股票期货突破技术分析(英文原版)-第28章

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。to　the　downside。　

As。the　negotiation　（auction）　begins；　the　first　stage　shuts　off　the　selling；　and　then　the　later　stages。start　to　build　volume　toward　the　bottom　of　the　dramatic。directional　move；　forming　the　lowercase　b…shape　（Figure　9。10）。　

Once　the　b…shape　isplete；　the　market　is。ready　for　either　price　acceptance　（a　further　move　in　the　same　direction）　or　price　rejection　（a　return　to　the　starting　point　of　the　decline）。　In　this。case；　the　market　followed　a　price…rejection　scenario；　which　resulted　in　a　rally。out　of　the　high…volume　level　of　the　b　back。toward　its。initiation　point。　The　ultimate　result　was　the　creation　of　a　D…shape　bell　curve。　

Let's。put　these　profiles。together；　as。shown　in　Figure　9。12。　On　this　posite　profile；　the　2…year　Euro　Schatz　versus。the　5…year　Euro　Bobl　spread　is。showing　a　D　shape　that　is。close　to　pletion　of　a　fully　developed　bell　curve。　As。often　happens；　the　shape　is。not　a　perfect　bell　curve。　It　is。rather　wide　and　has。a　dent　of　low　volume　around　9847；　between　two　pleted　bell　curves。　A　market　will　sometimes。fill。in　this。type　of　low…volume　area；　but　in　this。case　the　width　of　the　profile　suggests。that　the　market　is。very。near　a　new　directional　move。　By　putting　this。smaller　bell　curve　into　a　larger　context　of　development；　we　can　determine　the　next　directional　move　out　of　the　high　volume　area　of　9855。　
In　general；　as　a　building　bell　curve　nearspletion；　the　trading　strategy　is。to　position　oneself　at　one　end　of　the　developing　value　area　in　anticipation　of　the　

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case；　we　see　a　large　underdeveloped　area　below　the　market　and　would　begin　to　anticipate　a　new　directional　move　to　the　downside。　
Figure　9。14　shows。the　subsequent　market　action。　The　market　did　in　fact　follow　our　expected　scenario　and　begin　to　build　volume　in　the　formerly　underdeveloped　area。　In　the　next　section；　we　consider　this。in　light　of　the　four　elements。of　a　trading　strategy。　

Finding　a　Larger　Context　
The　idea　of　a　larger　context　is。critical　to　using　Market　Profile　effectively。　Recall　our　four　elements　of　a　trading　strategy：　determining　market　direction；　establishing　a　target；　knowing　how　much　time　you　have　in　a　trade；　and　recognizing　whether　you're　right　or　wrong。　We　now　have　tools。to　support　each　of　these　trading　decisions。　We'll　illustrate　this。process。with　the　10…year　U。S。　Treasury　notes。versus。10…year　EuroGerman　Bund　spread；　using　a　ratio　of　100　to　55。　
Using　the　profiles。in　their　default　organization　（by　days）　is。not　the　best　way。to　track。the　progress。of　the　negotiation　process。　I　like　to　bine　the　profiles；　as。we've　been　doing　here；　to　bring　out　the　bell　curves。　But　how　do　we　know　what　to　bine？　In　an　underdeveloped　value　area；　the　market　can　spend　days。trading　back。and　forth　within　the　established　extremes。of　value。　If　the　range　is。established　in　one　day；　the　market　might　spend　three　or　four　days。building　volume　in　that　range。　We　typically　bine　profiles。that　are　building　within　the　same　value　area　until　the　bell　curve　es。close　to　pletion。　When　the　profile　is。ripe　and　ready　to　spill　directionally；　we　start　to　put　the　nearly　developed　curve　into　a　context。　

We'll　illustrate　this。with　an　example。　In　Figure　9。15；　on　August　23；　the　market　established　a　fairly　broad　range；　but　one　day　was。not　enough　time　to　fully　explore　the　range　or　build　consensus。within　that　value　area。　For　two　consecutive　days；　tradersuld　have　taken　advantage　of　that　underdeveloped　profile　in　the　low…volatility　environment　of　development。　The　strategy；　then；　for　August　24　and　25；　was。to　sell　the　top　of　value　and　buy。the　bottom　of　value。　We　thus。have　a　trade　location　for　modest　directional　moves。within　this。bracket。　This。strategy　is。valid　until　the　range　fully　develops。a　bell　curve。　The　idea　of　range　trading　within　the　value　area　isnfirmed　if　you　see　horizontal　price　prints。（multiple　prints　at　the　same　price）　at　the　top　and　bottom　of　value；　as。opposed　to　single　upward　prints。at　the　top　or　downward　ones。at　the　bottom；　which　would　mean　the　market　was。no　longer　range　trading；　but　initiating　a　new　directional　move。　
To　continue　with　this　theme　of　trading　a　broad　initial　range　until　the　bell　curve　is　pleted；　consider　Figure　9。16。　We　bined　two　profiles。to　show　the　oute　of　two　consecutive　days。of　rapid　rallies。　The　result　is。an　unexplored　range　that　the　market　could　spend　multiple　days。developing。　This。sets。up　a　framework。for　a　trading　strategy。　It　is。very。unusual　for　a　market　to　sustain　a　separation　from　an　underdeveloped　value　area。　Based　on　our　understanding　of　the　psychology　of　the　negotiation　process；　the　market　is。going　to　want　to　build　consensus。before　rejecting　a　value　as。too　low　or　too　high。　This。is。the　core　principle　of　Market　Profile　trading。　Traders。can　take　advantage　of　thisnsensus…building　phase。　The　premise　is。that　the　market　will　spend　time　trading　between　the　projected　value　area　top　and　bottom　until　consensus。is。reached　toward　the　center　of　the　range。　The　strategy　would　be　to　sell　the　top　of　value　and　play　for　a　move　at　least　to　the　bottom　of　the　first　pocket　of　low　volume。　Let's。see　how　this。strategy　would　have　played　out。　

Figure　9。17　shows。the　market　action　for　the　following　three　days。and　how　the　market　slowly　declined　into　the　bottom　of　the　pocket　of　low　volume。　
A　key　question　emerges。from　these　examples：　How　do　we　know　when　to　stop　playing　for　development　and　start　shifting　our　strategy　to　one　of　looking　for　direction？　The　key　is。to　always。be　trading　from　a　low…volatilityntext　of　development。　This。can　be　done　by　shifting　to　a　larger　context　once　a　bell　curve　is　pleted　or　nearing　pletion。　Let's。look。at　how　this。might　unfold　on　our　current　example。　
Figure　9。18　shows。the　six　days。leading　up　to　our　example　in　Figure　9。17　as。the　market　traded　in　an　established　range　for　several　days；　from　August　7　to　August　14；　2006。　A　multiday　strategy　of　selling　the　top　of　value　and　buying　the　bottom　was。appropriate。　
As。long　as　the　market　continues　to　spend　time　in　the　same　value　area；　we　bine　those　profiles。into　a　larger　developing　bell　curve。　That　process。draws。to　a　close　once　the　bined　set　of　profiles。reveals。a　fully　developed　bell　curve。　

Figure　9。19　shows。the　result　of　bining　the　profiles。in　Figure　9。18。　By　the　end　of　the　six…day　period；　consensus。has。developed　around　a　fair　price；　and　the　value　area　has。been　fully　explored　into　a　bell　curve。　This。market　is。ready　to　move　directionally。　At　this。point；　continuing　to　play　for　a　range　trade　in　the　current　range　is。a　dangerous。proposition。　
When　the　bell　curve　isplete；　the　trader　is。driven　to　find　a　broader　context　to　
determine　the　next　directional　move。　The　context　is　a　larger　value　area　that　***************　201　***************　

gave　us。one　last　chance　to　buy　the　bottom　of　value；　and　the　rally　in　y…period　came　out　of　that　point。　
When　looking　for　a　directional　move；　the　confirming　price　activity　is。a　series。of　single　prints。　Anything　short　of　that　type　of　initiating　activity　tells。the　trader　that　the　market　is。not　yet　ready　to　make　its。move。　The　typical　target　for　a　rally　is。the　initiation　point　of　the　prior　decline。　
The　alternative　scenario　in　this。example　would　have　been　an　initiating　move　that　went　below　the　bottom　of　value。　If　that　had　happened；　you　would　then　have　looked　for　a　larger　bell　curve　below　the　market　that　was。underdeveloped　and　set　your　targets。accordingly。　
The　amount　of　context　to　use　would　be　just　enough　to　return　us。to　a　situation　of　development　as。opposed　to　initiation。　At　times；　a　huge　bell　curve　on　the　scale　of　months。or　even　years。will　plete。　Usually；　though；　we　are　working　in　a　smaller　time　frame；　and　adding　a　few　days。or　at　most　weeks。of　prior　market　activity　will　provide　the　necessary。information。　The　basic。premise　is。that　large　moves。are　built　out　of　smaller　bell　curves。　For　a　day　trader；　knowing　what　the　market　is。likely。to　do　for　the　year　may　not　be　helpful；　because　the　price　fluctuations　in　acplishing　the　yearly　scenario　may　be　far　too　large　for　a　short…term　strategy　to　endure。　
Market　Profile　is。a　general　tool　that　applies。just　as。well　to　global　spreads。as。it　does。to　more　traditional　instruments。　Because　Market　Profile　captures。the　underlying　structure　of　the　auction；　it　is。an　effective　way　of　analyzing　any　auction…based　market。　
The　main　principle　is。that　the　market　is。always。building　a　bell　curve　on　some　time　scale。　By　recognizing　this。and　by　matching　the　scale　of　the　curve　we're　working　with　to　our　preferred　trading　interval；　we　can　always。be　trading　in　a　context　of　development；　moving　to　a　larger　bell　curve　as　a　smaller　one　pletes；　and　back。to　a　smaller　one　once　an　initiating　move　has。established　a　range　for　development。　This。gives。us。a　framework。to　develop　a　trading　plan　involving　the　key　elements。of　direction；　target；　timeline；　and　confirming　events。　


CHAPTER　10　
The。Ten　mandments　
ROBIN　GRIFFITHS　
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The　product　of　this。approach　is　a　rules…based　expert　system；　and　my　ten　…mandments。are　a　by…product。　
My　approach　to　market　analysis。integrates。technical　and　fundamental　forces。　
I　see　technical　forces　as。global；　macro；　top　down；　and　multi…asset…class。　This。is。a　direct　result　of　the　work。of　Harry　M。　Markowitz；　1990　Nobel　Prize　winner。　He　wrote　a　series　of　papers。in　which　he　demonstrated　that　the　major　part　of　all　share　price　moves。was。due　to　these　macro　factors。rather　than　stock…specific。information。　This。is。analogous。to　knowing　that　the　tide　ising　in　and　will　float　all　boats；　or　it　is。going　out　and　will　leave　them　all　back。on　the　beach。　This。is。more　important　than　knowing　that　this。boat　is。better　than　that　boat。　About　85　percent　of　the　movement　was。due　to　the　tide。　
I　am　not　alone　in　respecting　the　powerful　influence　of　market　trends。　Years。ago；　however；　most　market　participants。believed　in　the　Efficient　Market　Hypothesis；　which　gave　rise　to　the　more　well…known　Random　Walk。Theory。　This。theory　asserts。that　market　movements。are　random。　Therefore　there　is。no　point　in　trying　to　prehend　market　trends。　Predictably　enough；　those　who　asserted　the　contrary　view—technical　analysts；　also　called　chartists—were　considered　fringe　players。　
Nowadays；　however；　it　has。bee　more　than　respectable　to　dismiss。the　Random　Walk。Theory。　Several　Nobel　prizes。have　been　awarded　to　those　who　did　just　that。　I　offer　less。esoteric。proof。　
First；　humans。are　irrational　and　exuberant；　and　have　regularly　overpaid　for　everything　from　tulip　bulbs。to　dot…　stocks；　and　many　things　in　between。　Second；　there　are　in　practice　real…world　markets。that　are　easily　and　demonstrably　different　from　the　markets。that　would　be　created　were　the　organizing　principle　a　random　walk。　
Professor　Benoit　Mandelbrot　has。a　great　way　of　demonstrating　this。　By　plotting　the　deviations。of　actual　prices。around　a　moving　mean　and　paring　them　to　a　random　walk。generated　by　hisputer；　he　can　reduce　the　problem　to　a　party　game。　A　child　with　the　mental　age　of　four；　and　no　previous。training；　can　easily　tell　the　difference。　In　essence；　if　the　markets。were　really　random；　then　the　deviations。would　be　in　Normal；　or　Gaussian；　distribution。　In　fact　they　are　in　skewed；　heteroscedastic；　leptokurtic。distribution。　This。is。the　so…called　fat…tailed　pattern　shown　in　Figure　10。1。　
In　a　leptokurtic。distribution；　prices。spend　far　longer　than　they　should　close　to　the　mean。　The