1, technical analysis method Technical analysis method refers to the way that investors invest according to this model by examining the model with predictive value in transaction data, and then by examining the recent and current price situation. There are many methods and patterns in this method, and some only use intuitive charts, such as K-line chart and dot matrix chart. Others use the "optimized" computer model of the system search program.
2. Basic Analysis The basic analysis method, also known as the original analysis method, refers to the method that investors try to judge the market equilibrium price by investigating all the information that affects the basic economic relations. This method ranges from the simplest intuitive analysis to the most complex and mathematically advanced economic model.
3. Mathematical Metrology Mathematical Metrology refers to the way that investors find out certain laws and implement investment when the market is biased according to modern investment theory and through a large number of statistical analysis of historical transaction data. This method usually consists of one or even more complex mathematical models.
There is an urgent need to refer to the classification of various related materials, and divide them into the following three types of models: technical analysis transaction model, basic analysis transaction model and mathematical measurement transaction model.
1, technical analysis trading model The technical analysis trading model refers to a trading model that uses market trading data such as opening price, closing price and trading volume. , and through the computer trading indicators for system search and testing, optimization. Its theoretical basis is based on the existing traditional technology investment theory such as graphic analysis and moving average theory, and it has been tested by a lot of statistical analysis. The biggest advantages of this model are: eliminating the influence of investors' emotions on trading decisions, especially the subjectivity and blindness of judging major events; Avoid parsing errors caused by information asymmetry; Ensure the consistency of transaction analysis; Give investors a way to control the crisis.
The following focuses on three trading models in the technical analysis trading model:
1) transaction model based on pattern recognition. This model is a system to capture market trends and trade positions according to traditional classic forms such as head, shoulder and bottom, double bottom and triangle. However, in actual combat, there are still many problems: in crisis control, such as head-shoulder-top, double-bottom, triangle and other trading charts, according to the traditional trading point of view, the investment crisis/return ratio is generally 1: 1, and managers will face a huge fund net value crisis in actual combat; Analysis is mainly subjective judgment, lacking objective judgment standards; At present, the number of users of technical analysis in domestic futures market increases, which leads to the increase of false signals in the form of classical charts; The classical chart analysis theory abroad is quite different from that in China. Lack of statistical data.
2) Transaction model based on trend tracking. This model is a system that captures the inflection point of the price according to the designer's data statistics, and then assumes that the trend will continue, and trades according to the trend direction, such as MACD, SAR, moving average and so on. The characteristic of this trading model is that it will not buy at the lowest price, nor will it sell at the highest price, giving up the profits before and after the market, and the profit is very important from the middle of a big market. Its ability to capture the inflection point of the market varies according to the sensitivity difference of designers' design. Sensitive trading models respond quickly to the trend reversal, but there are also many wrong signals. The trading model with low sensitivity has slow response to trend reversal, less error signals and more profits before and after giving up. The disadvantage of this trading model is that it produces continuous losses when consolidating the market, which makes investors unacceptable. Therefore, the difficulty in designing a trend-following trading model is not to find a way to capture the trend, but to have a set of perfect trend confirmation and filtering principles in order to avoid the crisis. In addition, the trend-following trading mode requires futures fund managers to hold positions for a long time, generally more than 2-3 months, so it requires futures fund managers to have a set of psychological control methods suitable for the trend-following trading mode.
3) Trading model based on adverse trend This model is based on the data statistics of designers, and then assumes that the market needs to be adjusted and trades in the opposite direction. The difference between it and the trend trading mode is that the trend trading mode can be adjusted automatically, while the counter-trend trading mode often brings immeasurable crisis because it operates against the critical trend, so this trading mode must have a set of stop-loss conditions.
2. Basic analysis transaction model The basic analysis transaction model refers to a model in which traders use data outside the market to investigate all the information that affects basic economic relations, quantitatively analyze such factors, establish a database, and judge the market equilibrium price from it. The characteristics of this model are: it provides a good analytical basis for large-scale capital entry; Strong theoretical foundation, easy to be accepted by the public; It is not helpful for short-term and timing; It is difficult to collect information; Analysis lags behind the market price; This analysis is subjective.
Here are two basic analytical trading models, namely "value evaluation" and "evaluation integral".
1) value evaluation trading mode futures prices will have a mutual traction effect on spot prices. According to statistics, the correlation coefficient between soybean futures price and spot price in recent years in China is 0.9. As for the futures price generated by the futures market, the participants in the futures market include spot traders and speculators, who have their own judgments on the futures price of the same commodity. However, because most of the participants in the mature futures market are speculators, the trading volume of the futures market is often several times or dozens of times that of the spot market, so the futures price is not only determined by the spot price and storage cost, but also includes the capital pricing part. Therefore, as the basic analytical trading model of futures funds, it also includes the speculative factors in the futures market: futures price = (spot price+storage cost) × speculative coefficient. Speculation coefficient is determined according to unexpected events and market speculative funds.
2) The key shortcomings of the integral evaluation trading model are that it is difficult to collect information, the analysis lags behind the market price, and the analysis is subjective. However, with the development of information technology and the improvement of trading system, the fair sharing of information will further narrow the information asymmetry, and it is relatively easy to obtain the latest information. What is difficult is how to distinguish the authenticity and priority of information and overcome the influence of excessive subjective judgment in information processing. The key steps of the integral evaluation trading mode are as follows:
First, determine the analysis factors
In order to keep the comprehensive analysis of statistical factors, the number of analysis factors, both long and short, should not be too small, generally not less than five. For example, supply and demand analysis factors, taking soybean futures as an example, include: predicted planting area and actual planting area factors; Predicted yield and actual yield factors; Import and export volume of soybeans; Soybean crushing capacity; Inventory factors; Emergency factors, etc.
Another example is the cycle analysis factor, taking soybeans as an example. Periodic analysis factors include: March-April-Sino-American soybean sowing date, planting area prediction factors. At the same time, new South American soybeans began to go on the market, and the price was at the bottom. May-August-The weather and soybean production in China and the United States are the key analysis and prediction factors. With the arrival of the peak consumption season, the price rose slowly compared with the previous period. In July and August, soybeans were affected by fluctuations such as bluish yellow and high temperature weather, and the price reached the annual peak. Around September-165438+1October-the actual soybean harvest in China and the estimated soybean planting area in South America. After June-10, due to the listing of new soybeans in China and the United States, the price once again fell back to the lowest price area of the year.
B, determine the time period of analysis
No matter how to analyze the trading model, we need enough statistical analysis sample data to ensure the reliability of the statistical results. Therefore, it needs to go through more than one cycle, such as the growth cycle of agricultural products and the economic cycle of metals, which should include unexpected events or political factors to test the ability of the transaction analysis model to cope with and control the crisis.
C, determining the fractional value
The way to determine the score can be ordinary positive and negative score method, weight score percentage value method and so on. The bullish factor score is positive, the bearish factor score is negative, and the factors without obvious bullish or bearish tendency are taken as 0.
D. Calculate the score result
Accumulate the scores of each influencing factor to get the scoring result. If the score is positive, the market trend is mainly upward. If the score is negative, the market trend is mainly downward; If the score is 0 or close to 0, the market will be in a consolidation state.
E, score tracking system
Distinguish between the occurrence of events and the change of time, each factor has a different impact on the price. For example, the impact of unexpected events on prices will gradually fade with the changes of events, so it is necessary to constantly adjust the score values of various factors, determine the score results, and adjust the decision-making results of the trading model.
3. Mathematical measurement transaction model
Mathematical econometric transaction model refers to the model that designers analyze a large number of historical transaction data according to modern input theory, and find out certain laws from it, such as arbitrage transaction model, gap transaction model and so on.
From the user's point of view, there are two classifications: one is the analytical transaction model, and the other is the operational transaction model. There are considerable differences between the technical analysis trading model and the basic analysis trading model:
1, the analytical trading model focuses on predictability and is advanced in analyzing market trends; The operational trading model focuses on the reactive trading decisions that should be taken when a certain price appears in the market.
2. Analytical trading model pays attention to individual income, requires high accuracy for a certain market, and ignores the analysis of unfavorable market conditions; The operational trading model pays attention to the overall benefit in actual combat, and requires the trading model to evaluate the income results under all market conditions as a whole.
3. The biggest difference between the two is that the actual operators have to face pressure from all sides, including the market, investors and fund managers themselves. Therefore, the design of the model should also include how to control psychological pressure in some way and effectively implement the signals sent by the trading model.