《外汇交易实战图表与交易心理》 作 者：(新加坡)许强 (美国)Gary Weiss

Whether these known facts are predictive in nature, however, is another idea altogether. Clearly, a trader would need to realize that any long Yen position would need to imply an event change in the future to make the position worthwhile. An event change in this regard could be anything from a regional currency revaluation, to a change (or the likelihood of a change) in internal interest rates. All of which represents a bit of a “ dis connect” for the average trader. Essentially, the risk/reward ratio for being long Yen seems to be weighted negatively, as opposed to the risk/reward ratio of being long another or alternative currency. Which, of course is the key to posi tive carries in general. Trading foreign exchange requires a thought process that looks at the maximization of positive variables over time, as being the only effective gauge for success. Trying to maximize the return characteristics of any particular currency pair should be viewed as a direct corollary to this way of thinking. Also, and admittedly sometimes even counter intuitive, the discipline of comparing relative interest rates of a currency pair over time can actually lead to trading in positions that may not have appeared obvious in the first placeOnce again I ’ 11 draw reference to a speech given in Beijing this past January. The reason I did not find it instructive to be long Euro against the dollar (when asked my opinion by a member of the audience) ,even though I thought the Euro would actually trade higher, was because the trade would have resulted in a negative carry. Or, more specifically, every day the position was held open would have resulted in the long Euro side of the pair earning the equivalent of 2.25% and the short Dollar costing approximately 2.50% . To make matters worse, the environment for interest rates in the US at that time seemed to indicate the that rates would continue to rise in the US, thus further exaggerating this negative structure over time. Tlierefore^ my response to the query, and in fact a specific trade recommendation was to actually put on a trade to go long the Euro versus the Yen (which, at the time was trading at about 133.50) . Within a month of that comment, Dollar/Yen was trading at 105.50, or 3.50 Yen higher, while the Euro was unchanged against the dollar at 1.3100. Euro/Yen, on the other hand was trading at 138.20, a gain of 470 points.

In this example, of course, and with the benefit of hindsight, the trade recommendation was absolutely correct. But, more importantly, in this particular circumstance was the method that I had used to express my trade views. Here, by putting on a trade that possessed the maximum inherent benefits from the start, I was able to capture a significant move in a not so obvious currency pair. Which of course is the main point for looking at the carry implications in the first place. As with any trading position, a review of not just the directional bias needs to be taken into account, but also the interest rate components that might serve to maximize the potential benefit for holding on to the position in the first place.

名词解释

Carry:利率差额交易；套利外汇交易；息差交易。例 如，当利率偏低，投资者便借人短息（1%)买长债（4%)， 稳赚可观息差；及/或当美元汇价看低，便借入美元买进看 升的亚洲股、汇市。

Rollover:展期交割，在外汇市场或货币市场上，将原 有交易的交割日向后延展，称之为展期。

Dollar Parity:美元平价，用美元作为基准货币评定其 他货币价值的标准和依据。

Money Center Bank: —些在金融业中占据中心地位的 大型银行，在商业银行利率确定过程中发挥倡导性作用， 避免过度的金融业价格竞争。

Over Night：当日交割的隔夜拆放资金，简称为O/N。 在外汇市场的换汇交易及货币拆放中，以交昜日当日为第 一个交割日，而次一营业日为第二个交割曰。

The Risk/Reward Ratio:风险收益比。

Futures markets Are they predictive in nature

There has been a great deal written about whether futures markets can be viewed as predictive of movements or the future distillation of events in the aggregate. Particularly in the United States, there has beeri a great deal of attention paid to this concept even on a theoretical level. Recall, the now discredited idea of actually setting up a futures market that would gauge the possibility of certain terrorist related activity. But whether on a more practical level this type of thought process is viable for established markets that have associated futures contracts is an interesting question that may at least have some anecdotal validity. Take for example the current state of indexed futures for equity markets. The idea, in this regard, of which market actually leads the other (using in this context S&P futures) seems often to be in dispute, with indicators of open interest, volume levels and other types of even more esoteric criteria being viewed as significant. The same can be said with regard to futures contracts in the currency markets. In this case however, the very idea of futures having much influence is somewhat counter intuitive given the absolute size of the cash market as opposed to futures. But this very issue is, in many ways the core of the argument in favor of futures actually being predictive. For example, the cash markets represent enormous volume figures, because there is a covering process that takes place for each amount traded, until it actually reaches the eventual end user. Specifically, if a dealer were to quote a trade for 10 million US dollars size equivalent, whether for position purposes, offset, or internal funding, the actual usable size of that position is often not $10 million but rather a small percentage. This perpetuates a hedge or cover needed for the position, against another dealer. The same group of events repeats itself through multiple dealers, until such time as the total size of the initial position is effectively digested into the market for use against a theoretical end user. Often this could mean as many as 10 times the initial trade size being actually dispelled into the market as a result of one initial trade. This of course, leads to a distorted view relating to the significance of volume related statistics. In the futures market, on the other hand, it can be argued that the other side of each trade is in fact an eventual end user, whether for hedge or speculative purposes, which, unlike the cash market, obviates the need for a successive daisy chain of extended volume. The point here is that futures, even though smaller in terms of size than the cash market, cannot be dis missed in terms of their relevance towards being part of a predictive model.