图表观察者的复仇

When Andrew Lo lectures on technical analysis, the MIT finance professor often airs a video that asks the audience to count the number of times a basketball is passed among a group of players.

As the players toss the ball, someone in a gorilla costume strolls onscreen, faces the camera, beats his or her chest, and silently exits.

Most people admit they don’t even notice the gorilla, focused as they are counting basketball passes.

Technical signals — “double top” patterns, Bollinger bands, and so forth — are a lot like the gorilla, according to Lo: visible but overlooked.

“All of us have these cognitive blinders,” Lo says. “Technical analysis addresses that.”

Lo’s view puts a decidedly charitable gloss on a controversial topic. Technical analysis surely ranks as among the most widely disdained professions on Wall Street, somewhere on the continuum between, say, penny stock brokerage, voodoo, and storefront clairvoyance. The thinking, according to these maligned market watchers, is that visual cues that show up when technical analysts are mapping price and volume figures can portend a market’s direction.

So-called technicians — some call themselves trend followers or chartists — have been ridiculed for decades by efficient-market champions like Eugene Fama of the University of Chicago and stock pickers such as Berkshire Hathaway’s Warren Buffett and Fidelity Investments’ Peter Lynch, who once quipped, “Charts are great for predicting the past.”

“Much of it is a fraud,” says Princeton University professor Burton Malkiel in a phone interview. “These patterns don’t work after transaction costs.”

In his seminal book,A Random Walk Down Wall Street, the 12th edition of which is scheduled to appear in January, Malkiel was more blunt: “Under scientific scrutiny, chart reading must share a pedestal with alchemy.”

And Martin Fridson, chief investment officer at Lehmann, Livian, Fridson Advisors, a fixed-income adviser, scoffs, “At one point there was phrenology — that’s gone because they proved it was wrong.”

The skepticism is understandable. “Death crosses” and “Hindenburg omens” are mumbo jumbo to “real” fundamental analysts who pore over the hard data of balance sheets or parse the nuances of CFOs’ earnings calls. Even seasoned technicians don’t agree on whether a particular chart squiggle is a “cup and handle” pattern, considered to be a mostly bullish sign, or not.

但怀疑论者被诅咒：今天的技术分析似乎是滚动。不同条纹的投资者 - 垃圾箱潜水价值，Go-Go成长，即使是Smart Beta和Quand Crowds - 正在转向与技术人员几乎完全使用的相同工具。Sam Stovall表示，投资研究公司CFRA的首席投资官：“今天的投资组合经理更愿意在其投资决策时期融入技术分析。”

Take Pim van Vliet, head of conservative equities at Robeco, in Rotterdam, who uses momentum and other technical signals as he ranks a universe of 1,000 stocks on mostly fundamental factors, like buybacks and dividends. “What I like about chartists is that it’s evidence-based,” he says. “You look at the length, the strength of the trend, and you can back-test it.”

Van Vliet is not alone. The number of candidates for Chartered Market Technician certification totaled 1,995 in 2018, up 67 percent from 1,195 just three years ago, according to the CMT Association.

The popularity of exchange-traded funds dedicated to trend-following market timing strategies is also rising, albeit from a tiny base, according to ETF.com, a research firm that combed through its database of 2,208 funds to identify them. There were just two such funds in 2010, with a combined $903 million in assets. That’s ramped up to 39 funds, with a total of $11.7 billion in assets as of December 12.

总而言之，投资者在过去十年中倒入了83亿美元进入这样的ETF。

“Increasingly, we’ve seen investors seeking out and asset managers offering products that use momentum strategies either alone or in combination,” says Todd Rosenbluth, director of fund research at CFRA.

其中一个产品由Rosenbluth的同事Stovall管理，他于7月开始于Pacer CFRA-Stovall等重量季节旋转ETF。

Based on past technical patterns, the fund switches in May to an equal-weighted portfolio of consumer staples and health care stocks from one composed of consumer discretionary, industrials, materials, and technology stocks, then goes back again in November.

你知道，旧的“售后卖出”的变化并远离“格言。

“在买方面越来越多的人正在将技术分析整合到他们的流程中，”CMT协会的首席执行官和CMT协会总裁Alvin Kressler负责监督特许市场技术人员的认证。“我们看到更多的人倾向于我们。”

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什么促使投资者进入克鲁克格雷厄姆和多德一桶绵羊内脏？超过了几个因素，包括在汤森路透和彭博终端，雅虎金融和谷歌图表上的易于使用图表功能的扩散。

Most obvious is the burgeoning success of passive investing. In 2007 index funds accounted for 15 percent of ETF and mutual fund assets, according to the Investment Company Institute. In 2017 that number was 35 percent.

As recently as last year, fewer than one in ten active large-capitalization U.S. stock managers had beaten the S&P 500 during the previous 15 years.

因此,目前活跃的基金经理somewhat desperate quest for new ideas, trading strategies, or tactics — anything to narrow the gap between their own performance and that of the big indexers. It is, after all, a struggle for their own survival.

“Wall Street is neither fundamental nor technical,” say MIT’s Lo. “They are opportunistic.”

实际上，在技术分析的普及普及上兴奋地研究了基础研究的问题。“人们倾向于技术的一个原因是他们对基本面感到沮丧，”斯托瓦尔说。“价格从未重新调整过。盈利经常被重新调整。GDP经常被重新调整。“

The growth in indexing has resulted in something else: a sharp increase in the amount of assets effectively being managed on what amounts to autopilot. “What that’s done is create a much larger pool of investors that are in the same boat. That creates opportunities,” says Lo. “You have more naïve investors who react in predictable ways — that’s exactly how technical signals work.”

There is no doubt that the technical profession is also benefiting from massively better optics. More managers are willing to talk about their use of charting because the practice has found an unwitting ally in a newly popular academic discipline: behavioral economics.

不久前，行为经济学家似乎偏心 - 出于主流。不再。

Now behaviorists including Daniel Kahneman of Princeton University and Robert Shiller of Yale University are Nobel Prize–winning rock stars. Last year, Richard Thaler, professor of economics at the University of Chicago and aNew York TimesSunday business columnist, won the Nobel Prize in economics as well.

Behavioral economics focuses on individuals’ tendencies toward what are irrational investment decisions — say, loss aversion, herd behavior, and anchoring. Those are exactly the same dynamics that technical analysts say they can captureen masseby reading price and volume patterns. “The technicians have been doing those things forever,” notes the CMT Association’s Kressler.

One simple example: If an individual is fixated — or anchored, as behaviorists say — on the idea that he or she will sell when the Dow Jones Industrial Average hits a nice round number like, say, 25,000, well, why wouldn’t hordes of other investors also sell then?

Hence “resistance levels” — the price points cited by technicians beyond which particular stocks or indexes struggle to rise or fall.

波动率的回归市场开始this past summer should in theory give traction to trend-following strategies that successfully toggle between riskier and safer asset classes. Stay tuned: It bears noting that just 18 of the 38 funds for which ETF.com was able to calculate one-year benchmarks succeeded in beating them during that stretch.

The success of a cadre of high-profile quantitative hedge funds has probably lessened resistance to technical precepts — nobody sneers at Renaissance Technologies’ Jim Simons and his Medallion Fund for its roots in commodities-based trend following or Winton Group David Harding for saying “We are trying to capture crowd behavior in different broad markets.”

Academia, at least grudgingly, seems to be reconsidering its hitherto dismissive stance. Joining just a smattering of business and other schools such as Brandeis University, City University of New York’s Baruch College, and the University of Arkansas, other higher education institutions are rolling out courses and curricula that incorporate technical analysis.

审慎证券技术分析前技术分析负责人现在是明尼苏达州圣保罗圣托马斯大学的辅助教授。他称自己和他教导“学术界和现实世界之间的一座桥梁”。

Acampora表示，通过技术分析更广泛地接受到学校课程中，建立一个海滩头 - 并将其转化为他和其他图表认为其与现代产品组合理论的原则相当合适的地方，例如资本资产定价模型，投资组合优化，高效市场假设。

But don’t hold your breath.

学者跟踪技术分析回到古老的巴比伦，掌握了证据，仔细保留了大麦，日期和芝麻等商品的价格数据。铭刻在粘土片上的数据与占星术相结合，并由商人使用以预测未来价格。

快进到19世纪早期,当大卫Ricardo, the English economist, advised investors to “cut their losses” and “let their winners run” — axioms still subscribed to today by trend followers, who count him as one of their own.

At the end of that century, Charles Dow, the co-founder of Dow Jones & Co., set the modern era of technical analysis in motion, fueling widespread popular interest in trend following with his editorials forThe Wall Street Journal. At the time, Dow recommended tracking the direction of the Dow Jones railroad index to draw a bead on the overall market’s direction, sometimes confirming the direction with industrials.

20世纪的历史最终充满了技术人员和图表，简单的趋势追随者 - 是的，愚蠢的投机者。思考杰西利弗尔，在1929年坠毁的所有首都，所以被称为“男孩柱塞”，更近，保罗铎王琼斯（Paul Tudor Jones）的创始人是铎投资公司的创始人。

Yet even with its lengthy history, technical analysis was eyed suspiciously — and its practitioners sneered at.

Louis Rukeyser was something of an anomaly in regularly inviting technical analysts on his television show, “Wall $treet Week with Louis Rukeyser,” which ran for three decades until it ended in 2002. Notably, it was only after his mainstream fundamentalist strategists were interviewed that he would bring in what he called “elves,” like Acampora.

“Why do you call us elves?” Acampora says he once asked Rukeyser.

“Because I don’t think our viewers know what you do,” Rukeyser replied.

The marriage of technical and fundamental isn’t necessarily an easy one. EquBot, a San Francisco ETF manager and research firm with $200 million in assets employs artificial intelligence to data-mine fundamental sources from around the globe — prosaic balance-sheet and earnings statements, of course, but also more than 1.2 million news articles and social media posts a day.

今年早些时候，该公司的系统Chida Chida Khatua表示，该公司的系统使用该系统，这些系统将在CEO ELON Musk创立的电动车手创建的电动车手对Tesla产生了看涨本文。该公司在移动平均趋势线上归零，经典技术信号，在拉动股票上的触发器之前，在趋势线下端交易时购买。

“Technical analysis does work,” explains Khatua. “But you have to put constraints around it.” In August, Musk stated he was interested in taking Tesla private at $420 a share, sending the stock soaring. In September, Musk smoked what was purported to be a marijuana cigarette on a webcast, punishing shares.

这些事件有条件有关技术分析的看法。“当伊隆麝香绝对没有新闻时，它有效，”他说。

一般来说，Quants更擅长将价格和卷的技术因素相结合，具有更基本的 - 价值和盈利质量。他们习惯于从任何数量的来源中拉动数据并利用它们的算法来让计算机发出买卖的决定。

That’s the case with Breton Hill Capital, a $3.3 billion firm bought by Neuberger Berman in 2017, which invests across asset classes globally using strictly quantitatively driven trading programs.

Breton Hill首席投资官Ray Carroll表示，下行价格势头，一个关键的技术信号，在11月初的预算投资，基于基本原理，看起来很喜欢在太平洋天然气和电动公司的份额基础上的购买- 价格和稳固的收益记录，正在陷入讨价还价的领域。

But computers weren’t reading headlines: Wildfires ripping through swaths of Northern and Southern California were punishing PG&E’s shares, cutting them by more than half over a fortnight. That generated negative-momentum signals that helped Breton Hill avert losses for the firm.

The lesson, Carroll says, is that technical signals offer insight that fundamentals sometimes can’t. “Maybe the market knows something you don’t see,” he says.

通过contrast, Carroll points to the upward price momentum at graphic software powerhouse Adobe, whose share price, up 41 percent year-to-date through mid-December, is confirmed by strong fundamentals like growing earnings, cash flow, and sales. “We have the most conviction when we have both,” he says.

Where will the growth of technical analysis lead? Probably to a place close to where it began. As more investors flock to buy and sell signals, any anomalies will inevitably be traded away — a world where investors may just find themselves back in the same old “buy and hold” position.