E*O
2 楼
美股评论：有史以来最佳随势操作系统
http://www.sina.com.cn 2011年07月13日 21:32 新浪财经
导读：投资通讯专家、MarketWatch专栏作家赫伯特(Mark Hulbert)撰文介绍了
一个最简单，却又是最成功的随势操作系统——在过去三十年当中，其表现超越大盘，
而风险却远远低于大盘。
以下即赫伯特的评论文章全文：
现在，我们是时候拿起粉笔，为从古到今最成功的股票随势操作系统再记上一分了。
在漂亮地避开了5月到6月调整行情的绝大部分之后，这一系统在6月的最后一周转
向了100%的多头，恰恰捕捉到了那之后迅速发生的爆炸性涨势。
随即，上周五收盘之后，这一系统又转向了100%的现金，从而成功避开了本周开始
阶段的大跌行情。
身手竟然如此敏捷，这是怎样的一个系统？
这就是季节性交易系统(Seasonality Trading System)，是由福斯贝克(Norman
Fosback)在1970年代创建的。从1970年代早期到1990年代晚期，福斯贝克一直担任
Institute for Econometric Research的总裁，他目前编辑着一份投资通讯，名字是
Fosback’s Fund Forecaster。
确切地说来，福斯贝克是1970年代中期将这一系统展现在世人面前的，他当时还说
，这是他所见过的短期指标当中最好的。这一系统在每个月份转换的当口和交易假期来
临之前都会选择100%投资股票，而在其他的时间当中，则选择纯粹的现金。
无论你是否相信，这就是其策略的全部。
在计入风险因素的影响进行相应调整之后，季节性交易系统的表现非常出色，过去
三十年间，其整体回报超过《赫伯特金融摘要》所追踪的所有其他随势操作系统。
根据历史数据，我们可以建立一个虚拟的回溯投资组合，无论何时，只要福斯贝克
的系统发出买进信号，它就全额投资于威尔夏5000指数，而在其他时间中则选择九十天
国债。从1980年代初到现在，这一虚拟投资组合的年平均回报率为11.4%，超过威尔夏
5000指数的11.1%。
换言之，尽管这一投资组合在超过半数的时间当中都是置身于股市之外，但是却没
有比大盘少赚一分钱。优秀的表现，微弱的风险，这简直是必胜的完美结合。
尽管这一系统近年以来也遇到过一些颠簸，但是整体而言，丝毫看不出已经失去神
奇魔力的迹象。比如，在过去十年当中，它的年平均回报率要领先买进持有策略0.1个
百分点。
我们可以看到，令人吃惊的是，如此明星级别的表现，系统的构成却简单得不能再
简单。你唯一需要了解的事情，就是今天究竟是几月几日。你不需要电脑，不需要复杂
的软件或者程序，更用不着分分钟两眼紧盯市场。
事实上，我们根本不需要追踪市场。我们完全可以在若干月，甚至若干年之前提前
做出安排——系统什么时间选择股票，什么时间选择现金。比如，它下一次选择全部股
票的时间，是7月27日。
这样一个系统为何会行之有效？沃顿大学教授凯姆(Donald Keim)进行过一次研究
，发现股票交易数字当中确实存在着明显的和时间有关的行情，这或许主要应该归因于
退休计划供款定期购买股票，兑现应税亏损的卖出，以及空头交易者不愿意在假期长周
末依然将自己置于风险之下等等因素。
不过，我们最好还是先听一点警告：这一系统必须进行大量的交易，大约每年有十
七轮，因此你在执行这样的策略时，必须选择免佣金，也没有赎回费用的共同基金。此
外，还需要考虑到的一点是，从这样的交易得来的利润，显然也很难适用优惠得多的长
期资本利得税率。
当然，或许最后一点才是最重要的：世上终归没有一种系统是可以百分之百担保成
功的。
不过，我还是必须承认，就我所知，创建于几十年前，在如此漫长的时间当中获得
这样的成就，这样的系统的确止此一个。如果你觉得过去的表现是有启示意义的，那你
当然不该轻易放过它。(玉祥)
本文为作者授权新浪财经独家使用，任何媒体未经授权均不得转载。若需授权必须
经新浪财经与作者本人取得联系并获得书面认可。如果私自转载本文，作者保留一切追
诉的权力，直至追究私自转载者的法律责任。
http://www.sina.com.cn 2011年07月13日 21:32 新浪财经
导读：投资通讯专家、MarketWatch专栏作家赫伯特(Mark Hulbert)撰文介绍了
一个最简单，却又是最成功的随势操作系统——在过去三十年当中，其表现超越大盘，
而风险却远远低于大盘。
以下即赫伯特的评论文章全文：
现在，我们是时候拿起粉笔，为从古到今最成功的股票随势操作系统再记上一分了。
在漂亮地避开了5月到6月调整行情的绝大部分之后，这一系统在6月的最后一周转
向了100%的多头，恰恰捕捉到了那之后迅速发生的爆炸性涨势。
随即，上周五收盘之后，这一系统又转向了100%的现金，从而成功避开了本周开始
阶段的大跌行情。
身手竟然如此敏捷，这是怎样的一个系统？
这就是季节性交易系统(Seasonality Trading System)，是由福斯贝克(Norman
Fosback)在1970年代创建的。从1970年代早期到1990年代晚期，福斯贝克一直担任
Institute for Econometric Research的总裁，他目前编辑着一份投资通讯，名字是
Fosback’s Fund Forecaster。
确切地说来，福斯贝克是1970年代中期将这一系统展现在世人面前的，他当时还说
，这是他所见过的短期指标当中最好的。这一系统在每个月份转换的当口和交易假期来
临之前都会选择100%投资股票，而在其他的时间当中，则选择纯粹的现金。
无论你是否相信，这就是其策略的全部。
在计入风险因素的影响进行相应调整之后，季节性交易系统的表现非常出色，过去
三十年间，其整体回报超过《赫伯特金融摘要》所追踪的所有其他随势操作系统。
根据历史数据，我们可以建立一个虚拟的回溯投资组合，无论何时，只要福斯贝克
的系统发出买进信号，它就全额投资于威尔夏5000指数，而在其他时间中则选择九十天
国债。从1980年代初到现在，这一虚拟投资组合的年平均回报率为11.4%，超过威尔夏
5000指数的11.1%。
换言之，尽管这一投资组合在超过半数的时间当中都是置身于股市之外，但是却没
有比大盘少赚一分钱。优秀的表现，微弱的风险，这简直是必胜的完美结合。
尽管这一系统近年以来也遇到过一些颠簸，但是整体而言，丝毫看不出已经失去神
奇魔力的迹象。比如，在过去十年当中，它的年平均回报率要领先买进持有策略0.1个
百分点。
我们可以看到，令人吃惊的是，如此明星级别的表现，系统的构成却简单得不能再
简单。你唯一需要了解的事情，就是今天究竟是几月几日。你不需要电脑，不需要复杂
的软件或者程序，更用不着分分钟两眼紧盯市场。
事实上，我们根本不需要追踪市场。我们完全可以在若干月，甚至若干年之前提前
做出安排——系统什么时间选择股票，什么时间选择现金。比如，它下一次选择全部股
票的时间，是7月27日。
这样一个系统为何会行之有效？沃顿大学教授凯姆(Donald Keim)进行过一次研究
，发现股票交易数字当中确实存在着明显的和时间有关的行情，这或许主要应该归因于
退休计划供款定期购买股票，兑现应税亏损的卖出，以及空头交易者不愿意在假期长周
末依然将自己置于风险之下等等因素。
不过，我们最好还是先听一点警告：这一系统必须进行大量的交易，大约每年有十
七轮，因此你在执行这样的策略时，必须选择免佣金，也没有赎回费用的共同基金。此
外，还需要考虑到的一点是，从这样的交易得来的利润，显然也很难适用优惠得多的长
期资本利得税率。
当然，或许最后一点才是最重要的：世上终归没有一种系统是可以百分之百担保成
功的。
不过，我还是必须承认，就我所知，创建于几十年前，在如此漫长的时间当中获得
这样的成就，这样的系统的确止此一个。如果你觉得过去的表现是有启示意义的，那你
当然不该轻易放过它。(玉祥)
本文为作者授权新浪财经独家使用，任何媒体未经授权均不得转载。若需授权必须
经新浪财经与作者本人取得联系并获得书面认可。如果私自转载本文，作者保留一切追
诉的权力，直至追究私自转载者的法律责任。
p*e
3 楼
s*e
4 楼
找银行，卡着他们atm也没法工作了吧
其实读不出来可以自己输入金额的
其实读不出来可以自己输入金额的
E*O
5 楼
原文在这里
July 12, 2011, 12:01 a.m. EDT
Maybe the best market-timing system ever
Commentary: Successful method is amazingly simple
Stories You Might Like
Merrill warns of major global crisis over Italy
U.S. stock futures tumble as debt fears escalate
Stocks struggle for gains as Italy fears cool
Netflix separates DVD, streaming plans - @MarketWatch
Share:
More
Email Print Comment
53
By Mark Hulbert, MarketWatch
CHAPEL HILL, N.C. (MarketWatch) — Chalk up another win for one of the best-
performing stock market timing systems of all time.
After neatly sidestepping most of the May-June correction, this system
became 100% long during the last week of June — just in time for the
explosive rally that soon ensued.
And, then, the system went back to 100% cash at last Friday’s close,
thereby avoiding the big down day that greeted investors on the first
trading day of this week.
What is this timing system with such nimble footwork?
It is the Seasonality Trading System, which was created by Norman Fosback in
the early 1970s. Fosback was president of the Institute for Econometric
Research from the early 1970s through the late 1990s, and he currently edits
an investment advisory service called Fosback’s Fund Forecaster.
Click to Play
Obama presses for big deficit deal
Obama pushes leaders in both parties to deliver the largest possible deficit
-reduction deal. "If not now, when?" he asks.
Fosback introduced this timing system in the mid-1970s, calling it one of
the best short-term indicators he had ever encountered. The system calls for
being 100% in stocks at the turns of each calendar month and prior to
exchange holidays. It is in cash at all other times.
Believe it or not, that’s it.
The Seasonality Timing System’s performance has been superb on a risk-
adjusted basis. It is well ahead of any of the other market timing systems
the Hulbert Financial Digest (HFD) has tracked over the last three decades.
Consider a hypothetical portfolio constructed by the HFD that has been
invested in the Wilshire 5000 Index whenever Fosback’s system was on a buy
signal and in 90-day Treasury bills at all other times. Since the early
1980s, this hypothetical portfolio has produced an 11.4% annualized return
in contrast to the Wilshire’s 11.1%.
In other words, despite being in cash more than half the time, the portfolio
has nevertheless made more money than the market itself. That’s a winning
combination.
Though it has had some hiccups in recent years, the system shows no signs of
losing its touch. Over the last decade, for example, it is ahead of a buy-
and-hold by 0.1 percentage point per year, on an annualized basis.
Amazingly, for being such a star performer, this system couldn’t be simpler
. The only thing you need to know is what day of the month it is. No need
for fancy computers or sophisticated software — or to track the markets on
a minute-by-minute, or day-by-day basis.
In fact, there is no need to track the market at all. It is possible to
specify, months and years in advance, when the system will be in stocks and
when in cash. The next time it will go into the market, for example, is July
27.
Why does this system work? Research conducted by Wharton University
Professor Donald Keim has found that there are distinct calendar-based
patterns to how stocks trade, most likely because of when periodic
retirement-plan contributions hit the market, tax-loss selling, and short-
term traders’ reluctance to be exposed to stocks over a long holiday
weekend.
Several words of caution are in order, however: Because the system involves
lots of trading — around 17 round trips per year, in fact — it is crucial
that you follow the system using no-load mutual funds with no redemption
fees. With that amount of trading, furthermore, it is not eligible for the
more favorable tax treatment reserved for long-term capital gains.
And, perhaps most importantly, no system’s success is guaranteed.
Still, I know of no other market timing system that was created as many
decades ago as this one that has been as successful in real time as this one
. If you want to bet on past performance, this is definitely one to consider.
Mark Hulbert is the founder of Hulbert Financial Digest in Annandale, Va. He
has been tracking the advice of more than 160 financial newsletters since
1980.
July 12, 2011, 12:01 a.m. EDT
Maybe the best market-timing system ever
Commentary: Successful method is amazingly simple
Stories You Might Like
Merrill warns of major global crisis over Italy
U.S. stock futures tumble as debt fears escalate
Stocks struggle for gains as Italy fears cool
Netflix separates DVD, streaming plans - @MarketWatch
Share:
More
Email Print Comment
53
By Mark Hulbert, MarketWatch
CHAPEL HILL, N.C. (MarketWatch) — Chalk up another win for one of the best-
performing stock market timing systems of all time.
After neatly sidestepping most of the May-June correction, this system
became 100% long during the last week of June — just in time for the
explosive rally that soon ensued.
And, then, the system went back to 100% cash at last Friday’s close,
thereby avoiding the big down day that greeted investors on the first
trading day of this week.
What is this timing system with such nimble footwork?
It is the Seasonality Trading System, which was created by Norman Fosback in
the early 1970s. Fosback was president of the Institute for Econometric
Research from the early 1970s through the late 1990s, and he currently edits
an investment advisory service called Fosback’s Fund Forecaster.
Click to Play
Obama presses for big deficit deal
Obama pushes leaders in both parties to deliver the largest possible deficit
-reduction deal. "If not now, when?" he asks.
Fosback introduced this timing system in the mid-1970s, calling it one of
the best short-term indicators he had ever encountered. The system calls for
being 100% in stocks at the turns of each calendar month and prior to
exchange holidays. It is in cash at all other times.
Believe it or not, that’s it.
The Seasonality Timing System’s performance has been superb on a risk-
adjusted basis. It is well ahead of any of the other market timing systems
the Hulbert Financial Digest (HFD) has tracked over the last three decades.
Consider a hypothetical portfolio constructed by the HFD that has been
invested in the Wilshire 5000 Index whenever Fosback’s system was on a buy
signal and in 90-day Treasury bills at all other times. Since the early
1980s, this hypothetical portfolio has produced an 11.4% annualized return
in contrast to the Wilshire’s 11.1%.
In other words, despite being in cash more than half the time, the portfolio
has nevertheless made more money than the market itself. That’s a winning
combination.
Though it has had some hiccups in recent years, the system shows no signs of
losing its touch. Over the last decade, for example, it is ahead of a buy-
and-hold by 0.1 percentage point per year, on an annualized basis.
Amazingly, for being such a star performer, this system couldn’t be simpler
. The only thing you need to know is what day of the month it is. No need
for fancy computers or sophisticated software — or to track the markets on
a minute-by-minute, or day-by-day basis.
In fact, there is no need to track the market at all. It is possible to
specify, months and years in advance, when the system will be in stocks and
when in cash. The next time it will go into the market, for example, is July
27.
Why does this system work? Research conducted by Wharton University
Professor Donald Keim has found that there are distinct calendar-based
patterns to how stocks trade, most likely because of when periodic
retirement-plan contributions hit the market, tax-loss selling, and short-
term traders’ reluctance to be exposed to stocks over a long holiday
weekend.
Several words of caution are in order, however: Because the system involves
lots of trading — around 17 round trips per year, in fact — it is crucial
that you follow the system using no-load mutual funds with no redemption
fees. With that amount of trading, furthermore, it is not eligible for the
more favorable tax treatment reserved for long-term capital gains.
And, perhaps most importantly, no system’s success is guaranteed.
Still, I know of no other market timing system that was created as many
decades ago as this one that has been as successful in real time as this one
. If you want to bet on past performance, this is definitely one to consider.
Mark Hulbert is the founder of Hulbert Financial Digest in Annandale, Va. He
has been tracking the advice of more than 160 financial newsletters since
1980.
s*e
6 楼
早就说了x100颜色怪异，质量不行，我一眼就看出来了
【在 p********e 的大作中提到】
: http://forums.dpreview.com/forums/readflat.asp?forum=1020&threa
: 幸亏我当年还给阿麻宗了
【在 p********e 的大作中提到】
: http://forums.dpreview.com/forums/readflat.asp?forum=1020&threa
: 幸亏我当年还给阿麻宗了
E*O
7 楼
Google了一下，下面是具体做法：
SEASONALITY SWITCHING rules developed by Norman Fosback
Seasonality Switching was first developed in 1976 by Norman Fosback in the
book Stock Market Logic. Research has shown that the last trading day of the
month, the first four trading days of the next month and the two trading
days before holidays have historically been highly positive for the stock
market. Over the years, Market Logic has identified additional favorable and
unfavorable days. The current Market Logic rules are as follows: Market
Logic Seasonality Rules
Rule 1. Always own equities on the last trading day of each month and first
four trading days of each month (the “month-end” period).
Rule 2. If the next-to-last trading day of the month is anything other than
the first trading session of the week, hold equities on that day, too. In
other words, own equities on both of the last two trading days of the month
except when the next-to-last trading day of the month is the first trading
day of the week.
Rule 3. Also hold equities on the fifth trading day of the month, unless
that fifth day is the first day of the week.
Rule 4. Own equities on the two trading days before each holiday closing (
the “pre-holiday” period).
Rule 5. However, do not own equities on the second day before a holiday
closing if that day happens also to be the first trading day of the week.
Rule 6. Continue to own equities on the first day after a market holiday
closing if that day is also the last trading day of the week. Making
Seasonality Even Better Over the years, Monday has been a poor day to be
invested in the stock market.
Although the NASDAQ 100 has gained 19.8% per year between 1/31/85 and 12/20/
00, Monday has still been a net losing day:
TOTAL GAIN 1/31/85 - 12/20/00 NASDAQ100 NASDAQComposite NASDAQIndustrials
Monday (39.9)% (51.0)% (62.4)%
Tuesday +56.5 +4.9 (24.4)
Wednesday +399.4 +190.7 +187.0
Thursday +85.3 +102.7 +108.1
Friday +90.3 +176.6 +165.6
Total +591.6% +423.9% +373.9%
Overall, most of the market gains have occurred in the Wednesday-Friday
period. Monday and Tuesday have been poor days to invest, particularly for
the NASDAQ Industrials (small stocks). Our changes are designed to add days
during up markets and delete days during down markets.
Changes to Market Logic Seasonality Rules Change
1. If market is in an uptrend (Value Line Composite above 4 day moving
average), own equities on the third trading day before month-end or a
holiday if a Wednesday or Thursday.
Change
2. If market is in an uptrend, own equities on the sixth trading day of the
month if a Wednesday, Thursday or Friday.Change
3. To avoid excessive switching, after the Memorial Day, Thanksgiving and
Christmas holiday buys, stay invested through the completion of the end-of-
month Seasonality period.
Change
4. If market is in a downtrend and the last trading day of the month is the
first trading day of the week, buy on the last trading day of the month (
deletes a Friday and Monday). Buy on Friday night if market changes to an
uptrend.Change
5. If market is in a downtrend and fifth trading day of month is the second
trading day of a week, sell on the third trading day of the month (deletes
Tuesday and Monday).Change
6. Do not invest in the Seasonality Switch at the end of a calendar quarter
if there are no holidays during the period.
Change 7. Do not invest in Seasonality Switching if the Election Cycle Plan
has a sell signal in effect.
Copyright © 1998 - 2004 Keystone Financial Planning, Inc. All rights
reserved
SEASONALITY SWITCHING rules developed by Norman Fosback
Seasonality Switching was first developed in 1976 by Norman Fosback in the
book Stock Market Logic. Research has shown that the last trading day of the
month, the first four trading days of the next month and the two trading
days before holidays have historically been highly positive for the stock
market. Over the years, Market Logic has identified additional favorable and
unfavorable days. The current Market Logic rules are as follows: Market
Logic Seasonality Rules
Rule 1. Always own equities on the last trading day of each month and first
four trading days of each month (the “month-end” period).
Rule 2. If the next-to-last trading day of the month is anything other than
the first trading session of the week, hold equities on that day, too. In
other words, own equities on both of the last two trading days of the month
except when the next-to-last trading day of the month is the first trading
day of the week.
Rule 3. Also hold equities on the fifth trading day of the month, unless
that fifth day is the first day of the week.
Rule 4. Own equities on the two trading days before each holiday closing (
the “pre-holiday” period).
Rule 5. However, do not own equities on the second day before a holiday
closing if that day happens also to be the first trading day of the week.
Rule 6. Continue to own equities on the first day after a market holiday
closing if that day is also the last trading day of the week. Making
Seasonality Even Better Over the years, Monday has been a poor day to be
invested in the stock market.
Although the NASDAQ 100 has gained 19.8% per year between 1/31/85 and 12/20/
00, Monday has still been a net losing day:
TOTAL GAIN 1/31/85 - 12/20/00 NASDAQ100 NASDAQComposite NASDAQIndustrials
Monday (39.9)% (51.0)% (62.4)%
Tuesday +56.5 +4.9 (24.4)
Wednesday +399.4 +190.7 +187.0
Thursday +85.3 +102.7 +108.1
Friday +90.3 +176.6 +165.6
Total +591.6% +423.9% +373.9%
Overall, most of the market gains have occurred in the Wednesday-Friday
period. Monday and Tuesday have been poor days to invest, particularly for
the NASDAQ Industrials (small stocks). Our changes are designed to add days
during up markets and delete days during down markets.
Changes to Market Logic Seasonality Rules Change
1. If market is in an uptrend (Value Line Composite above 4 day moving
average), own equities on the third trading day before month-end or a
holiday if a Wednesday or Thursday.
Change
2. If market is in an uptrend, own equities on the sixth trading day of the
month if a Wednesday, Thursday or Friday.Change
3. To avoid excessive switching, after the Memorial Day, Thanksgiving and
Christmas holiday buys, stay invested through the completion of the end-of-
month Seasonality period.
Change
4. If market is in a downtrend and the last trading day of the month is the
first trading day of the week, buy on the last trading day of the month (
deletes a Friday and Monday). Buy on Friday night if market changes to an
uptrend.Change
5. If market is in a downtrend and fifth trading day of month is the second
trading day of a week, sell on the third trading day of the month (deletes
Tuesday and Monday).Change
6. Do not invest in the Seasonality Switch at the end of a calendar quarter
if there are no holidays during the period.
Change 7. Do not invest in Seasonality Switching if the Election Cycle Plan
has a sell signal in effect.
Copyright © 1998 - 2004 Keystone Financial Planning, Inc. All rights
reserved
p*e
8 楼
颜色不奇怪。。。你看的颜色是我那个坏掉的。。。
【在 s*****e 的大作中提到】
: 早就说了x100颜色怪异，质量不行，我一眼就看出来了
【在 s*****e 的大作中提到】
: 早就说了x100颜色怪异，质量不行，我一眼就看出来了
S*t
9 楼
will read it later.
Sounds good for lazy people. :-)
Sounds good for lazy people. :-)
s*e
10 楼
后来别人贴的，supposedly好的颜色也发紫
【在 p********e 的大作中提到】
: 颜色不奇怪。。。你看的颜色是我那个坏掉的。。。
【在 p********e 的大作中提到】
: 颜色不奇怪。。。你看的颜色是我那个坏掉的。。。
E*O
11 楼
没有反应？本版著名的周一、 周二等定律，别人几十年前就说过了。
E*O
12 楼
多谢卡神捧场。
【在 S******t 的大作中提到】
: will read it later.
: Sounds good for lazy people. :-)
【在 S******t 的大作中提到】
: will read it later.
: Sounds good for lazy people. :-)
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