本轮下跌第一日是上上周四,1%下跌起始。到上周四为第六交易日。我的主要空单在上周三卡窝,因为空方要躲开第六日的上涨倾向。请看如下11个案例分析。第六交易日平均值略涨,11个样本只有一个大跌,一个中跌。相反,有两个大涨,四个中涨。经历前五天的艰难后,这天好比探戈,回趟一步,给没有清仓的多头一个机会。这点从表格的下部能更好显示。头5天累计跌幅(3.31%)和头6天比没有扩大(3.09%)。从空头的角度,这好比跑障碍赛,要躲避开这个反弹。首先这天要是涨1%,损失不小。其次,这天反弹会把VIX降下来,空头可以廉价重新建仓。最不明智的做法就是在第四或第五天杀跌追着建空仓,这样做一旦赶上第六日前后的反弹,空方心情大坏,匆忙止损,一步错,步步错。这天的反弹是否要抢做多呢?那就仁者见仁了。我认为两个方向都做,很容易把自己搞晕,老空头盼来黎明,不小心成了新多头。
下面看第六天以后。在表格最下方,比较了第五到第九的相对涨跌分布。两个up不一定涨,只是相对良性的日子。两个良性日子的平均是6.82和5.91,两个恶性分布是第7.45日。这个相差一天的分布意味着从第五到第九交易日,后半程(即第七日以后)盘势转弱。从平均值看,第九交易日是确定第一日后跌幅最大的一个。
该模型使用的难度在于确定第一日,和识别经典下调。今年四月和八月的不是,这个模型不管用。本次上周四为第六日,出长下影探1926底,周五为第七日,三大指数1%上涨。这进一步确证这回有很大把握是经典回调,即第九日下周二(或周三,因为大涨出在第七日)附近盘势再次转弱。因此我声称留给反弹的时间不多,下周或许指望上冲一下填补1973的月线缺口。此后的走势,至少是在1973到1926期间盘整。
这不是大数据。十二少的小数据,有理有据,鄙视瞎喊。没有实料每天上三五十个帖子灌水的,适可而止。
Day |
5/31/13 |
8/15/13 |
4/4/12 |
5/4/12 |
10/19/12 |
2/22/11 |
5/11/11 |
6/1/11 |
7/27/11 |
1/15/10 |
11/1/07 |
avg |
1 |
-1.45% |
-1.42% |
-1.00% |
-1.64% |
-1.70% |
-2.06% |
-1.05% |
-2.30% |
-2.09% |
-1.12% |
-2.40% |
-1.66% |
2 |
0.55% |
-0.33% |
-0.05% |
0.07% |
0.01% |
-0.61% |
0.48% |
-0.11% |
-0.29% |
1.24% |
0.11% |
0.10% |
3 |
-0.49% |
-0.64% |
-1.16% |
-0.40% |
-1.41% |
-0.07% |
-0.78% |
-1.01% |
-0.69% |
-1.04% |
-0.76% |
-0.77% |
4 |
-1.41% |
0.49% |
-1.70% |
-0.59% |
-0.28% |
1.05% |
-0.64% |
-1.07% |
-0.43% |
-2.01% |
1.37% |
-0.47% |
5 |
0.89% |
-0.62% |
0.80% |
0.21% |
0.29% |
0.63% |
-0.02% |
-0.07% |
-2.61% |
-2.26% |
-2.83% |
-0.51% |
6 |
1.26% |
0.90% |
1.30% |
-0.31% |
-0.06% |
-1.69% |
0.88% |
-0.42% |
0.57% |
0.50% |
-0.52% |
0.22% |
7 |
0.00% |
0.34% |
-1.21% |
-1.12% |
0.00% |
0.21% |
0.24% |
0.77% |
-4.93% |
-0.41% |
-1.40% |
-0.68% |
8 |
-1.06% |
-0.38% |
-0.06% |
-0.58% |
1.05% |
1.70% |
-0.81% |
-1.41% |
-0.16% |
0.48% |
-0.98% |
-0.20% |
9 |
-0.82% |
-1.62% |
1.46% |
-0.39% |
-0.89% |
-0.76% |
-1.17% |
0.08% |
-6.65% |
-1.18% |
2.97% |
-0.82% |
10 |
1.50% |
0.35% |
-0.34% |
-1.52% |
0.20% |
-0.79% |
-0.08% |
1.27% |
|
-1.08% |
-0.28% |
-0.08% |
11 |
-0.63% |
0.16% |
-0.65% |
-0.85% |
0.80% |
0.87% |
0.33% |
-1.81% |
|
1.52% |
-1.46% |
-0.17% |
12 |
0.76% |
-0.31% |
0.17% |
1.69% |
-2.35% |
-0.15% |
0.46% |
0.22% |
|
1.20% |
0.17% |
0.19% |
13 |
0.80% |
0.44% |
-0.85% |
0.17% |
-1.22% |
-1.87% |
0.38% |
0.30% |
|
-0.52% |
-1.41% |
-0.38% |
14 |
-1.44% |
0.82% |
0.38% |
0.05% |
0.09% |
0.69% |
1.05% |
0.50% |
|
-3.18% |
0.63% |
-0.04% |
15 |
-2.53% |
0.12% |
1.34% |
0.20% |
0.08% |
-0.62% |
-2.30% |
1.35% |
|
0.20% |
-2.06% |
-0.42% |
16 |
0.33% |
0.05% |
0.69% |
-0.32% |
-0.35% |
-1.18% |
-0.11% |
-0.61% |
|
-0.72% |
1.74% |
-0.05% |
17 |
-1.27% |
0.95% |
0.16% |
1.21% |
-1.37% |
-1.86% |
-1.01% |
-0.29% |
|
|
-2.23% |
-0.63% |
|
|
|
|
-1.48% |
|
1.30% |
-1.07% |
-1.16% |
|
|
|
|
|
|
|
|
-0.23% |
|
|
-0.07% |
|
|
|
|
|
|
|
|
|
-2.58% |
|
|
-0.42% |
|
|
|
|
|
|
|
|
|
|
|
|
0.77% |
|
|
|
|
|
|
|
|
|
|
|
|
-1.41% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First 5 days |
-1.91% |
-2.52% |
-3.10% |
-2.36% |
-3.09% |
-1.07% |
-2.01% |
-4.55% |
-6.13% |
-5.19% |
-4.50% |
-3.31% |
First 6 days |
-0.65% |
-1.62% |
-1.80% |
-2.67% |
-3.14% |
-2.76% |
-1.13% |
-4.97% |
-5.56% |
-4.68% |
-5.02% |
-3.09% |
|
|
|
|
|
|
|
|
|
|
|
|
|
up |
6 |
6 |
6 |
5 |
8 |
8 |
8 |
7 |
6 |
6 |
9 |
6.82 |
up |
5 |
7 |
5 |
6 |
5 |
5 |
5 |
5 |
8 |
8 |
6 |
5.91 |
down |
8 |
9 |
7 |
7 |
9 |
6 |
9 |
8 |
9 |
5 |
5 |
7.45 |
down |
9 |
5 |
8 |
8 |
6 |
9 |
8 |
6 |
7 |
9 |
7 |
7.45 |
|