⚙️ ระบบหุ้นเชิงระบบ

Pairs Trading, การหมุนเวียนกลุ่มอุตสาหกรรม, Turtle/Donchian, Gap Trading, ORB/VWAP, CANSLIM

ในบทนี้

1 Pairs Trading / Statistical Arbitrage 2 Sector & Asset Rotation 3 Turtle Trading / Donchian Breakout 4 Gap Trading (Gap-and-Go / Gap-Fill) 5 Opening Range Breakout (ORB) / VWAP 6 CANSLIM (William O'Neil) 7 From Setup to System: Backtesting Methodology

1. Pairs Trading / Statistical Arbitrage

Long undervalued + Short overvalued correlated pair (e.g. KO/PEP). Profit from spread convergence via Z-Score entry.

Z-Score of the spread — entry at ±2, exit at 0 (convergence)

Z-Score	Signal	Action
> +2	⚡ Entry	Long Weaker · Short Stronger
= 0	✅ Exit	Spread converges
> +3	⛔ Stop	Divergence too large
< -2	⚡ Entry	Reversed pair

Example KO/PEP: Z=+2.3 → Short KO, Long PEP · Hedge ratio β≈0.95

▸ At a Glance

📋 Setup

Correlation ≥ 0.80Z-Score > 2Hold period 5–20 dayssame sector

⚙️ Mgmt

Stop at Z > 3Recalculate hedge ratio dailyclose both legs simultaneously

🎯 Target

Exit at Z = 0Market-neutral base returnno directional market bias

Structure:

Identify pair: historical correlation ≥ 0.80, same sector
Calculate Z-Score of the spread: entry at Z > +2 (Short Stronger, Long Weaker)
Exit at Z = 0 (spread convergence) or stop at Z > +3
Derive hedge ratio (beta-neutral) from regression

✅ Market-neutral (minimal market risk)
✅ Low beta correlation
✅ Clear entry/exit math

⚠️ Correlation breakdown destroys the trade
⚠️ Short borrow costs
⚠️ Two simultaneous positions required

2. Sector & Asset Rotation

Rotate capital into the strongest sectors/ETFs by relative strength. Dorsey RS, P&F-BPI and momentum as signal generators.

Strongest sector (Energy) clearly outperforms — RS rating 92, BPI Bull Confirmed → overweight

▸ At a Glance

📋 Setup

RS Rating top quartileBPI Bull ConfirmedMonthly review cycleMax. 4 positions

⚙️ Mgmt

Monthly RS checkRotation on rank changeStop at BPI Bear Confirmedmax. 4 sectors simultaneously

🎯 Target

Profit from momentum effectsystematiclittle individual analysis per position

Structure:

Calculate relative strength of all sectors/ETFs (RS rating vs. S&P 500)
Top 3 by RS + BPI Bull Confirmed → buy candidates
Bottom 3 by RS + BPI Bear Confirmed → underweight / avoid
Monthly rotation: rebalance when RS ranking shifts

✅ Systematic & rule-based
✅ Benefits from the momentum effect
✅ Little analysis per position

⚠️ Whipsaw during regime changes
⚠️ Transaction costs with frequent rotation
⚠️ Does not work in sideways markets

3. Turtle Trading / Donchian Breakout

Rule-based trend-following system: entry at n-day high/low (Donchian Channel), ATR-based position sizing, mechanical stops. Classic from Richard Dennis's Turtle Experiment (1983).

20-day Donchian Channel — breakout above the high triggers long entry, stop at channel low

▸ At a Glance

📋 Setup

20-day high/lowATR(20) for sizing2× ATR stoptrend intact

⚙️ Mgmt

Stop 2× ATR from entrytrail with Donchian opposite sidemax. 4 units per marketno early exits

🎯 Target

Ride large trends fullyrule-based without discretionexit on Donchian opposite-side break

Structure:

System 1: breakout above 20-day high → Long; below 20-day low → Short
System 2: breakout above 55-day high → Long; below 55-day low → Short
Stops: 2× ATR(20) from entry, trail with Donchian opposite side
Position sizing: 1% risk per trade / 1× ATR(20) as 1 Unit

✅ Fully rule-based → ideal for backtesting
✅ Historically profitable trend following
✅ No room for interpretation

⚠️ Many false breakouts in sideways markets
⚠️ Large drawdowns
⚠️ Discipline required during losing entries

4. Gap Trading (Gap-and-Go / Gap-Fill)

Use opening gaps as setups: Gap-and-Go (continue momentum) or Gap-Fill (mean-reversion to prior-day close gap). Clear setup with daily reference.

Gap-Up: open significantly above prior-day close — Gap-and-Go (momentum) or Gap-Fill (reversal)

▸ At a Glance

📋 Setup

Gap > 1%Pre-market volume elevatedno earnings gapStop < gap level

⚙️ Mgmt

Only trade gaps > 1%Avoid earnings gapsclose position intradaystop at gap level

🎯 Target

Gap-and-Go: measured move from openGap-Fill: full fill to prior-day close

Structure:

Pre-market: gap screener > 1% or < -1% vs. prior-day close
Gap-and-Go: first 5-min candle holds above gap level → entry with momentum
Gap-Fill: price turns back toward prior-day close → counter-trend entry
Stop: below/above the gap level (invalidation)

✅ Clear daily-reference setup
✅ High daytrading search volume
✅ Quick resolution (intraday)

⚠️ Earnings gaps unpredictable
⚠️ Requires pre-market monitoring
⚠️ High trade frequency demands discipline

5. Opening Range Breakout (ORB) / VWAP

Breakout from the first 15/30-minute range or VWAP as dynamic support/resistance. Daytrading standard in US markets, easily systematized.

Opening Range (first 15 min) as yellow zone — breakout above OR-High triggers long entry

▸ At a Glance

📋 Setup

First 15/30 min rangeVolume > 1.5× avgVWAP as direction filterSession 09:30–11:30 ET

⚙️ Mgmt

Stop at opposite range levelno holding through lunchuse VWAP as re-entry filter

🎯 Target

ORB: 2× range widthVWAP trade: resistance/supportintraday exit

Structure:

Opening Range: first 15 or 30 minutes → define High/Low as range
ORB entry: breakout above OR-High (Long) or below OR-Low (Short) with elevated volume
VWAP: price above VWAP = bullish bias; pullback to VWAP = long entry
Stop: below OR-Low (Long) or above OR-High (Short)

✅ Daytrading standard
✅ Clear range as anchor
✅ VWAP universally used

⚠️ Requires intraday candles (no daily backtest)
⚠️ Requires active monitoring
⚠️ Only in volatile sessions

6. CANSLIM (William O'Neil)

William O'Neil's 7-criteria system for growth stocks: Current/Annual Earnings, New, Supply/Demand, Leader, Institutional, Market Direction.

Cup-with-Handle + volume spike on breakout — CANSLIM entry at pivot above the base

▸ At a Glance

📋 Setup

EPS +25%RS rating ≥ 80Breakout from base (Cup, VCP) with volumeMarket in uptrend

⚙️ Mgmt

Stop 7–8% below entryTrailing at 20–25% paper profitonly in confirmed market uptrend

🎯 Target

Growth stocks in early trend accelerationPivot from base as entryCompound over multiple legs

Structure:

C + A: EPS last quarter ≥ +25% YoY AND 3-year growth ≥ 25% p.a.
N: new product/management OR 52W high breakout from consolidation base
S + L: volume spike on breakout, RS rating ≥ 80 in the industry
I + M: min. 3–5 institutional funds holding; overall market in uptrend

✅ Fundamentals + technicals combined
✅ Historically strong win rate in bull markets
✅ Clear 7-criteria checklist

⚠️ Access to fundamental data required
⚠️ Only works in bull markets
⚠️ Very similar to Minervini template

7. From Setup to System: Backtesting Methodology

Die sechs Systeme dieses Moduls sind regelbasiert und damit testbar. Ein Setup wird erst zum System, wenn seine Regeln über viele Trades hinweg einen positiven Erwartungswert zeigen. Backtesting ist die Meta-Disziplin, die ein plausibles Setup von einem tragfähigen System trennt.

In-Sample, Out-of-Sample & Walk-Forward

Teile die Historie: Auf dem In-Sample-Zeitraum entwickelst und optimierst du die Regeln, auf dem zurückgehaltenen Out-of-Sample-Zeitraum prüfst du sie an ungesehenen Daten. Die Walk-Forward-Analyse rollt dieses Fenster wiederholt vorwärts (optimieren → testen → verschieben) und ist der härteste Test: Sie simuliert, wie das System in der Realität regelmäßig nachjustiert würde.

Curve-Fitting / Overfitting erkennen

Der häufigste Selbstbetrug: Man optimiert die Regeln so lange, bis die Vergangenheit perfekt aussieht, und scheitert dann in der Zukunft. Warnsignale:

Zu viele Parameter oder „Sonderregeln" für einzelne Marktphasen.
Eine verdächtig glatte, fast lineare Equity-Kurve.
Die Performance bricht out-of-sample deutlich ein.

Bewertungskennzahlen

Kennzahl	Was sie misst
Profitfaktor	Bruttogewinn ÷ Bruttoverlust. > 1 = profitabel, robust ab ~1,5.
Expectancy (R-Multiple)	Durchschnittlicher Gewinn bzw. Verlust pro Trade in Vielfachen des Risikos (1R) — der zentrale Erwartungswert.
Max Drawdown	Größter Kapitalrückgang von Hoch zu Tief — entscheidet, ob du das System psychologisch durchhältst.
CAGR / MAR-Ratio	Jahresrendite bzw. Jahresrendite ÷ Max Drawdown — Rendite im Verhältnis zum Schmerz.
Sharpe / Sortino	Rendite pro Risiko-Einheit; Sortino bestraft nur Abwärts-Volatilität.
Trefferquote × CRV	Gewinnwahrscheinlichkeit mal Chance-Risiko-Verhältnis — eine niedrige Trefferquote kann ein hohes CRV ausgleichen.

Verzerrungen (Bias) vermeiden

Bias	Falle
Survivorship Bias	Nur heute noch existierende Titel testen — Pleiten und Delistings fehlen und schönen das Ergebnis.
Look-Ahead Bias	Daten verwenden, die zum Handelszeitpunkt real noch nicht verfügbar waren (z. B. Schlusskurse für eine Intraday-Entscheidung).
Kosten ignorieren	Ohne realistische Slippage + Kommission wird jedes hochfrequente System künstlich profitabel.

🎯 Vom Backtest zum Forward-Test: Ein Backtest bleibt eine Hypothese über die Vergangenheit. Der konsequente Forward-Test ist dein reales Trading-Tagebuch: Mit sTraderZ.com dokumentierst du jeden Trade und wertest ihn über Strategie-Tags und Dimensionen aus — so erkennst du, ob das im Backtest gefundene Edge auch live trägt.

Rank	Sector	RS	BPI
1	Energy (XLE)	92	🟢 Bull
2	Technology (XLK)	85	🟢 Alert
9	Utilities (XLU)	32	🔴 Bear
11	Real Estate (XLRE)	18	🔴 Bear

	System 1	System 2
Entry	20-day high/low	55-day high/low
Exit	10-day opposite side	20-day opposite side
Signals	More frequent	Less frequent
Stop	2 × ATR(20) from entry
Sizing	1% risk / 1× ATR = 1 Unit

	Gap-and-Go	Gap-Fill
Expectation	Momentum continues	Price reverts
Entry	5-min above gap high	Reversal candle
Target	Measured move	Prior-day close
Stop	Below gap level	Above gap high

Setup	Entry	Stop
ORB Long	Price > OR-High	Below OR-Low
ORB Short	Price < OR-Low	Above OR-High
VWAP Long	Pullback to VWAP	Below VWAP

Crit.	Threshold	Tool?
C / A	EPS +25% YoY	⚠️ manual
N	52W high breakout	✔ Range52W
S	Volume spike	✔ OBV/Vol
L	RS rating ≥ 80	✔ RS
I	≥ 3 funds holding	⚠️ manual
M	Market in uptrend	✔ BPI