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Userul a semnalat ca tabelele sunt greu de citit. Cauza: CSS-ul n-avea niciun stil de tabel, deci markdown-ul iesea fara chenare si fara fundal. Se repara o data, pentru toate cele 114 pagini. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com> Claude-Session: https://claude.ai/code/session_01ThN7ixZrowca8aTGrK1MUJ
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<title>Modul 2 / #5 — Volatilitate: Beta, ATR, VIX</title>
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<nav class="crumbs"><a href="../index.html">Sumarizări</a><span class="sep">/</span><a href="../index.html#03_MODUL_2">Modulul 2</a><span class="sep">/</span>#5 — Volatilitate: Beta, ATR, VIX</nav><h1 id="modul-2-5-volatilitate-beta-atr-vix">Modul 2 / #5 — Volatilitate: Beta, ATR, VIX</h1>
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<h2 id="tldr">TLDR</h2>
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<p>Volatilitatea e cât de mult se mișcă prețul, nu în ce direcție. Trei
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măsuri diferite ale ei, cu trei utilizări practice diferite — nu le amesteca:</p>
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<ul>
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<li><strong>Beta</strong> — cât de mult se mișcă o acțiune față de S&P 500. Folosit <strong>înainte</strong>
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de a intra într-un simbol nou, ca filtru de risc și ca ghid de mărime a
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poziției.</li>
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<li><strong>ATR (Average True Range)</strong> — cât de mult se mișcă efectiv o acțiune, în
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dolari, pe o perioadă recentă. Folosit <strong>la intrare</strong>, ca să calculezi
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distanța corectă a stop-loss-ului și mărimea poziției.</li>
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<li><strong>VIX</strong> — volatilitatea așteptată a pieței întregi (S&P 500), pe 30 de zile.
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Folosit ca <strong>context de piață</strong>: cât de nervoasă e piața acum, și — la
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extreme — ca indiciu de posibil top/bottom.</li>
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</ul>
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<h2 id="1-beta-volatilitate-relativa-la-piata">1. Beta — volatilitate relativă la piață</h2>
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<h3 id="mecanism">Mecanism</h3>
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<p>Beta compară procentual mișcarea unei acțiuni cu mișcarea S&P 500 (S&P e
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"benchmark-ul", 1.00 pe definiție). Dacă S&P urcă 1% și acțiunea X urcă 2%,
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Beta pentru X este 2 — X se mișcă de 2 ori mai mult decât piața, în ambele
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sensuri (Beta nu spune direcția, spune amplitudinea).</p>
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<p><svg viewBox="0 0 400 110" xmlns="http://www.w3.org/2000/svg" style="width:100%;max-width:400px;height:auto;font:12px sans-serif">
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<text x="5" y="18" fill="#333">S&P 500 se mișcă +1%</text>
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<rect x="5" y="26" width="40" height="20" fill="#666"/>
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<text x="5" y="70" fill="#333">acțiune cu Beta 2 se mișcă +2%</text>
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<text x="90" y="93" fill="#1a5fb4">de 2x lățimea S&P-ului</text>
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</svg></p>
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<p>TradeStation calculează Beta separat pe urcare (<strong>Beta Up Market</strong>) și pe
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coborâre (<strong>Beta Down Market</strong>) — de multe ori nu sunt egale (asimetrie).
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Valorile din training (TradeStation → Research → tab Valuation):</p>
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<table>
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<thead>
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<tr>
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<th>Simbol</th>
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<th>Beta (average)</th>
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<th>Beta Up</th>
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<th>Beta Down</th>
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</tr>
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</thead>
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<tbody>
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<tr>
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<td>Coca-Cola (KO)</td>
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<td>0.60</td>
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<td>0.50</td>
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<td>0.59</td>
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</tr>
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<tr>
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<td>Microsoft (MSFT)</td>
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<td>0.90</td>
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<td>—</td>
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<td>—</td>
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</tr>
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<tr>
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<td>Google (GOOGL)</td>
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<td>1.04</td>
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<td>0.41</td>
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<td>1.46</td>
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</tr>
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<tr>
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<td>Bank of America (BAC)</td>
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<td>1.39</td>
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<td>1.32</td>
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<td>1.32</td>
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</tr>
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<tr>
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<td>Apple (AAPL)</td>
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<td>1.31</td>
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<td>—</td>
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<td>—</td>
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</tr>
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<tr>
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<td>Tesla (TSLA)</td>
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<td>2.26</td>
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<td>3.76</td>
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<td>—</td>
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</tr>
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<tr>
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<td>MARA</td>
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<td>5.21</td>
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<td>~8.0</td>
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<td>~5.0</td>
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</tr>
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</tbody>
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</table>
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<p>Citire practică: dacă S&P scade 10%, MARA (Beta Down ~5) poate scădea ~50%;
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dacă S&P urcă 10%, MARA (Beta Up ~8) poate urca ~80%. Coca-Cola, în schimb,
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abia se clintește: S&P +1% → KO +0.5%.</p>
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<h3 id="de-ce-urmaresti-beta">De ce urmărești Beta</h3>
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<p>Te ajută să alegi <strong>mărimea poziției și distanța stop-loss-ului</strong> înainte de
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a intra pe un simbol pe care nu l-ai mai tranzacționat — ca să nu iei o
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poziție dimensionată pentru o acțiune "liniștită" (KO) pe o acțiune de 5x mai
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volatilă (MARA), unde același stop procentual te scoate mult mai des din
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tranzacție.</p>
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<h3 id="ce-faci-cand-vezi-beta">Ce faci când vezi Beta</h3>
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<p>Înainte de a intra pe un simbol nou: deschide Research → Valuation, notează
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Beta average și Beta Up/Down. Nu e un semnal de intrare — e un filtru
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aplicat înainte de a decide mărimea poziției.</p>
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<h3 id="trigger-danu-filtru-de-risc-nu-semnal-de-trade">Trigger DA/NU (filtru de risc, nu semnal de trade)</h3>
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<p>Recomandarea din training pentru cei la început: Beta maxim 2, ideal
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între 1 și 1.5.</p>
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<ul>
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<li><strong>DA — tranzacționezi cu mărime normală:</strong> Beta ≤ 2 (ex: BAC 1.39, AAPL 1.31).</li>
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<li><strong>NU — reduci poziția sau eviți:</strong> Beta > 2 (ex: TSLA 2.26, MARA 5.21) —
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nu înseamnă "nu tranzacționa niciodată", ci "dacă intri, poziția trebuie
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mai mică și stop-loss-ul mai larg decât ai folosi pe un simbol cu Beta 1".</li>
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</ul>
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<h3 id="exemplu-complet-aceeasi-configuratie-tehnica-doua-actiuni-cu-beta-diferit">Exemplu complet — aceeași configurație tehnică, două acțiuni cu Beta diferit</h3>
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<p>Presupune că același set-up (breakout confirmat) apare simultan pe Coca-Cola
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(Beta 0.6) și pe MARA (Beta 5.21), amândouă cotate ~$60.</p>
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<text x="24" y="48" fill="#333" style="font-weight:bold">KO — daily (Beta 0.6)</text>
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<text x="30" y="77.9" fill="#1a5fb4">$60.00 — intrare (breakout)</text>
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<text x="592" y="98.3" fill="#c00" text-anchor="end">$59.40 — SL (60 cenți, ~1%)</text>
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<text x="24" y="48" fill="#333" style="font-weight:bold">MARA — daily (Beta 5.21)</text>
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<text x="30" y="175.8" fill="#1a5fb4">$60.00 — intrare (breakout)</text>
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<rect x="234.5" y="236.2" width="9" height="27.2" fill="#188a3e"/>
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<rect x="249.5" y="236.2" width="9" height="20.4" fill="#c00"/>
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<rect x="324.5" y="212.4" width="9" height="17.0" fill="#c00"/>
|
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<line x1="344.0" y1="147.8" x2="344.0" y2="253.2" stroke="#1a1a1a" stroke-width="1.2"/>
|
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<rect x="339.5" y="171.6" width="9" height="57.8" fill="#188a3e"/>
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<line x1="359.0" y1="96.8" x2="359.0" y2="195.4" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="354.5" y="120.6" width="9" height="51.0" fill="#188a3e"/>
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<line x1="374.0" y1="96.8" x2="374.0" y2="192.0" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="369.5" y="120.6" width="9" height="47.6" fill="#c00"/>
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<line x1="389.0" y1="73.0" x2="389.0" y2="192.0" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="384.5" y="96.8" width="9" height="71.4" fill="#188a3e"/>
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<line x1="404.0" y1="73.0" x2="404.0" y2="164.8" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="399.5" y="96.8" width="9" height="44.2" fill="#c00"/>
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<line x1="419.0" y1="56.0" x2="419.0" y2="164.8" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="414.5" y="79.8" width="9" height="61.2" fill="#188a3e"/>
|
||
<text x="329.0" y="294.0" fill="#c00" text-anchor="middle" style="font-weight:bold">zgomot normal → SL lovit</text>
|
||
</svg></p>
|
||
<p>Pe KO, un stop de 60 cenți (1%) e credibil — acțiunea rareori face o mișcare
|
||
de 1% fără motiv. Pe MARA, aceeași distanță de 60 cenți e în interiorul
|
||
mișcării normale de zgomot (vezi secțiunea ATR mai jos, unde se calculează
|
||
exact cât de largă trebuie să fie distanța pe fiecare simbol) — te scoate din
|
||
trade fără ca ideea să fie de fapt invalidată. Soluția nu e "un stop fix în
|
||
procente", ci un stop calculat din volatilitatea reală a simbolului (ATR),
|
||
ceea ce ne duce direct la secțiunea următoare.</p>
|
||
<h2 id="2-atr-average-true-range">2. ATR (Average True Range)</h2>
|
||
<h3 id="mecanism-formula-pas-cu-pas">Mecanism — formula, pas cu pas</h3>
|
||
<p>ATR = media aritmetică a <strong>True Range</strong>-ului pe ultimele N candele (în
|
||
training, N=10; standardul lui Welles Wilder e 14, gândit pentru piața de
|
||
futures care tranzacționează aproape non-stop).</p>
|
||
<p><strong>True Range</strong> = True High − True Low, unde:</p>
|
||
<ul>
|
||
<li><strong>True High</strong> = maximul dintre high-ul candelei curente (H0) și close-ul
|
||
candelei anterioare (C1).</li>
|
||
<li><strong>True Low</strong> = minimul dintre low-ul candelei curente (L0) și close-ul
|
||
candelei anterioare (C1).</li>
|
||
</ul>
|
||
<p>Motivul pentru care se compară și cu close-ul anterior (nu doar H0 vs L0 al
|
||
candelei curente): dacă prețul face un gap (sare peste noapte), diferența
|
||
reală de volatilitate include și gap-ul, nu doar intervalul din candela
|
||
curentă.</p>
|
||
<p><svg viewBox="0 0 320 160" xmlns="http://www.w3.org/2000/svg" style="width:100%;max-width:340px;height:auto;font:12px sans-serif">
|
||
<text x="10" y="15" fill="#666">preț ↑ (citire dreapta → stânga)</text>
|
||
<line x1="60" y1="30" x2="60" y2="110" stroke="#333" stroke-width="2"/>
|
||
<text x="35" y="125" fill="#333">candela 1 (anterioară)</text>
|
||
<circle cx="60" cy="70" r="3" fill="#1a5fb4"/>
|
||
<text x="66" y="73" fill="#1a5fb4">C1 (close anterior)</text>
|
||
<line x1="200" y1="20" x2="200" y2="140" stroke="#c00" stroke-width="2"/>
|
||
<text x="175" y="155" fill="#c00">candela 0 (curentă)</text>
|
||
<text x="205" y="24" fill="#c00">H0 (high)</text>
|
||
<text x="205" y="140" fill="#c00">L0 (low)</text>
|
||
<line x1="55" y1="70" x2="205" y2="20" stroke="#888" stroke-dasharray="3 3"/>
|
||
<text x="90" y="45" fill="#888">True High = max(C1, H0)</text>
|
||
<line x1="55" y1="70" x2="205" y2="140" stroke="#888" stroke-dasharray="3 3"/>
|
||
<text x="90" y="108" fill="#888">True Low = min(C1, L0)</text>
|
||
</svg></p>
|
||
<p><strong>Exemplu numeric din training (simbol Q, daily):</strong> C1 = 359.97, H0 = 360.04,
|
||
L0 = 354.37. True High = max(359.97, 360.04) = 360.04. True Low =
|
||
min(359.97, 354.37) = 354.37. True Range = 360.04 − 354.37 = <strong>5.67</strong>. ATR-ul
|
||
afișat de platformă pentru acea zi era 5.77 — media ultimelor 10 True Range,
|
||
nu doar valoarea din acea zi.</p>
|
||
<h3 id="de-ce-urmaresti-atr">De ce urmărești ATR</h3>
|
||
<p>Te ajută să calculezi o distanță de stop-loss <strong>credibilă pentru simbolul
|
||
respectiv</strong> — nu o distanță fixă în procente sau în dolari care ignoră cât de
|
||
mult se mișcă acțiunea aia în mod normal. Un stop mai mic decât ATR e adesea
|
||
lovit de zgomot normal de preț, nu de o invalidare reală a ideei de trade.</p>
|
||
<h3 id="ce-faci-cand-il-vezi">Ce faci când îl vezi</h3>
|
||
<p>La fiecare intrare: notezi ATR-ul curent (îl citești direct din platformă,
|
||
nu-l calculezi manual), identifici low-ul/high-ul de referință (cele mai
|
||
recente 4 candele, în training), și calculezi stop-ul ca nivelul de referință
|
||
± 120-150% din ATR — nu direct la low/high.</p>
|
||
<h3 id="de-ce-120-150-din-atr-nu-direct-la-lowhigh-mecanismul-retest-ului">De ce 120-150% din ATR, nu direct la low/high — mecanismul retest-ului</h3>
|
||
<p>Traderii mici de retail își pun frecvent stop-loss-ul exact la ultimul
|
||
low/high vizibil. Market maker-ii și traderii mari știu asta — prețul
|
||
retestează des exact acel nivel (sau puțin sub/peste el) înainte să continue
|
||
în direcția reală, tocmai ca să "scoată" acele stop-uri strânse. Un stop
|
||
plasat la 120-150% din ATR dincolo de nivel te ține în tranzacție peste acel
|
||
retest, dacă ideea de trade e încă validă.</p>
|
||
<h3 id="trigger-danu-plasare-stop-loss">Trigger DA/NU — plasare stop-loss</h3>
|
||
<ul>
|
||
<li><strong>DA — stop plasat corect:</strong> stop = nivel de referință ± (1.2 × ATR),
|
||
minim. Ex: low 351.36, ATR 5.52 → stop la 351.36 − 6.63 = <strong>344.73</strong>.</li>
|
||
<li><strong>NU — stop prea strâns:</strong> stop plasat direct la low/high (351.36) sau la
|
||
o distanță mai mică decât ATR (ex: 2 dolari) — sunt șanse mari să fie lovit
|
||
de un retest normal, nu de o invalidare reală a ideei.</li>
|
||
</ul>
|
||
<h3 id="exemplu-complet-1-long-numerele-din-training">Exemplu complet 1 — LONG (numerele din training)</h3>
|
||
<p>Intrare pe long, venind dintr-un downtrend, ieșind dintr-o zonă de suport.
|
||
Referința pentru stop: cel mai jos low din ultimele 4 candele înainte de
|
||
semnal = <strong>351.36</strong>. ATR pe candela de semnal = <strong>5.52</strong>.</p>
|
||
<p>Calcul: 5.52 × 1.2 = 6.62-6.63. Stop = 351.36 − 6.63 = <strong>344.73</strong>.</p>
|
||
<p><svg viewBox="0 0 620 572" xmlns="http://www.w3.org/2000/svg" style="width:100%;height:auto;font:12px sans-serif">
|
||
<text x="24" y="48" fill="#333" style="font-weight:bold">Q — daily</text>
|
||
<line x1="24" y1="450.7" x2="606" y2="450.7" stroke="#888" stroke-width="1.5" stroke-dasharray="2 2"/>
|
||
<text x="30" y="444.7" fill="#888">351.36 — low referință</text>
|
||
<line x1="24" y1="530.2" x2="606" y2="530.2" stroke="#c00" stroke-width="1.5" stroke-dasharray="4 3"/>
|
||
<text x="592" y="524.2" fill="#c00" text-anchor="end">344.73 — SL (351.36 − 1.2×ATR 5.52 = 6.63)</text>
|
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<line x1="44.0" y1="56.0" x2="44.0" y2="116.0" stroke="#1a1a1a" stroke-width="1.2"/>
|
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<rect x="39.5" y="71.0" width="9" height="30.0" fill="#c00"/>
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<line x1="59.0" y1="88.4" x2="59.0" y2="155.6" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="54.5" y="101.0" width="9" height="42.0" fill="#c00"/>
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<line x1="74.0" y1="104.6" x2="74.0" y2="162.2" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="69.5" y="123.8" width="9" height="19.2" fill="#188a3e"/>
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<line x1="89.0" y1="114.8" x2="89.0" y2="185.6" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="84.5" y="123.8" width="9" height="52.8" fill="#c00"/>
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<line x1="104.0" y1="165.2" x2="104.0" y2="227.6" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="99.5" y="176.6" width="9" height="39.6" fill="#c00"/>
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<line x1="119.0" y1="176.6" x2="119.0" y2="236.6" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="114.5" y="197.0" width="9" height="19.2" fill="#188a3e"/>
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<line x1="134.0" y1="189.8" x2="134.0" y2="258.2" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="129.5" y="197.0" width="9" height="54.0" fill="#c00"/>
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<line x1="164.0" y1="246.2" x2="164.0" y2="317.0" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="159.5" y="271.4" width="9" height="20.4" fill="#188a3e"/>
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<line x1="179.0" y1="267.2" x2="179.0" y2="328.4" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="174.5" y="271.4" width="9" height="52.8" fill="#c00"/>
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<line x1="194.0" y1="306.8" x2="194.0" y2="378.8" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="189.5" y="324.2" width="9" height="37.2" fill="#c00"/>
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<line x1="209.0" y1="319.4" x2="209.0" y2="386.6" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="204.5" y="344.6" width="9" height="16.8" fill="#188a3e"/>
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<line x1="224.0" y1="338.0" x2="224.0" y2="400.4" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="219.5" y="344.6" width="9" height="49.2" fill="#c00"/>
|
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<line x1="239.0" y1="372.2" x2="239.0" y2="441.8" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="234.5" y="393.8" width="9" height="26.4" fill="#c00"/>
|
||
<line x1="254.0" y1="378.8" x2="254.0" y2="443.6" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="249.5" y="402.2" width="9" height="18.0" fill="#188a3e"/>
|
||
<line x1="269.0" y1="384.7" x2="269.0" y2="450.7" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="264.5" y="402.2" width="9" height="42.0" fill="#c00"/>
|
||
<line x1="284.0" y1="383.0" x2="284.0" y2="447.8" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="279.5" y="426.7" width="9" height="17.5" fill="#188a3e"/>
|
||
<line x1="299.0" y1="381.4" x2="299.0" y2="442.6" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="294.5" y="397.4" width="9" height="29.3" fill="#188a3e"/>
|
||
<line x1="314.0" y1="380.0" x2="314.0" y2="436.4" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="309.5" y="397.4" width="9" height="21.6" fill="#c00"/>
|
||
<line x1="329.0" y1="390.2" x2="329.0" y2="453.8" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="324.5" y="419.0" width="9" height="21.6" fill="#c00"/>
|
||
<line x1="344.0" y1="390.8" x2="344.0" y2="450.8" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="339.5" y="401.0" width="9" height="39.6" fill="#188a3e"/>
|
||
<line x1="359.0" y1="347.0" x2="359.0" y2="414.2" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="354.5" y="360.2" width="9" height="40.8" fill="#188a3e"/>
|
||
<line x1="374.0" y1="340.4" x2="374.0" y2="395.6" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="369.5" y="360.2" width="9" height="15.6" fill="#c00"/>
|
||
<line x1="389.0" y1="318.2" x2="389.0" y2="383.0" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="384.5" y="325.4" width="9" height="50.4" fill="#188a3e"/>
|
||
<line x1="404.0" y1="275.0" x2="404.0" y2="337.4" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="399.5" y="287.0" width="9" height="38.4" fill="#188a3e"/>
|
||
<line x1="419.0" y1="264.2" x2="419.0" y2="323.0" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="414.5" y="287.0" width="9" height="13.2" fill="#c00"/>
|
||
<line x1="434.0" y1="246.8" x2="434.0" y2="310.4" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="429.5" y="257.0" width="9" height="43.2" fill="#188a3e"/>
|
||
<text x="284.0" y="357.0" fill="#1a5fb4" text-anchor="middle" style="font-weight:bold">intrare long</text>
|
||
<text x="329.0" y="489.8" fill="#b06000" text-anchor="middle" style="font-weight:bold">retest</text>
|
||
<text x="24" y="560" fill="#555">Referința = min ultimele 4 candele. Retest-ul coboară la 351.10, dar rămâne peste SL.</text>
|
||
</svg></p>
|
||
<p>Dacă prețul retestează 351.36 și chiar merge puțin sub el, stop-ul la 344.73
|
||
te ține în tranzacție; doar dacă prețul cade sub 344.73 se consideră ideea
|
||
invalidată.</p>
|
||
<h3 id="exemplu-complet-2-short-numerele-din-training-aceeasi-lectie">Exemplu complet 2 — SHORT (numerele din training, aceeași lecție)</h3>
|
||
<p>Intrare short, la rezistență. Referința pentru stop: cel mai sus high din
|
||
ultimele 4 candele = <strong>387.98</strong>. ATR = <strong>5.52</strong> (aceeași sesiune).</p>
|
||
<p>Calcul: 5.52 × 1.2 = 6.63. Stop = 387.98 + 6.63 = <strong>394.61</strong>.</p>
|
||
<p><svg viewBox="0 0 620 560" xmlns="http://www.w3.org/2000/svg" style="width:100%;height:auto;font:12px sans-serif">
|
||
<text x="24" y="48" fill="#333" style="font-weight:bold">Q — daily</text>
|
||
<line x1="24" y1="56.0" x2="606" y2="56.0" stroke="#c00" stroke-width="1.5" stroke-dasharray="4 3"/>
|
||
<text x="592" y="50.0" fill="#c00" text-anchor="end">394.61 — SL (387.98 + 1.2×ATR 5.52 = 6.63)</text>
|
||
<line x1="24" y1="135.6" x2="606" y2="135.6" stroke="#888" stroke-width="1.5" stroke-dasharray="2 2"/>
|
||
<text x="592" y="129.6" fill="#888" text-anchor="end">387.98 — high referință (max ultimele 4 candele)</text>
|
||
<line x1="24" y1="270.2" x2="606" y2="270.2" stroke="#1a5fb4" stroke-width="1.5" stroke-dasharray="4 3"/>
|
||
<text x="30" y="264.2" fill="#1a5fb4">intrare short 376.76 (close semnal)</text>
|
||
<line x1="44.0" y1="458.1" x2="44.0" y2="518.1" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="39.5" y="468.9" width="9" height="38.4" fill="#188a3e"/>
|
||
<line x1="59.0" y1="413.1" x2="59.0" y2="480.3" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="54.5" y="424.5" width="9" height="44.4" fill="#188a3e"/>
|
||
<line x1="74.0" y1="406.5" x2="74.0" y2="464.1" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="69.5" y="424.5" width="9" height="21.6" fill="#c00"/>
|
||
<line x1="89.0" y1="387.3" x2="89.0" y2="458.1" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="84.5" y="399.3" width="9" height="46.8" fill="#188a3e"/>
|
||
<line x1="104.0" y1="347.7" x2="104.0" y2="410.1" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="99.5" y="358.5" width="9" height="40.8" fill="#188a3e"/>
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||
<line x1="119.0" y1="338.1" x2="119.0" y2="398.1" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="114.5" y="358.5" width="9" height="19.2" fill="#c00"/>
|
||
<line x1="134.0" y1="320.7" x2="134.0" y2="389.1" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="129.5" y="332.1" width="9" height="45.6" fill="#188a3e"/>
|
||
<line x1="149.0" y1="279.9" x2="149.0" y2="343.5" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="144.5" y="291.3" width="9" height="40.8" fill="#188a3e"/>
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<rect x="354.5" y="336.9" width="9" height="20.4" fill="#188a3e"/>
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<line x1="374.0" y1="332.1" x2="374.0" y2="387.3" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="369.5" y="336.9" width="9" height="45.6" fill="#c00"/>
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<line x1="389.0" y1="365.1" x2="389.0" y2="429.9" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="384.5" y="382.5" width="9" height="30.0" fill="#c00"/>
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<line x1="404.0" y1="372.9" x2="404.0" y2="435.3" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="399.5" y="395.7" width="9" height="16.8" fill="#188a3e"/>
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<line x1="419.0" y1="389.1" x2="419.0" y2="447.9" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="414.5" y="395.7" width="9" height="45.6" fill="#c00"/>
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<text x="24" y="548" fill="#555">Distanță intrare → SL = 17.85 pe acțiune.</text>
|
||
</svg></p>
|
||
<p>Din training: close-ul candelei de semnal era 376.76. Distanță intrare→SL =
|
||
394.61 − 376.76 = <strong>17.85</strong> pe acțiune. Cu 10 acțiuni, riscul e 17.85 × 10 =
|
||
<strong>$178.5</strong>. Aplicând un leverage de 10x pe aceeași poziție, riscul devine
|
||
178.5 × 10 ≈ <strong>$1800</strong> — dacă suma asta nu e confortabilă, soluția e să
|
||
reduci mărimea poziției (nu să muți stop-ul mai aproape), ex. la jumătate
|
||
din acțiuni → risc pe leverage ~$900.</p>
|
||
<h3 id="exemplu-3-esec-stop-dimensionat-gresit-ignorand-atr">Exemplu 3 — eșec: stop dimensionat greșit (ignorând ATR)</h3>
|
||
<p>Aceeași intrare long ca în exemplul 1 (351.36 low, ATR 5.52), dar cu un stop
|
||
"la senzație", de 2 dolari sub intrare, ignorând ATR-ul.</p>
|
||
<p><svg viewBox="0 0 620 496" xmlns="http://www.w3.org/2000/svg" style="width:100%;height:auto;font:12px sans-serif">
|
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<text x="24" y="48" fill="#333" style="font-weight:bold">Q — daily</text>
|
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<line x1="24" y1="426.7" x2="606" y2="426.7" stroke="#1a5fb4" stroke-width="1.5" stroke-dasharray="4 3"/>
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<text x="592" y="420.7" fill="#1a5fb4" text-anchor="end">intrare ~353.36</text>
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<line x1="24" y1="450.7" x2="606" y2="450.7" stroke="#c00" stroke-width="1.5" stroke-dasharray="4 3"/>
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<text x="592" y="444.7" fill="#c00" text-anchor="end">351.36 — SL „la senzație”</text>
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<rect x="39.5" y="71.0" width="9" height="30.0" fill="#c00"/>
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<line x1="59.0" y1="88.4" x2="59.0" y2="155.6" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="54.5" y="101.0" width="9" height="42.0" fill="#c00"/>
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<line x1="74.0" y1="104.6" x2="74.0" y2="162.2" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="69.5" y="123.8" width="9" height="19.2" fill="#188a3e"/>
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<rect x="369.5" y="360.2" width="9" height="15.6" fill="#c00"/>
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<line x1="389.0" y1="318.2" x2="389.0" y2="383.0" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="384.5" y="325.4" width="9" height="50.4" fill="#188a3e"/>
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<line x1="404.0" y1="275.0" x2="404.0" y2="337.4" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="399.5" y="287.0" width="9" height="38.4" fill="#188a3e"/>
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<line x1="419.0" y1="264.2" x2="419.0" y2="323.0" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="414.5" y="287.0" width="9" height="13.2" fill="#c00"/>
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<line x1="434.0" y1="246.8" x2="434.0" y2="310.4" stroke="#1a1a1a" stroke-width="1.2"/>
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<rect x="429.5" y="257.0" width="9" height="43.2" fill="#188a3e"/>
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<text x="329.0" y="467.8" fill="#c88" text-anchor="middle" style="font-weight:bold">retest normal 351.10 — SL lovit</text>
|
||
<text x="404.0" y="245.0" fill="#188a3e" text-anchor="middle" style="font-weight:bold">continuă în sus</text>
|
||
<text x="24" y="484" fill="#555">SL doar 2$ sub intrare (< ATR): retest-ul îl lovește, apoi prețul urcă fără tine.</text>
|
||
</svg></p>
|
||
<p>Retest-ul normal (mai jos decât 351.36, dar peste 344.73) lovește stop-ul de
|
||
2 dolari, tradeul e închis pe pierdere, deși ideea de trade rămâne validă și
|
||
prețul continuă în direcția prevăzută imediat după — exact scenariul pe care
|
||
distanța de 1.2×ATR e menită să-l prevină.</p>
|
||
<h3 id="alte-doua-utilizari-ale-atr-din-training">Alte două utilizări ale ATR (din training)</h3>
|
||
<ul>
|
||
<li><strong>Marcarea de top-uri/bottom-uri:</strong> în majoritatea cazurilor (nu de fiecare
|
||
dată), ATR-ul face un spike (creștere bruscă) aproape de extremele de preț
|
||
— mai frecvent la bottom-uri decât la top-uri. Exemplu din training: un
|
||
ATR care urcă de la 2.23 la 3.65 (+63%) a coincis cu o zonă de posibil
|
||
bottom pe un simbol urmărit. E context, nu trigger de intrare — se combină
|
||
cu suport/rezistență, volum, divergențe.</li>
|
||
<li><strong>Indicatorul de procent ATR</strong> (schimbarea ATR-ului față de candela
|
||
anterioară): peste 100% înseamnă că volatilitatea tocmai a urcat brusc —
|
||
semnal să fii atent, nu semnal de intrare/ieșire în sine.</li>
|
||
</ul>
|
||
<h2 id="3-vix-cboe-volatility-index">3. VIX (CBOE Volatility Index)</h2>
|
||
<h3 id="mecanism_1">Mecanism</h3>
|
||
<p>VIX (simbol <code>$VIX.X</code>, lansat de CBOE) măsoară volatilitatea <strong>așteptată</strong> a
|
||
S&P 500 pe următoarele 30 de zile, calculată din prețurile opțiunilor SPX
|
||
(cu cât plătesc traderii mai mult pentru opțiuni put/call de protecție, cu
|
||
atât piața se așteaptă la mișcări mai mari). Istoric (1990-2020), VIX-ul s-a
|
||
mișcat între 9.14 și 82.69.</p>
|
||
<p>VIX e de regulă <strong>invers corelat</strong> cu S&P 500 — dar nu simetric: când piața
|
||
scade, VIX-ul urcă adesea disproporționat (piață −2% poate însemna VIX
|
||
+10-15% sau mai mult), pentru că scăderile bruște generează cerere panicată
|
||
de opțiuni put de protecție.</p>
|
||
<p><svg viewBox="0 0 400 135" xmlns="http://www.w3.org/2000/svg" style="width:100%;max-width:400px;height:auto;font:12px sans-serif">
|
||
<text x="10" y="20" fill="#333">S&P 500: −2%</text>
|
||
<rect x="10" y="28" width="40" height="20" fill="#c00"/>
|
||
<text x="10" y="75" fill="#333">VIX: +10% până +15% (medie 12.5%, disproporționat)</text>
|
||
<rect x="10" y="83" width="250" height="20" fill="#666"/>
|
||
<text x="10" y="118" fill="#666">Aceeași scară: 1% = 20 px. Cerere panicată de protecție (put).</text>
|
||
</svg></p>
|
||
<p><strong>Important:</strong> VIX-ul nu e tranzacționabil direct — nu poți cumpăra "acțiuni
|
||
VIX". Expunere reală se ia prin futures și opțiuni pe VIX (produse CBOE).</p>
|
||
<h3 id="de-ce-urmaresti-vix">De ce urmărești VIX</h3>
|
||
<p>Îți dă contextul de piață — cât de "nervoasă" e piața acum, la nivel
|
||
macro — nu doar cât se mișcă simbolul tău individual (asta face ATR). VIX
|
||
peste 20 = volatilitate elevată la nivel de piață; la extreme (spike-uri),
|
||
VIX-ul coincide adesea cu bottom-uri de piață (frică extremă = capitulare).</p>
|
||
<h3 id="ce-faci-cand-il-vezi_1">Ce faci când îl vezi</h3>
|
||
<p>Nu tranzacționezi direct pe VIX ca semnal izolat. Îl folosești ca <strong>filtru
|
||
de context</strong>: (1) dacă VIX e ridicat/în urcare, mărești distanțele de
|
||
stop-loss la nivel de piață și reduci mărimea pozițiilor (mișcări mai
|
||
violente peste tot, nu doar pe simbolul tău); (2) la un spike de VIX
|
||
combinat cu preț în zonă de suport deja cunoscută, cauți un trigger propriu
|
||
de intrare long pe indice/piață — spike-ul de VIX singur nu e trigger.</p>
|
||
<h3 id="trigger-danu">Trigger DA/NU</h3>
|
||
<ul>
|
||
<li><strong>DA — context care justifică o căutare de long:</strong> VIX face spike clar
|
||
peste nivelurile recente (ex: de la ~20 la 30+), S&P e simultan într-o zonă
|
||
de suport deja identificată, ȘI prețul dă propriul trigger de confirmare
|
||
(candelă de reversal, divergență confirmată etc. — vezi fișierul de
|
||
divergențe).</li>
|
||
<li><strong>NU — doar VIX ridicat, fără restul:</strong> VIX ridicat, dar S&P nu e la un
|
||
nivel de suport cunoscut și nu există trigger de preț — un VIX mare poate
|
||
rămâne mare mult timp sau poate urca și mai mult; nu intra doar pentru că
|
||
"frica e mare".</li>
|
||
</ul>
|
||
<h3 id="exemplu-complet">Exemplu complet</h3>
|
||
<p>Din training (SPY, bottom martie 2023): VIX a făcut spike la ~30 exact în
|
||
zona în care S&P făcea un bottom — context confirmat și de ATR-ul propriu al
|
||
VIX-ului, care de asemenea a urcat marcat în acel moment ("volatilitatea
|
||
volatilității"). Transcrierea arată doar contextul (spike VIX + zonă de
|
||
bottom pe preț); intrarea, stop-ul și target-ul de mai jos sunt
|
||
<strong>construcția mea</strong>, aplicând exact regulile ATR din secțiunea anterioară pe
|
||
acest context, pe niveluri plauzibile pentru SPY în acea perioadă:</p>
|
||
<p><svg viewBox="0 0 620 384" xmlns="http://www.w3.org/2000/svg" style="width:100%;height:auto;font:12px sans-serif">
|
||
<text x="24" y="48" fill="#333" style="font-weight:bold">SPY — daily (martie 2023)</text>
|
||
<line x1="24" y1="56.0" x2="606" y2="56.0" stroke="#188a3e" stroke-width="1.5" stroke-dasharray="4 3"/>
|
||
<text x="592" y="50.0" fill="#188a3e" text-anchor="end">TP ~405 (zonă rezistență anterioară)</text>
|
||
<line x1="24" y1="251.0" x2="606" y2="251.0" stroke="#1a5fb4" stroke-width="1.5" stroke-dasharray="4 3"/>
|
||
<text x="592" y="245.0" fill="#1a5fb4" text-anchor="end">intrare long ~390</text>
|
||
<line x1="24" y1="316.0" x2="606" y2="316.0" stroke="#888" stroke-width="1.5" stroke-dasharray="2 2"/>
|
||
<text x="30" y="310.0" fill="#888">suport zonă cunoscută (~385)</text>
|
||
<line x1="24" y1="342.0" x2="606" y2="342.0" stroke="#c00" stroke-width="1.5" stroke-dasharray="4 3"/>
|
||
<text x="592" y="336.0" fill="#c00" text-anchor="end">SL ~383 (sub bottom, 1.2×ATR)</text>
|
||
<line x1="44.0" y1="89.8" x2="44.0" y2="130.1" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="39.5" y="101.5" width="9" height="16.9" fill="#188a3e"/>
|
||
<line x1="59.0" y1="59.9" x2="59.0" y2="113.2" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="54.5" y="71.6" width="9" height="29.9" fill="#188a3e"/>
|
||
<line x1="74.0" y1="59.9" x2="74.0" y2="98.9" stroke="#1a1a1a" stroke-width="1.2"/>
|
||
<rect x="69.5" y="71.6" width="9" height="15.6" fill="#c00"/>
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<text x="269.0" y="356.0" fill="#c00" text-anchor="middle" style="font-weight:bold">bottom + reversal</text>
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<text x="284.0" y="199.7" fill="#1a5fb4" text-anchor="middle" style="font-weight:bold">break</text>
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<text x="24" y="372" fill="#555">VIX spike la ~30 în aceeași zonă. Risc ~7, recompensă ~15 → ~1:2.1.</text>
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</svg></p>
|
||
<p>Context: VIX spike la 30 + S&P în zonă de suport prevăzută. Trigger propriu
|
||
de preț: candelă de reversal la bottom. Intrare long <strong>~390</strong> (break peste
|
||
high-ul candelei de trigger), stop-loss <strong>~383</strong> (sub bottom, distanță
|
||
calculată tot cu 1.2×ATR ca în secțiunea 2, nu arbitrar), take-profit
|
||
<strong>~405</strong> (zonă de rezistență anterioară). Risc ~7, recompensă ~15 → ~1:2.1.</p>
|
||
<h2 id="gotchas-practice-cele-mai-importante">Gotchas practice — cele mai importante</h2>
|
||
<ul>
|
||
<li><strong>Nu confunda cele trei instrumente.</strong> Beta e context pentru mărimea
|
||
poziției (comparativ cu piața), ATR e context pentru mărimea stop-loss-ului
|
||
(mișcarea reală a simbolului), VIX e context pentru regimul pieței întregi
|
||
— niciunul, singur, nu e un semnal de intrare.</li>
|
||
<li><strong>"În majoritatea cazurilor" nu e "de fiecare dată".</strong> ATR ridicat la
|
||
extreme, VIX invers corelat cu S&P — toate sunt tipare statistice, nu
|
||
legi; explicit din training, pot exista excepții (top-uri fără spike de
|
||
ATR, căderi de piață unde VIX nu urcă proporțional).</li>
|
||
<li><strong>Nu muta stop-loss-ul mai aproape decât ATR-ul permite</strong> — motivul
|
||
pentru 120-150% din ATR e absorbția retest-ului normal; un stop mai strâns
|
||
te scoate din tranzacții altfel valide (vezi exemplul 3 din secțiunea ATR).</li>
|
||
<li><strong>Reglează mărimea poziției, nu doar stop-ul, când adaugi leverage</strong> —
|
||
riscul în dolari se multiplică direct cu leverage-ul; dacă suma rezultată
|
||
nu e confortabilă emoțional, soluția corectă e o poziție mai mică, nu un
|
||
stop mai aproape.</li>
|
||
</ul>
|
||
<h2 id="referinte">Referințe</h2>
|
||
<ul>
|
||
<li><a href="https://www.cboe.com/tradable_products/vix/">CBOE — VIX Index overview</a> — definiție și metodologie oficială.</li>
|
||
<li><a href="https://www.investopedia.com/terms/a/atr.asp">Investopedia — Average True Range (ATR)</a> — formulă și utilizare la stop-loss.</li>
|
||
<li><a href="https://www.investopedia.com/terms/b/beta.asp">Investopedia — Beta</a> — definiție, interpretare Beta >1 / <1.</li>
|
||
<li><a href="https://www.oanda.com/us-en/trade-tap-blog/analysis/technical/using-average-true-range-atr-for-stop-loss/">OANDA — Using ATR to Set Stop Losses</a> — variantă practică pentru plasarea stop-loss-ului bazat pe ATR, long și short.</li>
|
||
</ul>
|
||
<hr />
|
||
<p><em>Notă: secțiunile "De ce urmărești", "Ce faci când îl vezi", triggerele
|
||
DA/NU, exemplul 3 (ATR — eșec), exemplul complet Beta (KO vs MARA) și
|
||
exemplul complet VIX (intrare/SL/TP pe SPY) sunt completări ale mele, dincolo
|
||
de ce spune explicit transcrierea. Cifrele din exemplele 1 și 2 ale ATR
|
||
(long/short, 351.36/387.98/5.52/394.61/344.73/17.85/178.5$) și valorile Beta
|
||
pe simboluri vin direct din training. Simbolul folosit în training pentru
|
||
exemplele long/short de ATR e neclar în transcriere (transcris ca „BAI”/„Q”)
|
||
— am păstrat cifrele exact, fără să presupun un ticker real.</em></p><nav class="pager"><a class="prev" href="04_money_management_position_sizing.html">← 04. #4 — Money Management și Position Sizing</a><a class="up" href="../index.html#03_MODUL_2">↑ index</a><a class="next" href="06_indicatorul_de_performanta.html">06. #6 — Indicatorul de performanță (Relative Strength) →</a></nav>
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