一个笨蛋的股指交易记录-------地狱级炒手

hefeiddd · 发表于 2008-4-19 12:32

This chart shows several different points. First, as discussed in the chat room, several of us took exits at the dark blue VWAP line which also corresponded with the midpoint of the downtrend channel. If you didn't take a partial exit here, it would represent an excellent place to initiate a stop loss, should that test have failed (which it did, in this example). The second illustration is how to use Fibonacci to measure the amplitude of successive waves. This shows the wave from 11998 to 11935 being used as the 'seed' to generate the next one, which reversed precisely in the 1.382~1.618 zone.
Some people use the amplitude of the retracement wave (in this example, the one that started at 11935 and ended when it hit the VWAP line), but I have never found any empirical evidence that this method works. Also, it is not intuitive.

Please note the shape of the VPC from yesterday; it is actually three separate pennants.

hefeiddd · 发表于 2008-4-19 12:33

hefeiddd · 发表于 2008-4-19 12:35

hefeiddd · 发表于 2008-4-19 12:35

hefeiddd · 发表于 2008-4-19 12:36

Short signal approaching @ vpc, but watch slow stochastic or confirmation.

A trade with the Universal
(This is also archived on the Universal page)
First thing you do each morning is check your Price Histogram chart. If you don't have one, then you can just get the numbers manually from our web site. We post the NTR each morning on each of our blogs (ES, ER2, YM, NQ).
The Price Histogram chart is 5 or 30-minute, day session only.

hefeiddd · 发表于 2008-4-19 12:38

Conditions for a Trade
Now, move to your UNI chart. Mark the VPC lines manually in your UNI chart. One you have done so, you don't need to look at the Price Histogram chart again. Make sure your UNI chart is set to "All Sessions" (not day session only).
A long trade is signaled when prices move down to the VPC from above, as shown here.

We have two indicators to alert you to a long trade setup. First, the 20 band panel will turn light grey when the slow stochastic is < 20. Also, a text alert will pop up in the upper right hand corner:

Anticipating the trade entry
Trade entry is always difficult. I have set up the charts specifically to make trade entry as easy as possible. After all, isn't that what charts are for?
Once prices have touched or moved below the VPC line, and assuming (1) and (2) from the above chart are also true, you are then looking for the %K to cross above %D on the fast stochastic. The fast stochastic is the green and pink spread line in the stochastic window. When the color changes from red to green, that is a cross.
- Note you can anticipate the color change because the spread bars get shorter as they get closer to a cross.
- Note I have colored the price bars in the main chart window to be the exact same color as the stochastic spread bars. So you can see the impending color change in the main window.
- Note the color will start to change as the bar is in the process of being created (from one or two minutes, to a few seconds). During this time, you may see the color flash back and forth between pink and green. Or you may see it hold green for a while.

Entering the Trade
You are now waiting for the green price bar to complete. Once it is complete, you can enter the trade.
Here we have set up two price arrows that show you the price that is one tick above, and below, the current price bar. So as the entry bar is about to complete, (in this example) you can look and see that 12416 is one tick above the high. So you can prepare your stop market long order using your broker, or an bracket trader.
Note that the initial exit target is also shown, here 12469. So if you use a bracket trader, you can input that information as well.

As soon as the bar "prints" and a new price bar is started, you will see a Blue Arrow confirming the entry bar. It will also print a price, for reviewing later.
Why do you place a market stop order? Sometimes, prices might continue to fall. If so, you may want to trail your stop entry price downwards with each successive bar, to give you a more advantages entry price.

So what do you do when the trade moves against you? Read on.

hefeiddd · 发表于 2008-4-19 12:39

Following our Alerts for a Trade:
If you are in our chat room or receiving our live alerts from Yahoo Messenger, as prices approach the VPC, you will get an alert to go to the blog page. It shows the trade signal is approaching. Note how you can also see the target, which is the other end of the Keltner band.
Trade Setup
This confirms the VPC line and number, and shows roughly what the trade should look like after it signals. It uses a curved dotted arrow.

Signal Confirmation
The next chart confirms the trade entry. It uses a straight dashed arrow, and also shows the initial Keltner exit target.

Trade Exit and "Natural Stops"
We then use a solid arrow to confirm the trade.  The charts automatically paint a yellow highlight around the exit bar as it touches the Keltner.
Here the trade moved against us.  You can use stops or not; that is totally up to you. However if you do not use stops, then the Keltner exit provides an excellent Natural Stop.  It is the same target you would exit at on a winning trade.  Note how it minimizes the loss on this trade, which went as much as 63 points against us before exiting at -22.
Warning: Trading without stops is dangerous.  You should always do your homework first, and be aware of 'worst case' situations where the market makes sudden moves.  A "9/11 failsafe stop" is a good idea. Another good idea is a stop based on your own liquidity, which of course your broker will do for you if you are not careful.  That's also known as an 'electronic margin call.'

For more 2008 trades, see the 2008 Archive

hefeiddd · 发表于 2008-4-19 12:41

3/11 More on Fibonacci, and Waves

This gives us additional ratios of secondary importance (0.382 and 2.618), and tertiary importance (0.236 and 4.682), as summarized in the next table.

Fibonacci Sequence (example)	Factor (55/34, etc)	Divisor (34/55, etc)	Inverse 1-(34/55), etc
2 (34, 55)	1.618	0.618	0.382
3 (34, 89)	2.618	0.382	0.618
4 (34, 144)	4.236	0.236	0.764
Other	1.382	0.50

The table also shows two other numbers that are important in the Fibonacci sequence, 0.5 and 1.382.  0.5 is an important retracement ratio because, well, it is halfway between 0.382 and 0.618.  Need more reason?  The midway point is always important in any growth cycle; just ask anyone who has reached that age!  In the financial markets, when prices drop to the midpoint of a previous trading range, the buyers and sellers will notice this and, collectively if not consciously, take pause to decide whether to move back up again, or to continue on down.  As for 1.382, I cannot explain why it is also an important growth number, other than to say that it inherently relates to 1.618 just as 0.382 relates to 0.618.

No, prices do not move in a straight lineBefore we apply the ratios in Table 1 to the market, let’s look at the relationship between growth and retracement, because this is important to understanding how prices move in the markets.  Luckily for traders, prices do not move in a straight line.  The “dips,” or retracements, are what provide us with the opportunity not only to enter the trade, but also to estimate when to get out of the same trade.
Generally, when buyers outnumber sellers, the price goes up.  This, of course, attracts more buyers – and more willing sellers – until the buying pressure is spent.  Then what happens?  Prices usually collapse, or retrace, in the direction from which they came.  Why?  Because the buyers have “switched sides” to become sellers in order to take profits.  These sellers now outnumber the buyers and are chasing the price back down. In a trending market, this tends to have a rubber band effect; each advance is met by a retracement.  After the sellers have taken their profits, if the overall uptrend is still intact, the retracement will then be met by another advance.
The combination of an advance, a retracement, and another higher advance forms a wave pattern, as shown in Figure 3.  Note how the wave pattern is made up of a MSL, followed by a MSH, followed by a higher MSL.  This is the basic building block of any wave: MSL, MSH, Higher MSL.  For a downward wave, the pattern is simply the reverse:  MSH, MSL, and Lower MSH. The first wave in a sequence is known as the seed wave because it is the seed from which the subsequent waves grow.
Figure 3

As you will see, the ratios that we derived from the Fibonacci sequence can be used to both gauge the retracement of one wave and predict the advance of the next. All we need to know is the size of the first “seed.”
Figure 4 shows the same wave pattern as Figure 3, but in the slightly more chaotic context of the real world: an actual chart of Microsoft.

Note again the pattern of MSL, MSH, and Higher MSL.

Note also that this Wave Pattern is the beginning of a reversal from a down trend to an uptrend (from short to long), so it is a seed wave.

Figure 4

You may also have noticed that (1) is a MSH and (2) is a higher MSL. Why not use these as the “seed”? There are many different ways to determine a wave. Strict observers of the Fibonacci sequence contend that there should be between eight and thirteen time periods between the first MSL and the next higher MSL. This gives the wave a “reasonable” amount of time to develop. Strictly speaking, then, the MSL labeled (2) occurs before the eighth candle and so is not counted.

Using Fibonacci to forecast wavesNow that we have identified a seed wave, we can use the Fibonacci growth ratios to estimate how high the next wave(s) will be. This is useful because it tells us when to exit the trade. Note that the ratios do not tell us that there will be a subsequent wave. They only tell us what to do if there is another, higher, wave.
Figure 5 shows the same 13-minute chart of Microsoft, with the Fibonacci growth targets and retracement pivots drawn in.
Figure 5

(1)  This is the beginning of the wave, as determined by the MSL.  Because it is also the low point of the previous trading range, it is the start of a seed wave.
(2)  This is the end of the first wave, as determined by the MSH.  Subtract the bottom of the wave from the top of the wave to get the range.  In this case, the range is 55.76 – 54.55 = 1.21.  Note how this range is shown in the drawing tool on the chart, with (1) as 0% and (2) as 100%.
(3)  This is the higher MSL.  It also represents the retracement back down from the initial advance to the MSH.  Typically, if prices are moving upward with strength, the retracement will be to about 50% of the range of the previous wave.  This is the “what shall we do now” point that I mentioned earlier, where buyers and sellers take a pause and, collectively, try to decide what to do next.  As you can see in this example, the main candle bodies of the MSH found support at the 50% retracement pivot.
(4)  This is the end of the next advance.  Once prices retrace to point (3), and once we see them pivot and move on up, we can then use the Fibonacci targets to estimate where the top of the next wave will be, like magic!  The calculation is easy.  Take the range of the seed wave, which we already know is 1.21.  Multiply that by the Fibonacci ratio of 1.618 to get 56.5.  That is the target for the growth of the next wave up. As you can see, prices rose exactly to that target before falling back.
This was an ideal example. On any given day in the market, the trading action is such that you rarely witness a retracement to exactly 50% of the previous wave, followed by a growth to exactly 161.8% of that wave.  But you will find that in strongly trending markets, this ideal is the rule more than it is the exception.  Shortly, I will take you through some trades that are not quite as ideal.