == 12).First().AddDays(-10));     //#2 week after thanksgiving, 19 days before X-MAS, PF = 0.54, 38%
        


 

[ 打印 ]
閱讀 ()評論 (0)
評論
博主已關閉評論