NED 原理 4.3

moreliver

littletiger

老大，有问题：
hard to understand the 3rd rule.
Market has 3 states - up, down, flat. Rule 1&2 explain up/down moves; Rule 4 explains the transition between up and down. So it is hard to fit the 3rd rule with market price movement. or what is the difference between rule 3 vs. rule 1 or 2?

also after re-reading chatper 3 on NED, it is still unclear how NED is computed. it was briefly mentioned "tick rule" is used. But can you elaborate more on what is the tick rule you are referring?

thanks!

moreliver

littletiger 发表于 2020-6-14 11:12 AM
老大，有问题：
hard to understand the 3rd rule.
Market has 3 states - up, down, flat. Rule 1&2 ex ...

1. 关于规则3， 你再好好读一遍“原理6.1”，就应该理解与规则1 和2 的区别。具体而言，规则3 中强下跌的例子出现在图中的3/3，3/4， 而强上升信号的例子出现在5/29.

2. 关于Tick Rule, 除了我已经提到的Easley et al. 2012 之外，还有下列文献以及其中引用的文章可以参考。更详细的列表就不必要了。你可以自己列出来。

Holthausen, R.W., R.W. Leftwich, and D. Mayers, 1987. The Effect of Large Block Transactions on Security Prices: A Cross-Sectional Analysis. Journal of Financial Economics 19(2), 237-267.

Ellis K, R. Michaely and M. O’Hara, 2000, The accuracy of trade classification rules: evidence from Nasdaq. J Financ Quant Anal. 35(4)，529–551.

Finucane, T. J., 2000, A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data, The Journal of Financial and Quantitative Analysis, 35(4), 553-576.

Theissen, E., 2001, A test of the accuracy of the Lee/Ready trade classification algorithm,” Journal of International Financial Markets, Institutions and Money, 11, 147-165.

georgeyn

ricky

square

littletiger

moreliver 发表于 2020-6-14 12:12 PM
1. 关于规则3， 你再好好读一遍“原理6.1”，就应该理解与规则1 和2 的区别。具体而言，规则3 中强下跌的 ...

"关于规则3， 你再好好读一遍“原理6.1”，就应该理解与规则1 和2 的区别。具体而言，规则3 中强下跌的例子出现在图中的3/3"

I am really dumb here but Here is my confusion:

let's pretend we "don't" know what happened after 2/19 or 3/3.

on 2/19, SP is high, and NED is below zero. if apply rule #3, "强上升，NED谷低SP底高”，结论是强上升。但用rule＃４，　是相反的结论。

similarly on 3/3: NED is new high at 100%, but SP is low; if apply rule #4, it projects trend reverse; but if apply rule #3, it projects opposite.


我的疑惑是何时用RULE #3 vs. #4


还有，on 3/27-4/1，if applying rule #3 like you did for 3/3, you will conclude that compared to 3/3, it should be "强下降，NED 顶高SP顶低“


在回测是，我们的大脑已经知道市场如何走，所以不自觉的可以找到”方便“，”合适“的解释。

moreliver

littletiger 发表于 2020-6-14 11:40 PM
"关于规则3， 你再好好读一遍“原理6.1”，就应该理解与规则1 和2 的区别。具体而言，规则3 中强下跌的 ...

你读贴很仔细，且有自己的思考，赞。

对你的问题回答如下。

1. 首先，规则4 的中文表达不严谨，我原意是ATH, 不是简单的“高点”而已。这个规则是在大盘不断创新高时，回答“大盘何时是顶？” 这一问题的。 所以用到规则4的时候很少。2/19 是个ATH，所以应该用规则4 而不是规则3.

2. 3/3 不能用规则4，因为那不是大盘底，而是个大盘顶。

3. 最后，用规则3 时，不能和任意一个顶或底相比，而应该与紧邻的前一个顶或底做比较。所以3/27的NED峰要与3/20 的NED峰比。之所以如此是因为此规则是用以确定现趋势的延续和及时发现新趋势的产生。任何新趋势产生开始时都是较弱的。

我会把规则的表述改得更严谨。

你说得很对，因为知道后来的结果往往会找到一个方便的解释。应该避免这种事后诸葛的做法。

谢谢。欢迎继续提问。