【讀書筆記】The Heretics of Finance – 技術分析名家訪問錄

得書蟲戰友推薦，兩年前認識了一本叫The Heretics of Finance的老書( https://amzn.to/38WHC3k )。作者為大學教授Andrew Lo，訪問了十三位技術分析名家，包括：

*《多空操作秘笈》作者Stan Weinstein * 之前隊長多次撰文介紹「美股老黃忠」Walter Deemer * 期貨怪傑Linda Raschke *《墨菲論市場互動分析》作者John Murphy * 波浪理論奇人Robert Prechter

書本風格跟《金融怪傑》系列一樣，一問一答，眾名家分享，由門外漢到專家的奇幻旅程，以及自己心法的重點。

隊長喜歡訪問Robert Farrell那章。Robert Farrell曾為美林證券首席技術分析員，專研投資者情緒、市場心理 (延伸閱讀<美林首席分析員十大心法>：http://bit.ly/382za16 )，是六十年代業界公認的「帶頭大哥」。

Robert Farrell測市神準的秘密之一，在於有系統地研究散戶的部署，作為相反指標。六十年代時，美股不像現在，交易一股也行，當年最少交易一手(100股)。如小投資者本錢不足，無法負擔買入一手，需要到「碎股經紀行」(odd-lot house)買賣碎股。

Robert Farrell認識了一家「碎股經紀行」的主事人Sandy Lanefield，利用Sandy客戶買賣的紀錄，兩人發現「碎股」交易頻繁時，往往是大跌將至；個股沽空量高企，股價難跌易升；大量散戶預設的止蝕價，被擊中的機會特別高。Robert Farrell在藏經閣融會貫通「實戰散戶理論後」，功力大增，測市的準確度大增。

或問：請問哪裡可以獲取，美股碎股交易的資料？現代美股，因為取消了手數限制，碎股理論被廢武功。但近日才發現，原來有研究機構，會以另類手法，跟進缺乏購買力散戶的倉位。

正所謂：做到老，學到老，投資永遠學不完。剛剛在Twitter看到了一篇來自研究機構SentimenTrader (網站：)的一片文章，順藤模瓜發現了一個叫Small Trader Call Buying的指標。

該指標統計美國各券商，單次交易少於10張的新開倉long call 交易(網站關於該指標的原文說明在篇末)。邏輯是例如買入100股TSLA太貴，本錢不夠，只能借助買入期權的槓桿，以小博大。所以Small Trader Call Buying絕對是現代版的「碎股理論」。

今天(26/2)研究SentimenTrader 提供的Small Trader Call Buying的數據，原來是過去十年的新高，顯示散戶捨命利用衍生工具，亡命式買入認購期權，重槓桿無防守力。近幾天美股高台跳水無反彈，或因此有關。

至於機構投資者，根據指標如Hedge Fund Exposure以及NAAIM Exposure Index，雖為過度樂觀(excessive Optimism)，但離多年新高頗遠。

話題扯遠了，Robert Farrell的投資智慧，下回繼續。

附：Small Trader Call Buying 的Construction:

A small trader buys a call option to open a position for one reason. He thinks his stock is going higher. He buys a put option to open because he thinks his stock is going down. You may argue that he?s trying to hedge some underlying stock position, but it doesn ‘t matter. If he thinks his stock is going up, he's not going to buy a put just for the thrill of it.

If we isolate the trades to just those of 10 contracts or less, and further restrict it to buys and opening transactions only, we can get a true picture of what retail traders (i.e. small brokerage firm customers) are doing.

This ratio looks at transactions that are buy-to-open only, and only for those trades that are under 10 contracts. Therefore, it is an excellent read on the emotions of the smallest of traders and should be interpreted in a contrary manner.

The indicator is constructed by computing the percentage of total small trader option volume that went to buying call options. It is a proxy for their speculative bets on a market rally. The higher the ratio, the more bullish these small traders are. When it becomes very high, that is a negative for stocks.