非趋势价格摆动指标交易策略

交易员和技术人员可以通过建立准确预测重要高点和低点的循环研究深入了解市场行情。相对强度指标，包括推断统计学和王尔德相对强度指数是提供了创建循环学习的流行方式。当指标在超买和超卖水平徘徊时，分析人士预测价格将向相反方向移动。

 

非趋势价格摆动指标（DPO）去除相对强度中的动量，呈现一个更简单的视角估计从高点到低点的价格周期宽度。该指标旨在降低特定周期长度中长期趋势的影响，专注于短期的波动。该指标在最基本的调查水平把收盘价格和移动平均数进行比较，寻找乘离率的关系。

 

非趋势价格摆动指标为交易员和技术人员提供一个优秀的时间界定工具，但是应当和价格图表分析和其他提供进出点的指标一起使用，将会为交易决定提供一个完美的互补。

 

非趋势价格摆动指标应用

First Solar Inc的买卖信号

正如在上图中看到的，First Solar Inc在2015年3月和2015年8月的一系列的高点和低点中徘徊。相对高点为图中所示的1、3、5、8，相对低点则为2、4、6、7、9。设置非趋势价格摆动指标能捕捉到9个高点和低点中的6个。正如你所见，1点和A点对应，2点和B点对应，3点和C点对应，4点和D点对应，6点和F点对应，8点和H点对应。该指标严重错误地把5点和F点对应，7点和G点没展示出相关性。

 

乍一看，该指标在股票集中在自2014年中的一个狭窄的交易区间和2014年10月到15年8月趋势长度扩展时非常准确。值得注意的是，延迟指标到7或者增加到28对整体结果几乎没有影响。更短的设定通常切掉更多高点和低点并增加错误信号。更长的设定则产生更少的信号，但是准确性不变。

 

与移动平均数趋同和趋异的例子

iShares20+年债券ETF买卖信号

在上面图表中，iShares 20+ Year Treasury Bond ETF在2014年呈现出稳定上升的趋势，终于在2015年初封顶。在2015年中期出现支撑并开始校正。非趋势价格摆动指标穿过2014年小波浪的高点和低点，与价格上升中波动大致匹配。在第三个图中，你可以看见一个移动平均数的柱状图。她几乎没有超出这期间的基准线，没有出现明确的买入和卖出信号。这个图表看起来最适合短期策略，对其长期来说信号混淆和不可靠。

 

该指标能更好的预测2014年9月到2015年8月的价格运动，通过逆转点提供有效的信号。在这期间模式和趋势延长到更长的周期，表明该指标组合更适合这种价格环境。另外，二级乘离率移动平均值为5、6、7点增加更大的可靠性。

 

乘离率的移动平均值以三种方式出现：

 

上面的例子呈现出一系列第一种信号的例子，更多的非趋势价格摆动指标使用这些信号时有相关性。虽然引入了一些主观性，但是也能为交易员构建更复杂的信号机制提供参考。

 

总结

非趋势价格摆动指标为循环分析提供一个简单的方法。它排除长期趋势的动量而定义一个短期周期并改善进入市场时机。

 

Detrended Price Oscillator Trading Strategies 

By Alan Farley | August 21, 2015 

Traders and technicians can see deeply into the mind of the market by creating cycle studies that can reliably predict significant highs and lows. Relative strength indicators, including stochastics and Wilder’s relative strength index (RSI), present one popular approach to creating cycle studies. When indicators roll over at overbought and oversold levels, analysts predict prices will begin heading in the opposite direction.

 

The detrended price oscillator (DPO) removes momentum from the relative strength equation, presenting a simpler view that estimates the length of price cycles from peak to peak, or from trough to trough. The indicator seeks to reduce the impact of long-term trends in defining cycle length, focusing instead on short-term price swings. At the most basic level of inquiry, the detrended price oscillator just compares closing price to a moving average, looking at convergence-divergence relationships.

 

The detrended price oscillator offers traders and technicians an excellent market timing tool but should be used in conjunction with price pattern analysis and other indicators that provide entry and exit signals. Since it strips out momentum from the analysis, a momentum indicator, like an MACD histogram (moving average convergence divergence), provides a perfect complement by adding reliability to trading decisions.

 

The Detrended Price Oscillator in Action

Buy and Sell Signals for First Solar Inc

 

As you can see in the chart above, First Solar Inc (FSLR) grinds through a series of highs and lows between March 2014 and August 2015. Relative highs are posted at dates corresponding to points 1, 3, 5 and 8 while relative lows are posted at dates corresponding to points 2, 4, 6, 7 and 9. Setting the detrended price oscillator to 21-periods does a good job of capturing six of the nine highs and lows within a few price bars. As you can see, Point 1 in the price history corresponds to Point A in the detrended price oscillator chart, Point 2 corresponds to Point B, Point 3 corresponds to Point C, Point 4 corresponds to Point D, Point 6 corresponds to Point F and Point 8 corresponds to Point H. The detrended price oscillator misses badly by corresponding Point 5 in the price chart with Point F. Finally, Point 7 and Point G show no correlation at all.

 

At a glance, the indicator showed greater accuracy when the security was bound up in a narrow trading range through the middle of 2014 and misfired when trend lengths expanded between October 2014 and August 2015. Notably, reducing the indicator setting to 7 or increasing it to 28 had little effect on overall results. Shorter settings tended to carve out more peaks and valleys, adding false signals to the mix. Longer settings produced fewer signals, but with equal accuracy.

 

An Example With Moving Average Convergence and Divergence

iShares 20+ Year Treasury Bond ETF Buy and Sell Signals

 

 

As you can see in the chart above, the iShares 20+ Year Treasury Bond ETF (TLT) ticks higher in a steady uptrend throughout 2014, finally topping out in early 2015. It then entered a correction that found support in the middle of 2015. The detrended price oscillator cuts through small waves of highs and lows into the third quarter of 2014, roughly matching channeled price swings within the uptrends. In the third chart, you can see a MACD histogram. It barely stretches above or below the zero line during this period, issuing few distinct buy or sell signals. This side of the chart looks best suited to short-term strategies, with mixed or unreliable signals for longer-term strategies.

 

The indicators do a better job of predicting price action between September 2014 and August 2015, with reversals at points 2-B-a, 3-C-b, 5-E-f, 6-F-g and 7-G-g providing valid signals. Patterns and trends stretch into longer cycles during this time, suggesting the indicator combination is better suited to this type of price environment. In addition, secondary moving average convergence divergence signaling added greater reliability to price turns at points 5, 6 and 7.

 

Moving average convergence divergence signaling comes in three varieties:

Histograms turn at high or low extremes.

Histograms cross their zero lines.

Rising or falling histograms print a higher low or a lower high.

 

The above example places a line over the first type of signal (histograms turn at high or low extreme), with much greater detrended price oscillator correlation when using a mix of these signals. While this introduces subjectivity, it also serves as a starting point for the trader or technician to build more complex signaling mechanisms as part of a back-tested systems strategy that uses both indicators. 

 

The Bottom Line

The detrended price oscillator presents a simple approach to cycle analysis. It removes momentum and long-term trends from the calculation while defining a short-term cycle length that can improve market timing. 

 

本文翻译由兄弟财经提供

文章来源：http://www.investopedia.com/articles/active-trading/082115/detrended-price-oscillator-trading-strategies.asp