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I’m Watching You 市場監控醬做就對了

台灣的市場上很多人的交易生涯足跡都是像這樣: 

個股投資→個股投機→期貨操作→選擇權操作 

原因除了交易的知識提升後較有能力進行高槓桿的商品操作外,少部份的人則是錢越玩越小只好去做OP。(笑)基本上對於一個完整健康的交易內容而言,能把市場上的所有商品都能夠接觸研究一輪是必須的,因為所有的商品之間都有互相連動的關係,造市者在其中一個商品市場切入後,其他商品就會因套利/價差/趨勢三種交易者的緣由跟進。
所以,目前大部分專職交易台指期的玩家都會有一套個股現貨的監控方法,基本一點的做法會去看漲跌江波圖,而操作精度較高的人就會參考個股成交明細相關資訊,這些由個股走勢組成的訊號雖然零星,但其中都隱藏了加權指數接下來走勢的重要徵兆。

你我都可以做到的市場監控

首先我先以大家唾手可得的券商軟體為例,在XQ系統的看盤軟體中,開啟裡面的選股功能, 會發現有一排很好用的即時選股設定,這個功能原本是提供個股當沖的交易者,設定好條件以後用來過濾,由自選的個股列表中再找出符合特定條件的幾支股票,裡面的條件如下圖所示: 基本上比較常使用的兩個訊號會是

1. 瞬間巨量大於300張
2. 一分鐘內漲2%以上

這種訊號是顯著的個股發動現象,如果產生訊號的商品又是關鍵的權值股,比方說鴻海、富邦金、台塑四寶等,很容易就會引起類股的連動效應,接下來就是拉動整體加權指數。因此一般來說在監控時會將所有關鍵個股設定為一個自選群組,Ex: 0050成份個股,讓盤中如有個股訊號的時候產生警示訊息,如下圖所示: 這種做法的優點在於,跟傳統報價畫面相比,報價畫面只有開高低收量等一般資訊,比較屬於持有現貨的操作者在觀察的內容,而且一般報價畫面若有特殊的異動也不會特別告知,但使用條件選股設定相對地可以在特殊的條件達成後主動跳出訊息,讓操作指數期貨的交易者可以不用一直眼睛盯著幾十檔的報價畫面。

交易工業革命的市場監控

但是條件選股的內容仍然有可以改善之處,以其中一個條件「瞬間巨量大於300張」為例,對於前100大權值股來說,有幾檔個股動輒就是500到1000張以上進出,比方面板股友達、群創, 單量300張幾乎是每天都會不斷出現的正常tick size;又有另外一個族群成交張數幾乎不會超過300張,比方說是高價股的上銀、TPK、大立光,或者是因週期因素而使成交量偏低造成股性比較牛的個股,如統一超、南亞,這些個股如果以300張為標準門檻,恐怕永遠都不會發出訊號,在這種狀況下,我們需要能針對個股作獨立調整之監控方法。 針對個股的成交單量統計,要從tick level的訊號做起,我們統計每天不含開盤與收盤時的最大單量,取5日均值後再打個折(*0.8)定義為標準門檻,每一檔個股由於股價、季節、題材熱門度不同,都可以計算出一個不同的巨量標準,以上圖為例:2409友達今天去除開盤與收盤的最大搓合量以後,單筆最大量為2850張,而連續五天的成交量巨量門檻是2539張,在這種狀況就就可以在盤中即時濾出巨量發生的訊號了。 
下圖是使用MultiCharts的市場掃描功能,把我們所定義的方法寫成指標後,掛載在關鍵的權值個股之上,你會看到高價股的成交量門檻普遍較低,一般而言大量都不到100張;而低價股或是股性較活潑的個股的單量門檻較高,台積電、鴻海在這幾天已經要到800張以上才算是顯著的訊號。另外,把買盤與賣盤分開來看則可以用來統計今日有哪些個股主力站在買方?哪些在賣方?或是兩者都掛零表示今天尚未出現顯著的主力量。

現貨市場監控的對應操作

現貨市場監控除了以上提到的成交量是關鍵以外,還可以從成交價的移動速度以及技術面的觀點去觀察,這些內容也可以一併整合到以上所提到的市場監控畫面之中。
指數的變化源自於現貨市場的動作,現在我們可以藉由這樣的工具,把現貨的買賣動作完整的掌握住,當行情發生時便可以用來確認期現貨的走勢是否一致,作為交易決策的參考,進一步決定是否順勢持有部位或是平倉出場。

在此順道一提關於活動的訊息,本次幣圖誌的交易工業革命活動,僅開放報名一週的時間即火速額滿,我們非常感謝各位讀者的支持,因此對於來不及報名的朋友,或者是想報名卻因時間或費用問題無法參加活動的朋友,我們特地再加開了一場免費的講座回饋大家,本週五1/25晚上7:00在群益期貨,金多多團隊會由David主講,介紹程式化輔助交易的內容,如果上星期錯過來不及報名交易工業革命的朋友,這次請把握機會到以下這個連結報名:

  【走進專業團隊交易室,一窺程式化輔助交易之堂奧】 

你們的支持就是作者們繼續分享的動力, 記得按個讚給我們鼓勵!
金多多團隊是由金湯尼廣邀各界好手組成,有團隊專屬操盤空間,並且有媲美法人等級的軟硬體設備與研究資料庫,朝向多市場、多商品、多策略的目標邁進。期許日後能帶給幣圖誌的讀者們更寬廣的視野與思維。

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