[선물] S&P500 선물 수량 파악 - 강세, 약세, 약세 / Eyeing the quants in S&P500 future…
선물개미
0
1637
2021.08.25 16:12
S&P 500 E-mini Futures
Pepperstone
We have upside trend resistance drawn from the April highs, while the upper Bollinger Band (not shown) has also been a good guide on daily upside limits. This should limit the movement in the near term and increases the prospect of a grind than an explosive move up, although Jackson Hole has the potential to change sentiment where I suspect the risks are skewed to the downside to an extent.
What is also interesting is to see how the market performs when we close above the 30-day high, which we can see from the Donchian channel. Using the logic of buying the S&P500 futures on the following open after a daily close above the prior 30-day high and exiting on the close on that same day. Since January 2020 there have been 48 occurrences, and we see a strike rate of 63%. Granted the average loss is 0.7x greater than the average win, but this test has no stop loss built-in and is purely defined by calendar basis.
The point being is that selling strength on a daily timeframe has been a poor trade. In fact, even if we go back to 2010 and capture different cycles the strike rate is 56%.
It throws weight to the belief that when trading equity indices that buying strong and selling weak tends to be a great starting point.
What is also interesting is to see how the market performs when we close above the 30-day high, which we can see from the Donchian channel. Using the logic of buying the S&P500 futures on the following open after a daily close above the prior 30-day high and exiting on the close on that same day. Since January 2020 there have been 48 occurrences, and we see a strike rate of 63%. Granted the average loss is 0.7x greater than the average win, but this test has no stop loss built-in and is purely defined by calendar basis.
The point being is that selling strength on a daily timeframe has been a poor trade. In fact, even if we go back to 2010 and capture different cycles the strike rate is 56%.
It throws weight to the belief that when trading equity indices that buying strong and selling weak tends to be a great starting point.
번역:
S&P 500 E-mini 퓨처스
페퍼스톤
4월 최고치에서 상승 추세 저항을 끌어냈고, 볼린저 밴드(표시되지 않음)도 일일 상승 한계에 대한 좋은 지침이 되었습니다. 잭슨 홀은 위험이 어느 정도 아래로 치우쳐 있다고 생각되는 심리를 변화시킬 가능성이 있지만, 이것은 가까운 시일 내에 움직임을 제한하고 폭발적 상승보다는 갈고 닦을 가능성을 높인다.
또 재미있는 것은 돈첸 채널에서 볼 수 있는 30일 고점 이상 폐장했을 때 시장이 어떻게 돌아가는지 보는 것이다. S&P500 선물 매입 논리는 전날 30일 최고치를 돌파한 뒤 개장했다가 이날 종가 마감하는 논리다. 2020년 1월부터 48건의 사건이 발생했으며, 63%의 파업률을 보이고 있습니다. 평균 손실은 평균 승률보다 0.7배 더 크지만 이 테스트에는 정지 손실이 내장되어 있지 않으며 일정 기준으로만 정의됩니다.
요점은 매일같이 강세를 보이는 것이 좋지 않은 거래였다는 것이다. 사실 2010년으로 돌아가서 다른 사이클을 캡처해도 타격률은 56%입니다.
주식지수를 거래할 때 강세와 약세가 큰 출발점이 된다는 믿음에 무게가 실린다.
원문링크: https://www.tradingview.com/chart/ES1!/IU2u8ZYt-Eyeing-the-quants-in-S-P500-futures-buy-strong-sell-weak/
[본문뒤 추가문구] 서학개미 투자포럼 - 해외투자 트렌드의 중심
