新年快乐并致做空者

来源: tmp001 2017-01-28 09:15:27 [] [旧帖] [给我悄悄话] 本文已被阅读: 次 (36881 bytes)
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做空者最近倍受煎熬。统计了一个2005年以来SP的一组数据供大家参考,尤其是做空者。

以下是2005年以来 SP 500 以2%作为一个反转的统计数据并选出上升超过8%的一个周期及其跟随的一个周期。

数据表明,上升周期有时很长,比如2006-07-17 的一个周期持续了149日没有2%的调整。

看最后一行到昨日为止,这个周期上升了9.6,持续了56日. 什么时候开始调整?谁也说不准。

不过,从统计数据看,如果下跌超过2%则非常大的机会调整超过3%。想稳妥地做空,也是有机会的。

2005-10-13   1176 -   61  9.7                                                   
2006-01-11   1294 -   18 -3.1                                                   
2006-07-17   1234 -  149 17.0                                                   
2007-02-20   1459 -    9 -5.9                                                   
2007-03-13   1377 -   57 11.2                                                   
2007-06-04   1539 -    3 -3.2                                                   
2008-09-17   1156 -    2  8.4                                                   
2008-09-19   1255 -    3 -5.7                                                   
2008-10-10  899.0 -    1 11.6                                                   
2008-10-13   1003 -    2 -9.6                                                   
2008-10-15  907.0 -    3  8.5                                                   
2008-10-20  985.0 -    5-14.6                                                   
2008-10-27  848.0 -    6 17.7                                                   
2008-11-04   1005 -    2-10.3                                                   
2008-11-20  752.0 -    5 18.0                                                   
2008-11-28  896.0 -    1 -8.9                                                   
2009-01-20  805.0 -    6  8.4                                                   
2009-01-28  874.0 -    2 -5.7                                                   
2009-03-09  676.0 -    7 16.4                                                   
2009-03-18  794.0 -    2 -3.3                                                   
2009-03-20  768.0 -    4  8.3                                                   
2009-03-26  832.0 -    2 -5.5                                                   
2009-04-20  832.0 -   14 11.2                                                   
2009-05-08  929.0 -    5 -5.1                                                   
2009-07-08  879.0 -   26 14.3                                                   
2009-08-13   1012 -    2 -3.3                                                   
2009-10-30   1036 -   53 10.6                                                   
2010-01-19   1150 -    8 -6.9                                                   
2010-02-08   1056 -   52 14.3                                                   
2010-04-23   1217 -   10 -9.0                                                   
2010-08-26   1047 -   50 15.9                                                   
2010-11-05   1225 -    7 -3.9                                                   
2010-11-16   1178 -   65 13.3                                                   
2011-02-18   1343 -   17 -6.6                                                   
2011-08-19   1123 -    8  8.3                                                   
2011-08-31   1218 -    3 -4.4                                                   
2011-10-03   1099 -   19 15.9                                                   
2011-10-28   1285 -    2 -5.3                                                   
2011-11-25   1158 -    8  8.7                                                   
2011-12-07   1261 -    8 -4.5                                                   
2011-12-19   1205 -   49 13.3                                                   
2012-03-01   1374 -    3 -2.3                                                   
2012-07-25   1337 -   36  9.2                                                   
2012-09-14   1465 -   20 -2.5                                                   
2012-12-28   1402 -   34  8.8                                                   
2013-02-19   1530 -    4 -2.8                                                   
2013-04-18   1541 -   23  8.0                                                   
2013-05-21   1669 -   10 -3.7                                                   
2013-06-24   1573 -   28  8.3                                                   
2013-08-02   1709 -   17 -4.7                                                   
2013-10-08   1655 -   68 11.2                                                   
2014-01-15   1848 -   12 -5.9                                                   
2014-02-03   1741 -   41  8.3                                                   
2014-04-02   1890 -    7 -4.0                                                   
2014-04-11   1815 -   71  9.1                                                   
2014-07-24   1987 -   10 -4.0                                                   
2014-10-15   1862 -   36 10.9                                                   
2014-12-05   2075 -    7 -5.1                                                   
2015-09-28   1881 -   26 11.5                                                   
2015-11-03   2109 -    8 -4.1                                                   
2016-02-11   1829 -   47 14.1                                                   
2016-04-20   2102 -   21 -3.0                                                   
2016-06-27   2000 -   34  9.1                                                   
2016-08-15   2190 -   21 -3.0                                                   
2016-11-04   2085 -   56  9.6 

所有跟帖: 

哇,这已经不是“非常大的机会”的问题了,这是100%啊。 -考古学- 给 考古学 发送悄悄话 (29 bytes) () 01/28/2017 postreply 13:37:45

目前和2014年比较像么,vix长期下趴? -Tiger_Lei- 给 Tiger_Lei 发送悄悄话 (0 bytes) () 01/28/2017 postreply 14:03:19

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