In the past decade, with advances in computer technology, with regard to the establishment of technology in the futures market system *** easy, it is a great deal of research. These systems is essentially automated, eliminating human emotion and the impact of subjective judgments. On the other hand, they are reaching more and more complex. At first, using a simple moving average method, and later, also joined the dual moving average crossover, three moving average lines cross the contents, and then later, again moving between linear weighted average, the index weighting. Recently, it has been the introduction of advanced statistical systems, such as linear regression system. The primary objective of the system is still following the trend, that is, first of all to identify trends. And then follow the existing trend in the direction of the transaction.
However, as more and more complex, more imaginative and indicators, it is the tendency of some wrong. People often overlook the simple, basic tools, and their very good results, has stood the test of time. Here we are concerned that one of the most easy way – week rule.
In 1970, Dunn and哈吉特the company’s financial services sector has been the introduction of a “dealer manual.” At that time, one of the most popular automated trading system and comparative study of simulation tests. The final results of the study showed that all of the test object, the “rules of the four-week” the most successful system. This system is created by Richard Tang move. Mr. Tang Qian希尔森莱曼Yuntong in the company as its senior vice president and financial consultant. He was praised for the Commodity Futures Automated Trading System a pioneer in the field (in 1983, “investment account management reports,” Tang elected to move to the first “best profit Award” winner, in recognition of his money on the operation of commodity markets of the great contributions to the field. The agencies to the recipient was awarded “Prize for Tang transfer”).
Four-week master the rules of the Exchange 【】 www.Fxer.cn collected
4 weeks in accordance with rules established by a simple root system
1, as long as the prices have gone up over the first four weeks (according to operator full calendar) of the highest price, then ping back to the establishment of long position short position.
2, as long as the price fell over the first four weeks (according to operator full calendar) of the lowest, then ping back to the establishment of short positions long positions.
As mentioned above, this system is for the nature of the work (for the city), that is, the system has always been to hold the position, or long or short. In general, the continuous system in the city has a basic flaw. When the market has entered a state of no trend, it is still in the market will inevitably lead to “see-saw phenomenon.” We have stressed that in the market in such a state of no horizontal trend, the trend of poor results conform to the system.
We can also rule on an amendment to four weeks so that is not consecutive in the city. Approach is the use of a relatively short time span, such as a week or two weeks, as the positions of the signal. In other words, must be a “breakthrough in the four-week”, we can establish a position, but in the opposite direction as long as a week or two weeks of the signal on the ping back to the position. After living in a dealer market will be until the next four weeks and then break into the market signal.
The system to build a solid technical analysis in the above principle. Signal is given automatically, and clear and distinct. Because it is a response to trends. So to ensure that, whenever a major trend of the market, the user terminal in the right side. At the same time, it also reflects the structure of a commodity trading platitudes’s motto – “Let the full profit growth, the loss of control in the Small.” There is also a feature of the system, cited by the students of the transaction is often not too strong fan, so its costs are lower commission. This point. It is a lot of attention by fund managers. Thus such a system (or its variants) has become very popular. However, brokers are of course different from the attitude. Finally, the computer can be applied not only to implement the system, you can not.
Week rule also has its own negative views. The trend with all systems subjected to conform to the same accusations against strange it can not capture the top or at the end. In that case, the trend in the end conform to the system doing? The most important point is that the four-week performance of the rules conform to the same system as the vast majority of the trend.
Four weeks of the amended rules
We have four weeks to discuss the rules is carried out to its original form, but it will also be able to amend and improve many types of forms. First of all, we do not have to put these rules can not be applied to trading systems. We can also signal the-week rule simply as a technical indicator to identify the price of a breakthrough, the trend reversal signal. Week signal a breakthrough in the rules can also be supporting other technologies, such as the moving average lines, and filters to play with a similar role in verification. Rules of the week and two weeks is a very good filter. Therefore, when the moving average crossover signal appears, in order to determine whether or not in accordance with the signal before the opening of the first, we must, in accordance with the rules of two weeks to study whether the same direction in their two-week rule have a breakthrough in the signal.
Week rule could also be optimized
We are also in different markets can adjust the time span used the rules. We are not markets for each four-week use of mechanical rules, but a concrete analysis of specific markets. Moving average line in the discussion, we have cited a range of Merrill Lynch research report. In the “Merrill Lynch Commodity Research Report” in February 1979 on its “automated trading technology” article, the rules of the various weeks of the break signal is also carried out extensive research. One for each market. Have come to the optimization of the corresponding week of the rules. In addition, the article also suggested that by changing the end of days a week, the system performance can be further improved. For example, According to the report, in the sugar futures market, it is best to adopt a five-week rule, and the end of the week on Thursday, the provisions of artificially. In the soybean market, the best option is a two-week rule, and man-made Monday as the last day of the week. Merrill Lynch & Co. Inc. in an earlier study, also a breakthrough for the day ( “Japanese Rules”) of various number of days tested.
According to the sensitivity degrees for adjustment of the time path
Risk management and sensitivity in accordance with the specific needs, we can expand or shorten the time span-week rule. For example, if we ask the system more sensitive, you can shorten the time span. When the market has risen sharply relative to prices in order to “do not face the cold heights” of the situation, we can shorten the time span, making the system more sensitive. Assume that we have four weeks in accordance with the rules break up the signal, the establishment of a long position, it would be able to set protective stop-loss point in the past two weeks the bottom of the lowest. If a sharp attack followed by the market, dealers tried to adopt a more compact protective stop-loss method to monitor the long position, then a week can also choose to set the stop point rules.
When the market situation in the horizontal extension, those moving with the trend of do-next to the dealer now, concentrate on waiting for the emergence of an important trend in the signal, then when the time span can be extended to eight weeks. In this way, will be able to avoid short-term positions open, so that depression is not ripe enough to signal a trend.
Rules and the four-week cycle link
In front of this chapter has explained, in the futures market, to day cycle length of the unit is important. Of all the markets, too 4 weeks (or 20 days) of the cycle are extremely significant. This may explain the use of four weeks this time horizon are so successful. It may be the best time span. Please note that we have mentioned in one week, two weeks, as well as the rules of 8 weeks. Cycle analysis in accordance with the harmonic theory, each cycle with its adjacent cycle into a multiple relationship (on a cycle is its 2-fold, the next cycle is a 1 / 2). 【Exchange www.Fxer.cn master collection】
Moving average line in the discussion, we have pointed out that together with the harmonic on the cycle theory, explained in 5 days, 10 days, 20 days and 40 days moving average of the reasons for the prevalence of reason. The same token, the rules in the four weeks are also suitable. If we converted to the above-mentioned number of days a few weeks, they were that week, two weeks, eight weeks with four weeks. Therefore, the rules of four weeks of the most effective amendment to the starting point for four weeks, followed by or divided by 2 multiplied by 2. When asked in the narrow time span, from 2 weeks to 4 weeks. If you want to take a more short-term time span, it can even be two weeks from the week. When asked to expand the time span, from 4 weeks to 8 weeks. Because this method is to combine price and time, so, of course, on the theory of harmonic cycle played an important role. Our cycle time for the rules to shorten the span divided by two, the times to the expansion of the Second, this approach can indeed find a full-cycle theory is based.
So week rule to maintain a concise
There are strengths weaknesses everything there. When we attempt to optimize the rules for four weeks, or when these adjustments, this approach will gradually lost its greatest strengths – simple. Four-week rule is a breakthrough in a simple signal system, its theoretical foundation from prominent cycle on. We can amend the original system, through a relatively short time span – a week or two weeks the rules of the rules – to achieve the purpose of liquidation. If the user wants the system more sensitive, then the two weeks can also be used to enter the market rules as a signal. The original intent of the rules because the week is trying to user-friendly and therefore, our best in accordance with the above-mentioned time span to use it. Four-week rule is simple, and practical, friends may wish to try.
