John J. Murphy Technical Analysis of the Futures Markets:A Comprehensive Guide to Trading Methods and ApplicationsNew York Institute of Finance A Prentice-Hall Company

. : 1996 . : ., . . . - .: 1996. - 592 : , . . , , . , . " ''. , . " '' , . Copyright 1986 by Prentice Hall AU Rights Reserved 1

. .............................................................................................................7 ......................................................12 1. .......................................................................................................................................................... 12 ............................................................................... 12 ................... 14 ................................................................................................................. 16 ................................ 16 ................. 17 ..................... 17 ....................................................................................................... 19 ? ................................................................................................ 20 21 ............................................................................................................. 24 " "................................................................................................................. 27 ......................................................................................................................................................... 29 .......................................................................................................................................................... 30 ................................................................................................................................... 31 ........................................................................ 36 ........................................................................................................................................ 36 ................................................................................................................................................................... 37 ......................................................................................................................................................... 37

..............................................................................................30 2.

............................................................................39 3. .......................................................................................................................................................... 39 ................................................................................................................................................... 39 .............................................................................. 43 : , ...................................................................................................................................................................................... 44 ....................................................................................................................... 45 ......................................................................................................................................................... 49 - ................................................................. 49 ? .......................................................................... 50 ......................................................................................................................................................... 52

........................................54 4. ............................................................................................................................. 54 .................................................................................................... 55 ....................................................................................................................................... 56 ................................................................................................................... 58 ..................................................................................................................................................... 66 ............................................................................................................................................ 73 3.............................................................................................................................................. 74 ........................................................................................... 75 ...................................................................................................................................................... 78 (PERCENTAGE RETRACEMENTS) ................... 82 ..................................................................................................... 84 .................................................................................................................................................... 87 ............................................................................................................................................ 91 ................................................................................................................................................................... 95

2

................................................................96 5. .......................................................................................................................................................... 96 ............................................................................................................................................... 96 : ............... 96 " .................................................................................................... 99 " ..................................................................................................................... 102 ................................................................................................... 102 " "......................................................................................... 104 " "................................................................................................... 106 ................................................................................................................................................................. 107 " " ......................................................................................... 107 " ............................................................................. 108 " ........................................................................................ 108 ....................................................................................... 110 ................................................................................................. 113 " " ......................................... 117 V- " ".......................................................................................................... 119 ....................................................................................................................................................... 123

.......................................................124 6. ........................................................................................................................................................ 124 ................................................................................................................................................... 124 ................................................................................................................. 125 ........................................................................................................................ 130 .................................................. 133 ....................................................................................................................... 133 " "............................................................................................................... 135 " "................................................................................................................................. 137 ....................................................................................................................................................... 138 ............................................................................................................................... 140 ...................................................................................................................................................... 143 ............................................................................................................................. 146 " "......................................................................................................................................... 149 " " ..................................................... 150 ............................................................... 152 ........................................................................................................... 154 ........................................................................................................................................................ 156 156 .............................................................................................. 160 ................................................................................................ 171 .............................................................................................................................................. 176 ............................................................................................................ 177 " "............................................................................................. 177 .................................................................................................................................................................................... 179 ....................................................................................................................................................... 183

7. ............................................................... 156

8. ..................184 ........................................................................................................................................................ 184 ...................................................................................... 184 ........................................................................ 185 " ....................................................................................................................................... 186 " " ........................................................................................................................................... 187 " .............................................................................................................................................................. 187 ........................................................................ 188

3

............................................................................................ 188 ................................................................................................................................... 189 - ........................................................................ 190 : ......................................................................... 190 ? ............... 191 ...................................... 192 ....................................................................................................................................................... 192 ................................................................................ 193 ........................................................................................................................ 207

..........................................................208 9. ........................................................................................................................................................ 208 - ................................................................................................................................ 209 ............................................ 224 ........................................................................... 229 ........................................ 230 ................................................................ 232 .............. 232 ....................................................................................................................................................... 235 " " .................................................................................................................................. 238 ................................................................................................................. 245 ........................................................................................................................................................ 246 : ........................................................................ 246 ......................................................................................................... 247 ................................................................................................ 254 ................................ 254 .............................................................................................................. 259 (RSI)....................................................................................................... 263 70 30 ................................................................................................... 269 (K%D)................................................................................................................ 269 %R ............................................................................................................ 275 ..................................................................... 277 .................................................................................... 278 - (MACDTM)............ 278 (VA) ......................................... 280 " ........................................................................................................................... 282 "

" ...........................................246 10. "

- 11. ......................... 287 ........................................................................................................................................................ 287 - .......... 288 - ............................................... 292 ............................................................................................................................. 299 ............................................................................................................................ 299 ......................................................................................................................... 301 ....................................................................................................................................................... 304 - .................................................................................................................................................................................... 304

12. .............................................................................................310 ........................................................................................................................................................ 310 ...................................... 310 - ............................................................................. 316 ........................................................................................................................................ 319 ........................................................................................................................................... 321

4

- .................................................................................. 322 - ................................................................................... 323 .......................................................................................................................................................... 323 ....................................................................................................................................................... 327

13. ........................................................................329 .................................................................................................................. 329 ........................................................................................................................................ 330 ............................................................................... 330 - ..................................................................... 333 ............................................................................................................................................ 335 ........................................................................................................................... 338 ................................................................................................................................. 346 ....................................................................................................................................... 346 4 .......................................................................................... 348 - ................................................ 348 ..................................................................................................................... 349 ........... 350 ........................................................... 351 - .......................................................... 352 ............................................................................................. 352 ............................................................................................................... 352 ....................................................................................................................................................... 353 .......................................................................................................................................................... 354 .......................................... 355 ........................................................................................................................................................ 365 ..................................................................................................................................................................... 366 ................................................................................................................................................................. 375 .............................................................................................................................. 375 .................................................................................. 379 ................................................................................................................................... 381 ....................................................................................................................... 383 ...................................................... 388 ............................................................................................................................................. 393 ........................................................ 395 ............................................ 397 ....................................................................................................................................................... 399 ........................................................................................................................................................ 401 " "..................................................... 402 ................................................................................................................................ 403 " . : "..................... 408 ................................... 414 .......................................................................... 415 , .......... 415 - ...................... 418 ........................................................................................................................................ 420 " " " "................... 424 ....................................................................................................................................................... 425 .......................................................................................................................................................... 426

.............................................................................365 14.

15. ..................................................401

.................................427 16. 5

........................................................................................................................................................ 427 .............. 427 .............................................................................................................................. 428 ......................................................................... 430 : .................. 431 : " " " " ............................................................................................................................................................... 432 ............................................................................. 432 - , .................................................. 433 .................................................................................................... 433 ........................................................................................................................................... 434 - ................................................................................................................................................................... 437 ......................................................................................................................... 437 ....................................................................................... 439 " " ............................................................................................................. 444 ...................................................................... 447 .......................................................... 448 -

......................450 ............................................................................. 450 ....................... 452 ? ............................................................................................. 452 ........................................................... 453 - ...................................................................................................................................................... 453 ....................................................................................................................................................... 454 ............................................................................................ 456 " " ...................................................... 460 " " ........................................................................................... 460 .................................................................................................................................. 461 " " ................................................................................. 461 ......... 462 .......................................................................................................................................................... 463 ........................................................................................................................................ 464 ? ?.......................................................... 464 - ......................... 465 .................................................................................................... 466 ? .............................................................. 466 ..................................... 467 .................................................................................................................... 467 / ........................... 467

" " ............................456 1.

............................................................... 464 2.

3. : ............................................................................................................469

........................................................................................................................................................ 469 .................................................................. 471 ......................................................................................... 472 ........................................................................................................................................................... 473 .......................................................................................................................................................... 478

6

? , , - , . 1981 . , . , , , , . , , . , , , , , . , - . , . , , , . , , , . , , , . , , , , . " , " . , , . . . , . , , - - , . . , , , . , , , , , , , , 7

. , , , . , , , , , , , . " " . , . , " , " , . , . . , . , , , , . , . , , . , . , . . , - . , , , : " , . . . (" ." ", 1976, 2). . . , , - . : - , . , - - , " - ". , . , . , 1 , . , , , , , . . , 8

. : " " ". " , 2 . , , , . , 3 , , , . , . 4, , " , ", , , , , . 5 6 . , " . ", , , - . , , . , . / . , . , , (OBV), (VA) . , " ". 8 - , . , , . , ( ) . , 9 , . , , " ". 10 , . - " ". 11 - . , . 9

12 , - . . , . 13 . , , , . . , 14 . . , , . 15 . , " , ". - , , . , 1 14, . . , 16 , , - . , , , . , . , : . , . , . . , , - . " " , , . . 10

- , , . , , . , , , . . , , , , , . 1 2. , , . . . , , , 3. , , , , , . , . , , , , . . , . " ", . , . - , , . , . . , , . - . . , , , , . : . .

11

1. , , , , , , . , , , , . , , , , . , . - , , " . " , , , : . , , " ", , , , . , , " " . " "

, , , , : 1. . 2. . 3. . , , , . . , , - ( : , , - ), . , - . , , , , , , . , , . , . 12

, , . , . : , , . , , . . " ", . , . , . , , . . , , , . , , . - , , , , - . , , , " - - ", , . , , , - . , . , , . . , , , - . , . , , . (trend) - , , , . , , . , . (trend following), , 1.1). ( . . , , : : , , . , , . : , , . . , , , 13

, , .

1.1 . . , .

. , , , . , - - . , , , , . " - " : . : . -

, , , , . , . , 14

. , , . , , , . , , , . . , : , . . , . , , , , . , - . , , , . . . , , . ( ", " " " - ). , . - . , , - - . , , , - , . : . , . , - , . , , , , . . , . " . ". , . . . , . - 15

, , , , , . , , , , , . , , . , . . , . , , - .

, , , : . , , (leverage). , " " . ( 10%) , , . , , , , , . , , . . , , " " . , , , , , . . , , , , , , , .

, , . , . , , , , . - , , , - , . : , . . 16

, , . , . , , , , , . " ", , , , . - . , , - - . - , . " ". , , , . " ", , - . , . , , - .

, . , . , (stock index futures), . (International Stock Markets) (. 1.2). . , . . . , , .

. , , , . , 17

, . , . - , - , , . , , .

1.2 .

18

, , , .

: , . , , . . ^ . - " " ? " - ". , . : " , , ." , ? . Standarand & Poor's 500 , . , , . , , Standard & Poor's 500. , , , , , . - 1982 , . . , - (CSCE) , (Housing Starts) (Consumer Price Index for Wage Earners). (Commodity Research Bureau Futures Price Index). , "" . , , . " " 1984 r ("Commodity Year Book"; Commodity Research Bureau, Inc) CRB 19

, 1970 1.3). ( . . , , CRB , , , : , . " CRB CRB ". ( " , CRB - 27 , ", 4). . , CRB , . , , , , . , , . (CPI-W), , (CSCE), .

1.3 ( . ) ). (

? , , . : , . , . ? 20

, " (chartist) " " (technician) , , " . . " " . - " ". " , ", , . , , - . . - , " , " . - . , . , . , , , . - "art-charting". , , , . , , , . , , , . . , . " " " " , " (black box); " , , . . , " " : " "

, - - . . , , . - , . , ", " ", " , - , . , .

, . , . , 21

. . - , , - , , , , - , , . , : . . , , , , , . , . . , , , - , . : , , . , . , 1985 1985 . " " . , , . , ( , ). . , . . . " " . , . . . 10% . " " (leverage), , . - , . , , 10% , 10% , , . : - , . , , , , . - , , "" 22

, 10%. , . , . , . . . - , . , . , , , , , . ", " . . 30 , 200 . 40 . : 4, 9 . 18

. , , - , . , , , . , . . - , . , - Standard & Poor's 500, ; . , ' . , , , CRB. . . , / (new highs-new lows index), (advance-decline line), - (short-interest ratio), , . 23

, . , , . . , , - , . , , - , . - . , - , " ". . , , . (sentiment indicators) (now of funds analysis). : -, , , . , "" . , : . , , , . : , , . , . , , . " , " (contrary opinion theory), - .

. , " ". : : " ? , ". , , , , , . " (Random Walk Theory) " " , " (buy and hold), , . . 24

" " . , , , " ? " . , , , : " . , . " ", " (...)" - " " " " . . . ( . ; ". . . 1977, . ; " ", .17.) , . . " " " , ", , . - . , - , , , . , . . . - . . . . . , . , , . , . . " . " , . . , , , - . , " ", " . , " , . " ", " ". , , , , , . , . , , , . , " " , 25

. , , , . , - . , . , , . . (money management), , . , "" . , , . , , .* , , , . , , . " " . . , . , , , . ? , , , . , , , , , . ? . , , , . * , " - " , . : " , - ". ! , , , . , , 26

, . , , , , . , " ( . . ". " ", 1969, .383.) , , , . , , , . , . " , : , . , , ( . " , ". ", .383.) , . , , , , .

" " " " (Random Walk Theory) . , " ", . , . " ", 1964 . . " ", , . ", " - " ". , " " , , . , , , , . , - . . , - , 1.4). , (. . , , , , . , 27

( ), . " , , " , " , , ", , ? , , , ? , , " , "? , ? , : , ? - , ? , - " ". . , , " . " , ". , " , , , . , , , . , , " " , , . , , , . . - , . . , . . . , , " ", , 70- " (Issues in . " Futures Markets: A Survey), " " 1982 , . " ". , . , . . - " (A Random Walk Down Wall " Street, 1973).

28

1.4 " " , , , , .

" " (Market . , Technicians Association), . , : , "... , . , , , . " ( " " ( Newsletter) 1984 .)

, , , . 29

. - .

2. " 3 " 1984 " ". " " " , : , ". . 3 1884 . 11 9 , . 1897 , : 12 20 . 1928 12, 30 1929 , . 1884 , . , - ", " 1882 . , " , , , . , 80 , ". , . " ", 1890- 1902 . , 1903 , , . " (The ABC of Stock " Speculation, S.A.Nelson). " ". , . ? ? , " : ", , . , . , , . , , , , . , , . 30

, " ". " " , " ", . 1922 (The Stock Market Barometer, William Peter Hamil " " ton). " (Dow Theory, " Robert Rhea), 1932 . , , , . \ . , , . , , , , . , .

1. ? . , , 1 , . , , - . , , , . , , , ". , , " , . 2. . , , : . , . , , . 4, . : , . , , , . , . . , . , . , , . , , , . , , , . . , , , , , . 31

(, 50%) , . 4, . , , . 3. . . , (accumulation), , . , , , . . , , , , . " ", . , - , " , " (distribute), , "" , , , . , , 30- , . . ". " . , , . - , . 4. . . , . , , . , . , , , . , , , (. .2.1). .' , . (. 2.2). .

32

, (industrials) . , (transportation), . , . . , , . 2.1 .

5. . , , , . , , . , . , . . , , , , . , . , . 7 . , , , , . , . .

33

2.2 . . ) ( Value Line S&P 500. , S&P 500 , Value Line, . , Value Line , , . ( ), Value Line . , S&P 500, .

2. . " ". , , . S

34

. 2.3 " , . ". , , . S1, , , , ( 82).

6. , , . , 1, , , . , , , . . , , - , , , , . , , . , , , . , , ( . 2. , . 2.3.6).

.2.4 " ( " . ) 1 . 2.46 " 1 . " . 2.

, , , , , , . , 2.3 2.36 . . . 2. , , . , (S) . 35

" (failure swing). " 2.36 , - . , S1 , . , , . , , D, S2, . 2.36, , . " " (nonfailure swing). " ^ " (2. ). 1,4 . 2.46 .

. , , . " " , . . " . " , " ".

, , , , , . . , , , , , 20% 25% . , , , . , , , . . , , . "" : 1920 1975 68% 67% S&P 500. , , , , , . , . , , , , , . , 36

, , . . , , , . , " ", , . , , . , . , . , , , . . , . , , , .

. , , , . , . , , , , . . .

, . ^ , , . , . , , . , . , , . , , . 37

, - . , , . , . , , , , . , , , . " " (Technical Analysis of Stock Trends, Robert D.Edwards and John Magee).

38

3. , , , , . (daily bar chart) , . , . , , : . , . , , , . , . ,

, . - . - - . . 3.1. ? , .

3.1 . .

39

. , . . .

, . (closing prise). (opening price). . 3.2. , , . . , . , , , , . . , . - 3.3. - . . , - , . ( ( ) ). - . , , . , , . , , 3.3, , .

3 2 . , .

40

, , , , . . ADP Comtrend's Videcom, , , - , . , , , 15 1 5 , . , , . . , - , , . ( . 3.4 . 3.5 ).

3.4 .

41

, . . . 3.3 . - , . 3.1 3.2. ) ( ( ). , - . - . , .

3.56 . . - .

42

, , . , 3.6 , ( . . 3.7). 3.6 , , . . 5 10 50 55. , , - 10%. , , , , , 10 ( 100%) . 20 , 20 40 40 80. , . . , . 1 2 5 10, . , , . . .

3. 6 . . , ( , ) . 3.5 - . . , .

43

3.7 - . . , . , , , , , . , .

: , , . . ( Y) ( X) . . ? ( ) , . , ( . 3.8). . , , . , , , , . , . , , , . , .

44

3.8 . - . 8 . - . ( ) ( ). . . , .

(volume) - (open interest). "" , , , . . , , , . , . , , , (. 3.9). .

45

3.9 . . . . . , . . . .

" " ( ) . - . , , , . , . , , , . , . . : , , , , . . 46

, , . , , , , , - . , , . , . , . , , , " ", . , ( , ) . . , , , . , , . . , , , , . , . , , . , , . , , , (. 3.10). . 3.10 " ". , , . . . (open), (high), (low), (settle) . . (Est. vol.) , (vol) (open int) " " (+) " (-) . " . , 7. 47

.3.10 " ".

, , . , , 48

. , . . , , . . , . ". "

, , . , . , , , . . 5 . , 5, , ( . 3.11). .

- ? , 7 , . , , .

49

3.11 . . , . , , " " , " " . 5,

. , , . - . , , . , . , , . , . , , , ? , , , .

, . , . , , 5 . - . , . 8 , . , (. 3.12 , . 3.13). . , . , , , . , , , . . , " ", , , , .

50

3.12 . . . , .

3.13 . . . .

51

3.14 " " .

, , . - , , . . , . 52

. , . , . , . . , - . . , , . : , , . , , , . , , " " (. 3.14). . , , , , . , , , , , . , , , - , . ,

53

4. (trend) . , : , , , . , . : " ", " ", " ". , , , , . , - , . . , - . , : , . , , . - , . - , , . , , . , 4.1 ). ( . . -

4. la . .

4.16 . .

54

4.1 . , . " (trendless). "

4.1 . . . , . , , .

: , . , - : , . , : , . , , -, . ". " - , ( , . " ".) "" , " ". . , , , . 55

"" . "" , . , , , . , , , , . , . , , : ( ), ( ) , ( ). . , . , , , , - .

, , , , : , , , . , , . , " , , " , - , , . , . , . , , , , , - . . , . - . , . , , . - , , . , , . - . , , - (. . 4.2 ).

56

4.2 . : , . 1, 2, 3, 4 2-3 . . , ( ) . , 2-3 - - .

4.2 . , (1, 2, 3, 4). (2-3) , 2-3 . , ( , , ). , 4 . . - , , , . , , . , , , , . - , , - " , . , , , . , . . , , , . , , , . , , , . , , , .

57

4.26 - , . , , - ) - , ( 6 . - , , ( ) , , .

, , . , , " , " " ". , . - , , . . 4. 2 4 , . (. 4. ). .

58

4. . . 2 4 - , . 1 3 - , . 4.36 . .

, . . . 4. 3 . 1 . , . 4.36 . . , - - . 1 3 , 2 4 , , . , . , , ", " . , , ( , , . , ) ( . ) , . , . 59

4.4 . . 5 4. 3, . " " (double top).

4.46 . . , ( ), 5 3. 4 .

60

4.4 . . , . , , , .

, , . ) , ( . 5 6, , , , , . , . 4.4 - , 4.4 . . 5 3, ( 4). , . , " " (double top). " , " " - , " . . , . , , , , . , , , . , , , . , : , , , , " ". , ; " " , , , , , , , . , , " , , . ", , , , . , , . , , . "" - ( ), ( , , , ). , , 61

, ( , breakeven point). , " ", : , , . , , . ? , , , , , , . . " -, ". , , , . , , , . : , , , . , . , , - , , , . - . , , , , , ; , , . - , , , , . - . , , , , , . . , , , , . ( ). . , , , , . 62

. - , " ", . . , ? . . , , . , , , , . - " "" ", - " , , " . , - , , , " " " ", . - , , ? . , , , , , . - , , . , , , . , , . : , , . 4.5 4. , - , 4.5 . . , 1, 4 . ( 1) , 3 , . 1 ( . 4.56 ), , . ( 1 , . " ) . ( " 4).

63

4.5 . , , , , . 1 , 4. .

4.56 , , . . , ( 1) ( 4).

" " , , , , , . , , . ,, . ? "" , , . 10- , . , , , 3-5 %. , , . , , , . , .

64

4.5 . , , , . . , , .

, . (10, 20, 25, 50, 75, 100, 200 .) - . " , " , . , , , . 1982 . , , 300 . 1983 500 , 400 . - , 1983 , , 400 . 400 ( ). 300 . 450 350 , . 300 , 65

250 . 1974 200 , 1976 , . , 100 : : . , . , , . , . . , . , (protective stops) . , . , , , - 01. 4 , 4, , 3,50 , 3.49. , , , , . , ( , ) , . , , , .

, , - (trendline) ( . 4.6 ). . - , , , . . - , . 4.6 . 4.66). ( . .

66

4. 6 . . . , ( 3), 1 ( 5). 4.66 . . ( 3), 1 , ( 5).

4. 6 . . , .

- , , . , . , , . , . , , . , 67

, , , , . , . , 4.6 , 3 ( ), . 3. 1 , 2, . , , 2-3, 2. , , , : , , . , , , , , . , . , , , . , 4.6 , . , . 5 4.66 . 5 . , . : , . , . : , , , . , , , . , , , . , . , . , , . , . , . , 9 4.7 4.76 . , , , - . .. 68

4.7a . ,