量化交易基準(zhǔn)點(diǎn)分析(PivotPointAnalysis)

1、量化交易-基準(zhǔn)點(diǎn)分析(PivotPointAnalysis)基準(zhǔn)點(diǎn)分析(PivotPointAnalysis)什么是基準(zhǔn)點(diǎn)分析基準(zhǔn)點(diǎn)分析也叫樞軸點(diǎn)分析，是配合點(diǎn)數(shù)圖進(jìn)行市場(chǎng)行情分析的一種重要方法?；鶞?zhǔn)點(diǎn)分析有助于幫助市場(chǎng)交易人士正確判斷潛在支撐和阻力水準(zhǔn)，以正確確定入市策略?；鶞?zhǔn)點(diǎn)分析的應(yīng)用正確運(yùn)用這種方法的關(guān)鍵，是正確確定基準(zhǔn)點(diǎn)。決定基準(zhǔn)點(diǎn)的因素主要有三：前一天最高價(jià)(H)、最低價(jià)(L)、收盤(pán)價(jià)(C)?；鶞?zhǔn)點(diǎn)(PPA)則是這三種價(jià)格的均值。用公式表示就是:PPA=(H+L+C)/3X岳SnaWnsrsthVmVsrm+S%*VVVVjt+SWsW:中*-*9備*d%shbgs中：1岳號(hào)5|W

2、管i:+W-S+1-慘魏魏率蘇姿姿零範(fàn)瞬翻效扣冬麋醐牌髓牌鬆露醫(yī)魏邀魏謎湧遨魏霸蜜蹈磁觀滾勰遴遨遨蟄J,甘曙匕K-Vas召甘旳-%n1Jd*4.a-s-旨%,SIn,ssanssVaVbWf-a%sSh,+lasSsVh-+S,-,95,!ia,Efa,H4-SW在確定了基準(zhǔn)點(diǎn)值以后，即可根據(jù)市場(chǎng)價(jià)格高于或低于此基準(zhǔn)，求出其支撐或阻力水準(zhǔn)。一般來(lái)說(shuō)，至少存在兩種支撐水準(zhǔn)和兩種阻力水準(zhǔn)，分另被稱(chēng)為第一、二支撐和第一、二阻力水準(zhǔn)。其中第一支撐水準(zhǔn)=(2x基準(zhǔn)點(diǎn)值)-H第二支撐水準(zhǔn)=基準(zhǔn)點(diǎn)值-(H-L)第一阻力水準(zhǔn)=(4x基準(zhǔn)點(diǎn)值)-L第二阻力水準(zhǔn)=基準(zhǔn)點(diǎn)值+(H-L)基準(zhǔn)點(diǎn)分析的實(shí)例分析例如，假定

3、1995年8月18日1993年3年其國(guó)庫(kù)券的市場(chǎng)最高價(jià)為137.8元，最低價(jià)為136.元，收盤(pán)價(jià)為137.2：上述各個(gè)水準(zhǔn)的計(jì)算結(jié)果為如下所示：基準(zhǔn)點(diǎn)值=137.2元第一支撐=136.6元第一阻力=137.8元第二支撐=136.0元第二阻力=138.4元這就是說(shuō)，市場(chǎng)行情將圍繞基準(zhǔn)點(diǎn)，在第一、二支撐和阻力區(qū)間內(nèi)波動(dòng)，基準(zhǔn)點(diǎn)是市場(chǎng)行情波動(dòng)的一個(gè)軸心。各類(lèi)樞軸點(diǎn)樞軸點(diǎn)(繪圖代號(hào)：Pivot)是許多交易策略的重要組成部分，它可以幫助你在面對(duì)價(jià)格大幅波動(dòng)時(shí)尋找趨勢(shì)交易的良好入場(chǎng)點(diǎn)。它可以根據(jù)近期價(jià)格運(yùn)動(dòng)的高低點(diǎn)指示潛在的支持/主力位，日內(nèi)交易方向，有助于你設(shè)定交易計(jì)劃。典型樞軸點(diǎn)樞軸點(diǎn)的計(jì)算有多種形式

4、最常用的一種形式使用5個(gè)關(guān)鍵點(diǎn)包括PivotPoint、Support1伎持點(diǎn)1)、Resistance1(阻力點(diǎn)1)、Support2(支持點(diǎn)2)Resistance2(阻力點(diǎn)2)。計(jì)算公式如下：關(guān)鍵點(diǎn)計(jì)算公式阻力位2(R2)=P+(H-L)=P+(R1-S1)阻力位1(P1)=(Px2)-L樞軸點(diǎn)(P)=(H+L+C)/3支持位1(S1)=(Px2)-H支持位2(S2)=P-(H-L)=P-(R1-S1)S代表支持點(diǎn)、R代表阻力點(diǎn)、P代表pivotpoint、H代表高價(jià)位、L代表低價(jià)位、C代表收市價(jià)。然而，還有其他不同形式的樞軸點(diǎn)，為不少市場(chǎng)人士采用。Go語(yǔ)言實(shí)現(xiàn)funcppaBasic(

5、High,Low,Closefloat64)(Support2,SupportsPivotPoint,ResistanceResistance2float64)/樞軸點(diǎn)PivotPoint=(High+Low+Close)/3/阻力位1Resistance1=PivotPoint*2-Low/支持位1Support1=PivotPoint*2-High/阻力位2Resistance2=PivotPoint+(High-Low)Resistance2:=PivotPoint+(Resistance1-Support1)/支持位2Support2=PivotPoint-(High-Low)Supp

6、ort2=PivotPoint-(Resistancel-Supportl)returnPython實(shí)現(xiàn)defppaWoodie(High,Low,Close):defppaWoodie(High,Low,Close):Python實(shí)現(xiàn)Python實(shí)現(xiàn)defppaBasic(High,Low,Close):#樞軸點(diǎn)PivotPoint=(High+Low+Close)/3#阻力位1Resistance1=PivotPoint*2-Low#支持位1Support1=PivotPoint*2-High#阻力位2Resistance2=PivotPoint+(High-Low)#Resistance

7、2:=PivotPoint+(Resistance1-Support1)#支持位2Support2=PivotPoint-(High-Low)#Support2=PivotPoint-(Resistance1-Support1)returnSupport2,SupportsPivotPoint,ResistanceResistance2伍迪(Woodie)樞軸點(diǎn)伍迪樞軸點(diǎn)與經(jīng)典樞軸點(diǎn)類(lèi)似，但給予收盤(pán)價(jià)更大的權(quán)重。伍迪樞軸點(diǎn)也是由前一時(shí)期的最高價(jià)(H)、最低價(jià)(L)和收盤(pán)價(jià)(C)推算出當(dāng)期的樞軸點(diǎn)。計(jì)算伍迪樞軸點(diǎn)公式如下：關(guān)鍵點(diǎn)計(jì)算公式阻力位2(R2)=P+H-L阻力位1(R1)=(2*P)-L

8、樞軸點(diǎn)(P)=(H+L+2*C)/4支持位1(S1)=(2*P)-H支持位2(S2)=P-H+LGo語(yǔ)言實(shí)現(xiàn)funcppaWoodie(High,Low,Closefloat64)(Support2,SupportsPivotPoint,ResistanceResistance2float64)/樞軸點(diǎn)PivotPoint=(High+Low+2*Close)/4/阻力位1Resistance1=PivotPoint*2-Low/阻力位2Resistance2=PivotPoint+(High-Low)resistance2:=pivotPoint+(resistance1-support1)

9、/支持位1Support1=PivotPoint*2-High/支持位2Support2=PivotPoint-(High-Low)/support2=pivotPoint-(resistance1-support1)returnPython實(shí)現(xiàn)#樞軸點(diǎn)PivotPoint=(High+Low+2*Close)/4#阻力位1Resistance1=PivotPoint*2-Low#阻力位2Resistance2=PivotPoint+(High-Low)#resistance2:=pivotPoint+(resistance1-support1)#支持位1Support1=PivotPoint

10、*2-High#支持位2Support2=PivotPoint-(High-Low)#support2=pivotPoint-(resistance1-support1)returnSupport2,SupportsPivotPoint,ResistanceResistance2卡瑪利拉(Camarilla)樞軸點(diǎn)卡瑪利拉樞軸點(diǎn)，是由前一時(shí)期的最高價(jià)(H)、最低價(jià)(L)和收盤(pán)價(jià)(C)推算出來(lái)。以下是計(jì)算卡瑪利拉樞軸點(diǎn)的方法：關(guān)鍵點(diǎn)計(jì)算公式阻力位1(P1)=(H-L)*1.1/12+C阻力位2(R2)=(H-L)*1.1/6+C阻力位3(R3)=(H-L)*1.1/4+C阻力位(R4)=(H-L

11、)*1.1/2+C樞軸點(diǎn)(P)=(H+L+C)/3支持位1(S1)=C-(H-L)*1.1/12支持位2(S2)=C-(H-L)*1.1/6支持位3(S3)=C-(H-L)*1.1/4支持位4(S4)=C-(H-L)*1.1/2Go語(yǔ)言實(shí)現(xiàn)funcppaCamarilla(High,Low,Closefloat64)(Support4,Support3,Support2,SupportsPivotPoint,ResistanceResistance2,Resistance3,Resistance4float64)/樞軸點(diǎn)PivotPoint=(High+Low+Close)/3.0/支持位Su

12、pportl=Close-(High-Low)*1.1/12Support2=Close-(High-Low)*1.1/6Support3=Close-(High-Low)*1.1/4Support4=Close-(High-Low)*1.1/2/阻力位Resistancel=Close+(High-Low)*1.1/12Resistance2=Close+(High-Low)*1.1/6Resistance3=Close+(High-Low)*1.1/4Resistance4=Close+(High-Low)*1.1/2returnPython實(shí)現(xiàn)defppaBasic(High,Low,C

13、lose):defppaCamarilla(High,Low,Close):#樞軸點(diǎn)PivotPoint=(High+Low+Close)/3.0#支持位Support1=Close-(High-Low)*1.1/12Support2=Close-(High-Low)*1.1/6Support3=Close-(High-Low)*1.1/4Support4=Close-(High-Low)*1.1/2#阻力位Resistance1=Close+(High-Low)*1.1/12Resistance2=Close+(High-Low)*1.1/6Resistance3=Close+(High-L

14、ow)*1.1/4Resistance4=Close+(High-Low)*1.1/2returnSupport4,Support3,Support2,SupportsPivotPoint,ResistanceResistance2,Resistance3,Resistance4斐波納契樞(Fibonacci)軸點(diǎn)(圖四):斐波納契樞軸點(diǎn)是經(jīng)典樞軸點(diǎn)與斐波納契比率的結(jié)合。首先，由前一時(shí)期的最高價(jià)(H)、最低價(jià)(L)和收盤(pán)價(jià)(C)之和除以3,算出后一時(shí)期的樞軸點(diǎn)。然后將斐波納契比率分別加上樞軸點(diǎn)，推算出后一時(shí)期的支持位和阻力位：關(guān)鍵點(diǎn)計(jì)算公式阻力位1(P1)=P+(H+L)*0.382阻力位2(

15、R2)=P+(H+L)*0.618阻力位3(R3)=P+(H+L)*1.0樞軸點(diǎn)(P)=(H+L+C)/3支持位1(S1)=P+(H-L)*0.382支持位2(S2)=P+(H-L)*0.618支持位3(S3)=P+(H-L)*1.0Go語(yǔ)言實(shí)現(xiàn)funcppaFibonacci(High,Low,Closefloat64)(Support3,Support2,SupportsPivotPoint,ResistanceResistance2,Resistance3float64)由低到高排序/樞軸點(diǎn)PivotPoint=(High+Low+Close)/3/支持位Support3=PivotPo

16、int+(High+Low)*1.0Support2=PivotPoint+(High+Low)*0.618Supportl=PivotPoint+(High+Low)*0.382/PivotPoint=(High+Low+Close)/3/阻力位Resistancel=PivotPoint+(High+Low)*0.382Resistance2=PivotPoint+(High+Low)*0.618Resistance3=PivotPoint+(High+Low)*1.0returnPython實(shí)現(xiàn)defppaFibonacci(High,Low,Close):#由低到高排序#樞軸點(diǎn)Pivo

17、tPoint=(High+Low+Close)/3#支持位Support3=PivotPoint+(High+Low)*1.0Support2=PivotPoint+(High+Low)*0.618Support1=PivotPoint+(High+Low)*0.382#PivotPoint=(High+Low+Close)/3湯姆丹麥（TomDeMark）樞軸點(diǎn)（圖五）湯姆丹麥樞軸點(diǎn)是對(duì)當(dāng)期的新最高價(jià)和新最低價(jià)的預(yù)測(cè)。根據(jù)湯姆丹麥的方法，當(dāng)期的價(jià)格波動(dòng)幅度可由前一時(shí)期的最高價(jià)（H）、最低價(jià)（L）和收盤(pán)價(jià)（C）以及當(dāng)期的開(kāi)盤(pán)價(jià)推算出來(lái)。以下是計(jì)算湯姆丹麥樞軸點(diǎn)的規(guī)則：關(guān)鍵點(diǎn)計(jì)算公式如果前一時(shí)期

18、的收盤(pán)價(jià)小于當(dāng)期的開(kāi)盤(pán)價(jià)X=H+2*L+C如果前一時(shí)期的收盤(pán)價(jià)大于當(dāng)期的開(kāi)盤(pán)價(jià)X=2*H+L+C如果前一時(shí)期的收盤(pán)價(jià)等于當(dāng)期的開(kāi)盤(pán)價(jià)X=H+L+2*C當(dāng)期的新最高價(jià)=X/2-L當(dāng)期的新最低價(jià)=X/2-HGo語(yǔ)言實(shí)現(xiàn)funcppaDeMark(High,Low,Close,OpenThisfloat64)(HighThis,LowThisfloat64)varxfloat64ifCloseOpenThisx=2*High+Low+CloseelseifClose=OpenThisx=High+Low+2*CloseHighThis=x/2-LowLowThis=x/2-HighreturnKXJOWWW;Python實(shí)現(xiàn)defppaBasic(High,Low,Close):defppaDeMark(High,Low,Clo