目标，特性，和策略<zt># Stock
b*p
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Arthur Hill On Goals, Style and Strategy
http://stockcharts.com/school/doku.php?id=chart_school:trading_
Before investing or trading, it is important to develop a strategy or game
plan that is consistent with your goals and style. The ultimate goal is to
make money (win), but there are many different methods to go about it.
As with many aspects of trading, many sports offer a good analogy. A
football team with goals geared towards ball control and low-scoring games
might adapt a conservative style that focuses on the run. Teams that want to
score often and score quickly are more likely to pursue an aggressive style
geared towards passing. Teams are usually aware of their goal and style
before they develop a game plan. Investors and traders can also benefit by
keeping in mind their goals and style when developing a strategy.
Goals
First and foremost are goals. The first set of questions regarding goals
should center on risk and return. One cannot consider return without
weighing risk. It is akin to counting your chickens before they are hatched.
Risk and return are highly correlated. The higher the potential return, the
higher the potential risk. At one end of the spectrum are US Treasury bonds
, which offer the lowest risk (so-called risk free rate) and a guaranteed
return. For stocks, the highest potential returns (and risk) center around
growth industries with stock prices that exhibit high volatility and high
price multiples (PE, Price/Sales, Price/Hope). The lowest potential returns
(and risk) come from stocks in mature industries with stock prices that
exhibit relatively low volatility and low price multiples.
Style
After your goals have been established, it is time to develop or choose a
style that is consistent with achieving those goals. The expected return and
desired risk will affect your trading or investing style. If your goal is
income and safety, buying or selling at extreme levels (overbought/oversold)
is an unlikely style. If your goals center on quick profits, high returns
and high risk, then bottom picking strategies and gap trading may be your
style.
Styles range from aggressive day traders looking to scalp 1/4-1/2 point
gains to investors looking to capitalize on long-term macro economic trends.
In between, there are a whole host of possible combinations including swing
traders, position traders, aggressive growth investors, value investors and
contrarians. Swing traders might look for 1-5 day trades, position traders
for 1-8 week trades and value investors for 1-2 year trades.
Not only will your style depend on your goals, but also on your level of
commitment. Day traders are likely to pursue an aggressive style with high
activity levels. The goals would be focused on quick trades, small profits
and very tight stop-loss levels. Intraday charts would be used to provide
timely entry and exit points. A high level of commitment, focus and energy
would be required.
On the other hand, position traders are likely to use daily end-of-day
charts and pursue 1-8 week price movements. The goal would be focused on
short to intermediate price movements and the level of commitment, while
still substantial, would be less than a day trader. Make sure your level of
commitment jibes with your trading style. The more trading involved, the
higher the level of commitment.
Strategy
Once the goals have been set and preferred style adopted, it is time to
develop a strategy. This strategy would be based on your return/risk
preferences, trading/investing style and commitment level. Because there are
many potential trading and investing strategies, I am going to focus on one
hypothetical strategy as an example.
GOAL: First, the goal would be a 20-30% annual return. This is quite high
and would involve a correspondingly high level of risk. Because of the
associated risk, I would only allot a small percentage (5-10%) of my
portfolio to this strategy. The remaining portion would go towards a more
conservative approach.
STYLE: Although I like to follow the market throughout the day, I cannot
make the commitment to day trading and use of intraday charts. I would
pursue a position trading style and look for 1-8 week price movements based
on end-of-day charts. Indicators will be limited to three with price action
(candlesticks) and chart patterns will carry the most influence.
Part of this style would involve a strict money management scheme that would
limit losses by imposing a stop-loss immediately after a trade is initiated
. An exit strategy must be in place before the trade is initiated. Should
the trade become a winner, the exit strategy would be revised to lock in
gains. The maximum allowed per trade would be 5% of my total trading capital
. If my total portfolio were 300,000, then I might allocate 21,000 (7%) to
the trading portfolio. Of this 21,000, the maximum allowed per trade would
be 1050 (21,000 * 5%).
STRATEGY: The trading strategy is to go long stocks that are near support
levels and short stocks near resistance levels. To maintain prudence, I
would only seek long positions in stocks with weekly (long-term) bull trends
and short positions in stocks with weekly (long-term) bear trends. In
addition, I would look for stocks that are starting to show positive (or
negative) divergences in key momentum indicators as well as signs of
accumulation (or distribution). My indicator arsenal would consist of two
momentum indicators (PPO and Slow Stochastic Oscillator) and one volume
indicator (Accumulation/Distribution Line). Even though the PPO and the Slow
Stochastic Oscillator are momentum oscillators, one is geared towards the
direction of momentum (PPO) and the other towards identifying overbought and
oversold levels (Slow Stochastic Oscillator). As triggers, I would use key
candlestick patterns, price reversals and gaps to enter a trade.
This is just one hypothetical strategy that combines goals with style and
commitment. Some people have different portfolios that represent different
goals, styles and strategies. While this can become confusing and quite time
consuming, separate portfolios ensure that investment activities pursue a
different strategy than trading activities. For instance, you may pursue an
aggressive (high-risk) strategy for trading with a small portion of your
portfolio and a relatively conservative (capital preservation) strategy for
investing with the bulk of your portfolio. If a small percentage (~5-10%) is
earmarked for trading and the bulk (~90-95%) for investing, the equity
swings should be lower and the emotional strains less. However, if too much
of a portfolio (~50-60%) is at risk through aggressive trading, the equity
swings and the emotional strain could be large.
[补充 Evaluating Warren Buffett's Arbitrage Strategy]
Warren Buffett of Berkshire Hathaway (BRK.A)(BRK.B) sometimes uses a
particular strategy to invest. This strategy is called arbitrage, which is
considered an alternative to holding short-term cash equivalents. Although
Buffett is widely known as preferring long-term commitments, he sometimes
turns to this strategy, particularly when he has more cash than good ideas.
That is how he puts it.
He considers that arbitrage is sometimes more promising in terms of greater
returns than Treasury bills. In fact, during 1988 he made unusually large
profits from arbitrage.
Of course, the activity level requires some discussion about arbitrage.
At some point in time, arbitrage was applied only to simultaneous purchase
and sale of securities or foreign exchange in two different markets. The
goal at that moment was to exploit insignificant price differentials that
might exist, supposedly, in the trading of stock in guilders, pounds and
dollars.
There are those who call this operation scalping. However, practitioners
decided that the French term would fit better.
Since WWI, arbitrage, or also called “risk-arbitrage,” has expanded to
include the search of profits from a corporate event such as the sale of the
company, a merger, recapitalization, reorganization, liquidation, self-
tender, etc.
Mostly, the arbitrageur tries to obtain profit without considering the stock
market’s conduct. There is a major risk: the announced event will not take
place.
Most arbitrage-related operations involve friendly and unfriendly takeovers.
Arbitrageurs have profited substantially from out-of-control acquisition
fever, with nearly nonexistent anti-trust challenges and with bids moving
upwards.
In Wall Street they use an old proverb regarding arbitrage which has been
reworded:
“Give a man a fish and you feed him for a day. Teach him how to arbitrage
and you feed him forever.”
Arbitrage situations can be evaluated by answering four questions:
(1) How likely is it that the promised event will indeed occur?
(2) How long will your money be tied up?
(3) What chance is there that something still better will transpire — a
competing takeover bid, for example?
(4) What will happen if the event does not take place because of anti-trust
action, financing glitches, etc.?
Buffett has a particular arbitrage experience that is worth describing. More
than particular, erratic.
In 1981, Arcata’s BOD agreed to sell the company to Kohlberg Kravis Roberts
& Co. (KKR), a major leveraged-buyout firm.
Arcata's activities were mainly focused on the printing and forest products
businesses. They had one thing anyway. In 1978 the government of the United
States took title to almost 10,700 acres of Arcata timber to expand the
Redwood National Park.
In exchange for the acres, the U.S. government paid Arcata $97.9 million in
several installments. For Arcata this amount was inadequate. They not only
contested the amount but they also disputed the interest rate applicable to
the period between taking the property and the final payment.
Legislation at that time stipulated 6% of simple interest. Arcata’s
directors were extremely disappointed because they wanted a much higher and
compounded rate.
The purchase of a company having a large-sized and speculative claim in
litigation is somewhat difficult.
To solve this problem, KKR offered $37.00 per Arcata share plus two-thirds
of any additional amounts paid by the government for the lands.
Buffett needed to appraise the arbitrage opportunity and for such purpose,
he and his team asked themselves whether KKKR would complete the transaction
, as its offer was contingent upon obtaining “satisfactory financing.”
This type of clause is always a danger for the seller. However, Buffett was
not concerned about the situation because KKR records on closing were good.
There was something else that Buffett and his team had to analyze: What
would happen if the KKR deal failed? Arcata’s managers were determined to
find another interested party. Indeed, Arcata had been offered for some time
.
Finally, Buffett needed to know what the claim would be worth. The team
evaluated the claim.
Buffett started to buy Arcata stock. The purchase price was around $33.50.
In eight weeks, Buffett and his team had bought 400,000 shares, or 5% of the
company.
The initial announcement said that the $37.00 would be paid in January 1982.
If everything had gone perfectly, Buffett would have achieved an annual
rate of return of about 40% — not counting the redwood claim.
Unfortunately not everything went as expected. In December, Arcata announced
that the closing would be delayed. But, a definite agreement was entered
into in January.
With this piece of news, Buffett decided to buy more shares, thus totaling
655,000 or 7% of the company.
Buffett’s intention to pay although the closing had been postponed was
risky.
In February the lenders decided to give a second look to financing terms
upon a severe depression in the housing industry and its impact on Arcata's
outlook. The stockholders' meeting was postponed again, to April.
Arcata’s spokesman announced that the fate of the acquisition was in danger.
When arbitrageurs hear such reassurances, their minds flash to the old
saying: "He lied like a finance minister on the eve of devaluation."
The final message of this story is that merger arbitrage is risky. Even
Warren Buffett lost money on it and one should exersize lots of caution in
analyzing potential merger closings.
还有
http://www.investopedia.com/articles/trading/04/111004.asp
http://stockcharts.com/school/doku.php?id=chart_school:trading_
Before investing or trading, it is important to develop a strategy or game
plan that is consistent with your goals and style. The ultimate goal is to
make money (win), but there are many different methods to go about it.
As with many aspects of trading, many sports offer a good analogy. A
football team with goals geared towards ball control and low-scoring games
might adapt a conservative style that focuses on the run. Teams that want to
score often and score quickly are more likely to pursue an aggressive style
geared towards passing. Teams are usually aware of their goal and style
before they develop a game plan. Investors and traders can also benefit by
keeping in mind their goals and style when developing a strategy.
Goals
First and foremost are goals. The first set of questions regarding goals
should center on risk and return. One cannot consider return without
weighing risk. It is akin to counting your chickens before they are hatched.
Risk and return are highly correlated. The higher the potential return, the
higher the potential risk. At one end of the spectrum are US Treasury bonds
, which offer the lowest risk (so-called risk free rate) and a guaranteed
return. For stocks, the highest potential returns (and risk) center around
growth industries with stock prices that exhibit high volatility and high
price multiples (PE, Price/Sales, Price/Hope). The lowest potential returns
(and risk) come from stocks in mature industries with stock prices that
exhibit relatively low volatility and low price multiples.
Style
After your goals have been established, it is time to develop or choose a
style that is consistent with achieving those goals. The expected return and
desired risk will affect your trading or investing style. If your goal is
income and safety, buying or selling at extreme levels (overbought/oversold)
is an unlikely style. If your goals center on quick profits, high returns
and high risk, then bottom picking strategies and gap trading may be your
style.
Styles range from aggressive day traders looking to scalp 1/4-1/2 point
gains to investors looking to capitalize on long-term macro economic trends.
In between, there are a whole host of possible combinations including swing
traders, position traders, aggressive growth investors, value investors and
contrarians. Swing traders might look for 1-5 day trades, position traders
for 1-8 week trades and value investors for 1-2 year trades.
Not only will your style depend on your goals, but also on your level of
commitment. Day traders are likely to pursue an aggressive style with high
activity levels. The goals would be focused on quick trades, small profits
and very tight stop-loss levels. Intraday charts would be used to provide
timely entry and exit points. A high level of commitment, focus and energy
would be required.
On the other hand, position traders are likely to use daily end-of-day
charts and pursue 1-8 week price movements. The goal would be focused on
short to intermediate price movements and the level of commitment, while
still substantial, would be less than a day trader. Make sure your level of
commitment jibes with your trading style. The more trading involved, the
higher the level of commitment.
Strategy
Once the goals have been set and preferred style adopted, it is time to
develop a strategy. This strategy would be based on your return/risk
preferences, trading/investing style and commitment level. Because there are
many potential trading and investing strategies, I am going to focus on one
hypothetical strategy as an example.
GOAL: First, the goal would be a 20-30% annual return. This is quite high
and would involve a correspondingly high level of risk. Because of the
associated risk, I would only allot a small percentage (5-10%) of my
portfolio to this strategy. The remaining portion would go towards a more
conservative approach.
STYLE: Although I like to follow the market throughout the day, I cannot
make the commitment to day trading and use of intraday charts. I would
pursue a position trading style and look for 1-8 week price movements based
on end-of-day charts. Indicators will be limited to three with price action
(candlesticks) and chart patterns will carry the most influence.
Part of this style would involve a strict money management scheme that would
limit losses by imposing a stop-loss immediately after a trade is initiated
. An exit strategy must be in place before the trade is initiated. Should
the trade become a winner, the exit strategy would be revised to lock in
gains. The maximum allowed per trade would be 5% of my total trading capital
. If my total portfolio were 300,000, then I might allocate 21,000 (7%) to
the trading portfolio. Of this 21,000, the maximum allowed per trade would
be 1050 (21,000 * 5%).
STRATEGY: The trading strategy is to go long stocks that are near support
levels and short stocks near resistance levels. To maintain prudence, I
would only seek long positions in stocks with weekly (long-term) bull trends
and short positions in stocks with weekly (long-term) bear trends. In
addition, I would look for stocks that are starting to show positive (or
negative) divergences in key momentum indicators as well as signs of
accumulation (or distribution). My indicator arsenal would consist of two
momentum indicators (PPO and Slow Stochastic Oscillator) and one volume
indicator (Accumulation/Distribution Line). Even though the PPO and the Slow
Stochastic Oscillator are momentum oscillators, one is geared towards the
direction of momentum (PPO) and the other towards identifying overbought and
oversold levels (Slow Stochastic Oscillator). As triggers, I would use key
candlestick patterns, price reversals and gaps to enter a trade.
This is just one hypothetical strategy that combines goals with style and
commitment. Some people have different portfolios that represent different
goals, styles and strategies. While this can become confusing and quite time
consuming, separate portfolios ensure that investment activities pursue a
different strategy than trading activities. For instance, you may pursue an
aggressive (high-risk) strategy for trading with a small portion of your
portfolio and a relatively conservative (capital preservation) strategy for
investing with the bulk of your portfolio. If a small percentage (~5-10%) is
earmarked for trading and the bulk (~90-95%) for investing, the equity
swings should be lower and the emotional strains less. However, if too much
of a portfolio (~50-60%) is at risk through aggressive trading, the equity
swings and the emotional strain could be large.
[补充 Evaluating Warren Buffett's Arbitrage Strategy]
Warren Buffett of Berkshire Hathaway (BRK.A)(BRK.B) sometimes uses a
particular strategy to invest. This strategy is called arbitrage, which is
considered an alternative to holding short-term cash equivalents. Although
Buffett is widely known as preferring long-term commitments, he sometimes
turns to this strategy, particularly when he has more cash than good ideas.
That is how he puts it.
He considers that arbitrage is sometimes more promising in terms of greater
returns than Treasury bills. In fact, during 1988 he made unusually large
profits from arbitrage.
Of course, the activity level requires some discussion about arbitrage.
At some point in time, arbitrage was applied only to simultaneous purchase
and sale of securities or foreign exchange in two different markets. The
goal at that moment was to exploit insignificant price differentials that
might exist, supposedly, in the trading of stock in guilders, pounds and
dollars.
There are those who call this operation scalping. However, practitioners
decided that the French term would fit better.
Since WWI, arbitrage, or also called “risk-arbitrage,” has expanded to
include the search of profits from a corporate event such as the sale of the
company, a merger, recapitalization, reorganization, liquidation, self-
tender, etc.
Mostly, the arbitrageur tries to obtain profit without considering the stock
market’s conduct. There is a major risk: the announced event will not take
place.
Most arbitrage-related operations involve friendly and unfriendly takeovers.
Arbitrageurs have profited substantially from out-of-control acquisition
fever, with nearly nonexistent anti-trust challenges and with bids moving
upwards.
In Wall Street they use an old proverb regarding arbitrage which has been
reworded:
“Give a man a fish and you feed him for a day. Teach him how to arbitrage
and you feed him forever.”
Arbitrage situations can be evaluated by answering four questions:
(1) How likely is it that the promised event will indeed occur?
(2) How long will your money be tied up?
(3) What chance is there that something still better will transpire — a
competing takeover bid, for example?
(4) What will happen if the event does not take place because of anti-trust
action, financing glitches, etc.?
Buffett has a particular arbitrage experience that is worth describing. More
than particular, erratic.
In 1981, Arcata’s BOD agreed to sell the company to Kohlberg Kravis Roberts
& Co. (KKR), a major leveraged-buyout firm.
Arcata's activities were mainly focused on the printing and forest products
businesses. They had one thing anyway. In 1978 the government of the United
States took title to almost 10,700 acres of Arcata timber to expand the
Redwood National Park.
In exchange for the acres, the U.S. government paid Arcata $97.9 million in
several installments. For Arcata this amount was inadequate. They not only
contested the amount but they also disputed the interest rate applicable to
the period between taking the property and the final payment.
Legislation at that time stipulated 6% of simple interest. Arcata’s
directors were extremely disappointed because they wanted a much higher and
compounded rate.
The purchase of a company having a large-sized and speculative claim in
litigation is somewhat difficult.
To solve this problem, KKR offered $37.00 per Arcata share plus two-thirds
of any additional amounts paid by the government for the lands.
Buffett needed to appraise the arbitrage opportunity and for such purpose,
he and his team asked themselves whether KKKR would complete the transaction
, as its offer was contingent upon obtaining “satisfactory financing.”
This type of clause is always a danger for the seller. However, Buffett was
not concerned about the situation because KKR records on closing were good.
There was something else that Buffett and his team had to analyze: What
would happen if the KKR deal failed? Arcata’s managers were determined to
find another interested party. Indeed, Arcata had been offered for some time
.
Finally, Buffett needed to know what the claim would be worth. The team
evaluated the claim.
Buffett started to buy Arcata stock. The purchase price was around $33.50.
In eight weeks, Buffett and his team had bought 400,000 shares, or 5% of the
company.
The initial announcement said that the $37.00 would be paid in January 1982.
If everything had gone perfectly, Buffett would have achieved an annual
rate of return of about 40% — not counting the redwood claim.
Unfortunately not everything went as expected. In December, Arcata announced
that the closing would be delayed. But, a definite agreement was entered
into in January.
With this piece of news, Buffett decided to buy more shares, thus totaling
655,000 or 7% of the company.
Buffett’s intention to pay although the closing had been postponed was
risky.
In February the lenders decided to give a second look to financing terms
upon a severe depression in the housing industry and its impact on Arcata's
outlook. The stockholders' meeting was postponed again, to April.
Arcata’s spokesman announced that the fate of the acquisition was in danger.
When arbitrageurs hear such reassurances, their minds flash to the old
saying: "He lied like a finance minister on the eve of devaluation."
The final message of this story is that merger arbitrage is risky. Even
Warren Buffett lost money on it and one should exersize lots of caution in
analyzing potential merger closings.
还有
http://www.investopedia.com/articles/trading/04/111004.asp