투자.재테크
TQQQ 단기전략 | ORB(Opening Range Breakout) 전략을 알아보자
헬로덱
2025. 1. 24. 09:36
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https://www.youtube.com/watch?v=uT1NehJAhEQ
강환국님 채널의 TQQQ 정석 투자법에 소개된 전략
TQQQ ORB 전략
첫 5분봉의 방향을 보고 양봉이면 TQQQ 진입, 음봉이면 SQQQ 진입
간단한 전략이고 손으로도 할 수 있는 전략이다.
다만 밤마다 미장이 개장하는 11:30분에 5분 봉보고 매수 주문, LOC로 매도 주문, 그리고 손절을 위해 감시매매 등록이라는 작업을 해야한다.
손매매와 자동매매
이정도는 할 수 있을 것 같은데, 장기적으로는 자동매매로 하면 좋을 것 같다.
소개한 논문의 마지막에 보면 좀 더 수익률이 좋은 전략도 나온다.
익절을 무한대로 열어두고, 손절은 ATR을 이용하는 방법인데 이것도 충분히 손매매도 가능할 것으로 보인다.
해당 논문은 여기서 확인 가능
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4416622
Abstract
The validity of day trading as a long-term consistent and uncorrelated source of income is a matter of debate. In this paper, we investigate the profitability of the well-known Opening Range Breakout (ORB) strategy during the period of 2016 to 2023. This period encompasses two bear markets and a few events with abnormal volatility. Our results suggest that with the proper use of leverage or leveraged products (such as 3x leveraged ETFs), day trading can empirically produce significant returns when compared to a standard buy and hold strategy on benchmark indexes in the US public equity markets (Nasdaq or NYSE). Without any loss of generality, we studied the results of an ORB strategy implemented in QQQ. By comparing the results of the active day trading approach with a passive exposure in QQQ, we prove that it is possible for the ORB portfolio to significantly outperform the passive investment. In fact, the day trading portfolio produced an annualized alpha of 33% (net of commissions). Nevertheless, due to leverage constraints enforced by brokers, an active trader would have capped the full upside potential given by the ORB strategy. To overcome this issue, we introduced the use of TQQQ, a leveraged ETF of QQQ, which allows day traders to fully exploit the benefit of the active strategy while adhering to leverage constraints. The resulting portfolio would have earned an outstanding return of 1,484% during the same period of 2016 to 2023, while an investment in the QQQ ETF would have earned only 169%.
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