再给做空者的参考(仅供参考,风险自担)

来源: tmp001 2017-02-06 19:06:40 [] [旧帖] [给我悄悄话] 本文已被阅读: 次 (23449 bytes)
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感觉大市要调整了,但统计数据却显示做空的机会不是太好。

下面的统计数据是sp500指数以1%为反转信号记录了上升幅度及时间。现摘取了自2005年以来超过20日上升天数并随后的下跌超过1%的调整的数据。最近24日上升2.4%。可以看出,即使调整,幅度大都小于2%,可是对短线做空者来说,时间难以把握。

所以单独做空从概率上讲不合算。如果你有经验,逢低吸纳,以少量资金买put期权预防突发事件也是一种策略。

2005-05-13   1154 -   25  5.3                                                   
2005-06-20   1216 -    5 -2.2                                                   
2005-06-27   1190 -   26  4.6                                                   
2005-08-03   1245 -    3 -1.8                                                   
2005-10-27   1178 -   20  7.4                                                   
2005-11-25   1268 -    3 -1.5                                                   
2006-09-07   1294 -   35  7.1                                                   
2006-10-26   1389 -    6 -1.8                                                   
2007-03-28   1417 -   29  6.5                                                   
2007-05-09   1512 -    1 -1.4                                                   
2007-09-10   1451 -   21  7.6                                                   
2007-10-09   1565 -    8 -4.2                                                   
2009-07-08  879.0 -   22 14.0                                                   
2009-08-07   1010 -    2 -1.6                                                   
2010-02-23   1094 -   36 10.2                                                   
2010-04-15   1211 -    1 -1.6                                                   
2010-11-30   1180 -   33  9.4                                                   
2011-01-18   1295 -    2 -1.2                                                   
2012-01-31   1312 -   21  4.7                                                   
2012-03-01   1374 -    3 -2.3                                                   
2012-12-28   1402 -   23  7.7                                                   
2013-02-01   1513 -    1 -1.2                                                   
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 -   13 -4.0                                                   
2014-02-03   1741 -   23  7.6                                                   
2014-03-07   1878 -    5 -2.0                                                   
2014-04-11   1815 -   21  4.4                                                   
2014-05-13   1897 -    2 -1.4                                                   
2014-08-07   1909 -   20  5.0                                                   
2014-09-05   2007 -    6 -1.1                                                   
2014-10-15   1862 -   36 10.9                                                   
2014-12-05   2075 -    7 -5.1                                                   
2015-01-30   1994 -   20  6.0                                                   
2015-03-02   2117 -    7 -3.7                                                   
2016-06-27   2000 -   34  9.1                                                   
2016-08-15   2190 -   18 -2.9                                                   
2016-11-04   2085 -   26  8.6                                                   
2016-12-13   2271 -   12 -1.5                                                   
2016-12-30   2238 -   24  2.4   

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非常好的分析。多谢。+1 -wreckbeach- 给 wreckbeach 发送悄悄话 wreckbeach 的博客首页 (169 bytes) () 02/06/2017 postreply 19:25:09

DDD -undecided03- 给 undecided03 发送悄悄话 (0 bytes) () 02/06/2017 postreply 19:42:43

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