KR20040046605A - A Method for Providing a Technical Stock Index Using % Disparity Rate - Google Patents

Abstract

PURPOSE: A method for offering a technical stock index using a displacement percentage is provided to offer the precise stock information to users by applying for the comparison/analysis the stock prices of the different stock items, and offer the information for comparing/analyzing a stock price flow on a long term viewpoint. CONSTITUTION: A vector meaning the stock price fixed by a daily end price or a trading volume is inputted from an input device in order to find out an N-day movement average(302). An initial movement average is found out through a regression method multiplying a value summing the inputted vectors by 1/N. An N-day movement average is found out by using the initial movement average and the vector(306). The displacement percentage is found out/output by dividing the deviation into the N-day movement average(312).

Description

A method for providing a technical stock index using% disparity rate

The present invention relates to a method of providing a new technical stock indicator.

A common indicator of current stock prices is usually a percentage change over the previous day's value and a moving average line over the stock price (or trading volume) and the actual stock price. Most of them are stock price analysis using moving average line graph, and analysis of buying and selling of individual stocks is conducted mainly on graph analysis such as golden cross or dead cross.

1 is a daily chart for a composite stock index, showing an example of a moving average line and an actual stock price.

That is, FIG. 1 shows a 5-day moving average line 11, a 20-day moving average line 12, a 60-day moving average line 13, a 120-day moving average line 14, a daily peak 15, and a trading volume (16) with respect to the composite stock index. This chart is not limited to showing the composite stock index, but is also provided for each individual stock, so that general stock investors will make stock investments with reference to the above chart.

In this case, the golden cross (GC) means that the short-term share price moving average line breaks up the long-term share price moving average line and is interpreted as a signal for a bull market. Breaking down the moving average line means a strong signal for a bear market, and the Golden Cross and vice versa are widely used as indicators of technical analysis to predict mid-term stock prices.

On the other hand, short-term sensitivity analysis, which is frequently used, may include% increase or decrease of the previous day's value, or the separation between the actual price and the average price that can be obtained from the moving average line graph.

Disparity refers to the degree to which the stock price and the moving average line are separated, and the separation between the stock price and the moving average line is far from the moving average line. In practice, the degree of separation is expressed as a percentage of the day's share price (or index) divided by the moving average. A separation of more than 100% means that today's stock is above the moving average, whereas less than 100% means that the stock is below the moving average.

Since the stock price tends to repeat the wave movement in any form, it can be said that if the separation distance increases, the stock price will be followed by the repetition of the correction movement that returns to the moving average line. It can be used as an investment strategy.

In other words, if the separation phase of the 20th and 60th lines is 98%, the purchase point is the point of purchase, and if the 20th and 106th lines are greater than 106%, the 60th and 60th lines are the selling point. In the case of a downturn, the 20th line is 92% and the 60th line is 88%, and the 20th line is 102% and the 60th line is 104%.

At this time, the existing separation degree is calculated as 100% by dividing the share price of j days by the moving average of N days as shown in Equation 1 below.

In Equation 1, x _j refers to a j-day stock price, and y _j represents a N-day moving average value for j-days.

On the other hand, while the conventional analysis method using the actual price and the trading volume as described above can be usefully used for the analysis of individual stocks, there is a problem that the utility is inferior in comparison analysis with other stock prices. In other words, each stock price ranges from a few hundred won to a few hundred thousand won, so it is difficult to compare individual stocks using actual prices, and it is also difficult to compare the trading volume.

In addition, an analysis method using graphs such as golden cross or dead cross is also advantageous for the purchase and sell analysis of individual stock prices, but has a disadvantage in that it is disadvantageous for quantitative comparative analysis with other stock prices.

On the other hand, in the analysis of the existing stock price and volume, most of the analysis is a kind of sensitivity analysis, which is an example of how far apart the actual stock price is from the moving average line. have. However, while this gives information on the sensitivity of market fluctuations over the short term, it is detrimental to grasping the long-term flow of the stock price. It has not been reported.

In addition to the above analysis methods, technical analysis calculation methods such as stoke stick, three wire diagram, and MACD are used, but these methods also collect information on the sensitivity of market fluctuations, long-term flow analysis of stock prices, and compare and analyze each stock. There is a disadvantage in that.

The present invention is to solve the above-described conventional problems, the deviation value (x _j -y _j minus the price or transaction volume (x _j ) calculated on j day minus the N moving average value (y _j ) for _{j day} ) Quantitative relative comparison of individual stock prices by calculating the% separation (= (x _j -y _j ) / y _j X 100) value, which is the percentage divided by the N-day moving average, and the% separation rate. The purpose is to provide a method of providing technical stock indicators using% separation rate in order to be able to quantitatively analyze the stock price flow with individual stock prices in the long term.

1 is a daily chart for the composite stock index, an exemplary chart for moving average line and actual stock price.

Figure 2 is a configuration diagram of one embodiment of a stock trading system to which the present invention is applied.

Figure 3 using the% separation rate according to the present invention Flow diagram of one embodiment of a method for providing technical stock indicators.

4 is an embodiment diagram of the percent separation rate of a price or transaction volume provided in accordance with the present invention.

5A is an exemplary diagram prepared by using a method of providing a technical stock index using a% separation rate according to the present invention. FIG. 5A is a diagram showing various information on the stock price and the trading volume of D securities.

Figure 5b is another embodiment of the chart prepared by using the technical stock index providing method using the% separation rate according to the present invention, a diagram showing the various information on the stock price and trading volume of S electronic.

The present invention for achieving the above object, in the technical stock index providing method using the% separation rate, applied to the securities trading system, in order to obtain a moving average of N days, means the trading price of the stock price or the stock price set to the daily closing price A first step of receiving a vector x through an input device; A second step of obtaining an initial moving average value y ₀ for the number N by using a regression calculation method of multiplying an input vector x ₀ to x _N-1 by 1 / N; Obtaining a n-day moving average value y _n using the initial moving average value y ₀ and the vector x; N days shifted (x _{n + N-1} -y _n ) by subtracting the vector x _{n + N-1} calculated on n + N-1 days from the n-day moving average value y _n for _{n + N-1} days A fourth step of obtaining z _n, which is a percentage separation (= (x _{n + N−1} −y _n ) / y _n X 100) which is a percentage divided by an average value y _n ; And a fifth step of outputting the% separation rate z _n for use by users.

Hereinafter, exemplary embodiments of the present invention will be described in detail with reference to the accompanying drawings.

That is, the present invention is a sensitivity analysis first, instead of the conventional separation index value, the deviation value (x _j -y _j minus the price or transaction volume (x _j ) calculated on j day minus the N moving average value (y _j ) for _{j day} ) Calculate the% separation rate (= (x _j -y _j ) / y _j X 100), which is the percentage by dividing) by the N-day moving average, and provide a stock price indicator to identify long-term share price flows by integrating the% separation rate. It is about a method.

In this case, the calculation of the% separation rate according to the present invention is advantageous for quantitative relative comparison of individual stock prices in terms of sensitivity, and quantitatively compares the stock price flow with individual stock prices in the long term by integrating the calculated% separation ratio index value. It is advantageous.

2 is a configuration diagram of an embodiment of a stock trading system to which the present invention is applied.

That is, as shown in the drawings, the stock trading system to which the present invention is applied is connected to the stock exchange system 10 and the stock exchange system operated by the stock exchange so that the stock exchange request is made from stock investors (customers). There are a plurality of securities firm system 20, which performs stock trading with the stock exchange system, and provides various stock information by using a technical stock index providing method using% separation rate according to the present invention. Separately, the stock index calculation system 30 which provides various information using the technical stock index providing method using the% separation rate according to the present invention, and the% separation rate according to the present invention using the securities company system and the stock index calculation system. It includes a customer terminal (PC) 40 that is provided with the technical stock index providing method used.

At this time, the technical stock index providing method using the% separation rate according to the present invention is made in the stock index calculation system 21 directly operated by the securities company system 20, using the securities company system 20 for stock trading If requested by the customer, it may be provided to the customer terminal 40 of the customer through the network, or a system separate from the securities company system (ie, various securities analysis systems, stock information systems, various economic information providing systems, etc.). It can be made in the internal system or a completely separate system 30, it can be provided to the terminal of the customer via the network when the request of the general customer.

In addition, the technical stock index providing method using the% separation rate according to the present invention as shown in the drawings does not necessarily need to provide information online. That is, the technical stock index using the% separation rate according to the present invention calculated by collecting various information on the offline can be output through the output device of the system, and also calculated on the offline to the customer terminal through the network It may be provided.

3 is a flowchart illustrating an embodiment of a method of providing technical stock indicators using a% separation rate according to the present invention, and FIG. 4 is a diagram of an embodiment of a% separation rate of a price or transaction volume provided according to the present invention.

On the other hand, as described above, the technical stock index providing method is to be made online or offline in the technical indicator calculation system 21 in the securities company system, or individual technical indicator calculation system 30 independent of the securities company.

First, i + 1 sufficient data x = (x ₀ , x ₁ , ..., x _i ) ^T is provided from the database through the input device to obtain N moving averages (302). Here, the vector x means a specific stock price or a trading volume of the stock price, and can usually be set as a daily closing price, and i is i N and i = m + N-1.

At this time, the initial moving average value y ₀ for the number N is calculated as shown in Equation 2 below using the secured i + 1 data (304).

Next, the moving average value is calculated as shown in Equation 3 below (306).

n = 1, ..., m

Equation 3 indicates that the _N- day moving average value can be calculated very simply by adding the data of the latest x _{n + N- 1} and removing the furthest past data x _n-1 . The recursive calculation method can be called the recursive calculation method. In the same manner as in [Equation 3], a vector y = (y ₀ , y ₁ , ... y _m ) ^T , which is a moving average of N days of the remaining data, is calculated.

Next, using the moving average value vector y, the percent separation vector z = (z ₀ , z ₁ ,... Z _m ) ^T is calculated as shown in Equation 4 below (308). In this case, as shown in FIG. 4, the percentage of separation of the vector z appears up and down about the horizontal axis.

Next, the area A created by the vector z is integrated as shown in Equation 5 below. However, since the area of the vector z as shown in FIG. 4 is not a continuous amount but a discrete value and has a limited boundary, it is calculated using the Trapezoidal integration method as shown in Equation 6 below (310). That is, [Equation 6] is to obtain the area (that is, the integral value) of the% separation rate graph shown in FIG.

In Equation 6 above t is assumed to be 1.

Finally, the results of [Equation 4] and [Equation 6] on the stock price and the trading volume are output, the profit rate of the stock price is output, and the output information is provided to the user who requested the output information (312). That is, when requested by a user connected online, the corresponding information is provided to the user's terminal 40, and when requested by an operator in each system 21 or 30, the information is provided to the corresponding user's terminal. Will be done.

In this case, the% separation rate of the present invention with respect to each stock price or trading volume is relatively easy to compare in terms of sensitivity to other stock prices, and is advantageous for short-term buy or sell analysis. In addition, integrating the area created by the% separation rate is very useful for understanding the flow of stock prices or trading volume, which can be useful for long-term investment buying and selling.

Hereinafter, with reference to Figures 5a and 5b will be described in detail a specific embodiment of the securities analysis according to the present invention.

FIG. 5A is an exemplary diagram prepared by using a technical stock index providing method using% separation rate according to the present invention, and shows various information on the stock price and trading volume of D securities.

That is, FIG. 5A requests 220 stock prices and transaction volume data corresponding to the closing price of D securities using the HTS system (302), sets a moving average line of N = 20 days, and calculates an initial moving average value of the stock price and the trading volume. (304)

After calculating the initial moving average value, the moving average value of Equation 3 is calculated (306).

The percentage separation rate of the stock price and the trading volume is calculated (308), and the percentage separation ratio is integrated (310), and the result as shown in FIG. 5A is output (312).

In this case, Figure 5a shows the remaining 200 days of data, and for reference, the stock price of D securities is in the range of 1 to 20,000 won.

Meanwhile, in FIG. 5A, a PAPI (Percent Average Price Index, hereinafter simply referred to as “PAPI”) represents a percent separation rate with respect to the stock price (308). In other words, PAPI represents the percent separation vector z of Equation 4, and the variable value for z is a stock price.

In addition, PAVI (Percent Average Volume Index, hereinafter simply referred to as "PAVI") in FIG. 5A is a% separation rate with respect to the transaction volume. In other words, PAVI represents the percent separation vector z of Equation 4, and the variable value for z is the trading volume of this stock price.

In addition, in FIG. 5A, APIN (Average Price Integration, hereinafter simply referred to as "APIN") is an integral PAPI as shown in [Equation 6], and AVIN (Average Volume Integration, hereinafter simply referred to as "AVIN") refers to PAVI. It is integrated as shown in [Equation 6] (310).

That is, 501 of FIG. 5A shows the result of the selected stock price (D securities) four days before the trading day (2002/11/01). At this time, the 20-day average line% separation rate (PAPI) for this stock price represents 5.1%, and the 20-day average line% separation rate (PAVI) for the trading volume represents 59.2%. In addition, APIN is -1.5 and AVIN is 68.1.

RPPE (Reverse Percent Price Earning, hereinafter simply referred to as "RPPE") is the percentage return on stock, which represents the percentage return currently obtained. This means that the funds invested three days before the transaction (2002/11/01) will return 5.8% in the current period (2002/11/06). Representing RPPE as an equation, Equation 7 below.

In Equation 7, e _i represents the RPPE for i days ago, x ₀ represents the stock price for the current day (2002/11/06), and x _i represents the stock price for i days ago.

On the other hand, the results for the KOSPI 100 shown in Figure 5a is output to compare the fluctuations of the entire market. The results of FIG. 5A show that the D securities share fluctuates significantly compared to Kospi market fluctuations, and that high returns can be obtained by investing in a low APIN.

Figure 5b is another embodiment of the chart prepared by using the technical stock index providing method using the% separation rate according to the present invention, showing a variety of information about the stock price and trading volume of S electronic.

That is, FIG. 5B is analyzed by the same method as the example shown in FIG. 5A. At this time, the share price of S electronics has a price range of about 30 to 400,000 won, and as shown in FIG. 5A, the share price of S electronics moves in the same direction as Kospi 100, which is insensitive to falling stock prices and more sensitive to rise. have.

In addition, the share price fluctuates less than the previous D securities, and S electronics' maximum return ( RPPE = 25.0%) provides the same level as D securities ( RPPE = 29.2%). Therefore, since S electronic stocks are more stable than D securities, they provide maximum returns to the same degree as D securities.

Hereinafter, the specific meaning of the integral value of the% separation rate and the% separation rate to be provided by the present invention and a method of using the same will be described in more detail.

First, the% separation rate will be described.

The% separation rate provided by the present invention is similar to the conventional separation distance, but is a numerical value expressed in% considering only a deviation from the moving average line. There is a washout circuit in the control circuit. If you filter the data with the washout circuit, only the deviation remains. As a side note, the% separation rate can be regarded as a washout filtering of the existing separation degree. Unlike the existing separation rate, the% separation rate, which is only a deviation, is very advantageous for data processing such as integration.

At this time, one of the important meanings of the% separation rate is to provide quantitatively relative sensitivity to different stock prices or trading volumes.

The information provided by the percentage separation rate to the investor is as follows. In other words, the percent separation rate has the advantage of providing relative sensitivity, which is very important for relative stock price analysis.

For example, suppose you have A, a billion assets, and B, a hundred million assets. The ratio of wealth to two people is 10: 1. When A's allowance is 10 million won and B's allowance is 1,500,000 won, who can say that he used more money for a month. Absolute evaluation can be said to be more frugal than Mr. B, but relative evaluation can be said to be more frugal. In other words, assuming that the relative valuation criterion is an asset, the percentage of pocket money for A's assets is 1%, but the percentage of B's is 1.5%. At this time, the percentage of pocket money is a sensitivity or change in time for one month. Thus, it can be appreciated from the above example that using a% value based on some value, it is easier to quantitatively compare two calculated% values more easily.

The% separation rate also has this characteristic. In other words, in the present invention, the percent separation rate of the stock price or the trading volume is calculated using the moving average line as a reference value, and each calculated percent separation rate of the individual stock price or the trading volume can be directly quantitatively compared. .

Meanwhile, a method of comparing with other stocks using% separation ratio will be described with reference to D securities shown in FIG. 5A and S electronic shares shown in FIG. 5B as an example.

That is, the Kospi 100's PAPI, which can represent the entire market flow 19 days ago [2002/10/11] in FIG. 5A, is -11.4%. At this time, the PAPI of the stock of FIG. 5A is -23.8% and the PAPI of the S electronic stock of FIG. 5B is -12.1%. At this time, it has been described that the% separation rate can be compared directly as a numerical value. Accordingly, we can see that S-E shares are insensitive to market declines compared to D-shares.

On the other hand, to analyze the rise of the market, let's analyze the data 4 days ago [2002/11/01] in Figure 5a. Kospi's PAPI is 1.1%, D securities' PAPI is 5.1%, and the S-electronic PAPI in Fig. 5B is 7.4%. This means that as the market rises, the two stocks' PAPI are similar. The comparison between the two stocks using PAPI shows that S-electronics are more insensitive than D-shares on the downside of the market, and similar to D-shares on the rise, suggesting that S-Electronics is more stable and profitable.

Next, the meaning of the% separation rate integration and its use method will be described.

By integrating the% separation rate, we can calculate the area that the% separation rate produces. At this time, if the% separation rate area is negative, market energy is stored, and if positive, market energy is consumed. In other words, if the integral value is smaller, the stored energy is large and it is likely to surge. On the contrary, if the integral value is larger, the energy consumption is large and it is likely to collapse.

In other words, the% separation rate tells you how sensitive the market is, while the% separation rate integration is an indicator of the market flow while being insensitive to short-term changes.

The information provided by the percentage separation integration to the investor is as follows.

In other words, similar to the above description of the% separation rate, the% separation rate integration allows a direct comparison by providing a relative value for individual stocks.

In addition, even in comparison with other stocks, since the% separation rate integration is a value obtained by adding the% separation rate, it can be said that it is directly affected by the% separation rate. In other words, when analyzing the stock prices of D securities firms and S electronics for the day 2002/11/06 in Figs. 5A and 5B, the Index Integral Rate Integral (APIN) for Kospi 100 is 0.2, AVIN) is 45.2, APIN for D securities is 2.4, AVIN is 51.0, APIN for S electronics is 4.9, and AVIN is 19.2. From the APIN perspective, S electron is 4.9, higher than 2.4 of D securities. And both stocks are higher than the overall market flow Kospi 0.2. Therefore, when the S electronics consume more energy in terms of price than the D securities, it can be seen that there is a high possibility of plunge when investing.

In addition, when analyzing the percentage separation ratio of the volume, Kospi 100's AVIN is 45.2, D's AVIN is 51.0, and S's AVIN is 19.2. In other words, the DIN's AVIN is higher than the Kospi 100, while the S 'AVIN is about twice as low as the Kospi 100. Therefore, D securities are expected to have a high volume of speculative transactions, and may fall more sharply than S electronics when prices fall. This is because the price of D securities is more than 10 times lower than that of S electronics.

Next, we will explain how to buy and sell stocks using the% separation and% separation integrations.

In other words, when buying stocks using% separation rate and% separation rate integration, first, stock price% separation rate (PAPI) is the lowest, and second stock price% separation rate integration (APIN) is also low, and third, volume% separation rate ( We can see that there is a high possibility of obtaining a high yield when buying in the interval where AVIN) increases with a positive slope.

On the contrary, the selling point is: first, the share price% separation rate (PAPI) is the highest, and second, the share price% separation rate (APIN) is also high; We can see that there is a high probability of getting high returns.

On the other hand, since the recent fluctuations in stock prices are greatly affected by the flow of the entire market, it is good practice to set buy / sell points using Kospi 100, Kospi 200, or the composite stock index. In the following, a method of capturing a purchase point for Kospi 100 will be described using the present invention.

First, a method of analyzing Kospi 100 to buy D securities shown in FIG. 5A will be described. Analyzing the past 2-3 years, we can see the fluctuations of Kospi 100's PAPI and the APIN's fluctuations. Suppose we consider buying when Kospi 100's PAPI is below -10 and APIN is below -3.0. The time point that satisfies this condition can be set 91 days before the current trading day [2002/06/26] and 10 days before [2002/10/10]. 91 days ago, Kospi 100's PAPI was -11.8%, the APIN was -3.4%, and the volume was increasing in positive terms. Ten days ago, PAPI was -13.1%, APIN was -4.9%, and trading volume was growing.

At the same time, when investing twice in D securities at the same amount, the present day [2002/11/06] Gross Return on Investment (RPPE) was 0.9% when invested 91 days ago and 29.2% before 10 days, totaling 30.1%. Able to know.

Next, as with the purchase of D securities above, the current return for the current date [2002/11/06] when investing twice in the same amount in S electronics 90 days and 10 days ago is 91 The RPPE is 15.2% when invested a day ago and 25.0% when invested 10 days ago, totaling 40.2%.

The present invention is not limited to the embodiments described above, and various modifications and changes can be made by those skilled in the art, which are included in the spirit and scope of the present invention as defined in the appended claims.

As described above, the present invention is used to compare and analyze stock prices of different stocks, thereby providing an excellent effect of providing more accurate stock information to users.

In addition, as well as comparing stock prices of different stocks, there is an excellent effect that can provide information that can compare and analyze the stock price trend in the long term.

That is, the method of providing information according to the% separation rate calculation according to the present invention is advantageous not only for the quantitative relative comparison of individual stock prices in terms of sensitivity, but also by integrating the calculated% separation rate index value in the long term, and the stock price flow with the individual stock prices. There is an excellent effect that can be used for quantitative comparative analysis.

Claims (4)

In the technical stock index providing method using the% separation rate, applied to the securities trading system, A first step of receiving, via an input device, a vector x representing a stock price or a trading volume of the stock price, which is set as the daily closing price, to obtain an N-day moving average; A second step of obtaining an initial moving average value y ₀ for the number N by using a regression calculation method of multiplying an input vector x ₀ to x _N-1 by 1 / N; Obtaining a n-day moving average value y _n using the initial moving average value y ₀ and the vector x; N days shifted (x _{n + N-1} -y _n ) by subtracting the vector x _{n + N-1} calculated on n + N-1 days from the n-day moving average value y _n for _{n + N-1} days A fourth step of obtaining z _n, which is a percentage separation (= (x _{n + N−1} −y _n ) / y _n X 100) which is a percentage divided by an average value y _n ; And A fifth step of outputting the% separation rate z _n for use by users; Method for providing technical stock indicators using a% separation rate, including. The method of claim 1, A sixth step of obtaining and outputting the% spacing integral value A of the area produced by the vector z _n using a trapezoidal integration method Method for providing technical stock indicators using a% separation rate further comprising. The method according to claim 1 or 2, Equation Step 7 to get and output the return rate using Method for providing technical stock indicators using a% separation rate further comprising. The method according to claim 1 or 2, The% separation rate is a share price% separation rate (PAPI) or the trading volume% separation rate (PAVI), and the% separation rate integration is a stock price% separation rate integration (APIN) or trading volume% separation rate integration (AVIN) How to provide technical stock indicators using% separation rate.