http://www.wretch.cc/blog/oolong1001&article_id=1808078 Author Curtis Faith I have always believed that the indices trade very differently from the other futures markets. As a Turtle, we were given a choice as to whether or not we would trade the S&P 500 index. I made the decision not to trade the S&P 500 market using the Turtle rules, while many other Turtles did trade them. My theory of the underlying reasons has two parts: Indices are not normal speculative instruments in the sense that their price movement does not come primarily as a result of the trading in the instrument or it's underlying index. The price movement of an index is an accumulation of the price movements in the components stocks. Since the price action of the S&P 500 is an averaging of many other individual markets, it won't behave the same as a market whose price action is determined solely by that market. The price movements of the strong stocks that cause a rise in the index are diluted by the weak stocks that are down during this rise, and vice versa. This causes a dampening effect on trends. The indices more purely demonstrate price movements resulting from investor psychology than underlying fundamentals. Individual stocks may rise for certain reasons, but the "market", being an almost wholly psychological concept, rises because of human sentiment based much more purely on feelings rather than logic. While this is certainly true of all markets, it is more true of the indices than other individual markets. From a trend-following perspective, the best trends are not those that move the most, but those that move the smoothest. It is the choppiness of the trends, and the number of false movements that determine the profitability of a market. It is my belief that smooth trends come when less individual traders, less weak hands, less amateurs (and I consider even most professionals who buy and sell stocks to be amateurs when it comes to trading) participate in the buying or selling that causes trends, the trend will be smoother. Amateurs tend to amplify the magnitude of the corrections, sometimes to the point where the trends don't compensate for the non-trending market losses. The indices are a different beast, and I treat them that way. I never include stock indices in portfolios with other markets to be traded the same way as the other markets. There are ways to make money with the indices, however, these tend to be shorter-term approaches with average trades of several days rather than several weeks or months. == 问：股市是否有别於其他市场? 艾迪．塞柯塔：股市不但有别於其他市场，而且其本身也难以捉摸。这句话听起来似乎难 以理解，然而要了解市场根本就是件徒劳无益的事。我认为要了解股市就像要了解音乐一 样没有道理，有许多人宁愿了解市场而不去了解赚钱的机会。 问：你说“股市难以捉摸”是什麽意思? 艾迪。塞柯塔：股市难以捉摸是因为股市的行为模式很少会重复。 == 问﹕请问股市是否例外?我是说，股市的特性是否与其他市场 不同? 理察‧丹尼斯﹕我认为股市比较特殊。 问﹕为什麽? 理察‧丹尼斯﹕根据我的观察，股市中各类股票价格波动的随机性要比一般商品市场高， 这也就是说，商品市场行情的波动比较具有趋势存在，然而股市行情波动就很难找出脉 络。 问﹕请你解释造成这种现象的原因? 理察‧丹尼斯﹕我认为股市中股票的种类太多，个股的基本面资讯也过份分散，不足以汇 聚成整个股市行情的大趋势，商品市场则恰好相反。 问﹕在商品市场中，技术面的资讯基本上只包括价格、成交量与未平仓量等，然而股市的 技术面资讯远多於商品市场，例如还包括了各类分析指标。一般趋势识别系统所能分析的 资讯不多，是否就是无法运用 於股市的原因? 理察‧丹尼斯﹕我不认为如此。我的看法是，一般趋势识别系统之所以不适用於股市，是 因为股价指数与各股行情之间的随机性太强，而一般的趋势识别系统根本无法消化个股股 价变化的讯息。 == 布鲁斯．贝考克 评论股价指数 长期趋势追踪系统在这类的市场的表现并不太好,虽然其高波动提供了快速获利的潜力.正 由於这个理由,它们是最好的当日冲消标的.波动包络系统似乎最能善用其市场行为.除了 经济面的冲击,当日成交的情况良好(意思是停损单的滑移价差可能只有一个或两个跳动 点)假如你在开盘或收盘行动,成交的情况可能更糟.通常在开盘会有大的缺口产生,导致 比预期更高的损失,进而摧毁你的资金管理策略. S&P500股价指数是最受欢迎的股价指数市场.自从1987年大崩盘之後,保证金已由6000美 元提高到现在的19000美元.增幅原本被认为可以减少过度的投机,预防政府制定严格的法 规,甚至完全关闭股价指数期货市场.期货交易并非崩盘的主因.用法规钉死期货并不能防 止另一次的崩盘.它只会使增加市场流通性的小额散户无法介入. -- 波段单王道：多头做多、空头做空、盘整少做、赚钱加码、赔钱停损 小弟在永丰金证券，来开户就不定期提供个人观察潜力股名单 以及操作建议，股票期权手续费都有优惠唷，意者请mail ^^ http://blog.pixnet.net/stasis --

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