{"id":6132,"date":"2021-08-15T23:24:30","date_gmt":"2021-08-15T15:24:30","guid":{"rendered":"https:\/\/www.mpfdiy.com\/?p=6132"},"modified":"2021-08-15T23:24:30","modified_gmt":"2021-08-15T15:24:30","slug":"%e6%8a%95%e8%b3%87%e6%8a%80%e5%b7%a7%e5%8c%af%e7%b8%bd3-trend-following","status":"publish","type":"post","link":"https:\/\/www.mpfdiy.com\/2021\/08\/%e6%8a%95%e8%b3%87%e6%8a%80%e5%b7%a7%e5%8c%af%e7%b8%bd3-trend-following\/","title":{"rendered":"\u6295\u8cc7\u6280\u5de7\u532f\u7e3d#3 – trend following"},"content":{"rendered":"

\u6295\u8cc7\u6280\u5de7\u532f\u7e3d#3 – trend following<\/span><\/strong><\/span><\/h2>\n

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Trend following \u8da8\u52e2\u6295\u8cc7<\/span>\u8207momentum investing \u52d5\u529b\u6295\u8cc7\u6709\u76f8\u4f3c\uff0c\u8981\u660e\u78ba\u5340\u5206\u7684\u8a71\uff0ctrend following \u7528\u6280\u8853\u5206\u6790\u53bb\u5224\u65b7risk on \/ risk off (\u898b\u524d\u6587<\/a>)\uff0c\u800cmomentum investing \u901a\u5e38\u8003\u616e\u6295\u8cc7\u7269\u7684\u50f9\u683c\u8d70\u52e2\u3002<\/span><\/p>\n

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\u7b46\u8005\u4e00\u5411\u90fd\u4e0d\u76f8\u4fe1technical analysis \u6280\u8853\u5206\u6790\uff0c\u4ec0\u9ebc\u5716\u8868\u5f62\u614b\u3001\u982d\u9802\u80a9\u3001\u5c04\u64ca\u4e4b\u661f\u3001\u9ec3\u660f\u4e4b\u661f\u3001\u6ce2\u6d6a\u5468\u671f\uff0c\u751a\u81f3\u725b\u718a\u4e00\u4e8c\u4e09\u671f<\/a>\u7b49\u7b49\uff0c\u901a\u901a\u50cf\u98a8\u6c34\u5854\u7f85\u4e00\u6a23\uff0c\u81ea\u6b3a\u6b3a\u4eba\u8207\u53ca\u99ac\u5f8c\u70ae\uff0c\u653e\u5165\u56de\u5831\u53ca\u6ce2\u5e45<\/a>\u4e00\u770b\uff0c\u5f80\u5f80\u9023\u6307\u6578ETF \u90fd\u4e0d\u5982\uff0c\u8cbb\u795e\u5931\u4e8b\u3002<\/span><\/p>\n

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Trend following \u80fd\u5920\u9032\u5165\u7b46\u8005\u773c\u4e2d\uff0c\u4e3b\u8981\u662f\u7531\u591a\u5e74\u524dMeb Faber \u7684\u6587\u7ae0<\/a>\u800c\u8d77\uff0c\u6587\u7ae0\u5167\u4ed6\u4f7f\u7528\u4e86200\u5929moving avergae \uff0c\u7528\u7c21\u55ae\u7684\u505a\u6cd5\u6253\u6557\u6307\u6578\uff0cMeb Faber \u6b64\u6587\u7ae0\u65bcSSRN \u4e0b\u8f09\u7387\u9577\u5e74\u6392\u540d\u7b2c\u4e00\uff0c\u6b64\u6587\u7ae0\u4ea6\u4ee4\u6295\u8cc7\u754c\u5c0dmoving average \u7684\u7528\u6cd5\u53e6\u773c\u76f8\u770b<\/span>\uff0c\u7e7c\u800c\u6709\u4e00\u5927\u5806TAA \u7b56\u7565\u3001TAA \u6307\u6578\u3001TAA ETF \u90fd\u6a21\u4eff\u4f7f\u7528moving average \u505arisk on \/ ris off \u5224\u65b7(\u898b\u524d\u6587<\/a>)\u3002risk on \u6642\u6301\u6709\u80a1\u7968\uff0crisk off \u6642\u8f49\u53bb\u6301\u6709\u50b5\u5238\u73fe\u91d1\u3002<\/span><\/p>\n

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\u8209\u500b\u4f8b\u5b50\uff0c\u6b63\u5e38buy and hold S&P500 \u6307\u6578\u7684\u7d50\u679c\u5982\u4e0b\uff0c\u75311976\u5e749\u6708\u81f32021\u5e747\u6708\u7684\u5e74\u5747\u56de\u5831\u670911.8%\uff0c\u6309\u6708\u6ce2\u5e45\u6709 (14.96%\/12^0.5 =) 4.3% \uff0cMDD \u662f-50.97%\u3002<\/span><\/p>\n

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\u7576\u904b\u752810\u500b\u6708 (\u7d04200\u5929) moving average\uff0c\u6307\u6578\u65bc10\u500b\u6708moving average \u4fbf\u6301\u6709\u6307\u6578\uff0c\u5426\u5247\u4fbf\u6301\u6709\u73fe\u91d1\uff0c\u9019\u7b56\u7565\u7684\u7d50\u679c\u5982\u4e0b\uff0c\u75311976\u5e749\u6708\u81f32021\u5e747\u6708\u7684\u5e74\u5747\u56de\u5831\u670911.25%\uff0c\u6309\u6708\u6ce2\u5e45\u6709 (11.67%\/12^0.5 =) 3.4% \uff0cMDD \u662f-23.52%\u3002\u6ce2\u5e45\u53caMDD \u5927\u5e45\u4e0b\u964d\u3002<\/span><\/p>\n

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\u9032\u4e00\u6b65\u512a\u5316<\/span>\uff0c\u4f8b\u5982\u4f7f\u75288\u500b\u6708moving average \uff0crisk off \u7528\u7f8e\u570b\u9577\u671f\u570b\u50b5\uff0c\u7d50\u679c\u66f4\u597d\uff0c\u898b\u4e0b\uff0c\u75311986\u5e746\u6708\u81f32021\u5e747\u6708\u3002<\/span><\/p>\n

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\u540c\u671f(\u75311986\u5e746\u6708\u81f32021\u5e747\u6708)\u5c0d\u6bd4S&P500 10\u500b\u6708SMA+cash\u8868\u73fe<\/span><\/p>\n

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\"<\/a><\/p>\n

 <\/p>\n\n\n\n\n\n\n\n
(1986\u5e746\u6708\u81f32021\u5e747\u6708)<\/span><\/td>\nS&P500 (buy & hold)<\/td>\nS&P500 (10 month SMA + cash)<\/td>\nS&P (8 month SMA + US gov. bond)<\/td>\n<\/tr>\n
\u5e74\u5747\u56de\u5831<\/span><\/td>\n10.83%<\/td>\n10.42%<\/td>\n12.91%<\/td>\n<\/tr>\n
\u6309\u6708\u6ce2\u5e45<\/span><\/td>\n15.12%\/12^0.5 = 4.4%<\/td>\n11.56%\/12^0.5 = 3.3%<\/td>\n12.79%\/12^0.5 = 3.7%<\/td>\n<\/tr>\n
\u56de\u5831\/\u6ce2\u5e45<\/span><\/td>\n2.46<\/td>\n3.16<\/span><\/td>\n3.49<\/span><\/td>\n<\/tr>\n
MDD (max. drawdown)<\/span><\/td>\n-50.97%<\/td>\n-23.52%<\/td>\n-23.52%<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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\u5f9e\u4e0a\u5716\u53ef\u898b\uff0cTrend following \u65bc\u7f8e\u80a1\u5f88\u6709\u6548\u7528<\/span>\uff0c\u9019\u662f\u80af\u5b9a\u7684\uff0c\u56e0\u70baMeb Faber \u53ca\u5176\u4ed6moving average \u7684\u7814\u7a76\u8005\u591a\u662f\u7528\u7f8e\u80a1\u4f5c\u70ba\u6295\u8cc7\u5c0d\u50cf\u3002<\/span><\/p>\n

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\u90a3\u9ebc\u6e2f\u80a1\u5462\uff1f<\/span><\/p>\n

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\u7531\u65bcPV<\/a> \u6c92\u6709\u6e2f\u80a1\uff0c\u4fbf\u7528\u7f8e\u80a1\u7684\u9999\u6e2f\u80a1\u7968ETF EWH<\/span> \u4f5c\u70ba\u53c3\u8003\u57fa\u6e96\uff0c1996\u5e744\u6708\u81f32021\u5e747\u6708buy & hold EWH \u7684\u5e74\u5747\u56de\u5831\u70ba5.92%\uff0c\u6309\u6708\u6ce2\u5e45\u70ba7%\u53caMDD\u70ba-65.56%\uff0c \u898b\u4e0b\u3002<\/span><\/p>\n

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\u5982\u679c\u904b\u75283\u500b\u6708moving average \u53ca\u7f8e\u570b\u9577\u671f\u570b\u50b5\u4f5c\u70barisk off \u6301\u6709\u7269\uff0c\u56de\u5831\u6709\u4e0a\u8abf\uff0c\u5e74\u5747\u56de\u5831\u70ba16.75%\uff0c\u6309\u6708\u6ce2\u5e45\u70ba5.4%\u53caMDD\u70ba-20.47%\uff0c\u6ce2\u5e45\u53caMDD \u66f4\u4f4e\uff0c\u75311996\u5e74\u81f32021\u5e7425\u591a\u5e74\u4f86\u7b56\u7565\u53ea\u6709\u5169\u5e74\u662f\u8ca0\u6578\u56de\u5831\u3002<\/span><\/p>\n

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\"<\/a><\/p>\n

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\u4ee5\u4e0a\u7c21\u55ae\u7684trending following \uff0c\u56de\u5831\/\u6ce2\u5e45 \u6709 3 \uff0c\u7b97\u662fTAA\u7684\u5165\u9580\u7d1a\u5225<\/a>\u3002<\/span><\/p>\n

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\u540c\u6a23SMA\u64cd\u4f5c\uff0c\u9999\u6e2f\u5f37\u7a4d\u91d1\u5167\uff0c\u77ed\u6642\u9593\u9593\u8ddd<\/span>\u7684\u6e2f\u80a1\u57fa\u91d1\u6703\u6709\u8f03\u597d\u6548\u679c\uff0c\u898b\u6b64<\/a>\u3002<\/span><\/p>\n

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 <\/p>\n","protected":false},"excerpt":{"rendered":"

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