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

• 
• visual/quantitative

Simple moving average, SMA 简单移动平均线

• 
• 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
  

Normalization

• SMA: -0.5~+0.5
• momentum: -0.5~+0.5
• BB: -1~+1
• PE ratio (市盈率): 1 to 300
  

T.A. wrap up:

• hearistics
• Tucker's approach
• don't start trading yet