저자: CapstoneTradingSystems진행자 · 외국인
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결론: 영상은 금리 상승·인플레이션 우려를 근거로 롱 중심 전략에 숏 매매를 추가해야 한다는 주장으로, 특정 종목 가격 방향 예측은 없음. [시장 환경 및 Michael Burry 인용] 롱 편향 전략들에 대해 시장 체제 변화(regime change)를 고려해야 한다고 언급함. 금리 상승과 인플레이션을 우려하며, Michael Burry의 경고(인플레이션, 1920년대 독일 하이퍼인플레이션 사례 인용)를 소개함. [전략 성과 설명] 롱 전용 전략 VSD를 숏 포함으로 전환하는 방안을 검토 중이라고 설명함. 올해 들어 숏 매매는 손실이 반복되었으나, 백테스트상 연초 이후 약 4만 달러 수익(NQ 기준, 슬리피지·수수료 반영)이라고 함. [리스크 및 조건] 2018년 중반 이후 백테스트 기준 최대 낙폭(drawdown)은 약 6,155달러 수준이라고 언급함. 2018년 이전에는 전략 성능이 나쁘다고 설명함. 숏 매매는 체제 변화 국면에서 백테스트상 수익성이 낮았다고 평가함. [마이크로 계약 운용] 마이크로 계약 기준 계약당 약 800달러 리스크를 감수해야 한다고 설명함. [향후 방향] 숏 전략은 연속 손실이 나올 수 있으며 롱 쪽 성과는 불확실하다고 언급함. EVP 전략은 롱·숏 모두 거래하는 데이 트레이딩 전략으로 소개됨. [언급 종목·자산] 나스닥(NQ) 숏 전략 중심이며, 개별 종목 가격 예측 발언은 없음.
다듬은 글
at this point one of the things we have to consider is a regime change in the market many of our strategies are biased to the long side and vsd is one of them look at these short trades it's taken this year look at the short trade today had a three losses before it took this short trade yesterday same thing nice short trade this took yesterday and nice short trade it's taken today we're not trading the short side right now but we're looking at it and if we look at the returns on this strategy since the beginning here it's nearly 40 grand per nq with slippage in commission back testing to the beginning of the year taking short trade now coming into the beginning of the year it didn't make sense to do that the short side was not profitable enough to consider but we have rising interest rates and we also have guys like michael berry if you're not familiar with michael bury he's from the if you've seen the movie big short he's the doctor that became a hedge fund trader betted against the housing market in 2008 made a fortune went through a forty percent drawdown was mocked and laughed at and investors were angry for a long time until the trade finally went his way he was angry um but he says uh right down here he says bury tweet people people say i did not warn the last time i did but no one listens so i warn this time and still no one listens but i have proof i have warned so um that's michael bury he also has if you want to follow on twitter a lot of good information about inflation so we're talking about higher interest rates and inflation a lot of education on his twitter about that he quotes dying of money a book you can download about inflation in the 1920s early 1920s in germany and it's interesting to note all the marks that existed in the world in the summer of 1922 were not worth enough by november 1923 to buy a single newspaper or tram ticket that was a spectacular part of the collapse but most of the real loss of money wealth had suffered much earlier he you know we have rising interest rates he's he's making some parallels between what the u.s is doing and what germany did the 1920s which is not a good sign because even if you're on the right side of the trade and you make a lot of money um it would be uh you know what will that money actually be worth and so cryptos also then come into the argument but um let's not assume that uh we're going to have a worst case scenario that is that bad uh because you can't really do anything about you can't really do anything about it if armageddon happens you know if the if the dollar collapses that far there's not a lot you can do about it so you have to do the best you can while you have dollars and you know if you have cryptos that's good too but um when you're trading dollars in the stock market this is one thing to consider is to take more short trades vsd short we'll be implementing that in the portfolio calculator taking a look at that turning that on i'm going to show you what what we were trading and so i'm going to go in and format the strategy and we were trading it with these settings it was long only we turned off the europe so we said don't take trades during the european session europe hours were set to false set those to false sell short made that exit only and so this is what it was doing not bad 15 715 since right before christmas 15715 61 55 is the worst case drawdown so not bad but you know recently we're going through this drawdown which is kind of cyclical it could it could reverse and go north so we're not taking the taking away the long trades necessarily we are just going to add the short trades to the mix and let me let's look at that again what that looks like and you know this is one strategy that you could just trade this you could simply just trade this one strategy right now if you wanted to scale your risk manage your risk better trading just one strategy you're talking about let's look at a monthly return you know 19 in in february 21k in january and that's what it's doing this year so this year it's up about 40k and you would have a per if you're trading this on the micros it you know you could risk about 7 300 to 730 to a thousand dollars per micro uh roughly one tenth roughly 110 sometimes it's it's a little bit less than one tenth because the extra commission and slippage sometimes in the micro some of the trades are sometimes different so if you trade this you're risking per micro about eight hundred dollars per contract to potentially um in 2021 up 4k risking 800.
so you also have to look at the longer term risk and we're going to do that next we're going to go back and look at the risk over the very long term let's go back to 2018 i believe this this works back to around mid-2018 and we're gonna look at the risk there as well if you trade this strategy both long and short so since mid 2018 it doesn't really work that well before mid-2018 we have extra volatility now the nasdaq that we didn't have before and so before 2018 it doesn't work well and the worst case drawdown was from it was in no was in november and december about a month here where it did horrible and so in this case you would risk um 28 000 potentially 180 000 and your percentage of profitability is low uh you if you're trading a micro you'd risk about three thousand to potentially make you know eighteen fifteen to eighteen thousand and that is going back uh almost three years so that's per that would be per micro you could roughly divide it by ten and you have a strategy that goes long and short on the nasdaq going to continue to explore uh more additional short trades for for the stock index features it's it's difficult to do in a regime change because when you back test short short trades they're not that profitable there's not a lot of short trades that are profitable uh going back since 2009 but we have to consider what what will happen in the future and we have to consider the balance of taking short trades it's a good opportunity for us rough right now with this volatility it's hard in general to trade 250 points down 350 points up this may roll over to lowe's once again today um but that's that's a hard pattern to trade and getting an early short and sticking with it notice that it's still sticking with this trade until the end or until it's stopped out or until it reverses to the long side so um i like being able to get in on trades early we've had some success with this strategy on the long side and potentially we could see some success on the short try short side has been hot lately on the short side so it may go through a losing streak on the short side right now uh potentially um and it may do well on the long side we don't i don't know what the ebbs and flows are going to be like if the market's going to you know retrace to the upside and then roll over or if it's going to continue to go down at this point we shall see what the future holds another one is evp one it takes long and short trades it's only day trade the vsd is overnight so these two strategies are really like taking on the long and short trades in this market environment you
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