Documenti di Didattica
Documenti di Professioni
Documenti di Cultura
MARKET TECHNICIAN
THE JOURNAL OF THE STA
IN THIS ISSUE
M. Pring
D. Valcu
G. Bender
D. Watts
At the IFTA AGM in Singapore, it was decided to host the 2014 conference in
London. This is a tremendous opportunity for the STA to promote the ideas and
concepts of technical analysis to the financial community both in the UK and
further afield. We would encourage members to get involved with the planning
of this event. If you have any ideas about speakers (based anywhere in the
world) or venues please contact Katie Abberton at: info@sta-uk.org.
The dates for next year's monthly meeting are listed on page 7. We are always
on the look out for new speakers for the monthly meetings. If you hear
someone give a talk that you think would be of interest to the membership or
know someone that has been doing some interesting research, please contact
Murray Gunn at: murraygunn@waveprincipleletters.com.
MARKET TECHNICIAN
Journal of the Society of Technical Analysts
www.sta-uk.org
MARKET TECHNICIAN
Journal of the Society of Technical Analysts
www.sta-uk.org
MARKET TECHNICIAN
Journal of the Society of Technical Analysts
www.sta-uk.org
US Commodity Prices
MARKET TECHNICIAN
Journal of the Society of Technical Analysts
Heikin-Ashi Trends
made simple
A different perspective on trends and reversals
By Dan Valcu CFTe
Trends and reversals are always an important focus for both traders and
investors. Errors are expensive and there is always the temptation to steal at
least one bar in order to trigger a buy or sell signal before the rest of the
market. In recent years there has been a revival of basic techniques and
strategies such as trend analysis, Point and Figure charts, and the Wickoff
method to identify turning points in the markets. The introduction of Japanese
candles opened the door to other trend techniques and price representations
(Ichimoku charts, Renko, Kagi, 3-line charts).
Figure 1: FTSE 100 index is displayed using Japanese candles (upper pane) and heikinashi candles (lower pane).
Heikin-ashi basics
Heikin-ashi is a simple price filtering
technique based on modified Open-HighLow-Close (OHLC) prices. The formulas
used to generate the new prices are:
haClose =
haOpen =
(O + H + L+ C)
4
(previous haOpen + previous haClose)
2
Figure 1a: Whipsaws during consolidations such as at the beginning of 2012 can be
reduced by applying a 7-day simple moving average of the regular close to the
heikin-ashi chart (lower pane).
Enter long (cover short) when heikinashi candle colour changes from solid
to white
Exit long (enter short) when heikinashi candle colour changes from
white to solid.
www.sta-uk.org
MARKET TECHNICIAN
Journal of the Society of Technical Analysts
Figure 2: The daily heikin-ashi chart for FTSE 100 is enhanced with the addition of
haDelta and its short moving average SMA(3).
Enter long (cover short) when heikinashi close (haClose) crosses above
the moving average
Exit long (enter short) when heikinashi close (haClose) crosses below
the moving average
Figure 2a: A part of the noise generated by haDelta and its short moving average
SMA(3) can be removed by additional smoothing of SMA(3).
Quantification of heikin-ashi
candles
The original Japanese technique consists
only of heikin-ashi candles as described
in the previous section. One additional
and logical step to pursue is to make the
technique more suitable to the Western
way of thinking i.e. to quantify the
modified candles and generate a
technical indicator.
As a result, a new very simple indicator,
haDelta, is defined as the difference
between haClose and haOpen.
Figure 2 shows the FTSE 100 displayed
with heikin-ashi candles (upper pane)
and haDelta in the lower pane.
The big advantage of using haDelta is its
capacity to generate advance signals.
Since haDelta is a momentum indicator,
it is also used to pinpoint divergences
and oversold/overbought levels. SMA(3)
is the 3-bar simple average of haDelta
www.sta-uk.org
MARKET TECHNICIAN
Journal of the Society of Technical Analysts
Conclusions
Figure 4: Heikin-ashi can be used to confirm support/resistance levels when used with
technical indicators or trend analysis.
www.sta-uk.org
MARKET TECHNICIAN
Journal of the Society of Technical Analysts
Katrina Oldham
Ali Chohan
Shelley Pilgrim
Qinfeng Li
Harry Tchilinguirian
David Murphy
Anne-Laure Tremblay
Chitralekha Nandi
PASS
Gisle Aanerud
Rukes Ahmed
Mahmoud Ali Jaffal
Wael Allam
George Amiradakis
Tom Argentieri
Sundeep Athwal
Dvyratn Bakshi
Stefano Basurto
Jean-Paul Beveraggi
Robert Bewell
Chee Phiew Chan
Muhammad Saqib
Chughtai
Mark Devine
Chrysis Dimitriou
Yannick Djoumessi
Daniel Dooling
Anthony Edwards
Christos Efthymiou
Maria Eleftheriou
Ricky Ellis
Stavros Flangofas
Antrea Fotiou
Rowan Gallagher
Musa Haddad
Ioannis Hasikos
Thomas Heathwood
Tom Hicks
Thomas Hone
Raza Hussain
Ifjal Hussain
David Hutchison
Martha Jenkins
Kerli Juhkam
Faiga Karim
Nick Karvounis
Tsoken Kefas
Markus Kofler
Michael Kopanakis
www.sta-uk.org
Georgios Koufou
Nuno Lampreia
Theodosios Lazarakos
Stuart Lea
Hon Cheung Lee
Sylwester Majewski
Angela Miller
Paul Monk
Gabriel Moores
Inigo Moraleda
Manpreet Nahal
Luke O'Brien
Guy O'Leary
Robin Luc Oppenheim
Bill O'Rahilly
Griff Owens
Darius Panasko
Sokratis Panayi
Emma Parker
Roshan Patel
Jayesh Patel
Maurizio Pietrini
Jack Pollard
David Price
John Prosser
Sammy Quintana
Nicolas Riant
Niall Riordan
Alex Rowles
Danny Ryan
Charlotte Rycraft
Aiko-Malte Sauer
Niral Shukla
Paul Sills
Arne Solvang
Michail Tsaousellis
Jonathan Araujo
Valente
Yuanheng Zhang
Ioannis Zittis
2013 Meetings:
MARKET TECHNICIAN
Journal of the Society of Technical Analysts
Technical analysis on
the VIX
By Greg Bender
The VIX is a statistic calculated from a weighted blend of prices of S&P 500
Index options and it measures the markets expectation of volatility over a
rolling 30-day period. The popularity of the VIX franchise has grown
exponentially with the introduction of VIX futures in 2004, VIX options in 2006,
volatility related exchange traded products as, for example, VXX, and VIX
benchmarks such as the Apple and Gold VIX. Since the VIX was first
introduced on the Chicago Board Options Exchange in the early 1990s,
technical analysts, whether they trade options or not, have charted it and used
it as a sentiment indicator. Given that the VIX is a mean reverting statistic
with unique properties, which make it different to other supply and demand
driven assets such as equities and commodities, should technicians perform
technical analysis on it? If so, what nuances of the VIX must be taken into
account?
Figure 1
Source: Bloomberg
www.sta-uk.org
MARKET TECHNICIAN
Journal of the Society of Technical Analysts
Bytes and
Pieces
Figure 2
Where to Start?
If you are a new member of the STA
and need charting software with
minimal costs, then here is one of
the cheapest and most effective
options:
Programs: Gannalyst took some
$250,000 to develop and is now
free (for a donation), See http://
www.gannalyst.com.
It
rivals
Metastock in its ease of use.
To start your security database with
nearly ten years of stock data in
Metastock format check out this site:
http://www.optiontradingtips.
com/resources/historicaldata/ftse100.html
Source: Bloomberg
www.sta-uk.org
Data Services
Data services filter and check
incoming data so there are no more
nasty spikes on your charts. Hence
sometimes it pays to get a data
service. Northgate and Qdata are in
the UK and provide Metastock format
data whereas EODdata have a
worldwide database available.
http://www.premiumdata.net/
http://www.q-data.co.uk/
http://www.eoddata.com
Real-time Data
Livecharts provide free of charge real
time stock market charts and quotes,
setup for the daytrader. They also
have an App for your mobile phone
but the quotes can also be obtained
from their website.
For the App, go to http://www.
livecharts.mobi or http://www.
livecharts.co.uk
D. Watts
gbender1@bloomberg.net
ISSUE 73 NOVEMBER 2012
NETWORKING
CHAIRMAN
Deborah Owen...................................................................................................editor@irc100.com
VICE-CHAIRMAN
Axel Rudolph ......................................................................axel.rudolph@commerzbank.com
TREASURER
Simon Warren ..................................................................................................warrens@bupa.com
PROGRAMME ORGANISATION
Murray Gunn .......................................................................................murray.gunn@hsbcib.com
Mark Tennyson-d'Eyncourt ............................................................deynvest@hotmail.co.uk
LIBRARY
John Douce: .......................................................................................................jdmjd@tiscali.co.uk
EDUCATION
Axel Rudolph ......................................................................axel.rudolph@commerzbank.com
Guido Riolo .........................................................................................guidoriolo@bloomberg.net
Murray Gunn .......................................................................................murray.gunn@hsbcib.com
Nicholas Kennedy ...............................................................nicholasjkennedy@ntlworld.com
IFTA LIAISON
Deborah Owen...................................................................................................editor@irc100.com
MARKETING
Karen Jones ..........................................................................karen.jones@commerzbank.com
MEMBERSHIP
Charles Newsome ...................................................Charles.Newsome@investecwin.co.uk
Simon Warren ..................................................................................................warrens@bupa.com
REGIONAL CHAPTERS
SCOTLAND: Alasdair McKinnon .........................................................AMcKinnon@sit.co.uk
IRELAND:
Robert Reid.................................................................robertreid64@gmail.com
COMPANY SECRETARY
Mark Tennyson-dEyncourt ............................................................deynvest@hotmail.co.uk
STA JOURNAL
Editor, Deborah Owen ...................................................................................editor@irc100.com
WEBSITE
David Watts.......................................................................................................DWattsUK@aol.com
Simon Warren ..................................................................................................warrens@bupa.com
Deborah Owen...................................................................................................editor@irc100.com
The Society is not responsible for any material published in The Market
Technician and publication of any material or expression of opinions does not
necessarily imply that the Society agrees with them. The Society is not
authorised to conduct investment business and does not provide investment
advice or recommendations.
Articles are published without responsibility on the part of the Society, the editor
or authors for loss occasioned by any person acting or refraining from action as
a result of any view expressed therein.