股票期货突破技术分析(英文原版)-第30部分

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CHAPTER　9　

Deconstructing　the　Market：　The　Application　of　Market。Profile　to　Global。Spreads　
ROBIN　MESCH　
Deconstruction；　a　method　of　analysis。that　emphasizes。the　relational　quality　of　meaning；　involves。discovering；　recognizing；　and　understanding　the　underlying—and　unspoken　and　implicit—assumptions；　ideas；　and　frameworks。that　form　the　basis。for　thought　and　belief　
Most　spread　traders。are　accustomed　to　working　with　line　charts。that　show　the　value　of　the　spread　at　discrete　points。in　time；　connected　by　lines。　For　example；　Figure　9。1　is。a　daily。chart　of　the　10…year　U。S。　Treasury　notes　versus。the　10…vear　EuroGerman　Bund　spread　with　a　ratio　of　100：55。　

This。type　of　chart　is。not　very　conducive　to　technical　analysis。　There　is。a　lot　of　information　here；　but　it　is。not　organized　in　a　way　that　is。accessible　to　the　trader。　How　we　organize　the　data　determines。how　we　see　the　market。　Figure　9。2　shows。a　Market　Profile　chart　for　the　same　period。　（For　details。on　how　the　Market　Profile　isnstructed；　see　my。chapter　in　New　Thinking　in　Technical　Analysis　＇Bloomberg　Press；　2000＇。）　
We　start　with　the　basic。understanding　that　the　market　is。an　auction。　The　progress。of　the　auction　and　where　the　market　spent　time　（and　hence　perceived　value）　bee　much　clearer　on　this。chart。　But　the　real　strength　of　Market　Profile　analysis；　and　the　concept　on　which　this。chapter　will　locus；　es。from　reorganizing　the　profiles。to　reflect　plete　cycles。of　market　activity　and　setting　up　a　framework。to　guide　the　trader　as。the　market　progresses　through　its。auction　cycle。　
Let's。preview　our　approach　by　looking　at　a　reorganized　version　of　this。same　data　（see　Figure　9。3）；　showing　a　plete　auction　cycle　followed　by　a　new　directional　move。　
This。final　version；　created　by　bining　monthly　profiles。from　March　through　June　2006　and　monthly　profiles。from　July　through　October　2006；　provides。a　structure　and　presentation　of　the　data　that；　as。we　will　see；　gives。a　basis。for　determining　strategy　when　trading　spreads。　
The　strength　of　Market　Profile　is。itsanization　of　market　data　into　a　bell　curve；　revealing　the　underlying　auction　process。that　drives。price　fluctuations。　In　this。chapter　we　apply　Market　Profile　analysis。to　global　spreads；　as　a　tool　to　understand　the　relationship　between　two　correlated　markets。　Well　start　by　reviewing　the　basic。principles。of　Market　Profile；　and　then　apply　those　principles。to　some　monly　traded　global　spread　markets。　

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should　the　non　preferred　scenario　unfold。　But　if　the　market　was。able　to　climb　over　the　high…volume　ledge　of　930；　it　would　confirm　the　bullish　game　plan　that　I　was。favoring　at　the　time。　Let's　see　what　took。place　for　the　remainder　of　2003。　
For　the　remainder　of　the　year；　from　April　2003　to　December　2003；　the　market　traded　within　the　pocket　of　low　volume　left　by　the　February　2001…March　2003　profile。　Figure　9。6　shows。the　resulting　profile。　This。is。what　I　would　call　a　perfect　fill。　
This。analysis。exemplifies。the　strengths　of　Market　Profile；　which　gives。us。the　tools。to：　
。　
know　market　direction　

。　
establish　a　target　

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develop　a　timeline　for　the　unfolding　of　our　scenario　

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identify　the　market　activity　pattern　that　confirms　were　right；　and　know　how　to　tell　if　we're　wrong　


To　recap　our　example　in　the　light　of　these　four　elements。of　a　trading　strategy；　we　knew　ing　into　April　2003　that　the　lower　bell　curve　wasplete　and　that　the　market　was。poised　for　a　directional　move。　With　the　undeveloped　area　looming　above　the　market；　chances。were　good　that　the　auction　would　return　to　that　territory　to　fill　in　volume；　and　that　the　new　auction　extremes。would　be　from　930　to　1075。　This。would　make　a　buy　over　930　a　major　directional　play。　Market　Profile　analysis。gave　us。a　direction　and　a　target。　
We　also　knew　that　if　our　favored　scenario　was。unfolding；　the　market　should　not　develop　back。below　the　consensus。point　（most　traded　price）　at　890。　Once　we　saw　that　the　bullish　scenario　was。under　way。　we　knew　a　range　would　develop　until　the　low…volume　pocket　was。filled；　at　which　point　we　would　know　the　strategy　had　run　itsurse；　and　the　market　was。ready　for　a　new　auction　to　kick。off。　



The　Four　Stages　of　Sticker　Shock　
To　develop　a　deeper　level　of　understanding　of　the　negotiation　process；　let's。talk。about　the　underlying　psychology　that　drives。the　auction。　As。the　great　trader　Jesse　Livermore　once　said；　〃I　absolutely　believe　that　price　movement　patterns。are　repeated　and　appear　over　and　over　with　slight　variations。　This。is。because　humans　drive　the　stocks。and　human　nature　never　changes。〃　
As。it　builds。the　bell　curve；　the　auction　process。tracks。the　psychology　of　the　negotiation　process。in　four　stages。　With　a　nod　to　Elisabeth　Kübler…Ross；　I　call　it　the　four　stages。of　sticker　shock。　
1。　
In　stage　one　（shock。denial）；　a　dramatic。directional　move　beyond　the　well…accepted　value　area　is。halted　by　a　feeling　of　“sticker　shock”　on　the　part　of　participants。　The　new　price　point　stirs。feelings。of　“I　can’t　believe　it；　this。won't　last〃　

2。　
In　stage　two　（anger）；　usage　slows　down　as。people　search　for　alternatives。or　attempt　to　change　long…standing　patterns　of　behavior；　triggering　a　counter…move　that　seeks。an　opposite　end　of　value。　In　this。stage　the　extremes。of　a　trading　range　are　first　established。　Normally　the　market　retraces。a　portion　of　the　initial　dramatic。directional　range。　The　feeling　here　is。〃I　won't　buy/sell　it。　I’ll　take　my　money/product　elsewhere”。　

3。　
Stage　three　（bargaining）　ushers。in　the　beginning　of　development；　which　explores　value　and　buildsnsensus　to　determine　what　is　acceptable　and　unacceptable　within　the　range　established　in　stage　two。　During　this。phase；　participants。grow　used　to　the　price　as。

shock。and　anger　wear　off。　（This。phase　usually　creates。either　a　lowercase　b…shape　or　an　uppercase　P…shape　profile。）　“I’ll　just　use/sell　what　I　need　to　get　by。〃　

4。　
After　a　brief　or　protracted　period　of　bargaining；　stage　four　（acceptance　or　rejection）　unfolds。in　one　of　two　ways：　

。　
Acceptance。　This。represents。resignation　to　the　new　level　of　prices　and　acceptance　that　it　is。fair。　The　market　breaths　a　sigh　that　says。　〃This。is。the　new　standard。〃　At　this　point；　the　initial　imbalance　revives。and　the　cycle　begins。anew。　

。　
Rejection。　The　market　ultimately　rejects。the　new　price　and　returns　to　where　the　move　originated。　




Let’s。look。at　the　fourth　stage　and　the　transition　to　a　new　cycle　in　more　detail。　If　the　market　truly　accepts　the　new　price　level；　it　will　continue　in　the　direction　of　the　initial　dramatic　move　to　stake　out　a　further　price　territory。　Figure　9。7　shows。
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the　narrow　tail　of　the　P　or　b　shape。　This。creates。a　large　bell　tune；　ultimately　resembling　a　capital　D。　

Application　to　Spreads　
Let's。look。at　an　example　of　this。negotiation　process。as　applied　to　a　spread　market。　
Figure　9。9　is。a　chart　of　the　2…year　Euro　Schatz　versus。the　5…year　Euro　Bobl　spread　for　the　period　July　25　through　August　1；　2006；　organized　into　the　Market　Profile　formal。　ing　out　of　the　mode　（widest　area）　of　a　well…developed　bell　curve　（D　shape）；　the　new　auction　process。starts。with　an　initiating　directional　move。　Here；　it's。a　sell…off　that　opens　new　territory。to　the　downside。　

As。the　negotiation　（auction）　begins；　the　first　stage　shuts　off　the　selling；　and　then　the　later　stages。start　to　build　volume　toward　the　bottom　of　the　dramatic。directional　move；　forming　the　lowercase　b…shape　（Figure　9。10）。　

Once　the　b…shape　isplete；　the　market　is。ready　for　either　price　acceptance　（a　further　move　in　the　same　direction）　or　price　rejection　（a　return　to　the　starting　point　of　the　decline）。　In　this。case；　the　market　followed　a　price…rejection　scenario；　which　resulted　in　a　rally。out　of　the　high…volume　level　of　the　b　back。toward　its。initiation　point。　The　ultimate　result　was　the　creation　of　a　D…shape　bell　curve。　

Let's。put　these　profiles。together；　as。shown　in　Figure　9。12。　On　this　posite　profile；　the　2…year　Euro　Schatz　versus。the　5…year　Euro　Bobl　spread　is。showing　a　D　shape　that　is。close　to　pletion　of　a　fully　developed　bell　curve。　As。often　happens；　the　shape　is。not　a　perfect　bell　curve。　It　is。rather　wide　and　has。a　dent　of　low　volume　around　9847；　between　two　pleted　bell　curves。　A　market　will　sometimes。fill。in　this。type　of　low…volume　area；　but　in　this。case　the　width　of　the　profile　suggests。that　the　market　is。very。near　a　new　directional　move。　By　putting　this。smaller　bell　curve　into　a　larger　context　of　development；　we　can　determine　the　next　directional　move　out　of　the　high　volume　area　of　9855。　
In　general；　as　a　building　bell　curve　nearspletion；　the　trading　strategy　is。to　position　oneself　at　one　end　of　the　developing　value　area　in　anticipation　of　the　

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case；　we　see　a　large　underdeveloped　area　below　the　market　and　would　begin　to　anticipate　a　new　directional　move　to　the　downside。　
Figure　9。14　shows。the　subsequent　market　action。　The　market　did　in　fact　follow　our　expected　scenario　and　begin　to　build　volume　in　the　formerly　underdeveloped　area。　In　the　next　section；　we　consider　this。in　light　of　the　four　elements。of　a　trading　strategy。　

Finding　a　Larger　Context　
The　idea　of　a　larger　context　is。critical　to　using　Market　Profile　effectively。　Recall　our　four　elements　of　a　trading　strategy：　determining　market　direction；　establishing　a　target；　knowing　how　much　time　you　have　in　a　trade；　and　recognizing　whether　you're　right　or　wrong。　We　now　have　tools。to　support　each　of　these　trading　decisions。　We'll　illustrate　this。process。with　the　10…year　U。S。　Treasury　notes。versus。10…year　EuroGerman　Bund　spread；　using　a　ratio　of　100　to　55。　
Using　the　profiles。in　their　default　organization　（by　days）　is。not　the　best　way。to　track。the　progress。of　the　negotiation　process。　I　like　to　bine　the　profiles；　as。we've　been　doing　here；　to　bring　out　the　bell　curves。　But　how　do　we　know　what　to　bine？　In　an　underdeveloped　value　area；　the　market　can　spend　days。trading　back。and　forth　within　the　established　extremes。of　value。　If　the　range　is。established　in　one　day；　the　market　might　spend　three　or　four　days。building　volume　in　that　range。　We　typically　bine　profiles。that　are　building　within　the　same　value　area　until　the　bell　curve　es。close　to　pletion。　When　the　profile　is。ripe　and　ready　to　spill　directiona