Technical-Analysis

The ATR Indicator True Range Conventional volatility measures based on the high-low range fail to account for gap openings. The True Range (TR), introduced by Wilder (1978), resolves this limitation by considering three sources of price movement: TRt=max⁡{Ht−Lt∣Ht−Ct−1∣∣Lt−Ct−1∣ TR_t = \max \begin{cases} H_t - L_t \\ |H_t - C_{t-1}| \\ |L_t - C_{t-1}| \end{cases} where HtH_t denotes the current period high, LtL_t the current period low, and Ct−1C_{t-1} the previous period close. The three components of TR capture distinct volatility sources: intraday range (Ht−LtH_t - L_t), upward gaps (Ht−Ct−1H_t - C_{t-1}), and downward gaps (Lt−Ct−1L_t - C_{t-1}). By taking the maximum across these three values, TR ensures that gap-driven volatility is never understated, a property particularly important for instruments that frequently exhibit overnight jumps such as index futures and government bond futures. ...

Introduction Financial markets alternate between periods of persistent directional movement and periods of consolidation around a mean. This distinction — between trending and mean-reverting regimes — is among the most consequential facts a trader or portfolio manager must confront, for the optimal strategy in one regime is often the worst in the other. A moving-average crossover that generates steady profits in a trending market will be whipsawed to extinction in a range-bound one; conversely, a mean-reversion strategy that profits from oscillations will suffer catastrophic drawdowns when a trend emerges. ...

Introduction This review examines a practical guide to futures trading that focuses on the application of three classical technical indicators — the Stochastic Oscillator (KD), MACD, and Bollinger Bands — within the context of Chinese commodity futures markets. Unlike academic treatments that evaluate indicators in isolation, this text emphasizes the interplay between indicators, volume, and trend, and provides concrete strategy templates that combine multiple signals. The book’s value lies not in novelty of its individual components, but in its consistent framework for contextual interpretation: the same indicator reading yields different trading decisions depending on the prevailing trend regime and volume profile. ...

In discretionary trading, indicators serve as auxiliary decision-making tools; in systematic trading (CTA), they become the raw material for constructing factors. For Chinese government bond futures (T/TF/TS), naively applying generic technical analysis is insufficient. Instead, one should build an indicator system grounded in three dimensions: macro inertia, volatility regime, and term structure. Trend Factors: Capturing Macro Inertia The underlying asset of government bond futures is the risk-free interest rate. Interest rate cycles are driven by macroeconomic fundamentals (GDP, CPI) and monetary policy operations (MLF, OMO), exhibiting strong trend persistence. Trend-following factors aim to capture this structural momentum. ...