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Technical analysis
For futures, it should be an industry norm to combine technical analysis with basic analysis for trading or research. For commodity futures, there are many successful examples such as wave theory and morphology. For China's first financial futures-stock index futures, its foundation-stock is also a market that can be operated based on the combination of technology and basic analysis.
At present, there is also the phenomenon of using technical analysis to analyze treasury bonds futures. For example, "after the national debt TF ×××× 09 recovers the 5-day and 10 moving averages, it will step back on the 5-day moving average". This is a passage from the Daily Review on July 26th, 20XX. We can take a look at the market of July 26th, 20XX in figure 1 first:
Figure1performance of treasury bond futures price on July 26.
Source: WIND, Wenhua Finance.
Objectively speaking, the trend of TF××09 that day is really true. If an investor thinks that he can buy against the 5-day line, are the 5-day line and 10 line effectively supported?
Look at the next trading day through Figure 2, July 27th, 20××× year:
Figure 2 Performance of Treasury futures price on July 27th.
Source: WIND, Wenhua Finance.
Judging from the situation on the 27th, the 5th line really supported the trend of TF××09 perfectly. From an empirical point of view, it seems that EMA analysis may be effective, of course, we need more data to verify it. Statistically speaking, during the period from July 27th, 20 ×××× years ×× months × days × months × days × months × days × months × days × months × days × months × days × months × days × months × days × months × days × months × months × days × months × months × days × months × months × days × months × months × months × days × months × months × months × days × months × months × months
The technical analysis method is to predict the changing direction of market price through the analysis of market behavior itself, that is, to draw the past trading data about price, quantity, time and space in the futures market into graphs or tables according to time series, and to study these graphs and tables to predict the future trend.
02
The premise of technical analysis
There are three assumptions in technical analysis: market behavior covers all information, prices evolve in a trend way, and history will repeat itself. As can be seen from Figure 4- 1, there is still a certain trend in treasury bonds futures, and history seems to be repeating itself. For delivery, the negative spread of treasury bonds futures will always lead to the price diving when the delivery approaches, such as the delivery of TF ××× 06 and TF ××××× 0609.
Before considering using technical analysis, we need to see its advantages and disadvantages. The advantages are: first, strong operability; Second, flexibility; Third, it is suitable for any duration; Fourth, clear the direction of buying and selling. Disadvantages are: First, the buying and selling signals are sometimes delayed; Second, there are technical traps; Third, the operational suggestions of different indicators in the same market may be contradictory.
Combined with the treasury bond futures market, real-time trading is much worse than stock index futures, which may amplify the time lag of the signal, but the trading signal with clear operation still has great advantages. After expounding these theories, we will study some popular technical analysis, such as MACD, Bohr index, morphology and so on.
03
Application and effect of technical analysis
(1)MACD application and trading effect. The full name of MACD is smooth similarity and difference average index, and the full name of MACD in English is Movingaverage Convergence. The MACD indicator consists of two rows and one column, the fast line is DIFF, the slow line is DEA, and the histogram is MACD.
MACD is the fast moving average minus the slow moving average. When MACD turns from negative to positive, it is a buy signal. When MACD turns from positive to negative, it is a signal to sell. When the MACD changes at a large angle, the gap between the fast moving average and the slow moving average quickly expands, which represents the change of the general trend of the market. Please look at Figure 3:
Figure 3tf3tá××12mad
Source: WIND, Wenhua Finance.
According to the daily data and the operating principle of MACD, we determined four trading points by trend tracking and deviation, as shown in Table 1:
Table 1MACD operation
The final transaction result is a profit of 6.42 points. If an investor invests 200,000 yuan and holds up to 6 bonds at a time, he can get a return of 64,200 yuan in half a year (without deducting impact costs and transaction costs), which can be said that the yield is quite high. Faced with this data, we believe that MACD is obviously effective for treasury bond futures operation.
(2) The application of 2)BOLL index and its trading effect. BOLL index, also known as BolingerBands, is named after the surname of JohnBollinge, the founder of this index. BOLL index is designed according to the standard deviation principle in statistics, and was first used to analyze stock prices. Generally speaking, the movement of stock price always changes within a certain range around a value center (such as moving average and cost line). ). On the basis of the above conditions, the Bollinger Band indicator introduces the concept of "stock price channel", and holds that the width of stock price channel changes with the fluctuation range of stock price, and the stock price channel is variable and will automatically adjust with the change of stock price.
BOLL indicator I * * * consists of four lines, namely, upper rail line UP, middle rail line MB, lower rail line DN and price line. The moving range of the stock price channel formed by the upper, middle and lower tracks in BOLL index is uncertain, and the upper and lower limits of the channel change with the fluctuation of stock price. Under normal circumstances, the stock price should always run in the stock price channel. If the stock price runs out of the stock price channel, it means that the market is in an extreme state.
Generally speaking, when the upper, middle and lower tracks of the Bollinger Band run upward at the same time, it shows that the strong characteristics of the stock price are very obvious, and the stock price will continue to rise in the short term. Investors should resolutely hold shares to rise or buy on dips. When Brin runs down with the upper and lower rails at the same time, it shows that the weakness of the stock price is very obvious, and the stock price will continue to fall in the short term. Investors should resolutely wait and see or sell on rallies. This analysis method is also effective for treasury bonds futures (see Figure 4).
Figure 4 _ Fá×12
Source: WIND, Wenhua Finance.
According to the daily data and the operation principle of BOLL indicators, we have judged the support level and pressure level, oversold area and overbought area, and determined six trading points, as shown in Table 2:
Table 2BOLL operation
The final transaction result is profit 1.2 12 points. If investors buy and sell with one hand, invest 200,000 yuan, and hold at most six government bonds, after half a year, they will get the income of 1, 2 1.20 yuan (excluding impact costs and transaction costs), and the annualized income will reach 1.2%, which is the BOLL index.
(3) The application and trading effect of morphological technical analysis (see Figure 5). Based on the daily data, according to the shape, we think that the head and shoulders broke through the neckline from May 23rd to September 5th and the balance day on September 4th, and the depth measured by the head and shoulders bottom can be predicted to drop to 97.8. On September 25th, it was considered as a V-shaped reversal intervention, with a stop loss of1June 17. As the highs decrease one by one, the backhand chases the air, 65448.
Figure 5tfá×12
Source: WIND, Wenhua Finance.
Table 3 Morphological operation
The final transaction result is a profit of 2.392 points.
04
Basic analysis
After understanding the technical analysis of treasury bonds futures, we need to understand the fundamental analysis methods of treasury bonds futures. Fundamental analysis, also known as basic analysis, is based on the intrinsic value of securities, focusing on analyzing various factors that affect the price and trend of securities, so as to decide what kind of securities to invest in and when to buy them.
The basic analysis assumes that the price of securities is determined by its intrinsic value, and the price changes frequently due to political, economic, psychological and other factors, so it is difficult to be completely consistent with the value, but it always fluctuates around the value. Rational investors should make investment decisions according to the relationship between the price and value of securities.
The basic analysis is mainly applicable to the securities price forecast with a relatively long period, the relatively mature securities market, and the fields with low forecasting accuracy.
The basic analysis pays less attention to technical factors such as positions, volume and price, and more attention to macroeconomic indicators such as GDP, economic cycle, inflation, fiscal policy, monetary policy, and funds in the market. The fundamental analysis of treasury bond futures pays more attention to macro factors.
The factors that affect the futures price of treasury bonds mainly include the following points:
1. Macroeconomic performance
Macroeconomic operation includes two important aspects: first, economic growth; The second is the total balance. Economic growth is the result of economic operation; The balance of economic aggregate is also the basic expression of the continuous operation of total social supply and total social demand, which are mutually conditional, adaptive and decisive. Macroeconomic situation analysis is to analyze the relationship between total social supply and total social demand, and then analyze the process of macroeconomic operation and economic growth. Under the condition of market economy, demand is the dominant factor to determine the characteristics of economic operation, so the analysis of macroeconomic situation mainly focuses on the changing characteristics of total social demand and the corresponding analysis of total social supply growth and economic growth.
The basic framework of macroeconomic situation analysis is to judge the equilibrium state of economic aggregate through a series of economic indicators, so as to make an accurate judgment on the state of macroeconomic operation, and to evaluate the state and quality of macroeconomic operation in combination with the analysis of microeconomic indicators, that is, to analyze and evaluate the balance of social supply and demand and the quality and content of national economic growth.
The economic indicators used to analyze the macroeconomic situation mainly include:
(1) An indicator reflecting the change of total social demand.
① Total retail sales of social consumer goods. The total retail sales of social consumer goods is an index summarized by the National Bureau of Statistics according to the sales statistics of commercial systems, including consumer goods purchased by residents and consumer goods purchased by social groups. The total retail sales of social consumer goods is an important and sensitive government statistical indicator, which is calculated on a monthly basis and released regularly, reflecting the consumption situation of the whole society, including residents and social groups. The application of this indicator mainly focuses on its growth rate, which is generally compared with the same period of last year.
② Investment in fixed assets of the whole society. The investment in fixed assets of the whole society is an index summarized by the National Bureau of Statistics according to the statistics and sampling survey of investment projects, which can be divided into central project investment and local project investment, or urban investment and rural investment, or primary industry investment, secondary industry investment and tertiary industry investment.
③ Foreign trade export volume. The export volume of foreign trade is an index summarized by the Statistics Department of the General Administration of Customs according to the export statistics of various customs, and it is in US dollars. The actual use also focuses on the growth rate compared with the same period last year. The index also includes several sub-items, such as export of primary products, export of finished products, export of general trade and export of processing trade, which respectively reflect the situation of foreign trade. The above are the main indicators to examine the total social demand in the analysis of macroeconomic situation, and the increase or decrease of inventory can reflect the final social demand.
(2) Indicators reflecting the change of total social supply.
① Industrial added value and its growth rate. The industrial added value and its growth rate are the indicators summarized step by step by the National Bureau of Statistics according to the statements of industrial enterprises, which mainly reflect the development of industries above designated size, including state-owned and state-holding enterprises, collective enterprises, joint-stock enterprises, enterprises invested by Hong Kong, Macao and Taiwan businessmen, or light industry and heavy industry.
② Output of major industrial products. The output of major industrial products is the index summarized step by step by the National Bureau of Statistics according to the industrial production report, which is published once a month, mainly including the output of raw coal, crude oil, power generation, automobiles, mobile phones and microcomputers.
③ Output of main agricultural products. The output of major agricultural products is the index summarized step by step by the Rural Survey Corps of the National Bureau of Statistics according to the survey report, which is mainly published in half a year and the whole year, including the output of grain, oilseeds, cotton, sugar, flue-cured tobacco, tea, fruits, vegetables, meat, eggs, milk and other products.
(4) Foreign trade import. The import volume of foreign trade is an index summarized by the Statistics Department of the General Administration of Customs according to the customs import statistics, which is calculated in US dollars and on a monthly basis. The actual analysis also focuses on the year-on-year growth rate, including the growth of general trade and processing trade imports. The above are the main indicators to examine the total social supply in the analysis of macroeconomic situation, and the growth of GDP can reflect the final social supply.
(3) Indicators reflecting the total social supply and demand.
The indicators reflecting the total social supply and demand are mainly price index and related inventory indicators. In addition, financial indicators are often used in practical analysis, such as fiscal revenue and expenditure indicators, money supply indicators, urban and rural residents' savings deposit balance and growth rate, loan balance and growth rate, medium and long-term loan balance and growth rate, short-term loan balance and growth rate and many other indicators, so as to judge the strength and effect of macro-control policies.
2. Capital analysis
When the funds are plentiful for a certain period, the purchasing power of the bond market will be stronger, which will push the bond price up; On the other hand, if funds are tight, purchasing power will be weakened and bond prices will fall. If the funds are too abundant, it may also be a sign of excess liquidity, and inflation will occur. At this time, the yield of bonds may increase, thus reducing the price of bonds. Therefore, we need to treat the factors of funds dialectically. For example,
The loosening and tightening of policies can lead to the change of funds, and then affect the buying and selling power of the bond market. A large amount of funds will bring short-term yield upward. During the period from 20131to the beginning of February, a large amount of liquidity released by the central bank made the bond yield gradually decline (see Figure 6).
Figure 6 Central Bank's Open Market Operation
3. Inflation
Inflation refers to the overall rising process of the price level in a certain period, or the continuous decline of the monetary value in a certain period. It can be seen that inflation does not mean the price increase of one kind or another of goods and services, but the overall and sustained price increase.
The general price level or general price level refers to the weighted average of the total transaction prices of all goods and services. This weighted average is the price index.
There are generally three price indexes to measure inflation rate: consumer price index, producer price index and GDP price conversion index.
When the price level rises, interest rates generally rise; When the price level falls, the interest rate generally tends to fall, and the formula is: nominal interest rate = expected real interest rate+expected inflation rate.
After a country's price level rises sharply, investors generally have strong inflation expectations. Under the Fisher effect, the real rate of return on bond investment has fallen sharply. After considering the long-term inflation risk compensation, the nominal income level of long-term bond investment should be significantly improved, and the increase should be consistent with the expected inflation rate of investors. The historical data of the bond markets in the United States, Britain and Japan prove that the Fisher effect has an obvious directive effect on the yield of long-term bonds in a long historical period.
Therefore, inflation can increase bond yields, which is not good for bond investors.
Bond trading is greatly influenced by fundamentals. Traders in the inter-bank market, the main market for bond trading, usually judge the trend through fundamentals (macro, policy, capital) and transactions, that is to say, the spot market of treasury bonds futures is operated according to fundamentals, with a relatively large market and a relatively long existence time. Treasury futures are expected to be more susceptible to the spot market and follow the fundamental trend. In foreign markets, treasury bonds futures also basically follow the fundamentals (see Figure 7).
Figure 7 US Treasury futures, GDP and CPI trends
As can be seen from Figure 7, the US 10-year treasury bonds are also greatly influenced by CPI and GDP, and the upward and downward movements of GDP and CPI will lead to the bond yield movement. After 20 1 1, the yield of U.S. treasury bonds did not increase with GDP, partly because the quantitative easing policy adopted by the United States led to a sharp drop in interest rates.