Active Quant Strategy

이진우, Quant Analyst, 3774 1469 zeenu@miraeasset.com Active Quant Strategy
정의민, 3774 3976 em.jung@miraeasset.com
Name
Price chg(1W) Signal
Liquidity Strength(1W) 밀접도 Correlation(3M)-수급연동성 Strength(STD) Strength(revised) - 수급지배력
ITC FGN 정/역배열
ITC
FGN 기관(ITC) 매매동향(억원) 외국인(FRN) 매매동향(억원)
Dow n UP
Weight(L/S)
ITC FGN
Bull/
Bear
Strength
(±2STD)
GC/ DC
60MA 120MA
ITC
Sell BUY
FGN
Sell BUY
ITC
추세 거래
Present -1M
FGN
Present -1M
1W
ITC FGN 1W
ITC(%)
1M -1M 1W
FGN(%)
1M -1M
1W 1M 3M 6M 1W 1M 3M 6M ITC FGN ITC 1W 1M 3M 6M FRN 1W 1M 3M 6M 1D 1W 1M 3M 1D 1W 1M 3M ITC
LG |||| ||| FGN FGN (0.35) 0.13 0.07 (0.36) 0.5 -0.4 10.3 1.9 (3.5) (8.6) 3.8 5.4 + + ++ - + ++ - + + - -21 62 3 -19 6 -53 237 626 0.0 0.2 84 82
SK Short Ov ersold |||||||| |||||||||||||| FGN FGN 0.06 0.20 0.54 0.06 1.2 -2.2 20.4 5.2 (2.2) (35.4) (10.1) 4.8 + + + + + - - - - - 1 197 143 597 4 -332 -376 -505 0.7 (1.6) 38 170
두산 | ||||||||||| ||||||| ITC FGN 0.02 0.14 (0.05) (0.05) 1.2 -1.1 28.5 0.9 (1.5) (19.4) 6.7 6.1 + + - ++ - - - + + + 7 30 -93 180 -11 -19 145 253 0.6 (0.2) 41 104
LS ||| ITC ITC 0.84 0.87 (0.40) (0.70) -0.1 0.0 (2.2) 10.1 (9.1) (0.7) (6.2) 1.8 ++ - + - + + - - - - -12 -29 176 -98 -4 -12 -146 -15 0.8 1.0 35 36
두산인프라코어 || Short ||||| ITC FGN 0.90 0.85 0.82 0.80 -0.7 -0.1 (12.7) (6.5) (8.5) (1.8) (8.6) (6.2) ↓ -- - - - - ++ - - - + 30 -88 -205 -486 -53 -2 -225 -377 (0.1) 0.3 95 72
두산엔진 || ITC ITC 0.49 (0.22) (0.02) 0.39 -0.1 0.7 (0.8) 4.3 3.2 7.4 2.3 (1.3) - -- + + - + ++ ++ ++ + -1 -1 19 24 -2 9 6 6 (0.5) 3.0 125 1
삼성엔지니어링 |||||| Short | |||||||||| FGN ITC 0.83 0.21 0.85 0.37 -0.2 -1.3 (3.2) (10.3) (1.0) (26.1) (3.8) 5.1 + - - - - - - - - - 24 -79 -343 -497 -280 -560 -734 -927 0.1 (1.5) 81 169
삼성물산 Long Ov erheat |||||||||||||||| ||||||||||| ITC ITC 0.89 0.84 (0.82) 0.02 2.1 -2.3 40.8 17.5 16.7 (28.5) (5.3) (7.3) ↑ + + + + + - - - - + 35 1,148 1,563 3,353 -31 -661 -579 -757 1.6 (1.7) 8 172
현대건설 | |||||| ||||||| ITC ITC 0.84 0.19 (0.51) 0.14 0.9 -1.2 17.4 (9.2) (6.8) (17.5) (1.3) 2.1 + + - - - - - - + + 43 208 -491 -1,671 -56 -186 -112 1,010 0.5 (0.2) 48 112
GS건설 | Short ||| |||||||| FGN FGN (0.18) 0.71 0.59 0.51 0.4 -1.1 9.0 7.1 10.4 (21.6) (13.4) (6.4) ↓ + + + + - - - - - - -4 83 215 339 -4 -209 -441 -778 0.6 (0.9) 40 144
대우건설 Short ||| || ITC ITC 0.88 0.78 0.71 0.40 -0.5 -0.5 (7.9) (11.9) (4.8) (6.2) 2.1 (6.2) ++ - - - - ++ - + - - 4 -14 -115 -236 -6 -4 29 -2 0.2 1.0 65 31
대림산업 | |||| ||| ITC ITC 0.71 0.91 (0.45) 0.07 -0.7 0.5 (11.7) (8.9) 9.0 7.8 2.2 (3.9) ++ - - + ++ + + + - - -30 -97 -297 917 53 82 82 -113 0.5 0.1 47 85
현대산업 | | ITC FGN 0.89 0.85 (0.59) (0.25) -0.3 -0.1 (3.7) (2.1) 3.1 (3.5) 2.5 3.2 + - - + + - -- + - - 2 -8 -30 298 13 -20 30 -90 1.1 (1.0) 23 148
신한지주 | ||||||| FGN ITC 0.48 0.93 0.48 0.76 -0.2 -1.1 (4.0) (3.4) (1.5) (17.5) (3.1) 11.0 ++ - - + + - - - + + 79 -134 -284 516 -112 -620 -527 730 1.2 (0.6) 22 134
KB금융 | | ||||| FGN FGN 0.08 (0.46) 0.39 0.75 -0.1 -0.8 (2.6) 3.4 (3.6) (14.0) (6.5) 0.3 + - + ++ - - - - + + 5 -145 302 65 -68 -404 -625 157 0.5 (1.3) 50 162
우리금융 Long || ||||| ITC ITC 0.75 0.96 (0.46) 0.78 0.3 -0.9 6.1 7.3 8.4 (13.4) (5.3) (2.4) ↑ + + + + + - - - - + 53 78 257 1,447 -72 -125 -178 -280 1.8 (1.7) 4 173
하나금융지주 |||| |||||| FGN ITC (0.75) (0.85) 0.79 0.95 0.7 -0.9 11.6 2.8 (6.9) (17.5) (2.5) 12.2 + + + - ++ - - - + + 46 273 235 -1,684 -71 -381 -222 3,190 1.8 (1.2) 6 159
기업은행 |||| |||| ITC FGN 0.91 0.60 0.01 0.44 -0.5 0.6 (10.6) 7.1 9.5 11.1 9.2 (0.7) ↑ -- - + + + ++ + + + + 17 -67 110 544 -9 62 155 192 (1.4) 1.9 171 9
외환은행 Short ||||||| ||||||||||| FGN ITC (0.27) 0.38 0.43 (0.14) 1.0 -1.3 18.1 18.8 17.9 (29.8) (16.8) (10.4) ↑ ↓ ++ + + + + - - - - - 29 78 335 638 -22 -146 -292 -578 2.9 (1.2) 2 156
BS금융지주 ||| ||||| FGN ITC 0.60 (0.03) 0.87 0.94 -0.6 -0.2 (13.3) 2.0 (7.2) 0.5 (0.7) 23.4 ↑ ++ - + + - -- + - + + -12 -73 70 107 -4 21 -55 431 0.3 (0.9) 58 139
DGB금융지주 | Long |||| |||||||| FGN FGN (0.07) 0.31 0.87 0.89 -0.5 0.4 (12.4) (6.9) (3.8) 20.4 15.0 17.5 ↓ ↑ + - - - - ++ + + + + 3 -37 -74 -33 -1 60 160 288 0.2 (0.1) 70 94
삼성생명 || || FGN ITC 0.77 0.95 0.80 0.94 0.1 -0.5 5.9 6.7 7.4 (6.6) (6.6) 8.4 ↑ -- + + + + ++ - - + + 19 59 173 2,804 12 -63 -331 441 (0.5) 0.2 119 81
삼성화재 ITC FGN 0.65 0.51 (0.54) (0.35) -0.1 -0.2 (2.2) 6.6 19.6 (2.0) (9.3) (15.7) ++ - + + + ++ -- - - - -12 -13 188 2,019 35 -23 -363 -2,057 0.3 0.4 61 70
한화생명 | | |||||||||||||| FGN FGN (0.80) 0.25 (0.69) 0.32 0.1 -1.9 4.3 4.9 8.5 (36.0) (23.8) 2.6 -- + + + + ++ - + + + 1 11 408 481 -5 -104 309 365 (0.7) (0.1) 144 99
동부화재 |||||| Long ||||||||| |||||| ITC ITC 0.17 0.03 (0.00) 0.04 0.8 -0.7 23.1 19.1 (6.4) (16.8) (17.4) (1.8) + + + + + - - - - - 24 79 205 133 19 -53 -213 -269 1.3 (0.2) 19 103
현대해상 | | || ITC ITC 0.71 0.59 0.39 0.03 0.2 0.1 3.7 3.1 (12.9) 7.1 (1.1) (4.9) + ++ ++ + - + ++ - - + 14 5 22 100 11 14 -51 -356 0.4 0.8 52 44
코리안리 | | FGN ITC (0.02) 0.87 0.20 (0.74) -0.2 0.1 (3.8) (15.6) (10.1) 4.7 11.9 10.3 - - - - + -- + + + - -3 -7 -135 -26 2 9 120 73 (0.4) (0.9) 116 143
LIG손해보험 ||| |||| ||| FGN ITC 0.46 0.34 0.52 0.18 -0.4 0.4 (10.4) 14.6 (13.2) 8.4 (10.5) (6.6) + - + + - + + - - - 8 -10 106 77 -8 22 -88 -232 1.0 0.3 29 74
메리츠화재 | | ITC FGN 0.90 0.79 (0.18) (0.09) 0.0 -0.2 1.6 2.5 (27.7) (3.0) (2.7) 1.2 ++ + + - - -- -- - - + -9 29 73 -290 -2 1 -34 -55 (0.0) (0.2) 87 107
동양생명 ||| || FGN ITC 0.48 (0.05) 0.50 0.82 0.2 -0.3 8.0 9.3 (15.8) (5.0) 0.7 15.5 ++ + + + + -- - - + - 0 3 28 12 -0 -2 -5 51 1.3 (0.4) 17 128
삼성증권 | |||| ITC ITC 0.53 0.94 (0.73) (0.38) -0.6 0.0 (12.2) (4.2) 4.4 1.8 3.6 2.5 - - - + + - + + - + -14 -105 -161 1,264 12 30 118 -140 (0.6) (0.9) 133 140
대우증권 || ITC ITC 0.46 0.88 (0.01) 0.75 0.0 -1.0 (1.5) 2.2 (2.1) (6.9) (0.7) 0.2 -- - + + + - -- -- + + 11 -10 46 36 -6 -32 1 147 (0.7) (0.7) 135 135
한국금융지주 Long ||||| ||| ITC ITC 0.16 0.64 0.12 (0.34) 0.5 -0.4 12.9 6.7 3.1 (9.6) (5.2) (1.8) ↑ ↓ + + + + + - - - - - 6 25 64 270 -5 -25 -55 -171 1.5 (1.0) 10 149
우리투자증권 ||||| | ITC ITC 0.62 0.93 (0.57) (0.59) -0.7 0.2 (14.5) (6.9) 7.7 3.5 4.0 (2.9) + - - + + - + + - + -3 -81 -171 346 3 22 97 -113 0.2 (2.2) 69 179
현대증권 ||| ||||||||||||||| ITC FGN 0.55 0.29 0.25 0.60 -0.5 -2.6 (7.5) 1.2 (11.2) (39.8) (14.7) 3.7 - - + - - - - - - - 2 -14 11 -69 -4 -80 -129 -22 (0.1) (1.3) 89 164
키움증권 |||| |||||| |||||||||||| ITC ITC 0.63 0.41 (0.30) (0.29) -0.7 1.0 (16.8) 21.1 (4.6) 31.2 (4.8) 4.4 - - + + - + + - + + -2 -27 167 34 8 54 -10 79 (0.6) 1.4 126 21
미래에셋증권 ||| ||| |||||| ITC ITC 0.87 0.94 (0.88) (0.79) 0.5 -0.9 9.5 23.9 15.4 (15.1) (14.2) (14.7) + - + + + - + - - - 71 -78 172 491 -43 28 -109 -284 3.2 (2.3) 1 181
동양증권 ||| ITC FGN 0.45 (0.70) 0.43 0.85 0.1 -0.8 0.1 (4.9) 0.0 (7.9) (5.3) 2.1 + + - - - - - - + + 0 0 -13 -17 -1 -3 -6 7 0.1 (1.1) 71 153
삼성카드 | |||||| FGN FGN (0.11) (0.09) 0.75 0.57 0.0 0.5 (2.4) (6.3) 7.5 16.5 13.2 4.5 ↓ - -- - - - + + + + - 4 -3 -73 -115 -5 21 121 256 (0.5) 0.8 118 42
KT&G |||||| ||||| FGN ITC 0.22 0.47 0.30 0.27 -1.0 0.5 (16.6) (6.6) 5.3 15.0 4.7 (4.4) ++ - - - + + + + ++ - 3 -198 -480 -420 12 179 335 47 0.1 (0.1) 82 95
오리온 ||||| || || FGN ITC (0.37) (0.28) 0.86 0.37 0.4 -0.4 7.0 10.5 (5.9) (5.7) (2.7) 3.2 -- + + + + ++ - - + ++ -19 52 333 51 -44 -47 -95 167 (1.1) 1.1 161 27
CJ제일제당 ||| Short |||| || ITC ITC 0.45 (0.43) (0.21) 0.72 -0.5 0.2 (10.4) (12.1) (13.9) 5.2 3.2 12.8 ↓ ↑ - - - - - + + + + + -9 -78 -410 -1,141 1 17 47 722 (1.0) (0.0) 152 90
CJ || || FGN ITC (0.70) (0.67) 0.85 0.87 -0.2 -0.2 (5.3) (5.8) (0.3) (0.3) 4.3 1.0 ↓ - - - - - ++ - + + + -39 -36 -234 -617 22 -1 171 517 (0.3) 0.7 111 51
롯데제과 | ||| FGN ITC (0.69) (0.84) 0.78 0.95 0.0 -0.4 (1.2) (10.1) (13.4) (8.0) 6.7 20.9 ++ - - - - -- - + + + 6 -0 -64 -170 -3 -8 36 234 1.2 0.0 21 123
하이트진로 ||||| ||| ||||||| FGN FGN (0.08) 0.80 0.67 0.92 -0.2 0.6 (9.0) (13.9) (12.7) 19.0 19.3 26.7 - - - - + + + + + - -2 -18 -137 -87 16 37 134 538 (0.2) 0.6 108 56
롯데칠성 Short ||| ||| FGN ITC (0.75) 0.21 0.82 0.37 0.3 -0.4 9.3 3.6 10.1 (8.2) (1.6) (10.8) ↑ ++ + + + + ++ - - - - -1 6 14 73 3 -4 -8 -57 0.1 0.6 76 59
농심 | ||| || FGN FGN (0.03) 0.64 0.26 (0.42) -0.4 -0.3 (9.6) 0.3 (25.3) (6.9) 7.5 19.7 - - - - + ++ - + + - 4 -17 -5 -223 2 -20 96 289 (0.3) 0.5 114 62
빙그레 ||| | ||||||||| FGN FGN (0.46) (0.47) 0.60 0.49 -0.2 -0.9 (4.3) 5.7 (5.2) (24.3) (13.3) 8.5 ++ - + - + - - - -- - -2 -14 56 -40 -12 -58 -130 -24 0.1 (1.4) 72 167
동원산업 || Long |||||||||| || FGN ITC 0.10 0.03 0.66 0.11 0.6 0.3 26.3 17.5 6.2 5.7 15.5 (2.5) ↑ + + + + + -- + + + + 2 18 44 109 -2 6 47 24 2.0 (0.5) 3 133
롯데삼강 | |||||| || FGN FGN (0.37) 0.05 0.78 (0.63) -0.6 0.2 (15.7) (4.0) (16.2) 6.6 9.8 4.8 ↓ - - + - - + + + + - 8 -17 -2 -110 14 5 54 46 (1.1) 0.4 158 69
대상 |||||| Long || ITC ITC 0.65 0.51 (0.48) (0.35) 0.2 0.0 6.4 16.8 13.9 (0.4) (7.5) (17.3) ↑ ↓ + + + + + -- -- - - - 11 35 301 798 2 -1 -113 -664 0.4 (0.3) 51 120
오뚜기 || Long |||||| |||||| ITC ITC 0.96 0.45 0.30 0.00 0.5 -0.7 16.1 27.4 (5.1) (15.7) (4.2) 4.0 + + + + + ++ - - + - 7 8 67 76 -1 -6 -10 -1 1.0 0.3 27 78
롯데쇼핑 | Long || || FGN FGN (0.25) (0.61) 0.33 0.69 -0.2 0.1 (5.1) (3.6) (12.0) 5.3 7.5 16.7 ↓ ↑ ++ - - - - -- + + + + 42 -32 -163 -1,464 -40 36 290 1,973 0.3 (0.1) 57 98
이마트 Short ||||||||| |||||| FGN FGN (0.84) (0.59) 0.89 0.83 1.3 -0.8 22.8 7.0 4.5 (16.0) (15.7) (7.0) ↑ ↓ + + + + + - - - - - -4 169 234 347 -0 -97 -459 -609 0.2 (1.1) 62 155
현대백화점 || ||| ITC ITC 0.65 0.22 (0.60) (0.17) -0.3 0.3 (7.0) 4.4 (14.7) 9.3 2.5 10.7 ↑ ++ - + - - + + + + + -49 -46 94 -1,338 65 65 61 1,468 0.2 (0.0) 64 92
신세계 ||||| ITC FGN 0.45 0.49 0.25 0.62 0.2 -0.1 0.8 2.2 5.6 2.1 4.7 (4.8) ↑ -- -- + + - ++ + + + + 10 -4 17 59 -19 5 49 110 (2.1) 1.1 181 26
GS리테일 |||||||| ITC FGN 0.75 0.72 0.45 (0.44) -0.7 -0.4 (22.4) 0.8 0.6 0.9 6.5 6.3 ↑ - - + - + ++ - + + + 9 -52 24 -116 -6 -14 106 282 (0.3) (0.4) 110 127
현대홈쇼핑 Long | ||||| ITC ITC 0.67 0.50 (0.54) (0.32) 0.0 -0.5 4.4 30.1 6.5 (13.8) (24.5) (13.0) ↑ ↓ -- + + + + ++ - - - - 2 8 329 584 -5 -26 -227 -447 (0.7) 0.3 141 73
CJ오쇼핑 | || FGN FGN (0.34) (0.38) 0.74 0.65 -0.4 0.1 (5.7) (7.5) (0.3) 1.0 7.9 5.1 - -- - - + -- -- + + + -3 -12 -96 -242 15 -5 86 403 (1.2) 0.0 162 89
GS홈쇼핑 || Long |||||||||||||||| ||||||||||||||||| FGN ITC (0.84) (0.37) 0.84 0.73 -1.6 1.7 (40.1) (30.7) (23.6) 49.3 29.4 22.0 ↓ ↑ - - - - - + + + + + 1 -137 -430 -672 13 175 427 679 (2.3) 2.3 183 5
롯데하이마트 Long |||| | ITC ITC 0.82 0.72 (0.76) (0.63) 0.1 -0.3 11.1 6.1 26.1 (4.2) (0.8) (6.1) ↑ ↓ + + + + + -- - - - - -0 30 124 956 1 -9 -19 -498 (0.2) (0.5) 100 132
Mirae Asset Securities
18
FGN
FGN
18