Python Tutorial (1)

  • The Python Tutorial
    For a description of standard objects and modules, see The Python Standard Library. The Python Language Reference gives a more formal definition of the language. To write extensions in C or C++, re...

Technical Analysis (16) 更多

  • 第156页 Periods Longer than Four Years
    Kondratieff Waves, Or K-Waves “Leading Sectors and World Powers: the Co-evolution of Global Economics and Politics” by Modelski and Thompson • Waves are attributes of the world economy led by ...
  • 第148页 High Low Logic Index
    包括两个ratios: Weekly new highs/Total Issues以及weekly new lows/Total Issues 低水平说明a strongly trending market.
  • 第146页 Net New Highs & Net New Lows
    1978年前，用当年1月开始的数据判断new highs & new lows.1978年后，NYSE用前52周数据来判断new highs & new lows. Listing数量总在变化，给计算带来问题。 New highs>New Lowsbuy; New highs< New Lowss...
  • 第145页 Ninety Percent Downside Day (NPDD)
    Ninety Percent Downside Days (NPDD) On a particular day, the percentage of downside volume exceeds the total of upside and downside volume by 90% and the percentage of downside points exceeds the t...
  • 第145页 Modified Arms Index
    Modified Arms Index Dave Steckler: =advance issues*advance volume- decline issues*decline volume 结果可以是负值。
  • 第142页 Up & Down Volume Indicators
    用volume 代替单纯的数量。 The Arms Index Arms Index=(Advances/Declines)/(UpVolume/DownVolume) AI Measures the relative volume in advancing stocks versus declining stocks. The higher level of the AI...
  • 第142页 Breadth Thrust
    Breadth Thrust “Thrust”定义：a deviation from the norm is sufficiently large to be noticeable and when that deviation signals the beginning of a new trend, usually upward. 图上做法： =5-week tota...
  • 第141页 Unchanged Issues Index
    Unchanged Issues Index =Unchanged/ total issues traded No predictive power now with negative result since 2000 April.
  • 第140页 Absolutely Breadth Index
    Absolutely Breadth Index =|Advances-declines|/total issues traded Colby: this index crossed the previous day’s two-day EMA plus 81%. Long: beat the buy-&hold by 35.1% Short: beat by 153.4%
  • 第138页 Hughes Breadth Oscillator
    Hughes Breadth Oscillator = (advances-declines)/total issues traded Traditionally smoothed with a moving average. Rise above or decline below 0, 产生买卖信号。 Colby：用此ratio, 测试1932年3月到2000...
  • 第138页 Advance-Decliine Ratio
    Advance-Decline Ratio=advance /decline 可以smoothed over some specific time. Colby：用1-day的 advance-decline ratio, >1.018 买，<1.018卖，从1932年3月到2000年8月，适用。
  • 第138页
    Breadth Ratios定义： use a ratio between various configurations of advances, declines, and unchanged to develop trading indicators and systems for the markets. 优点： project very short-term market...
  • 第135页 Breadth Differences- Haurlan Index
    Haurlan Index Peter N. Haurlan 火箭科学家，首先运用计算机分析股票数据。 Haurlan Index =( advances- declines ) exponentially smoothed to an equivalent of a 3-day average. 也考虑20天的指数平滑平均来...
  • 第135页
    Breadth Differences BD指标的定义： advances-declines (绝对值或非绝对值） BD指标的问题： 计算对象数量expanded over time!
  • 第136页
    McClellan Oscillator 为19天和39天EMA的差。范围是[-100/-150, +100/+150].
  • 第3页 Introduction To Technical Analysis
    1. 本书目的：“We examine some of the perceptions, and misperceptions, of technical analysis." 2. Technical Analysis的内容：is the study of past market data, primarily price and volume data; this i...

Trading Option Greeks (15) 更多

  • 第178页 Chapter 10: Wing Spreads
    “wing” spread (翅式价差) 是有经验的交易者经常使用的价差。这些策略是一种可以让投资者在真正neutral 的市场环境中获利的方式。 这些种类的期权可能因为分支比较多，所以会让许多初学者害怕。实际上他们都是...
  • 第269页
    3. RV 升，IV降 股票价格变得更加波动，期权价格变便宜。
  • 第250页
    Gamma-scalping 的目标是交易V，而非方向。 Starting the next trading day with a delta, either positive or negative, means an often-unwanted directional bias and unwanted directional risk.
  • 第249页
    Gamma-scalping is active trading. The goal of each day that passes is to profit enough from positive gamma to cover the day's theta.
  • 第247页 Delta-Neutral Trading/ Trading Realized Volatility
    stock more movement=>buy option delta neutral stock less movement=> sell option delta neutral
  • 第243页
    Volatility Buying 在ER前几天买入。策略为：买call卖股票。 Sell V: 期待mean reversion Buy V: 期待further divergence
  • 第237页
    Volatility Selling 观察到ER前后，IV的变化，做以下策略： 在ER收盘前，Sell ATM calls & buy underlying stocks (delta close to 0) IV drop后，马上close position. 按Vega计算: -10 points* -1.15*100=1150 ...
  • 第237页
    The Inertia of V "Sir Isaac Newton said that an object in motion tends to stay in motion unless acted upon by another force." V也如此。 外界摩擦：ER, 美联储报告，apathy，lulls in the market, 节日，...
  • 第236页
    The Rush & the Crush IV在一些特定的事件前会上涨，后会下跌。
  • 第235页
    Trading IV With a typical option, the sensitivity of delta overshadows that of vega. 因此，要从IV 的涨跌中获利，一定要先消除方向性影响。 交易V和其他交易的根本区别： 股票会上涨到无穷，下跌到0，而V只...
  • 第232页
    Delta Neutral DN/DI 意味着Della=0, delta neutral trading. Long calls have +gamma, -theta, +vega.
  • 第231页
    Direction Neutral versus Direction Indifferent DN: 交易者认为股票不会上涨或下跌。 策略：short iron condor/Long ATM time spread/OTM credit spread (delta=0,gamma<0) DI：交易者期待股票会有运动，但是上...
  • 第231页 Delta-Neutral Trading
    本章将观察实际市场中的iv，介绍在什么情况下v变动容易产生，以及如何交易。
  • 第269页
    3. RV升，IV降 在这种情况下，股票更加波动，期权更加便宜。
  • 第264页 Studying Volatility Chart
    Volatility Charts为了解HV/RV和IV关系最直接的途径。

Options as a Strategic Investment (9) 更多

  • 第191页
    The best butterfly spreads are generally found on the more expensive and/or more volatile stocks that have striking prices spaced 10 or 20 points apart. 因为maximum可以抵消commission cost.
  • 第190页 BS-Selecting the spread
    理想上，要尽可能的用少的debit来建立butterfly, 同时希望价格在middle执行价格附近。现实中，两个条件很难同时满足。 ？？？？？？ The smallest-debit butterfly spreads are those in which the stock is some...
  • 第188页 The Butterfly Spread
    Butterfly的upside及downside的风险均被限制，即建立价差的net debit. Net investment=net debit of the spread Maximum profit=distance between strikes- net debit Downside BP=lowest strike+ net debut Upsi...
  • 第187页 The Butterfly Spread
    Butterfly=a bull spread+a bear spread 构建逻辑：neutral, 认为价格在到期前没有大的波动。 仅需small investment 且limited risk & limited profit. 但limited profit > potential risk. Costly in commission...
  • 第181页
    volatility的效应 volatility 增加，spread widens; volatility 减少，spread shrinks.
  • 第180页
    因为长期期权还有时间值，所以损失会比最大possible loss要小。 此类策略, 有limited profits 及relatively large commission costs. (^^) It is best to establish such a spread 8-12 weeks before the near-te...
  • 第179页 CS- The Neutral Calendar Spread
    Neutral CS的建立：when the underlying stock is at or near the striking price of the options used. 此策略意在selling time, 不在predicting the direction. 在近期期权到期时，价格relatively unchanged，...
  • 第179页 Calendar Spreads
    Underlying 的价格不用 be exactly at the strike price of the options at near-term expiration for a profit ，相反价格可以在执行价格附近的一定范围内波动。 风险为：价格大跌或大涨。 但风险有限，为origin...
  • 第178页 Calendar Spreads 日历价差
    Calendar spread=time spread. 为horizontal spread. 相同的执行价格，卖近买远。 call可构建两种不同的策略： neutral 或 more aggressive bullish. neutral: 基本想法是 time will erode the value of the near...
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Technical Analysis of Stock Trends, Ninth Edition (6) 更多

  • 第113页 Reversal or Consolidation
    Figure 55: 价格在三角形中被推高后，拒绝回到三角形下边界线，为较强形态的发展。意味着三角形态即将完成后并会有突破。
  • 第108页 A Typical Triangle Development
    Recovery rallies from "Panic" Bottoms are often capped by Triangles, for those are periods in which doubt and indecision are prevalent. The doubt in such cases, however, is usually resolved in favo...
  • 第106页 A Typical Triangle Development
    有效对称三角形的关键： 1. 在三角形内部回调时，交易量都会缩小。 后一次回调的交易量都会比前一次要小。 2. 突破不必高过三角形最初的高点。
  • 第103页 How Price Break Out of A Symmetrical Triangle
    价格向上突破，必须有交易量显著增长为依据 。若无交易量增长，则不能看作价格突破。而价格向下突破，则不需要交易活动增长。下跌时，交易量一般到跌破边界，跌到Minor Bottom后，交易量才会放大。 高交易量的向...
  • 第102页 Some Cautions About Symmetrical Triangles
    1. Before you can conclude that a ST is building, you must be able to see four Reversals of Minor Trend. 2. The farther out into the apex of the Triangle prices push without bursting its boundaries...
  • 第95页 Important Reversal Pattern-The Triangles
    Figure 41: 必须以高交易量穿越下降趋势线，则为强势信号。 XCO在2012年10月做圆形底突破200EMA时交易量未放大，为弱势信号！
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