Mengungkap Mitos Manajemen Resiko

" Terdapat ratusan juta automated trading tersusun dalam suatu sistem matematika kompleks yang telah menyumbang 1/3 dari volume perdagangan berjangka di AS. Namun apakah trader ritel independen dengan sumber daya terbatas mampu mengatasi kompetisi pada industri robot yang sangat besar tersebut ? Melalui artiket Automated Trader kami akan menunjukkan hal itu sebenarnya dapat dilakukan "

Beberapa manager hedge fund kuantitatif legendaris yang menggunakan sistem trading otomatis seperti Dr. Edward Thorp dari Princeton Newport Partners dan Dr. Jim Simons dari Renaisssance Technologies Corp memulai karir mereka dengan menggunakan robot trading. Seiring waktu berjalan, karir mereka sebagai trader retail menanjak karena sistem robotnya berhasil mencatat track record yang menguntungkan. Pengalaman mereka juga menunjukkan sistem robot yang konsisten adalah sistem robot yang sebenarnya simple dan tidak disertai terlalu banyak teori canggih. Dan tentu saja yang paling utama adalah fokus pada risk menagement.

Risk management merupakan disiplin yang krusial dalam trading.  Sebgaian besar penyebab kerugian besar yang dialamai oleh manager hedge fund maupun lembaga investasi perbankan biasanya terletak pada satu trade dalam kurun waktu pendek. Mengapa ha ini terjadi? Karena pengambilan resiko atau posisi yang berlebihan muncl dari model formula yang dibarengi sikap over-confidence.

Artinya, displin psikologis juga diperlukan dalam mindset risk management secara keseluruhan, dimana setiap trader perlu memproses strategi robot melalui beberapa aspek. Diantaranya adalah pengujian model formula, eksekusi software serta prosedur operasional lainnya dan money/risk management sebelum menambah jumlah posisi dari formula yang telah ditentukan.

Namun tidak dipungkiri strategi trading robot yang mumpuni kadankala juga mengalami kerugian, atau secara teknis dikenal dengan istilah 'drawdown'. Drawdown dapat terjadi dalam hitungan menit atau bahkan tahunan lamanya. Drawdown juga dapat dibagi menjadi dua jenis, yakni periode drawdown pada equity, atau merupakan kerugian per transaksi. Sedangkan yang kedua adalah maximum drawdown yang merupakan kerugian maksimum secara historis.

Faktor paling penting untuk meraih keuntungan dari automated trading adalah pengelolaan resiko dengan cara membatasi drawdown ke level yang dapat ditoleransi. Namun daya ungkitnya masih optimal untuk meraih keuntungan maksimum. Dengan kata lain, intisari dari suatu strategi robot terletak pada pengaturan alokasi modal optimal desertai pengambilan posisi yang telah dihitung berdasarkan formula tertentu.

Apakah penggunaan stop loss merupakan praktik Risk management yang baik?

Beberapa trader meyakini bahwa risk management yang baik berarti menggunakan stop loss disetiap tansaksi. Sehingga jika suatu posisi mencapai presentase kerugian tertentu, maka robot akan exit posisi. Memang cukup ajar jika ada pemahaman bahwa dengan menggunakan stop loss maka equity dapat terhindar dari kerugian akibat event / shock market .  Bagaimanapun jika terjadi shock market , harga biasanya drop / naik gila-gilaan sehingga order stop loss untuk exit posisi hanyaa terpasang pada posisi yang tidak kita inginkan. dengan melakukan exit posisi, sebenarnya robot hanya merealisasikan kerugian akibat shock market, bukannya menghindar dari situasi tersebut.

Setiap strategi robot hanya bisa meraih profit jika harga bergerak range trading dalam mencari nilai mean atau trending. Diluar itu, jika kondisi market hanya bersifat random-walking maka setiap stop loss pasti akan terjilat. Ketika situasi market dalam kondisi trending maka harga akan bergerak berdasarkan momentum, atau biasanya dikenal dengan robot yang menggunakan strategi momentum. Dalam kondisi market seperti ini, strategi exit posisi perlu disusun sedemikian rupa untuk memastikan agar pembalikan yang terjadi mendapatkan momentum atau dalam tren yang akan berlanjut. karena jika pergerakan hanay terjadi akibat shock market yang bersifat sementara dan ternyata harga berbalik ke level semula , kita tentu dapat menghindari exit posisi telalu dini. 

Contohnya pada indeks Nikkei atau pasanga USDJPY yang mengalami pergerakan besar di pertengahan tahun 2013 . Momentum harga Nikkei masih dipotong oleh alasan fundamental yang menunjukkan harga Nikkei saat itu masih undervalued seiring dengan kebijakan stimulus BoJ, Harga saham kemungkinan masih mengalami penguatan secara gradual untuk mencapai ekulibrium yang lebih tinngi tidak akan berbalik selama fundamental ekonomi tidak mengalami perubahan. Kalaupun terajdi pergerakan koreksi yang besar pada situasi tersebut, biasanya hanya disebabkan oleh event liquidity yakni terjadinya aksi likuidasi / profit taking sejumlah posisi dalam volume besar oleh para spekulan atau pemilik saham. Hal seperti ini menyebabkan indeks anjlok secara tiba-tiba. Event liquidity seperti ini memiliki durasi yang relatif pendek dan harga cenderung kembali lagi ke level semula. Tentunya strategi exit yang baik adalah memanfaatkan strategi momentum seperti ini dan menghindari terjadinya stop loss, hanya akibat event liquidity yang bersifat sesaat.

Kelly Formula

Risk management dengan menggunakan metode Kelly formula memeberi saran kepada robot untuk mengurangi volume posisi jika sedang menghadapi drawdown / kerugian trading. Begitu pula sebaliknya, jika terjadi realisasi profit maka robot akan menyarankan penambahan position size (geometrical Money Management).

Dua komponen utama dalam formula Kellly :

1. Win Probability : Probabilitas dalam setiap trade yang dapat memberikan return positif.
2. Win/ loss Ratio : total jumlah trade yang menghasilakn profit dibagi dengan jumlah total loss trade

Dengan menggabungkan kedua faktor tersebut, maka formula Kelly adalah :

Kelly % = W- [(1-W) / R]

Keterangan :

W = Winning probability

R = Ratio Win / loss

Dengan menggunakan Kelly Criterion, anada dapat menentukan presentase resiko yang ideal pada setiap transaksi berdasarkan probabilitas ratio win/ loss yang diambil dari track record robot Anda. Misalnya jika presentase Kelly menunjukkan hasil 0.05, maka robot akan mengambil position size sebesar 5 % dari equity. Meski money management seperti ini tidak menjamin Anda untuk mendapatkan hasil yang spektakuler , setidaknya penerapan strategi ini dapat membatasi kerugian dan memaksimalkan potensi keuntungan. 

 

Technical Analysis for Major Currencies

EURO The pair stabilized this week below key support level of the ascending channel which was broken earlier, as Linear Regression Indicators are trading negatively. The abovementioned forces us to think that the downside move might extend to achieve further targets of the AB=CD bearish harmonic Pattern. The pair might touch 1.3080 levels during this week as the bearish move might extend reaching the psychological level 1.3000 or more. Stability below 1.3270 levels keeps the possibility of a downside move valid. The trading range for this week is among the key support at 1.2905 and key resistance at 1.3355. The general trend over short term basis is to the upside targeting 1.3990 as far as areas of 1.3350 remains intact. Support: 1.3170, 1.3120, 1.3080, 1.3030, 1.3000 Resistance: 1.3235, 1.3275, 1.3305, 1.3355, 1.3405 Recommendation Based on the charts and explanations above, our opinion is selling the pair below 1.3235 targeting 1.3120, 1.3080 then 1.3000 and stop-loss with four-hour closing above 1.3305 might be appropriate   GBP The pair broke 61.8% correction at 1.5180 levels shown on the graph increasing negativity, which might push the pair more to the downside towards 78.6% correction at 1.4760 levels during the upcoming session. Trading below 1.5300 levels with weekly closing is considered negative, but we prefer to see the pair stable below 1.5225 levels to accelerate the downside move. The opening of this week with a sharp decline formed a price gap which makes risk/rewards ratios inappropriate to take a position. The previously mentioned forces us to remain neutral despite our expectations to extend the overall bearish move. The trading range for this week is among key support at 1.4760 and key resistance at 1.5475. The general trend over short term basis is to the downside targeting 1.4225 as far as areas of 1.6875 remains intact. Support: 1.5130, 1.5080, 1.5000, 1.4940, 1.4895 Resistance: 1.5225, 1.5300, 1.5385, 1.5415, 1.5485 Recommendation Based on the charts and explanations above, we remain neutral for now awaiting more confirmations for the next move   JPY The pair moved to the upside with this week’s opening, but it wasn’t able to push the pair to stabilize above resistance level 94.50. Meanwhile, the pair is proving stability above Linear Regression Indicators again forcing us to remain neutral in our weekly report. The upside move needs stability above 94.50 levels while the bearish move return requires stability below Linear Regression Indicators to break the ascending channel. The trading range for today is among key support at 90.40 and key resistance at 95.50. The general trend over short term basis is to the upside targeting 100.00 as far as areas of 84.00 remain intact. Support: 94.15, 93.65, 93.05, 92.50, 92.05 Resistance: 94.55, 95.00, 95.50, 95.85, 96.70 Recommendation Based on the charts and explanations above, we remain neutral for now awaiting more confirmations for the next move   CHF The pair is gradually moving to the upside as the positive technical catalysts still dominates the pair and might help it to touch 0.9375 levels in an attempt to breach it confirming another ascending wave. Momentum indicators are showing overbought signals; meanwhile Linear Regression Indicators are positive and trading above 0.9235 with daily closing will extend the upside move this week. The trading range for today is among key support at 0.9200 and key resistance at 0.9515. The general trend over short term basis is to the downside stable at levels 0.9775 targeting 0.8860. Support: 0.9280, 0.9235, 0.9200, 0.9170, 0.9155 Resistance: 0.9375, 0.9425, 0.9460, 0.9490, 0.9515 Recommendation Based on the charts and explanations above, our opinion is buying the pair above 0.9280 targeting 0.9375, 0.9460 then 0.9515 and stop-loss with four-hour closing below 0.9200 might be appropriate   CAD The pair rose and is trading above 1.0355 levels indicating that the harmonic formation shown on the graph might be formed. Momentum indicators are showing overbought signals but we will ignore them unless level 1.0120 was broken. Stability above 1.0055 levels keeps the positive possibility, but as we referred earlier stability above 1.0120 levels is important to cancel any overbought affect. The trading range for this week is between the key support at 1.0055 and the key resistance at 1.0440. The general trend over short term basis is to the downside with steady daily closing below levels 1.0125 targeting 0.9400. Support: 1.0205, 1.0165, 1.0120, 1.0085, 1.0055 Resistance: 1.0290, 1.0310, 1.0355, 1.0420, 1.0440 Recommendation Based on the charts and explanations above, our opinion is buying the pair above 1.0205 targeting 1.0290, 1.0310 then 1.0355 and stop-loss with four-hour closing below 1.0120 might be appropriate this week   AUD The pair is trading between 61.8% correction from the upside and 78.6% correction from the downside at 1.0320 and 1.0245 levels. Meanwhile, we find the pair trading between Linear Regression Indicator 34 and 55. Such case makes risk/rewards ratios inappropriate and the trend unclear, forcing us to remain neutral in our weekly report waiting for confirmation signals. The trading range for this week is among key support at 1.0085 and key resistance at 1.0440. The general trend over short term basis is to the downside with steady daily closing below levels 1.0710 targeting 0.9400. Support: 1.0245, 1.0220, 1.0200, 1.0165, 1.0135 Resistance: 1.0320, 1.0345, 1.0385, 1.0400, 1.0440 Recommendation Based on the charts and explanations above, we remain neutral for now awaiting more confirmations for the next move   NZD The pair dropped but is still limited above key support level of the ascending channel. But with that, we find that the pair is stable below Linear Regression Indicators; therefore the pair should stabilize above 0.8415 levels to support the return of the upside move. Anyhow, we will stay positive unless the pair broke 0.8270 levels. The trading range for this week might be among key support at 0.8200 and key resistance at 0.8535. The general trend over short term basis is to the upside with steady daily closing above 0.8130 targeting 0.8845. Support: 0.8355, 0.8310, 0.8270, 0.8225, 0.8200 Resistance: 0.8385, 0.8415, 0.8450, 0.8480, 0.8500 Recommendation Based on the charts and explanations above, our opinion is buying the pair above 0.8355 targeting 0.8415, 0.8480 then 0.8535 and stop-loss with four-hour closing below 0.8270 might be appropriate

Daily Outlook GBP/USD

GBP/JPY Daily Outlook

Daily Pivots: (S1) 143.16; (P) 144.27; (R1) 144.97; More....
The pull back from 147.97 is still in progress and intraday bias remains on the downside for 55 days EMA (now at 140.48) and below. Though, we'd expect strong support from 139.25 (38.2% retracement of 125.67 to 147.97 at 139.45 and bring rebound. Recent rally is still expected to continue after the corrective price actions complete. Break of 147.97 will target 150 psychological level next.
In the bigger picture, medium term fall from 163.05 has completed at 116.83 already. It's a bit early to conclude reversal of the long term down trend from 251.09 (2007 high). But rise from 116.83 should at least be a move at the same degree as fall from 163.05. Thus, medium term rise is now expected back to 163.05. We'll stay bullish as long as 133.48 resistance turned support holds.

Introducing Fibonacci (lesson 8)

Statue of Leonardo Fibonacci, Pisa, Italy. The inscription reads, "A. Leonardo Fibonacci, Insigne Matematico Piisano del Secolo XII." Photo by Robert R. Prechter, Sr.  HISTORICAL AND MATHEMATICAL BACKGROUND OF THE WAVE PRINCIPLE The Fibonacci (pronounced fib-eh-nah´-chee) sequence of numbers was discovered (actually rediscovered) by Leonardo Fibonacci da Pisa, a thirteenth century mathematician. We will outline the historical background of this amazing man and then discuss more fully the sequence (technically it is a sequence and not a series) of numbers that bears his name. When Elliott wrote Nature's Law, he referred specifically to the Fibonacci sequence as the mathematical basis for the Wave Principle. It is sufficient to state at this point that the stock market has a propensity to demonstrate a form that can be aligned with the form present in the Fibonacci sequence. (For a further discussion of the mathematics behind the Wave Principle, see "Mathematical Basis of Wave Theory," by Walter E. White, in New Classics Library's forthcoming book.) In the early 1200s, Leonardo Fibonacci of Pisa, Italy published his famous Liber Abacci (Book of Calculation) which introduced to Europe one of the greatest mathematical discoveries of all time, namely the decimal system, including the positioning of zero as the first digit in the notation of the number scale. This system, which included the familiar symbols 0, 1, 2, 3, 4, 5, 6, 7, 8 and 9, became known as the Hindu-Arabic system, which is now universally used. Under a true digital or place-value system, the actual value represented by any symbol placed in a row along with other symbols depends not only on its basic numerical value but also on its position in the row, i.e., 58 has a different value from 85. Though thousands of years earlier the Babylonians and Mayas of Central America separately had developed digital or place-value systems of numeration, their methods were awkward in other respects. For this reason, the Babylonian system, which had been the first to use zero and place values, was never carried forward into the mathematical systems of Greece, or even Rome, whose numeration comprised the seven symbols I, V, X, L, C, D, and M, with non-digital values assigned to those symbols. Addition, subtraction, multiplication and division in a system using these non-digital symbols is not an easy task, especially when large numbers are involved. Paradoxically, to overcome this problem, the Romans used the very ancient digital device known as the abacus. Because this instrument is digitally based and contains the zero principle, it functioned as a necessary supplement to the Roman computational system. Throughout the ages, bookkeepers and merchants depended on it to assist them in the mechanics of their tasks. Fibonacci, after expressing the basic principle of the abacus in Liber Abacci, started to use his new system during his travels. Through his efforts, the new system, with its easy method of calculation, was eventually transmitted to Europe.  Gradually the old usage of Roman numerals was replaced with the Arabic numeral system. The introduction of the new system to Europe was the first important achievement in the field of mathematics since the fall of Rome over seven hundred years before. Fibonacci not only kept mathematics alive during the Middle Ages, but laid the foundation for great developments in the field of higher mathematics and the related fields of physics, astronomy and engineering.

Koreksi Emas Picu Minat Beli

 

Monexnews - Harga emas di pasar Asia turun $2.10 menjadi $1,687.80/ons. Hari Senin (26/03) emas gain sebesar 1.6% setelah pimpinan Fed, Ben S Bernanke mengulangi pernyataan untuk mendukung kebijakan moneter akomodatif bank sentral.

Prospek langkah pelonggaran moneter AS mendorong aksi beli emas di tengah ketidak pastian mengenai kondisi ekonomi dan inflasi jangka panjang, menurut pemain pasar yang bermarkas di Singapura. Sementara kecemasan atas krisis hutang zona Eropa akan menjadi faktor kunci bagi pergerakan emas menuju rekor tinggi tahun lalu, katanya. EUR/USD, di 1.3353. Euro menjauhi level rendah sebelumnya di 1.3200. Hal ini menegaskan pergerakan emas terbantu oleh pelemahan USD.

(din)

Target Emas $1725 Karena Bernanke

 

Ariston TjendraHead of Research and Analysis

Monexnews - Apa yang terjadi di pasar keuangan tadi malam sungguh mengejutkan pasar. Gubernur Federal Reserve Amerika Serikat Ben Bernanke mengeluarkan pernyataan bahwa pemulihan ekonomi yang terjadi di AS saat ini masih jauh dari stabil dan untuk menjaga kestabilan pemulihan ekonomi, AS masih membutuhkan tingkat suku bunga rendah dan program stimulus pembelian aset yang besar (atau yang sering disebut pelonggaran kuantitatif).  Bernanke menilai bahwa turunnya tingkat pengangguran masih belum stabil, agar penurunannya berlanjut memerlukan pertumbuhan produksi dan permintaan konsumen dan bisnis yang lebih cepat. Untuk itu diperlukan kebijakan akomodatif lanjutan.

Pernyataan ini langsung ditanggapi pasar bahwa kebijakan pelonggaran kuantitatif ketiga (QE 3) masih berpeluang untuk diterapkan tahun ini. Padahal pada rapat kebijakan FOMC terakhir dan testimoni Ben Bernanke di depan komite perbankan parlemen tidak ada indikasi tersebut. Pada waktu itu sebagian besar pelaku pasar menilai kebijakan akomodatif tertutup rapat hingga akhir tahun ini.

Ben Bernanke, sejak krisis 2008 terjadi, telah memilih solusi untuk memulihkan perekonomian AS dengan menyediakan likuiditas berbiaya murah yang besar ke masyarakat. Dengan likuiditas murah tersebut diharapkan dapat menjadi modal yang bisa diputar di bisnis dan meningkatkan belanja konsumsi masyarakat AS. Kenaikan inflasi menjadi isu nomor dua bagi Fed saat ini. Pemulihan lapangan pekerjaan menjadi isu nomor satu. Oleh sebab itu, para pelaku pasar mengindikasikan bahwa pemulihan penurunan tingkat pengangguran saat ini menutup kemungkinan Fed memberlakukan QE 3 tahun ini.

Federal Reserve menjadikan yield obligasi pemerintah dengan tenor 10 dan 30 tahun menjadi benchmark tingkat suku bunga. Yield kedua obligasi tersebut belakangan ini terus meningkat sekitar 22,37% dan 13,12% sejak Bernanke melakukan testimoni di depan parlemen pada 29 Februari lalu dimana waktu itu dari testimoni Bernanke, para pelaku pasar menilai bahwa Fed tidak akan mengeluarkan QE3. Yield yang terus meningkat akan mengganggu program Fed. Ini kemungkinan yang menyebabkan Bernanke harus mengeluarkan pernyataan yang mengindikasikan QE 3 berpotensi dirilis agar yield kedua jenis obligasi ini turun.

Reaksinya sangat jelas terlihat di pasar. Dollar AS langsung melemah terhadap mata uang utama dunia. Sentimen minat terhadap resiko atau sering disebut risk appetite, langsung meningkat. Harga komoditi, indeks saham global langsung naik semalam dan bahkan bisa berlanjut pada sesi perdagangan hari ini.

Kebijakan pelonggaran kuantitatif notabene adalah kebijakan pembelian aset dengan mencetak uang baru. Ini akan memperbesar jumlah uang yang beredar di masyarakat dan tersedia dengan biaya murah. Tentunya sebagian uang ini akan dispekulasikan di pasar keuangan sehingga akan mendorong naik harga komoditas dan indeks saham. Likuiditas berlimpah juga akan meningkatkan prospek kenaikan inflasi.

Harga emas meroket cukup tinggi sesaat sesudah pengumuman dan hampir menyentuh level psikologis $1700 per troy ons. Sentimen positif dari pernyataan Bernanke akan mendukung kenaikan harga emas untuk beberapa hari ke depan dengan potensi target menuju area $1715 lalu ke $1725. Sementara support yang perlu diperhatikan adalah level $1670. Karena bila bergerak kembali di bawah level 1670, emas akan kembali melakukan konsolidasi antara $1634-1670. Resisten terdekat di $1700 per troy ons.

Practical Application 2

The ability to identify junctures is remarkable enough, but the Wave Principle is the only method of analysis which also provides guidelines for forecasting, as outlined in Lessons 10 through 15 and 20 through 25 of this course. Many of these guidelines are specific and can occasionally yield results of stunning precision. If indeed markets are patterned, and if those patterns have a recognizable geometry, then regardless of the variations allowed, certain price and time relationships are likely to recur. In fact, real world experience shows that they do.

It is our practice to try to determine in advance where the next move will likely take the market. One advantage of setting a target is that it gives a sort of backdrop against which to monitor the market's actual path. This way, you are alerted quickly when something is wrong and can shift your interpretation to a more appropriate one if the market does not do what is expected. If you then learn the reasons for your mistakes, the market will be less likely to mislead you in the future.

Still, no matter what your convictions, it pays never to take your eye off what is happening in the wave structure in real time. Although prediction of target levels well in advance can be done surprisingly often, such predictions are not required in order to make money in the stock market. Ultimately, the market is the message, and a change in behavior can dictate a change in outlook. All one really needs to know at the time is whether to be bullish, bearish or neutral, a decision that can sometimes be made with a swift glance at a chart.

Of the many approaches to stock market analysis, the Elliott Wave Principle, in our view, offers the best tool for identifying market turns as they are approached. If you keep an hourly chart, the fifth of the fifth of the fifth in a primary trend alerts you within hours of a major change in direction by the market. It is a thrilling experience to pinpoint a turn, and the Wave Principle is the only approach that can occasionally provide the opportunity to do so. Elliott may not be the perfect formulation since the stock market is part of life and no formula can enclose it or express it completely. However, the Wave Principle is without a doubt the single most comprehensive approach to market analysis and, viewed in its proper light, delivers everything it promises.