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  ● 技術分析【保歷加通道BOLLINGER BANDS】
 
  2011-05-27
 

 

 約翰·保歷加先生通過計算價格的“標准差”,再求出價格的“可信區間”,因而發明了保歷加通道(BOLLINGER BANDS)——這個全世界投資者耳熟能詳的技術分析指標。保歷加通道的三條線組成了一個帶狀的圖形,通過這個圖形,投資者可以很直觀地了解價格的相對位置,並以此為判斷找到可以買賣的價位。保歷加通道看似直觀,但是在投資交易中還需要很多具體的分析。

 

  保歷加先生在其《保歷加通道》一書中,提到過一種稱之為“突破”的操作模式。所謂的“突破”,就是指超過了價格變化的極限,或者是超過了對一個價位變化的心理承受極限。投資者可以設想一下,如果心儀的價位或者圖形久等之後出現了,那就是突破了一直在觀察中的行情變化軌跡。因此,布林線的“突破”就是簡單的觀圖下單。當然如果覺得對圖形把握不准,那麼還有一個簡單的數值可以代勞。保歷加通道的上線值減去下線值,再除以中線值,最後得到的數值就是可以判斷的依據。譬如,3月25日上證指數的計算數值為3.77%,5月12日為21.01%,6月28日為5.68%。投資者可以很容易的找到當天的上證指數K線圖,百分比越小,對應的圖形就顯示保歷加通道越細。這說明價格變化已經“窒息”,再不舒展筋骨是不可能的了。

 

  投資者可以每天計算一下這個百分比,如果數值越來越小,直到有一天由極小開始變大,反之由極大開始變小,這就是行情突破可以動手的強烈信號。至於是買漲還是買跌,具體要依據屆時行情所處的狀態而定。通常在下跌過程中數值變小,上漲過程中數值變大,都是保持趨勢的信號,前者可以繼續持幣觀望(也可以融券賣跌),後者可以繼續持股待漲。如果在橫盤過程中數值由極小而變大,再參考其他指標以及成交量的配合,那麼“砸鍋賣鐵”進場的勝算也是極大的。其實 “突破”就是基於物極必反理論。不過一旦發生“突破”,也應該逐步建倉,謹防突破假象。主動買套也無不可,因為保歷加通道就是計算價格的可信區間。

 

  保歷加通道突破分為順勢突破和逆勢突破兩種情況。保歷加先生坦言,逆市突破的成功概率相對較小,而且操作難度相對較大。本文只介紹順勢突破。順勢突破可以理解為追高,但不是追價格的高,而是追保歷加通道數值的高。很多指標進入所謂的超買超賣區域,一般都提示不要追高,但是保歷加通道卻有另一番解釋。如果價格緊貼保歷加通道上線,呈現出強勁的走勢,這恰恰是預示著一波強勁的上升行情的開始。同樣逼近下線也預示著將會有一波強勁的下跌走勢,這可以在股市融券的交易機制下有所作為,在期貨交易中應該是賣空開倉。應該要注意的是,順勢突破也是突破,沒有這個前提,追高的判斷是比較危險的。

 

  在如何判斷順勢突破方面,應該有一些警惕,譬如前面提到的突破假象等等。在價格突破保歷加通道上線時,也許行情已經走過一段路。但是比較穩妥的辦法應該是等待價格穿越上線之後的回檔。回檔之後的再穿越才是可靠的進場機會。如此投資者可能會錯過一些明顯的機會,但是判斷的准確性卻能夠大為提高,也就是提高追高的成功率。在這種情況下,投資者應該運用“鱷魚法則”——大口咬住不放鬆,而不是細嚼慢咽來回吞吐般的多次交易。要知道機會雖多,但不是同一個機會。不同的機會,也會因操作手法的不同而產生不同的結果。

  任何一個單一的技術指標都存在“盲點”,因此在深入了解鬆技術指標的內涵之後,再輔之以其他技術指標,以及基本面的變化,方能達到最佳的研判效果。保歷加在自己不斷的實踐過程中,也在不斷修正指標,豐富保歷加通道指標的內涵。二十二條黃金(1248.20,-2.10,-0.17%)法則,就是保歷加先生總結出來的秘笈。其內容和詳細的講解在我國還未曾有過。今年8 月上旬,保歷加先生將應邀在上海和杭州兩地,為廣大投資者解讀黃金法則與實盤互動。聽保歷加大師解讀,跟保歷加通道指標賺錢,絕對不是夢。

 

  

Bollinger Bands

Bollinger Bands and the related indicators %b and BandWidth are technical analysis tools invented by John Bollinger in the 1980s. Having evolved from the concept of trading bands, Bollinger Bands can be used to measure the highness or lowness of the price relative to previous trades.
 

Bollinger Bands consist of:

  • a middle band being an N-period simple moving average (MA)
  • an upper band at K times an N-period standard deviation above the middle band (MA + )
  • a lower band at K times an N-period standard deviation below the middle band (MA − )

Typical values for N and K are 20 and 2, respectively. The default choice for the average is a simple moving average, but other types of averages can be employed as needed. Exponential moving averages are a common second choice. Usually the same period is used for both the middle band and the calculation of standard deviation.

Purpose

The purpose of Bollinger Bands is to provide a relative definition of high and low. By definition, prices are high at the upper band and low at the lower band. This definition can aid in rigorous pattern recognition and is useful in comparing price action to the action of indicators to arrive at systematic trading decisions.

Indicators derived from Bollinger Bands

There are two indicators derived from Bollinger Bands, %b and BandWidth. %b, pronounced 'percent b', is derived from the formula for Stochastics and tells you where you are in relation to the bands. %b equals 1 at the upper band and 0 at the lower band. Writing upperBB for the upper Bollinger Band, lowerBB for the lower Bollinger Band, and last for the last (price) value:

%b = (last − lowerBB) / (upperBB − lowerBB)

BandWidth tells you how wide the Bollinger Bands are on a normalized basis. Writing the same symbols as before, and middleBB for the moving average, or middle Bollinger Band:

BandWidth = (upperBB − lowerBB) / middleBB

Using the default parameters of a 20-period look back and plus/minus two standard deviations, BandWidth is equal to four times the 20-period coefficient of variation.

Uses for %b include system building and pattern recognition. Uses for BandWidth include identification of opportunities arising from relative extremes in volatility and trend identification.

In a series of lectures at The World Money Show in Hong Kong, Asian Traders Investment Conference in Singapore, the Italian Trading Forum in Rimini, Italy, The European Technical Analysis Conference in London, England and the Market Technicians Symposium in New York, USA, all in Spring of 2010, John Bollinger introduced three new indicators based on Bollinger Bands. They are BB Impulse, which measures price change as a function of the bands, BandWidth Percent, which normalizes the width of the bands over time, and BandWidth Delta, which quantifies the changing width of the bands.

Interpretation

The use of Bollinger Bands varies widely among traders. Some traders buy when price touches the lower Bollinger Band and exit when price touches the moving average in the center of the bands. Other traders buy when price breaks above the upper Bollinger Band or sell when price falls below the lower Bollinger Band. Moreover, the use of Bollinger Bands is not confined to stock traders; options traders, most notably implied volatility traders, often sell options when Bollinger Bands are historically far apart or buy options when the Bollinger Bands are historically close together, in both instances, expecting volatility to revert back towards the average historical volatility level for the stock.

When the bands lie close together a period of low volatility in stock price is indicated. When they are far apart a period of high volatility in price is indicated. When the bands have only a slight slope and lie approximately parallel for an extended time the price of a stock will be found to oscillate up and down between the bands as though in a channel.

Traders are often inclined to use Bollinger Bands with other indicators to see if there is confirmation. In particular, the use of an oscillator like Bollinger Bands will often be coupled with a non-oscillator indicator like chart patterns or a trendline; if these indicators confirm the recommendation of the Bollinger Bands, the trader will have greater evidence that what the bands forecast is correct.

Effectiveness

A recent study concluded that Bollinger Band trading strategies may be effective in the Chinese marketplace, stating: "Finally, we find significant positive returns on buy trades generated by the contrarian version of the moving average crossover rule, the channel breakout rule, and the Bollinger Band trading rule, after accounting for transaction costs of 0.50 percent." Nauzer J. Balsara, Gary Chen and Lin Zheng The Chinese Stock Market: An Examination of the Random Walk Model and Technical Trading Rules. (By "the contrarian version", they mean buying when the conventional rule mandates selling, and vice versa.)

A paper by Rostan, Pierre, Théoret, Raymond and El moussadek, Abdeljalil from 2008 at SSRN uses Bollinger Bands in forecasting the yield curve.

In his 2006 master's thesis, Oliver Douglas Williams at the University of Western Ontario studied Bollinger Bands and suggested that fundamental analysis was key to setting Bollinger Band parameters, a process John Bollinger dubbed rational analysis. Williams concluded: "Alone, Bollinger Bands do not seem to yield the extraordinary results. Fundamental analysis is required to determine the best moving average window to match the business cycle of the asset. When combined with other techniques such as fundamental analysis, Bollinger Bands can give systematic traders a method of choosing their buy and sell points."

Companies like Forbes suggest that the use of Bollinger Bands is a simple and often an effective strategy but stop-loss orders should be used to mitigate losses from market pressure.

Statistical properties

Security prices have no known statistical distribution, normal or otherwise; they are known to have fat tails, compared to the Normal. The sample size typically used, 20, is too small for conclusions derived from statistical techniques like the Central Limit Theorem to be reliable. Such techniques usually require the sample to be independent and identically distributed which is not the case for a time series like security prices.

For these three primary reasons, it is incorrect to assume that the percentage of the data outside the Bollinger Bands will always be limited to a certain amount. So, instead of finding about 95% of the data inside the bands, as would be the expectation with the default parameters if the data were normally distributed, one will typically find less; how much less is a function of the security's volatility.

Bollinger Bands outside of finance

In a paper published in 2006 by the Society of Photo-Optical Engineers, "Novel method for patterned fabric inspection using Bollinger Bands", Henry Y. T. Ngan and Grantham K. H. Pang present a method of using Bollinger Bands to detect defects in patterned fabrics. From the abstract: "In this paper, the upper band and lower band of Bollinger Bands, which are sensitive to any subtle change in the input data, have been developed for use to indicate the defective areas in patterned fabric."

The International Civil Aviation Organization is using Bollinger Bands to measure the accident rate as a safety indicator to measure efficiency of global safety initiatives. %b and BandWidth are also used in this analysis.

Notes

  1. ^ When the average used in the calculation of Bollinger Bands is changed from a simple moving average to an exponential or weighted moving average, it must be changed for both the calculation of the middle band and the calculation of standard deviation.
  2. ^ Bollinger Bands use the population method of calculating standard deviation, thus the proper divisor for the sigma calculation is n, not n − 1.
 
 
 
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