Algorithmic Price Action Trading Strategies(알고리즘 가격 행동 거래 전략)

Algorithmic Price Action Trading Strategies(알고리즘 가격 행동 거래 전략)

Posted By: Steve Burnson:

 

This is a Guest Post By Robert F. Smith @RobInTheBlack of Smith’s In The Black YouTube Channel

 

Algorithms, a traders best friend.

알고리즘, 트레이더 베스트 프렌드.

 

Wait, What?? One of the most common misconceptions in Trading is that “Algorithms are picking Me Off”.(솎아내다 괴롭히다) Nothing could be further from the truth. Perhaps you’ve had this happen to you. You place a stop order under an obvious pivot, only to be stopped out and have price reverse back the other way. You are a victim of price discovery, not algorithms. Think about it for a second,(잠시) a program doing that wouldn’t make any money. Selling a stock down only to then reverse and start buying, doesn’t make any sense.

잠깐, 뭐야?? 거래에서 가장 일반적인 오해 중 하나는 "알고리즘이 나를 따기내기"입니다. 진실에서 더 멀리 떨어져 있는 것은 아무것도 없습니다. 아마도 당신은 당신에게 이런 일이 있었을 것입니다. 당신은 명백한 피벗 아래에 정지순서를 배치, 오직 밖으로 중지하고 가격이 다른 방법으로 다시 역전가격을 가집니다. 당신은 알고리즘이 아닌 가격 발견의 피해자입니다. 돈을 벌지 못하는 프로그램을 잠시 생각해 보십시오. 주식을 매도한 것은 역으로 매수하기만 하면 이해가 안 된다

 

Let’s be clear about what Algorithms are. There are two types of algorithms or what We call “Automated Trading.” The first type is definitely picking you off, but you wouldn’t even notice it. This is called High Frequency Trading. These programs are designed to front run your orders, but for milli-pennies and milliseconds and like I said, you won’t even notice it.

알고리즘이 무엇인지 명확히합시다. 두 가지 유형의 알고리즘 또는 "자동 거래"라고하는 알고리즘이 있습니다. 첫 번째 유형은 확실히 당신을 솎아내지만(괴롭히지만) 눈치 채지 못할 것입니다. 이를 고주파 거래라고합니다. 이러한 프로그램은 귀하의 주문을 선제 처리하도록 설계되었지만 밀리 페니 및 밀리 초 동안은 내가 말했듯이 눈치 채지 못할 것입니다.

The second type is simply algorithmic trading where a program is executing orders instead of a human. This second type is your best friend. You may have heard some struggling traders say, “Just do the opposite of my trades and you’ll make money.” This is not true. The opposite of losing trades is not winning trades, it’s not trading at all. Otherwise, We could just build losing programs and then tell the program to do the opposite. I’ve got news for you, it would still lose. So how can ee(당하는 자) use algorithms in our favor you ask?

두 번째 유형은 프로그램이 사람 대신 주문을 실행하는 단순한 알고리즘 거래입니다. 이 두 번째 유형은 가장 친한 친구입니다. 고군분투하는 거래자들이“그냥 내 거래와 반대로하면 돈을 벌 수있다”는 말을 들어 보셨을 것입니다. 이것은 사실이 아닙니다. 지는 거래의 반대는 거래에서 이기는 거래가 아니고 전혀  거래하지 않는 것입니다. 그렇지 않으면 손실되는 프로그램을 빌드 한 다음 프로그램에 그 반대를 지시할 수 있습니다. 당신을 위한  잃을 것이란 뉴스가 있습니다. 그렇다면 ee는 당신이 질문하는 우리에게 유리하게 알고리즘을 어떻게 사용할 수 있습니까?

Very simple. For any trading program, there are 4 things that need to be programmed. What vehicle, SPY, AAPL, etc. What do you want it to do , buy or sell. How do you want it to do it, By staying on the bid or taking the offer, sell by staying on the offer or hitting the bid. When do you want it to do it and for how long. If we then use multiple time frame analysis, We know EXACTLY what they told them.

아주 간단하다. 어떤 트레이딩 프로그램에도 프로그래밍이 필요한 것은 4가지다. 어떤 운송수단, 스파이, AAPL 등. 무엇을 하길 원하십니까, 사시겠습니까, 팔기를 원하십니까? 어떻게 하길 원하십니까, 입찰에 남거나 제안을 받아들이거나, 제안서에 남거나 입찰에 응하여 판매하십시오. 당신은 그것을 언제 얼마나 오래 하기를 원하십니까? 만약 우리가 다중 시간 프레임 분석을 사용한다면, 우리는 그들이 그들에게 말한 것을 정확히 안다.

For macro purposes, I start with yearly and quarterly charts. However, we mostly use these four openings as our benchmarks for price. Monthly, weekly, daily, and 60 minute. By using multiple time frames, We can identify different participation groups by price and time, thus multiple algorithms on the knowledge that 70% or more of executed trades are automated ones.

거시적 목적을 위해 연간 및 분기 별 차트로 시작합니다. 그러나 우리는 주로 가격에 대한 벤치 마크로이 네 가지 오프닝(개시)을 사용합니다. 매월, 매주, 매일 및 60 분. 여러 시간 프레임을 사용하여 가격과 시간별로 서로 다른 참여 그룹을 식별 할 수 있으므로 실행 된 거래의 70 % 이상이 자동화 된 거래라는 지식에 대한 여러 알고리즘이 있습니다.

In order to separate the groups, We need a sequence (일련의)of time to pass. We prefer to have 4 separate opening times for each to identify the specific groups. It doesn’t mean We don’t trade until We have them(4개 영업시간), it means we gain more information when we do.(거래하다) Here’s what I mean by that. On any given Monday, the opening of the day, week, and 60 minute are all the same for the first hour. After the first hour, the 60 minute has a new opening price, while the daily and weekly stay the same all day.

그 집단을 분리하기 위해서는 일련의 시간이 지나야 한다. 우리는 특정 그룹을 식별하기 위해 각각 4개의 개별적인 오프닝 시간을 갖는 것을 선호한다. 그것은 우리가 그것들을 가질 때까지 거래하지 않는다는 것을 의미하지 않는다. 그것은 우리가 거래할 때 더 많은 정보를 얻는다는 것을 의미한다.(거래하다) 내 뜻은 이렇다. 어느 월요일이든 첫 시간 동안 하루, 주, 그리고 60분의 오프닝은 모두 똑같다. 첫 시간 이후 60분에는 개장가가 새로 책정되고, 일간지와 주간은 하루 종일 동일하게 유지된다.

On Tuesday, the daily uncouples from the weekly by having a seperate opening. The second hour on Tuesday we call “The Uncoupling”, Where we finally have four separate openings for the monthly, weekly, daily, and 60 minute groups. However, If a new month starts on a weekend, this does not occur until the second hour of the second Tuesday as the weekly and monthly stay the same all week.

 

So how does this help us pick up on algorithmic programs? Very simple if we revert back to what they need to program. Let’s use SPY as an example. If the price is trading higher than the 4 separate openings, here’s what programs were told to do. Trade SPY, BUY by taking the offer, do it NOW. There’s no other explanation , this MUST be occurring. Understanding this information helps put us in the right place at the right time because it has to.

With 2020 being a challenging trading year for some, all you need to do is line up what I just told you and you’ll see how it not only has kept you out of a lot of trouble, but put you in the strongest names as well. In February, SPY opened at $323.25. So anytime that month below that number when the week, day, and 60 minute were red, those bots were hitting bids.

 

In March, SPY opened at $298.21. Same deal. The other issues there was the macro openings. Below $323.58, SPY was red on the quarter and year. All of this set into motion above the 200 day moving average, mind you. Then just like I explained about uncoupling in 4 major time frames, come April, you’ve got a new quarterly opening.

SPY opened the new quarter and month of April at $247.98. This was well below the 200 day moving average and yet the beginning of one of the biggest quarterly point gains in decades if not ever.

 

Knowing this information would have also kept you out of trouble if not also getting short things like airlines, Cruise lines , and trying to pick a million bottoms in Boeing.

 

Since we know the programs are buying aggressively by taking the offer when all time frames are above their respective opening prices, this also enables us to track down the very aggressive programs. Once the second quarter began, All you needed to do was go after anything staying or going green on the year from the opening. For instance, SHOP opened in April at $400. It opened up for the year at $402.58. So any time in April when the monthly, weekly, daily, and 60 minute were green above 402.58, everything was signaling more upside.

SHOP is at $1029.97 as I write this. So when all time frames are green except the 60 minute, We circle like hawks waiting form the 60 minute candle to see if the programs turn back on again. You will see them turn on and off, now that you know what to look for.

 

To make it even easier, all you had to do was mind names that actually went up during the March meltdown. Specifically, ZM and TDOC. ZM was already screaming higher in the first quarter after opening the year and quarter at $68.80. Then after opening at $144.80 in April to start the second quarter, any time above that when the monthly, weekly, daily, and 60 minute were green, very aggressive algorithmic buying.

ZM is at $261.74 as I write this.

 

TDOC opened the year at $84. By the end of the first quarter it closed at 155.01.

 

These are just a couple but if you look at all the big movers to the upside this year, You’ll see how they lined up similarly. MELI, QDEL , COUP, NFLX, AMZN, SPOT, DOCU just to name a few more.

 

Let’s take one more look at one of the most controversial names, Tesla! In March, TSLA took a beating with the market. However, TSLA you’ll recall had a monster January to start off the year. So, TSLA opened the year at $424.50.

 

After going into the $900’s in February, it cratered back down to close March at $524.

Then as the new quarter and month began in April, it opened at $504. Still well above it’s yearly opening and for the second quarter any time it was over $504 and the monthly, weekly, daily, and 60 were green.

SEE you robots! So now that you KNOW, think about what they are doing, automated algorithms become your best friends as they do all the heavy lifting for you!

 

Rob has been trading for over 30 years. He was a member of the Chicago Stock Exchange for 16 years where he was an OTC and Listed Specialist , Independent Trader, and research analyst for several firms. For the past 8 years He has been teaching his methodology and you can follow him on YouTube