在平緩市場中進行動量交易

Alan Farley   2015年11月10日

動量交易員尋找強烈趨勢，使用侵略性策略高價買入在更高價賣出或者低價賣出在更低價平倉。平緩市場可以破壞這些策略減少利潤，因為大多數股票和指數被困在相對狹窄的範圍内。

平緩市場為動量策略設置了額外的障礙因為他們依靠突破和下跌。交易區間擾亂這一侵略性策略，他們試圖推動突破支撐位或者阻力位通常會引起突然損失。

下面是四種動量交易員可以用來適應平緩市場的方法：

• 減少交易頻率，直到出現新的上升或者下降趨勢。
• 在維持動量策略的同時減少交易規模，在市場反轉時獲得更小的損失。
• 減少持倉時間，在更短的時間框架尋求動量交易。
• 尋找趨勢運動強烈的股票或者其他工具。

市場可能在很長時間進行徘徊，降低波動幅度以鞏固過去的趨勢。降低頻率能降低經費但是也喪失利用震蕩區間有限的機會。減小手數有相同的影響，擱置交易計劃直到市場回到支持策略的環境。

在走勢不明的市場發現趨勢

市場上衆多闆塊總能提供機會，有很高的幾率一些走勢在大盤趨於平緩時與大盤表現相反。找出這些相反的部分進行趨勢交易直到新的大規模上升或者下跌發生能為動量交易員提供獲利的機會。

公用事業、國防股票和鞋類在區間範圍市場通常表現良好，經常在資本退出前爆發。這是一個邏輯過度，因為機構把這些股票當成避風港，在新的趨勢出現前把資金投放裡面。

使用相對強度可以確定平緩市場中這些行業中最強勁的部分和其他吸引資金的部分。一種技術類型是使用200天指數移動平均線列出股票的價格分佈。在這條線之上交易比例比較多的股票比接近或者在其下交易比例更多的股票相對強度更大。

這個分類過程也能用於鑒別出做空選項因為它建立一個對比列表。選擇那些相對強度弱的股票在平緩市場中做空，最好是那些打破基礎或者接近多年最低點的股票。在賣空之前檢查股息計劃因為收益導向性股票在這種環境中趨勢更加明顯，如果持有超過除息日你將需要支付費用。

事故股

一小部分充滿動量的股票能在市場轉向平緩時得以延續，因為他們發出吸引人的事件形成獨特的基本面，吸引有限的資金到一個反饋回路，這可以形成很強的趨勢。這些股票往往集中在高系數市場集團，包括科技、生物技術和零售行業。

他們通常也集中在資本頻譜的低端並通過三個簡單的技巧發現：

• 使用Russell-2000組件並將價格應用到200日指數移動平均線或者相對強度掃描中。
• 浏覽Russell-2000組件，尋找每週或者每年新高。
• 尋找不同尋常的新聞並觀察市場的反映，關註那些吸引比平均交易量更多資金的股票。

高資本化事故股票很容易找到，因為他們吸引穩定的信息流和買賣興趣。動量交易員可能已經跟蹤這些問題因為他們是相對趨勢市場中引人矚目的。

減少持有時間

根據流行的說法，牛市總是存在的。在平緩市場中找到這些趨勢的最簡單方法是放大更小的時間框架檢查高流動性股票。60分鐘圖尤其適用這種技術，通常發現兩到五天和一到三週產生明顯動量交易的價格波動。

廣泛的交易區間為這種策略提供更高的利潤，動量交易員在區間第三個低點進入60分鐘突破並在高端第三個或者區間阻力位賣出。賣空則做相反操作。

這種技術的持有時間要符合交易員的方便程度，因為快速的進入和退出可能不適合習慣操作幾週或者幾個月趨勢的交易員。另外，這自然適合那些已經經歷日内波動的交易員，他們已經掌握了短時間價格圖表的高幹擾程度。

總結

動量交易員應該在平緩市場中降低交易頻率和規模同時尋找延續上升或者下降趨勢的事故股。60分鐘圖表提供一個第二動量策略，在有界限的交易區間中呈現小規模的上升或者賣空。

Finding Momentum Plays in Flat Markets 

By Alan Farley | November 10, 2015 

Momentum traders seek out strong trends, capitalizing on aggressive strategies that buy high and sell higher on the long side or sell low and cover lower on the short side. Flat markets can undermine these tactics, reducing profits, because the majority of equities and indices get stuck within the relatively narrow boundaries of trading ranges.

Flat markets present an additional roadblock for momentum strategies because they rely on buying breakouts and selling breakdowns. Trading ranges upset this aggressive approach, with attempts to push above resistance or drop below support typically attracting reversals that can punish new positions with sudden losses.

There are four common ways that momentum traders can adjust to flat markets:

• Reduce trading frequency, waiting for a new uptrend or downtrend to set into motion.
• Reduce position size while maintaining the momentum strategy, taking smaller losses when markets reverse after breakout or breakdown attempts.
• Reduce holding period, looking for momentum trades within shorter time frame charts.
• Find securities or sectors with strongly trending action that diverges with rangebound indices.

Markets can spend long periods grinding sideways, consolidating past trends while lowering volatility levels. Reducing frequency lowers drawdowns but fails to capitalize on the limited opportunities that evolve during the rangebound period. Reducing size has the same effect, putting the trading plan on hold until the market returns to conditions that support the strategy.

Finding Trends In Trendless Markets

Divergent performance across sectors offers a solution, with high odds that certain groups will act independently when the broad equity market goes flat. Identifying these groups early in a trading range reduces frustration for the momentum trader while providing the opportunities needed to profit until the next large-scale rally or sell-off sets into motion.

Utilities, defense stocks and footwear offer three market groups that tend to act well in rangebound markets, often breaking out of bases and heading higher in reaction to rotational capital exiting former high flyers. This is a logical transition because institutions regard these groups as safe havens, drawing capital until more traditional momentum plays enter into new trends.

Use a relative strength scan to identify the strongest components of these maverick sectors as well as other market groups attracting capital within the flat conditions. One technique sorts a comprehensive list of securities by price location vs. the 200-day EMA. Stocks trading at a high percentage above this moving average show greater relative strength than those trading near it or below it.

This sorting process can also be used to identify short candidates because it builds a leader and laggard list. Choose the weakest stocks for short side plays in flat markets, preferably those breaking down from bases at or near multiyear lows. Check the dividend schedule before selling short because income-oriented securities trend more sharply in these environments, and you’ll be on the hook for the payout if holding through the ex-dividend date.

Story Stocks

A narrow selection of momentum-fueled stocks survives the transition into flat markets because they tell attractive stories or carry unique fundamentals, concentrating limited capital into a feedback loop that can elicit very strong trends. These plays tend to congregate in higher beta market groups, including technology, biotechnology, and retail.

They also tend to cluster at the lower end of the capitalization spectrum and can often be found through three simple techniques:

• Take a list of Russell-2000 components and apply the price vs. 200-day EMA or another relative strength scan.
• Flip through the charts of Russell-2000 components, looking for new weekly or yearly highs.
• Look for unusual news items in the pre-market and check the reaction, focusing on securities that attract much higher than average volumes.

Higher capitalized story stocks are easily located because they attract steady news flow and buying or selling interest. The momentum trader may already be tracking these issues because they’re the most popular plays in actively trending markets. Execute momentum short sales with the weakest members of this group, while trading lower cap candidates solely on the long side. 

Reduce Holding Period

According to popular lore, there’s always a bull market somewhere. The easiest way to find these trends in flat markets is to zoom in and examine highly liquid securities in lower time frames. The 60-minute chart is especially useful in this technique, often uncovering two to five day and one to three week price swings that produce outstanding momentum trades.

Broad trading ranges offer greater profits with this strategy, with the momentum trader entering a 60-minute breakout in the lower third of the range while looking to sell in the upper third or at range resistance. Short sales flip over this strategy, selling short on a 60-minute breakdown in the upper third of the range and covering in the lower third or at range support.

The holding period for this technique needs to match the trader’s comfort level because rapid entries and exits may be unsuitable for participants used to playing multiweek or multimonth trends. Alternatively, it’s naturally suited to experienced day and swing traders who have already mastered the higher noise levels found on shorter term price charts.

The Bottom Line

Momentum traders should reduce frequency and size in flat markets while seeking out story stocks that continue to trend higher or lower, despite adverse conditions. 60-minute charts offer a second momentum strategy, grinding out smaller-scale rallies and sell-offs within broader trading ranges.

本文翻譯由兄弟財經提供

文章來源：http://www.investopedia.com/articles/active-trading/111015/finding-momentum-plays-flat-markets.asp