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【原文推送】克罗谈投资策略(24) 第十九章 抓住超级行情的激动  

2017-05-24 13:09:41|  分类: 操盘心得 |  标签: |举报 |字号 订阅

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第十九章 抓住超级行情的激动

The Thrill of Catching the Mega-Move

There may be some traders who can get all excited about the prospects of a month-long rally in yen or Swiss francs or a move in GNMAs or some other alphabet-soup assortment of financial futures. And I’ll concede that, as pragmatic traders, we focus on dollars and not on excitement or emotions. It shouldn’t much matter if we make our big money in soybeans or jellybeans. The important thing is that we make the big profits. That notwithstanding, all these financial futures combined can’t generate the kind of sheer raw excitement, the hold-your-breath roller coaster-like thrill of a big move in soybeans!


My first major play on Wall Street occurred in soybeans – the 1961 bull deal in Chicago. This market had all the ingredients to impress a freshman Merrill Lynch account executive recently arrived from the firm’s six-month training program. And, although Merrill had spent a small fortune teaching me all aspects of the financial business, the rest of the products in my sales kit paled by comparison with the action in futures. I knew that I was hooked when I found myself walking into the corner office of Sam Mothner, my office manager and mentor, reintroducing myself as, “your new commodity specialist.” A brief discussion ensued in which he did most of the discussing! He tried to talk me out of this crazy notion. But I was adamant, and he was sufficiently experienced to realize that his new 27-year-old account executive was very committed. I was thrilled when I left his office some 20 minutes later as the new commodity specialist.


Over the years, I’ve made it a point to get to Chicago for a day or two on the floor each time there was a boiling soybean market. I never tire of witnessing this spectacle, perhaps the most exciting floor action on any exchange. On one memorable occasion, I watched in awe as a young floor broker from one of the commission firms entered the bean pit with a large buy order during a violent price reaction. The market seemed to be plummeting into a black hole, and his was the only bid in the pit at that moment. The action was fast and furious, and the young broker bought his million-or-so beans in record time. Seconds later, he staggered down the littered steps of the bean pit to the relative quiet and security of his firm’s telephone booth. His trader’s floor jacket had been slightly altered by the crowd of sellers who had descended on him like piranhas. There he was, still in a slight daze, minus his two jacket sleeves. They had been wrenched right off his limp jacket by several screaming and gesticulating colleagues eager to help the young broker buy all the beans they were trying to sell. I’ll never forget that day – I’ll bet he won’t either.


In 1975, after 16 years in the front-line trenches of futures trading, I had been in more than my share of big moves – for big profits and big losses. I’d made a few killings and had been the victim of quite a few. They ran the gamut from agriculturals and meats to softs and metals. I was 41 years old, had attained my goals, both personal and financial, and felt that I needed a long and leisurely break. So I took a five-year sabbatical, during which I studied, wrote, and traveled. I tried to avoid thinking of the markets altogether. But any time I heard of big action in beans, I felt a quickening of the pulse, a flush of the temple, and a twinge of anxiety. This stuff gets into your blood.


In August of 1983, back on Wall Street, I ventured to Chicago for my personal homage to King Bean. The market had, once again, confounded the experts by soaring through the roof at a totally unexpected time. There had been a modest rally from January through April, punctuated by a brief reactionary pause during February (there’s the February break again). The April advance stalled at 7.20 (basis March 1984 future) and then collapsed into a 10-week slide right down to new contract lows around 6.20. A bear market shaping up, right? Wrong! Following this big break, around the first week in July, the bean market commenced a modest advance lasting just 11 weeks. It carried values up to 9.90 for a whopping move of over $18,000 on just $1,500 margin. Talk about big moves and megaprofits! And, during that bull move, especially above the 9.00 level, the rallying cry among the Chicago bean watchers was “beans in the teens.” Well, it didn’t quite make that level; the market topped out just short of $10.00 (basis March future) and spent the next several years in full retreat (see Figure 19-1).


图19-1 1984年3月黄豆

【原文推送】克罗谈投资策略(24) 第十九章 抓住超级行情的激动 - star - 金融期货

【The market once again confounded the soybean watchers by soaring through the roof following a collapse to the 6.20 level in early July. Talk about dynamic moves. This bull deal advanced from 6.20 to 9.90, a move of some $18,000 per contract, in just three months Although the Chtcago boys kept chanting, “beans in the teens,” they never quite made it to double digits The next three years were spent wroth the soybean market in full retreat.


If you get the feeling that soybean watchers start chanting, whistling, and stomping every time they see a 40- or 60-cent rally, looking for another $2 or more, you’re absolutely right. Matter of fact, they are joined in their “bull dance” by a consortium of mostly Midwest merchants who deal in luxury tangibles such as homes and apartments, boats, cars, and jewelry, A bull move in soybeans, with its vast public and professional participation, typically creates more new millionaires and solidifies more existing ones over a relatively brief period of time than a major move in any other commodity. Regrettably, quite a few of these instant millionaires fall off the ride when the market turns south and prices plummet even faster than the original rally. Anyone in the market for a pre-owned yacht, limousine, Rolex watch, or Chicago lakeside condo should coordinate his purchase with the final stages of a bull market washout in soybeans.


Hardly any futures trader needs to be convinced about these two points: (a) If you’re lucky or skillful enough to catch the top or bottom of a market that develops into a major move, and if you’re lucky or skillful enough to stick with the position for the majority of the move, and if you’re lucky or skillful enough to limit losses on your other positions, you’re going to make a lot of money. (b) If you make a lot of money, as in (a) above, you’re going to have one hell of a time spending it. Any dissenters? I can give firsthand personal testimony verifying these two truths.


Clearly, the issue is not how to spend the big winnings. We can all figure out how to do that. Rather, it’s how to snare the big winnings. You can’t do it on the basis of market gossip, tips, or because you may have lost money on your last 5 or 10 campaigns and the law of averages now favors you as a winner. To make a big score, your best bet is a disciplined and carefully calculated long-term campaign with a strategic plan guiding the entire operation.


How about luck as an ally? You might win one tennis or chess game due to luck. But can you imagine winning a major tennis or chess tournament, covering quite a few contests, on the basis of luck? I hardly think so. Likewise with futures, you need a well-organized and detailed strategic plan covering all contingencies, executed in a pragmatic and disciplined manner.


As an example of a detailed strategic battle plan, I would like to share with you the strategic plan that I prepared in early 1987 for dealing with the silver market. Objective: megaprofits or modest losses. Such a plan, covering the various aspects detailed below, should be structured for every major position you take for the big move.


The major trend is still down, with long-term support likely between 5.00 and 5.50 and overhead resistance toward the 8.00 level (see Figure 19-2). The intermediate trend, on the other hand, is sideways, and I project buying support on reactions towards 5.00 and resistance around 6.00, at 6.50 and again at 7.00, basis nearest future weekly close.


图19-2 白银(最近期期货)长期周线图

【原文推送】克罗谈投资策略(24) 第十九章 抓住超级行情的激动 - star - 金融期货

【The major trend is down, and the intermediate trend is sideways. The market should find long-term buying support on reactions toward the 5.00-5.50 level. A close over 6.50 (nearest future) should turn the intermediate trend to up, and a close over 7.10 should turn the major trend to up.


So how to play this market? For anyone willing and able to stand the considerable financial and emotional risks, the significant play could be from the long side. Since making its major top at 14.00 in early 1983, the market has retreated to deep within a substantial long-term base area and, following an extended sideways consolidation period, should ultimately pop out of this area on the upside.


The key word here is ultimately. It’s hard enough to project where a market will go-but when is virtually impossible. In fact, it’s in the pursuit of the elusive when that so many traders, including experienced professionals, come to grief. To put this in perspective, we have only to look at the many bullish silver studies and trade recommendations that bombarded us during 1985. Yet the market registered life-of-contract lows during first-half 1986-making a hash out of every one of those impressive bullish advisories.


How would I play this silver market? I would start with the premise that it is virtually impossible to accurately predict where silver or any other market will be trading at any future time. My strategy, then, is to structure a series of consecutive tactical moves in which I advance to each stage only after each previous stage has performed according to the scenario. This method should minimize the excessive risks of the operation, controlling them to an acceptable degree.


The opening stage in my strategy is to begin accumulating a long silver position toward the long-term 5.00-5.50 (basis nearest future) support area. Now, assuming that this support level holds – and at this early stage in the operation we have no assurance that it will – we then move to the second stage; that is, we buy an additional silver increment on a weekly close (nearest future) above 6.50. Assuming the market continues to follow this generally bullish scenario, we buy a third increment on a weekly close (again, nearest future) above 7.10. At that point, I would project that the intermediate trend had turned up on the 6.50 close and also the major trend on the 7.10 close.


My price projection for the move? Should the market follow my scenario, I would expect an initial price objective of 6.80-7.00 (basis nearest future, weekly close) with an intermediate objective further down the line in the 9.50-10.50 range. Regarding any long-term price projection – it’s just too early to think about that at this time. My time projection for the move? From four months to two years. Actually, the time projection is the least exact and least relevant aspect of this analysis. Obviously, patience is a clear requisite to play this game.


Despite the foregoing, we must acknowledge that the major trend is still sideways to down. Accordingly, the odds still favor a continuation of the ongoing bear trend. In essence, we are trying to bottom-pick within a strongly entrenched bear market, and that’s no easy task. Clearly, at this indeterminate stage, this is not a selection for the faint of heart or purse.


That's all that need be said about the strategy at this point with one exception. What if the market heads south, instead of north the way it’s supposed to go? Have you heard the one about the professional speculator who lost $18,000 per contract on a big long silver position a few years ago? I have because I was his broker – and he’s the one who waited to buy until he knew that the big boys were in there buying. Big boys notwithstanding, this silver market is one helluva fast and leveraged game, and the stakes are high. So, unless you are a first-class masochist or have an uncontrollable desire to get a genuine tax loss named in your honor, you’d better have a bailout plan ready. That translates into a stop-loss point to take you out at your personal pain thresh-old, perhaps around the $1,200 to $2,000 per contract loss limit. And, if you get stopped out, you might take another shot at the long side on a further decline to the 4.00 to 5.00 level. Adhere to the rest of the scenario by adding to the position in increments with the on-close buy stops.


That's my long-range strategic plan for silver, prepared February of 1987. Let’s examine some of its particulars:


1. The most obvious aspect is that the major trend is sideways to down and I am looking to buy the market-a violation of trend-trading dogma. However, the intermediate trend is sideways, and two of the long-term early warning systems that I follow have flashed buy signals for silver. Moreover, the market has achieved its down-side count and has fallen into an area of strong long-term technical support around the 5.00 level. And I do have efficient stops under the position that would limit losses in the event the downtrend continues.

1. 最显而易见的层面,是主趋势呈现横向盘整,但偏弱,而我等着要买入——这个想法违背了顺势交易的教条。但是中期趋势是横盘,而且我所用的两个长期早期预警系统,已经亮出了白银的买入信号。再说,市场已经跌了不少,掉到5.00附近强烈的长期技术支撑区内。我也为防万一,为免下跌趋势继续下去,设立仓位时也设置了很有效率的止损点,用以控制亏损。

2. Will the downtrend continue? I have no idea. If it does, I’m out of the market with a modest loss. If it turns up, out of the long-term base area, this step-by-step strategic scenario could result in exceptional gains. I would project that the profit potential is greater than the risk by a sufficient multiple, making the play worthwhile.

2. 下跌趋势会持续下去吗?我没有把握。如果真的继续跌下去,那我会带着不大的亏损出场。如果趋势是上涨,脱离了长期的底部区域,那我一步紧跟一步的策略性设想可能会带来很可观的利润。我估计获利潜力比风险高出很多,值得一赌。

3. Is this scenario for the average trader? Probably not. It’s a particularly high-risk high-reward play and only for those who understand and can accept the high stakes involved. A large measure of patience and discipline will be needed to handle this long-term campaign, which could take as long as two years to work out.

3. 这个设想适合一般交易者使用吗?也许不适合。这是个高风险高报酬的游戏,适合那些明白这是豪赌,也愿意接受它的人来玩。这场长期作战,可能要花上两年的时间,所以需要有很大的耐心和纪律。

In case this strategic scenario sounds a little too complex or difficult for you to engineer, is there some other way to score megaprofits? Consider the experience of some 400 commodity traders scattered throughout the world. The computerized printout from their long-term trading system, which I monitor daily, flashed a buy signal on coffee, October 10, 1985, at a price of 139.93 (basis the perpetual price, equivalent to a 91-day future). What was so remarkable about that? Nothing yet. The system remained long about 16 weeks, till January 29, 1986, when it put out a sell signal. The price? 223.34. And, if you have to ask what was so remarkable about that, you ought to brush up on your elementary arithmetic. The difference between 139.93 and 223.34 is 83.41 cents, and at $375 per cent, the move amounted to “just” over $31,000 per contract (see Figure 19-3). Here was a mega-move, without any doubt!


图19-3 1986年5月咖啡豆

【原文推送】克罗谈投资策略(24) 第十九章 抓住超级行情的激动 - star - 金融期货

【Over 400 system traders throughout the world got a buy signal at 139.93 on October 10, 1985, and a subsequent sell signal at 223.34 on January 29, 1986 (prices basis 91-day perpetual). The profit on the trade was 83.41 cents, equal to over $31,000 per contract. These occasional megaprofits more than cover the losses posted by long-term position systems when they are whipsawed by broad, sideways markets.


It’s obvious that this was not your normal, everyday trading profit. However, some successful long-term technical traders and trading systems out there are able to score a number of big profits annually-and I define a big profit as anything around or over $5,000 per contract. Moreover, lots of other traders do manage to get aboard these markets somewhere near the inception of the move. Regrettably, though, they don’t also manage to remain aboard for the duration or even a major portion of it. Anyone who has been trading for at least a few years will surely recall positions he had that, if held for the extent of the move, would have resulted in a megaprofit. The key phrase here is, “if held for the extent of the move,” because it rarely is. I reinvite your attention to the Livermore quote in Chapter 16, paraphrased in part here: “You always find lots of early bulls in bull markets and lots of early bears in bear markets…They made no real money out of it…Men who can both be right and sit tight are uncommon.”


We obviously have no way of knowing, when we put on a position, if it will turn into the big one. Therefore, so long as we are trading in the direction of the major trend, we should premise that every position has the potential to be the megamove and play the market accordingly. And that means holding the position (“sitting tight,” as Livermore would say) until your stop, which you advance with the market, takes you out. One of the best examples of a totally unexpected megamove was in cotton. On August 13, 1986, traders in some of the long-term trading systems got what appeared to be a routine buy signal in cotton, at 34.54 (prices basis perpetual price). The signal appeared a little dubious, especially because the market had been locked into a huge bear trend from the 68.00 level with cotton traders having spilled lots of red ink while bottom-probing during past months. In fact, many experienced cotton traders were weary from successive losses on antitrend long positions and opted to sit this one out. Meanwhile, most of the neophytes, believing the admonition in their systems manuals to “take all signals,” followed the signal and bought the cotton.


I don’t think that anyone was more amazed than I was at what actually happened. On the afternoon of January 28, 1987, some 5.5 months after the buy position was signaled, I received a near-cryptic phone call from a pharmacist in Rapid City, South Dakota. He and I had corresponded on occasion, and, if there ever was a rank beginner in futures trading, he was it. Anyway, he was so excited he could barely talk – but the gist of what I understood, after I managed to get him to communicate in normal English, was that his system just that morning had flashed a signal, at 54.83, to sell the cotton position. He had dumped the position and was totally undone at the realization that he had just scored over $20,000 profit on his two contracts. After further conversation, I was also undone when I learned that he had been unaware until that very day of the magnitude of his profit-which may have been the reason he sat with it for the full term of the move (see Figure 19-4).


图19-4 1987年7月棉花

【原文推送】克罗谈投资策略(24) 第十九章 抓住超级行情的激动 - star - 金融期货

【Following a virtually uninterrupted downtrend from the 68.00 level, system traders received their long-awaited buy signal on August 13, 1986. The long position was held for 5.5 months and was liquidated on a sell signal on January 28, 1987. The profit was some $10,000 per contract. Here is another example of a megaprofit generated by a position trading system in a dynamically trending market. But the same system that produced this profit produces a succession of losses during broad sideways markets.


No doubt about it, this gentleman from South Dakota experienced the Thrill of Catching the Big Move for the Megaprofit. And you can too, once you begin operating with a consistent discipline to trade the moving markets in the direction of the major trend, to stick with the position till your (advancing) stop takes you out, and to resist excessive positioning or overtrading due to boredom, tips, or market gossip.



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