炒股必须懂概率，不懂得概率应该在把它搞懂以后再进股市。
概率不是瞎猜，甚至有时它和我们的直觉不一样。很多人到LV看到轮盘出了四五次红的，就觉得下一次出黑的的可能性大，事实上还是一样大。虽然五六次连红的情况很少，但是在已经有四五次连红的情况下，其条件概率依然是1/2.
market的涨跌也是如此，总的涨得时候比跌的多。连涨几天后，还长的概率几乎是50%。如果第一天涨了，第二天依然张的概率在过去的20年里（我只有这么多数据），略超过50%,如果涨了两天，第三天涨的概率是54%，类似，如果涨三天，第四天还长的概率是52%,最多一次涨了12天。那是95年 8/29到9/14号的事。
同样，如果第一天跌，第二天依然跌的概率，也接近50%，大约48%，连跌两天，第三天还跌的概率是45%，也是一半左右，只是连跌五天后，第六天还跌的概率降到了30%.最多一次跌了八天，是07年12/27到08年1/8.
因此，简单根据前两天的涨跌断定几连阴或者几连阳是没有意义的，因为在连涨几天和连跌几天后，无论接下来是涨是跌，条件概率总在50%左右，或者说和历史无关。
Thursday, March 4, 2010
Tuesday, March 2, 2010
略谈VIX的daily红空心Marubozu
$VIX daily红空心Marubozu的隐含意思有两层：
1. 当天开盘前put们被大杀特杀，MM在前一天收盘时(一般大盘option在收盘后仍可交易15分钟以上)平了很多put，避免在put上损失过大。
2. 当天交易期间，put们又被MM买回来，而且大大超过前一天被平掉的量(这才会造成空心 Marubozu)。
两层意思加起来，往往是短期回调前的做顶迹象。MM们即使不能马上往下按，也不会让大盘上涨太多杀掉这些新的PUT们。做顶的几天也比较短，使 option时间损失不大。一旦回调，ATM put的价格起码翻倍，然后出掉这些swing trade PUT们拿到swing trade利润，同时因为put又被平掉而造成$VIX狂降。
参考Cobra's chart 2.0.0.
June 11, July 2, August 21均属此类情况。
红空心Doji不算此类，为什么？因为条件2不成立，open put和前一天close put的量相当接近，有很大可能是正常交易量比较平均所致。
1. 当天开盘前put们被大杀特杀，MM在前一天收盘时(一般大盘option在收盘后仍可交易15分钟以上)平了很多put，避免在put上损失过大。
2. 当天交易期间，put们又被MM买回来，而且大大超过前一天被平掉的量(这才会造成空心 Marubozu)。
两层意思加起来，往往是短期回调前的做顶迹象。MM们即使不能马上往下按，也不会让大盘上涨太多杀掉这些新的PUT们。做顶的几天也比较短，使 option时间损失不大。一旦回调，ATM put的价格起码翻倍，然后出掉这些swing trade PUT们拿到swing trade利润，同时因为put又被平掉而造成$VIX狂降。
参考Cobra's chart 2.0.0.
June 11, July 2, August 21均属此类情况。
红空心Doji不算此类，为什么？因为条件2不成立，open put和前一天close put的量相当接近，有很大可能是正常交易量比较平均所致。
Sunday, February 28, 2010
20 rules
Want to trade successfully? Just choose the good positions and avoid the bad ones. Poor trade selection takes a heavy toll as it bleeds your confidence and wallet. You face many crossroads during each market day. Without a system of discipline for your decision-making, impulse and emotion will undermine skills as you chase the wrong stocks at the worst times.
Many short-term players view trading as a form of gambling. Without planning or discipline, they throw money at the market. The occasional big score reinforces this easy money attitude but sets them up for ultimate failure. Without defensive rules, insiders easily feed off these losers and send them off to other hobbies.
Technical Analysis teaches traders to execute positions based on numbers, time and volume.This discipline forces traders to distance themselves from reckless gambling behavior. Through detached execution and solid risk management, short-term trading finally "works".
Markets echo similar patterns over and over again. The science of trend allows you to build systematic rules to play these repeating formations and avoid the chase:
1. Forget the news, remember the chart. You're not smart enough to know how news will affect price. The chart already knows the news is coming.
2. Buy the first pullback from a new high. Sell the first pullback from a new low. There's always a crowd that missed the first boat.
3. Buy at support, sell at resistance. Everyone sees the same thing and they're all just waiting to jump in the pool.
4. Short rallies not selloffs. When markets drop, shorts finally turn a profit and get ready to cover.
5. Don't buy up into a major moving average or sell down into one. See #3.
6. Don't chase momentum if you can't find the exit. Assume the market will reverse the minute you get in. If it's a long way to the door, you're in big trouble.
7. Exhaustion gaps get filled. Breakaway and continuation gaps don't. The old traders' wisdom is a lie. Trade in the direction of gap support whenever you can.
8. Trends test the point of last support/resistance. Enter here even if it hurts.
9. Trade with the TICK not against it. Don't be a hero. Go with the money flow.
10. If you have to look, it isn't there. Forget your college degree and trust your instincts.
11. Sell the second high, buy the second low. After sharp pullbacks, the first test of any high or low always runs into resistance. Look for the break on the third or fourth try.
12. The trend is your friend in the last hour. As volume cranks up at 3:00pm don't expect anyone to change the channel.
13. Avoid the open. They see YOU coming sucker
14. 1-2-3-Drop-Up. Look for downtrends to reverse after a top, two lower highs and a double bottom.
15. Bulls live above the 200 day, bears live below. Sellers eat up rallies below this key moving average line and buyers to come to the rescue above it.
16. Price has memory. What did price do the last time it hit a certain level? Chances are it will do it again.
17. Big volume kills moves. Climax blow-offs take both buyers and sellers out of the market and lead to sideways action.
18. Trends never turn on a dime. Reversals build slowly. The first sharp dip always finds buyers and the first sharp rise always finds sellers.
19. Bottoms take longer to form than tops. Fear acts more quickly than greed and causes stocks to drop from their own weight.
20. Beat the crowd in and out the door. You have to take their money before they take yours, period.
Many short-term players view trading as a form of gambling. Without planning or discipline, they throw money at the market. The occasional big score reinforces this easy money attitude but sets them up for ultimate failure. Without defensive rules, insiders easily feed off these losers and send them off to other hobbies.
Technical Analysis teaches traders to execute positions based on numbers, time and volume.This discipline forces traders to distance themselves from reckless gambling behavior. Through detached execution and solid risk management, short-term trading finally "works".
Markets echo similar patterns over and over again. The science of trend allows you to build systematic rules to play these repeating formations and avoid the chase:
1. Forget the news, remember the chart. You're not smart enough to know how news will affect price. The chart already knows the news is coming.
2. Buy the first pullback from a new high. Sell the first pullback from a new low. There's always a crowd that missed the first boat.
3. Buy at support, sell at resistance. Everyone sees the same thing and they're all just waiting to jump in the pool.
4. Short rallies not selloffs. When markets drop, shorts finally turn a profit and get ready to cover.
5. Don't buy up into a major moving average or sell down into one. See #3.
6. Don't chase momentum if you can't find the exit. Assume the market will reverse the minute you get in. If it's a long way to the door, you're in big trouble.
7. Exhaustion gaps get filled. Breakaway and continuation gaps don't. The old traders' wisdom is a lie. Trade in the direction of gap support whenever you can.
8. Trends test the point of last support/resistance. Enter here even if it hurts.
9. Trade with the TICK not against it. Don't be a hero. Go with the money flow.
10. If you have to look, it isn't there. Forget your college degree and trust your instincts.
11. Sell the second high, buy the second low. After sharp pullbacks, the first test of any high or low always runs into resistance. Look for the break on the third or fourth try.
12. The trend is your friend in the last hour. As volume cranks up at 3:00pm don't expect anyone to change the channel.
13. Avoid the open. They see YOU coming sucker
14. 1-2-3-Drop-Up. Look for downtrends to reverse after a top, two lower highs and a double bottom.
15. Bulls live above the 200 day, bears live below. Sellers eat up rallies below this key moving average line and buyers to come to the rescue above it.
16. Price has memory. What did price do the last time it hit a certain level? Chances are it will do it again.
17. Big volume kills moves. Climax blow-offs take both buyers and sellers out of the market and lead to sideways action.
18. Trends never turn on a dime. Reversals build slowly. The first sharp dip always finds buyers and the first sharp rise always finds sellers.
19. Bottoms take longer to form than tops. Fear acts more quickly than greed and causes stocks to drop from their own weight.
20. Beat the crowd in and out the door. You have to take their money before they take yours, period.
Tuesday, February 23, 2010
Dave 对Never turn a winning trade to a loss 的理解
Never turn a winning trade to a loss
如果经过考虑的TRADE, 进去就赚钱的可能性还是蛮大的. 但是就一直赚钱吗? 要跌到快亏损的时候就卖? 如果卖了又大幅度上涨? 怎么办? 这些事情都可能在一天内就发生. 做过FUTURE的人都知道, 你放STOP的话, 被STOP出去的可能性是非常大的. 比如你20.6买入股票, 涨到20.7了, 然后跌到20.61了, 根据这个原则就该20.61卖了. 很可能你20.61卖了后就开始涨, 大涨了. 而且如果你仓位大点的话, 你20.61开始卖, 可能就给卖到20.5了. 那么你从20.65就开始卖?
我认为, 股市上从来没有啥NEVER NEVER的事情, 这么说本身就有问题. 即使非常赞成者如大波之流, 也不是说一快要亏损就CUT掉. 很多时候他也等到关盘.
应该说, 只有你有非常可观的PROFIT的时候, 才有这个LUXURY去not turn a winning tyrade to a loss. 不然的话, 可能大部分都交手续费去啦.
如果经过考虑的TRADE, 进去就赚钱的可能性还是蛮大的. 但是就一直赚钱吗? 要跌到快亏损的时候就卖? 如果卖了又大幅度上涨? 怎么办? 这些事情都可能在一天内就发生. 做过FUTURE的人都知道, 你放STOP的话, 被STOP出去的可能性是非常大的. 比如你20.6买入股票, 涨到20.7了, 然后跌到20.61了, 根据这个原则就该20.61卖了. 很可能你20.61卖了后就开始涨, 大涨了. 而且如果你仓位大点的话, 你20.61开始卖, 可能就给卖到20.5了. 那么你从20.65就开始卖?
我认为, 股市上从来没有啥NEVER NEVER的事情, 这么说本身就有问题. 即使非常赞成者如大波之流, 也不是说一快要亏损就CUT掉. 很多时候他也等到关盘.
应该说, 只有你有非常可观的PROFIT的时候, 才有这个LUXURY去not turn a winning tyrade to a loss. 不然的话, 可能大部分都交手续费去啦.
Monday, February 22, 2010
一种抢反弹方法，也适合判断大盘底部
那什么时候才算是oversold 呢？一般来说，我希望股票越惨越好，最好是惨不忍睹，那就行了．什么叫惨不忍睹，就是这是股票，大跌三天，每天都是大跌，而且，三天能跌掉２０％，要使更多的话，那就更好了．这个时候，也就是第四天，开盘的时候非常重要．第一种情况，要使这支股票gap down¸ 我的上帝，这就是一个杰作，我会奋不顾身的跳进去，因为这个时候的risk/reward是最佳比例，我就算亏，我也不会是大亏，除非是bill gates 那他所有的钱来砸，一般来说，这个时候就卖得人就基本上差不多了．但是记住，这是抢反弹，所以，抢了就要跑，最多放上一天，就足够了．别指望着他能弹过高，不然就有JesseLivermore这样的人来宰你．第二种情况，就是高开，然后最后一群seller进入，但是这个时候，你可以感觉到这时的 seller 就是强弩之末了．这个strategy, 我掌握得不好，每次还是要跟着trainer做才行，大家好好琢磨琢磨，据说这个情况比第一个更好赚钱
一种抢反弹方法，也适合判断大盘底部
那什么时候才算是oversold 呢？一般来说，我希望股票越惨越好，最好是惨不忍睹，那就行了．什么叫惨不忍睹，就是这是股票，大跌三天，每天都是大跌，而且，三天能跌掉２０％，要使更多的话，那就更好了．这个时候，也就是第四天，开盘的时候非常重要．第一种情况，要使这支股票gap down¸ 我的上帝，这就是一个杰作，我会奋不顾身的跳进去，因为这个时候的risk/reward是最佳比例，我就算亏，我也不会是大亏，除非是bill gates 那他所有的钱来砸，一般来说，这个时候就卖得人就基本上差不多了．但是记住，这是抢反弹，所以，抢了就要跑，最多放上一天，就足够了．别指望着他能弹过高，不然就有JesseLivermore这样的人来宰你．第二种情况，就是高开，然后最后一群seller进入，但是这个时候，你可以感觉到这时的 seller 就是强弩之末了．这个strategy, 我掌握得不好，每次还是要跟着trainer做才行，大家好好琢磨琢磨，据说这个情况比第一个更好赚钱
Thursday, February 18, 2010
dow 趋势定义
"截短亏损，让利润奔跑”
如何做到？ 顺势而为。如何顺势？ 这里就牵涉到了趋势的定义
在一定的时间框架内，一系列的更高的高和更高的低构成上升趋势。
一系列的更低的低和更低的高构成下降趋势。
根据道氏理论，市场以趋势的方式发展，趋势以牛市和熊市的方式循环发展，牛市熊市又
以三重运动原理的方式发展。 三重运动：规律很强的基本运动，骗人的次级运动和诱人的
日常波动。
在多重时间框架下，用趋势线和趋势通道线构建道氏理论模型来分解出基本运动，次级运动和日常波动，辨别
出当前市场处于牛市还是熊市以及价格所处的位置。这里的位置指牛市第一期，第二期和第三期，熊市第一期，第二期和第三期。
判断出牛市第一期和熊市第三期以及熊市第三期和牛市第一期则是问题的关键。
如何做到？ 顺势而为。如何顺势？ 这里就牵涉到了趋势的定义
在一定的时间框架内，一系列的更高的高和更高的低构成上升趋势。
一系列的更低的低和更低的高构成下降趋势。
根据道氏理论，市场以趋势的方式发展，趋势以牛市和熊市的方式循环发展，牛市熊市又
以三重运动原理的方式发展。 三重运动：规律很强的基本运动，骗人的次级运动和诱人的
日常波动。
在多重时间框架下，用趋势线和趋势通道线构建道氏理论模型来分解出基本运动，次级运动和日常波动，辨别
出当前市场处于牛市还是熊市以及价格所处的位置。这里的位置指牛市第一期，第二期和第三期，熊市第一期，第二期和第三期。
判断出牛市第一期和熊市第三期以及熊市第三期和牛市第一期则是问题的关键。
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