资金管理与策略测试.pptxVIP

第1页/共38页资金管理与策略测试第2页/共38页古代世界地图Source: - -第3页/共38页当代世界地图Source: - -第4页/共38页未来世界地图Source: - -第5页/共38页约瑟夫 ? 熊彼特的三周期嵌套模式- -第6页/共38页长期有多长？- -第7页/共38页10US REAL GDP (%YOY) NADJTen year cycle lows86420-2-41960196519701975198019851990199520002005十年经济周期 (朱格拉周期)Source: Thomson Datastream- -第8页/共38页2101901701501301109070012345678910Year道琼斯工业指数: 十年周期模式1900 - 1999- -第9页/共38页四年市场周期正好与美国大选周期重叠Source: Thomson Datastream- -第10页/共38页 100000Third YearElection YearHoneymoon PeriodReality Attack10000Honeymoon PeriodReality Attack1000Run up to next election 100Trend is more important than levelData based on dow industrials(Monthly data 1900-2006)10Third YearElection YearHoneymoon PeriodReality Attack大选周期：每年的经济表现- -第11页/共38页SP 500 Average % gain by month (1964-2005)FTSE All Share Average % gains by month(1962-2005)3.503.092.003.002.591.662.501.381.501.222.001.640.910.811.00Percentage Gain1.500.60Percentage Gain0.900.791.000.730.500.120.600.12-0.690.500.10-0.370.16-0.250.020.000.00MayJulyAprilJuneMayJulyMarchAprilJuneAugustJanuaryMarchOctober FebruaryAugust-0.50JanuaryDecemberOctober FebruarySeptemberNovember December-0.50SeptemberNovember -0.07-0.69-1.00-0.75-1.00Nikkei 225 Average % gain by month (1960-2005) 3.503.033.003.002.502.322.501.692.001.712.001.191.501.241.031.50Percentage Gain0.500.690.840.770.820.700.731.001.000.33Percentage Gain0.240.500.500.000.00MayJulyMayJulyAprilJuneAprilJune-0.50-0.50MarchMarchAugustAugustJanuaryJanuaryOctober October FebruaryFebruaryDecemberDecemberNovember SeptemberNovember September-0.33-0.04-1.00-1.00-0.04-0.87-0.46-0.40-1.50-1.16-1.50-1.53-2.00历史上月平均股市回报SP/TSX Composite Average % gain by month (1969-2005) - -第12页/共38页著名的钟形曲线，与另外两种不同的特性相结合- -第13页/共38页选出真实的市场Source: The misbehaviour of markets, Bernoit Mandelbrot- -第14页/共38页1100100090080070060050040019601962196419661968197019721974197619781980Dow Jones Industrial 1960-1980200D Moving Average道琼斯工业指数：1960 - 1980- -第15页/共38页道琼斯工业指数 1966-1982: 90天美国商业票据200天移动平均值- -第16页/共38页 Slow Growth-6-4-