资金管理与策略测试.pptVIP

图解市场

Source:古代世界地图

当代世界地图Source:mapresources.om

Source:未来世界地图

-4-约瑟夫?熊彼特的三周期嵌套模式

长期有多长？

-4ource:ThomsonDatastream十年经济周期(朱格拉周期)196001.196501.197001.197501.198001.198501.199001.199501.200001.200501.USREALGDP(%YOY)NADJTenyearcyclelows

-7-道琼斯工业指数:十年周期模式1900-1999709011013015017019021001234567910Year8

-8-四年市场周期正好与美国大选周期重叠Source:ThomsonDatastream

-9-大选周期：每年的经济表现10100100010000100000ThirdYearElectionYearHoneymoonPeriodRealityAttackRunuptonextelectionHoneymoonPeriodRealityAttackThirdYearElectionYearHoneymoonPeriodRealityAttackTrendismoreimportantthanlevelDatabasedondowindustrials(Monthlydata1900-2006)

-10-历史上月平均股市回报FTSEAllShareAverage%gainsbymonth(1962-2005)3.090.900.792.59-0.37-0.69-0.250.73-0.690.160.601.64-1.00-0.500.000.501.001.502.002.503.003.50JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovemberDecemberPercentageGainNikkei225Average%gainbymonth(1960-2005)1.030.770.24-1.16-0.46-0.870.69-0.041.191.690.703.03-1.50-1.00-0.500.000.501.001.502.002.503.003.50JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovemberDecemberPercentageGain1.380.910.81-0.750.10-0.020.600.021.66-1.00-0.500.000.501.001.502.00JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovemberDecemberPercentageGainSP500Average%gainbymonth(1964-2005)2.321.24-0.40-1.530.500.84-0.330.73-0.040.330.821.71-2.00-1.50-1.00-0.500.000.501.001.502.002.503.00JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovemberDecemberPercentageGainSP/TSXCompositeAverage%gainbymonth(1969-2005)

著名的钟形曲线，与另外两种不同的特性相结合

选出真实的市场Source:Themisbehaviourofmarkets,BernoitMandelbrot

-13-道琼斯工业指数：1960-19804005006007008009001000110019601962196419661968197019721974197619781980DowJonesIndustrial1960-1980200DMovingAverage

道琼斯工业指数1966-1982:90天美国商业票据200天移动平均值

-15-人口金字塔模型-600-400-2000200400600RapidGrowth-6-4-20246SlowGrowth-6-4-20246ZeroGrowth-6-4-20246NegativeGrowth

-16-印度人口结构:2