Τεχνική Και Θεμελιώδης Ανάλυση μετοχών και εταιριών
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Transcript of Τεχνική Και Θεμελιώδης Ανάλυση μετοχών και εταιριών
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. . MSc () Team Site: A.E.A.C. Co. Project Manager-Site Administrator e-mail: [email protected], My Blog, Twitter, Linkedin
08/10/2015
- . (Technical Analysis) . (Fundamental Analysis), (). 1 Motor Oil, , , - , , , . 1) () ), () 3) ,() 4) ,elroseKuwaitEnergyo,VegasilGAS - () 5) Elpedison BV ( )
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6) , ( ) )( ) )()
Keywords: technical analysis, fundamental analysis, stock market, corporation, MACD, William %R, SMA, EMA, Stochastic Oscillator, RSI, CCI, Bollinger Bands, ROE, ROA, Current Ratio, EPS, EBITDA, EBT
(Technical Analysis) . , . . 1) (, / , , , , ) 2) . 3) . 4) -, .
(Fundamental Analysis)
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1) , 2) , , 3) . 4) , , . 5) .
1) . ) , . ) , , . ) , . , , , ,
,
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------
. (leading) (lagging) , .
H , -- (bull market- uptrend), (bear market- downtrend) / (sideways trend). ( ), ( ) ( ).
(patterns1), , (indicators), . 1) (trend) (--) 2) (volume). 3) (volatility). 4) (momentum). .
1 .
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(oscillator), , (overbought), , (sell signal). , (oversell), (buy signal) . , .
. . ( )
1) (Simple Moving Average- SMA) 2) (Exponential Moving Average- EMA) 3) MACD (Moving Average Convergence/Divergence). 4) Bollinger Bands 5) Commodity Channel Index 6) Relative Strength Index 7) William %R 8) Stochastic Oscillator
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1) SMA (Simple Moving Average)
, . , . , SMA (lagging) . , SMA .
---- SMA
(Close Price), (), (SMA)
SMA=++++ (P= Close Price, N= )
, , , . , (), 1 . , SMA ,1. , , . , SMA 5 (5-days SMA),SMA 50 (50-days SMA), 5-days SMA 50-days SMA, (signal) (uptrend)5-days SMA 50-days SMA, (signal) (downtrend).
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SMA. , SMA 10 (10-days SMA) 1-days SMA (signal) (uptrend) 1-days SMA (signal) (downtrend). , SMA (lagging), , .
2) EMA (Exponential Moving Average)
EMA, . SMA , (lagging) . EMA, , . , ,
---- EMA
(Close Price), (), (EMA)
SMA .
t=1 EMA1=SMA
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EMAt= + , t>1 , (P= Close Price) 0
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---- MACD
(Close Price)
MACD= EMA(Close Price, 12 days) - EMA(Close Price, 26 days) Signal= EMA(MACD, 9 days) Divergence = MACD Signal
MACD Signal, (bear market), . MACD Signal, (bull market), . MACD ,
4) Bollinger Bands
John Bollinger, 1 (volatility bands) . , . . Bollinger Bands . , Bollinger Bands -Tops(*) W-Bottoms(*) .
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ollinger ands (middle zone) (upper zone, lower zone). (SMA3), 20 . H +2 (upper zone) (middle zone), -2 (lower zone) .
*-Tops: , , , () . *W-Bottoms: , W, , () .
W- Bottom M-Tops
3 SMA= Simple Moving Average
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---- Bollinger Bands
(Close Price) (Standard Deviation)
Middle Zone= 20 days SMA of Close Price Upper Zone= Middle Zone + 2*Standard Deviation(20 days) of Close price Lower Zone= Middle Zone - 2*Standard Deviation(20 days) of Close price
(SMA) () SMA,
5) Commodity Channel Index (CCI)
onald Lambert 1 . , (ETFs, , ). CCI . CCI , . , CCI , . , CCI (overbought), (oversell).
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---- CCI
(Close Price), (High Price) (Low Price). (Typical Price)
Typical Price= + +
CCI= ,
CCI +100 , , . CCI -100 , , . +1 -100 CCI , +-200, .
6) Relative Strength Index (RSI)
Welles Wilder, 1 (oscillator). .
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---- RSI
RSI= +
RS=
4 14 (14 days CMA). , (Close Price) (upward) (downward)
1.
Close Price(t) Close Price(t-1). Close(t) Close(t-1). >0 Upward (U) (Gain) Close(t) Close(t-1). 1: CMA(t) = +1
4 ,
(Smoothing Moving Average)
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3.
RSI= + 5
RSI 1 (overbought) (oversell) RSI . ,
RSI (oscillator) ( ) RSI .
7) William %R
Larry William, . (oscillator) Fast Stochastic Oscillator. O William %R, , N .
5 CMA(D,1)(),RS RSI=100.
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---- William %R
(Close Price), (High Price) (Low Price). 14 (1).
%R= -100*
-1 (-,) (overbought) (-100,-) (oversell), . -50 (-50,0), . (-100,-50) 125-days %R, . 125-days %R -50. . 125-days %R -50. .
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8) Stochastic Oscillator
George Lane, , 1 (oscillator) George Lane (momentum) , .
---- Stochastic Oscillator.
(Close Price), (High Price) (Low Price). 14 (1).
%K= %D=(3 days SMA) of %K
Stochastic Oscillator, ,%K %D. %D, (signal) MACD. %K %D (signal), (bear market), . %K %D (signal), (bull market), .
Stochastic Oscillator, %R.
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Stochastic Oscillator 0 +1 %R Stochastic Oscillator, (overbought) (oversell). %K (,1) (overbought) (0,20) (oversell), . , (80,100), , (,) .
50 (50,100), . (0,50) .
Stochastic Oscillator. Stochastic Oscillator .
1) Fast Stochastic Oscillator ( Stochastic Oscillator). , George Lane ,
2) Slow Stochastic Oscillator. Fast Stochastic Oscillator. .
) Fast Stochastic Oscillator (Fast %) Fast %= Clece cle ceLw PceH PceLw Pce
) 3 Fast Stochastic Oscillator, Slow
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) 3 Slow %K, Slow %D (signal)
Slow %K= (3 days SMA) of Fast Stochastic Oscillator Slow %D=(3 days SMA) of Slow %K
Slow Stochastic Oscillator , (smoothing) (SMA) Fast Stochastic Oscillator (momentum) .
3) Full Stochastic Oscillator. %K %D. Fast Stochastic Oscillator , 14 , , Full Stochastic Oscillator, .
) Fast Stochastic Oscillator (Fast %) Fast %= Clece cle ceLw PceH PceLw Pce
) M1 Fast Stochastic Oscillator, Full
) M2 Full , Full %D (signal)
Full %K= (M1 days SMA) of Fast Stochastic Oscillator Full %D=(M2 days SMA) of Full %K
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------
, . , , , ( , , , - , , ). , (business plan), (business strategy), - (trademark), (customer relationships), (reputation) (goodwill), (R&D) , , . ,
1) () 2) () 3) (AAE ROA) 4) (AA-ROE) 5) (A) 6) (EPS) 7) () 8) 9) () 10) ()
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1)
, , , , , , ,
---- .
++
2
() , -
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---- .
3(AAE ROA)
, ) , ) ), , ,
---- .
ROA=
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4) AA-ROE)
, ,
----
ROE=
,
---- .
=
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(EPS)
EPS , , , ( ), , , , t t+1 (split), , , EPS ,EPS , , ( ) , EPS , EPS ( ,)
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---- .
EPS=
7)
,,,, , ,
---- .
=
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8)
( ) ) - ( ) , ) , . , . ) (Break Event Point). - . . - , . , , . . 1) ) -, ) ) -
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) .
9(EBT).
, (Earnings Before Taxes- EBT). . , , , , ( ), -
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, , . , ,
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().
()
()
, ,
( , EBITDA)
,
()
(EBT)
( ) (/ )
1. EBITDA: Earnings Before Interest Taxes Depreciation and Amortization (EBITDA: , )
2. EBIT ( ): Earnings Before Interest and Taxes (EBIT: () ) EBIT= -
3. () - ()-
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( ) 01/01/2014 31/12/2014 1 , , - , , , . .
excel
excel , (sheet) , (technical_analysis_ELPE.xls) , .
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1) SMA
10-DAY SMA . , , , SMA . , SMA, (lagging) , 10 . , 1-days SMA 1-days SMA 06/2014-07/2014 1-days SMA, 04/2014 1 1-days SMA.
0
1
2
3
4
5
6
7
8
9
SMA
Close Price
10-DAY SMA
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2) EMA
10-DAY EMA , EMA, (lagging) , 1 . , 1-days EMA 1-days EMA 06/2014-07/2014 1-days EMA, 04/2014 1 1-days EMA. EMA SMA, , .
0
1
2
3
4
5
6
7
8
9
EMA
Close Price
10-DAY EMA
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3) MACD.
MACD, . MACD MACD Signal, (bear market), MACD Signal, (bull market), , , , MACD. 1 1 MACD Signal , MACD Signal, . ( 04/2014 04/2014), MACD Signal. 1 1, MACD Signal , MACD Signal, . 1 1, MACD Signal. 09/2014 10/2014, MACD Signal , , .
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4) Bollinger Bands
Bollinger Bands. , , . W- Bottom, , , , . , Bollinger M- Tops W-Bottoms
-0.5
-0.4
-0.3
-0.2
-0.1
0
0.1
0.2
MACD & SIGNAL
MACD
SIGNAL
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5) Commodity Channel Index (CCI)
,CCI . CCI , ,CCI , . +1 -100 . +1 -1 , , +-200. CCI . , CCI +1-100 , ( 1),
0
1
2
3
4
5
6
7
8
9
BOLLINGER BANDS
MIDDLE BAND
UPPER BAND
LOWER BAND
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6) Relative Strength Index (RSI)
, RSI 1 (overbought) (oversell) RSI (oscillator) () RSI ++ (+70) , (+30) , ,
-300
-200
-100
0
100
200
300
CCI
CCI
- 100 LINE
+100 LINE
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,RSI ,
7) William %R
, %R ,14 -100 0. (-,) (overbought) (-100,-) (oversell), - (-,), (-100,-50) . (-100,-) (-,), , (-80,-) . .
0.00
10.00
20.00
30.00
40.00
50.00
60.00
70.00
80.00RSI
RSI
+30 LINE
+70 LINE
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R CCI, CCI CCI
8) Stochastic Oscillator
Stochastic Oscillator,,(oscillator) (momentum) ,. Stochastic Oscillator, , %K %D %D, (signal) MACD. %K %D (signal), (bear market),
-120
-100
-80
-60
-40
-20
0WILLIAM %R
William R
-80LINE
-20 LINE
-50 LINE
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%K %D (signal), (bull market), Stochastic Oscillator,Stochastic Oscillator +1 %K (,1) (overbought) (,) (oversell), (,1), (,) .
D (signal), D, , D, . , , . , D (3 Days SMA) Slow Stochastic Oscillator .
, . , + + , . , (+10, +90) . , + ,
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+, .
0
20
40
60
80
100
120 %K &%D
%K
%D
0
20
40
60
80
100
120 %K
%K
_+80 LINE
_+20 LINE
_ +50 LINE
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1
, 0. .91, . , , , , , . , - , , , . . , , ,
2014 0,703 0,837 0,912 0,806
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2)
, . , , . , , , , . -0.022 -0.036, . , . , . 1, , 1 / , . , , / , . / , . , , .
2014 -0,022 -0,013 -0,017 -0,036
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3) (AAE ROA)
(), . -0.008 -0.046, , . , , , , , , .
, . , , , , () , ,
2014 (ROA) -0,008 -0,008 -0,017 -0,046
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4) AA-ROE)
ROE -0.027 -0.266 . ROE , ROE, , , . , , 1 , . , , ROE. , . AKK, ROA, ROE, , , .
2014 (ROE) -0,027 -0,034 -0,074 -0,266
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5) (AI)
. 17 0.28, , , , . , . , , , . , , 1) , 2) , 3) , 4) )
2014 0,28 0,24 0,228 0,173
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6) (EPS)
EPS , , EPS , EPS -0.14 -1.03, 1 cents 1 . , (ROE, ROA), . , , , , ( , - , ), ,
2014 EPS -0,14 -0,17 -0,36 -1,03
1 , , ,
2014 1,24 2,65 4,39 7,4
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- - .
, , (, , , ) , . . 313 , , , . , . , , . , / , . .
2014 1.928.825.000 4.127.881.000 6.542.111.000 8.750.184.000 -57.993.000 -60.736.000 -150.548.000 -426.705.000 -42.250.000 -52.707.000 -110.504.000 -313.550.000
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, , , . , , , , . , , , , .
, . , . , , . , , . , . , , , ,
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, , , , .
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[1] (- 2006) [2] ( - 2006) [](University Studio Press- 2009) [](- 2002 [](EisenJPeter- 1997) [6] (- 2002) [7]Risk Management (- 2006) [](. Eurocapital- 1997) [](etapublications- 1999) [10] ( Nomismatus RPI- 2000) [11] Technical analysis, plain and simple (Kahn Michael. FT Press- 2006) [12] Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications (Murphy John. New York Institute of Finance- 1999)
www.wikipedia.org www.stockcharts.com
www.elpe.gr
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(patterns)
DOUBLE TOP
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HEAD and SHOULDER TOP
ASCEDING TRIANGLE
[10] ( . Nomismatus RPI- 2000)