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
현대글로비스 Short |||||||||||| ||||||| ITC ITC 0.76 0.83 (0.51) (0.63) -1.3 0.9 (31.3) (23.3) (24.0) 19.2 5.0 17.0 ↓ ↑ - - - - - ++ ++ + + + -66 -357 -1,002 -1,961 85 218 226 616 (0.7) 2.4 139 4
현대상선 | | ||||| FGN FGN (0.47) 0.28 (0.36) (0.79) -0.4 -0.8 (3.3) 0.2 3.3 (14.5) (3.9) 0.1 ++ - -- - - - - - + + 3 -17 -5 -49 -43 -69 -98 201 (0.1) (0.2) 92 105
대한항공 || Short |||||||| ITC ITC 0.94 0.36 0.81 0.56 -0.9 0.1 (20.2) (24.6) (9.5) (0.7) (2.6) (0.9) ↓ - - - - - - ++ - - + -65 -138 -875 -1,115 16 3 -72 -104 (1.0) (0.2) 157 110
한진해운 || ||||||||| ITC ITC 0.66 0.59 0.45 (0.31) 0.4 -1.7 7.3 (11.2) (9.5) (23.0) (0.9) (5.3) -- + - - - - - -- - - -6 17 -264 -24 7 -95 -4 -238 (0.7) (1.1) 136 150
CJ대한통운 | |||||||| ITC FGN 0.84 0.67 0.11 (0.76) -0.2 -1.3 (1.2) (6.6) 4.5 (20.6) (11.8) (4.0) ↓ - -- - + + ++ - - - ++ 12 -23 -250 76 -3 -38 -67 -209 (1.0) 1.7 153 13
아시아나항공 | Short ||||||| ITC ITC 0.89 0.54 0.63 0.47 -1.1 0.1 (19.7) (15.4) (15.9) 0.6 0.4 (1.0) ↓ - - - - - + ++ + + - 1 -37 -96 -204 2 1 4 6 (1.1) 0.6 159 54
STX팬오션 ||| | ITC FGN 0.15 0.72 0.05 (0.53) -0.2 0.1 (2.6) 1.6 0.2 (0.6) (4.0) 0.7 ++ - + - - -- -- - - - -1 -16 30 -18 1 -1 -94 -150 0.1 (0.3) 79 114
녹십자 ||| ||||| ITC ITC 0.77 0.40 0.48 (0.24) 0.4 -0.1 13.1 7.7 7.1 1.6 1.9 2.8 + + + + - -- ++ + - + -12 21 89 157 1 3 16 -29 1.6 (0.4) 9 124
유한양행 Long | |||| ITC ITC 0.60 0.72 0.13 (0.27) -0.2 -0.3 2.8 5.3 3.6 (10.9) (1.5) (5.0) ↑ ↓ + + + + + - - - - - 4 5 135 255 2 -32 -8 -79 (0.2) (0.3) 107 113
동아제약 ITC ITC 0.41 0.82 (0.24) (0.04) (12.6) (0.8) (6.0) 2.2 - - - + + - - - - + 0 0 -95 103 0 0 -37 -18
녹십자홀딩스 ||||| Long ||||||||||| | ITC ITC 0.68 (0.79) (0.04) (0.83) 1.0 -0.2 27.9 20.9 21.4 (2.9) 0.9 1.9 ↑ + + + + + ++ - - + + 3 14 23 44 1 -2 -4 19 0.2 0.5 63 65
LG생명과학 ||| | ITC FGN 0.85 0.94 0.85 0.92 -0.6 -0.2 (9.9) (0.4) 12.5 (3.0) (0.4) 0.9 -- -- + + + ++ - + + + 9 -22 9 417 -2 -9 8 154 (2.0) (0.0) 180 91
씨젠 |||||| | FGN ITC 0.16 0.15 0.61 0.48 0.2 -0.1 5.0 2.6 0.7 (1.2) 2.6 (2.4) -- + + + -- -- -- + + + -23 31 150 122 -36 -7 107 64 (0.6) (0.7) 130 137
한전기술 | Long ||||| | ITC ITC 0.92 0.92 0.47 (0.80) 0.6 -0.4 14.3 14.4 12.8 (3.2) 1.9 3.8 ↑ + + + + + + - + + - 18 43 177 728 12 -9 20 24 1.1 0.4 24 68
성진지오텍 |||||||||||| || FGN ITC (0.03) 0.07 0.50 0.67 -1.5 -0.5 (30.5) (8.2) (12.2) (6.3) 2.7 (10.1) ++ - - - - ++ - + - - 0 -8 -8 -8 -0 -2 1 -9 0.8 0.4 34 67
SK가스 || ||||| ||||| ITC ITC 0.73 0.86 (0.65) (0.76) 0.5 0.6 14.1 2.7 (4.8) 12.7 2.6 4.5 -- + ++ - - + + + + + -0 8 2 -31 3 7 4 25 0.0 0.5 86 60
NHN || || ||| FGN FGN (0.91) 0.16 0.94 0.30 -0.3 0.2 (6.9) (7.4) (9.3) 8.5 10.1 14.6 ↓ ↑ ++ - - - + -- + + + - -15 -127 -703 -2,215 -83 195 976 3,190 0.3 (1.2) 56 158
다음 | || FGN FGN (0.33) (0.76) 0.82 0.92 -0.1 0.1 (2.7) 7.4 3.7 7.0 (11.7) (0.1) -- -- + - - ++ ++ - + + -6 -4 80 -263 7 19 -211 345 (0.5) 0.3 123 71
엔씨소프트 ||||||| Short |||||| || FGN ITC (0.03) (0.02) 0.53 0.83 0.9 -0.4 16.9 6.5 1.9 (5.7) (2.0) (5.1) ↓ + + + + - ++ - - - - 29 519 682 1,049 -32 -66 -65 -2,314 1.3 0.1 20 86
게임빌 | ||| ITC ITC 0.87 0.93 (0.62) (0.57) -0.2 -0.7 (2.2) 4.6 (7.0) (8.4) (3.0) 0.3 - - + + - - - - - - 1 -5 156 111 6 -39 -96 -88 (0.3) (1.7) 115 174
컴투스 | | ITC FGN 0.78 0.87 0.46 0.65 0.2 0.3 2.4 (0.9) 4.0 2.7 4.3 (2.9) -- + - + - - + + - - 2 18 -56 81 2 18 193 -101 (0.0) (2.0) 88 176
SK C&C ||||| |||||| ITC ITC 0.35 0.52 (0.24) 0.92 0.7 -1.3 13.4 (0.6) 1.1 (16.3) 0.4 0.8 + + - + + ++ - -- + + 12 44 -87 39 5 -54 -7 102 0.8 0.7 36 52
다우기술 || FGN ITC 0.81 0.84 0.85 0.58 0.1 0.0 2.2 9.7 0.7 1.8 (0.0) 10.8 - -- + + + ++ ++ + + + -0 -1 72 116 -2 2 -1 86 (1.4) 0.6 166 53
강원랜드 | ||| ITC ITC 0.76 0.68 0.01 (0.13) 0.0 -0.6 (1.0) 4.6 (0.6) (9.1) (4.5) 5.0 -- - + + + - - - - + -3 -3 134 469 4 -70 -158 -106 (0.5) (0.3) 120 115
호텔신라 | Long |||||| FGN ITC (0.51) 0.02 0.93 0.54 0.0 0.9 (0.6) 10.9 (10.8) 16.4 9.7 15.8 ↑ -- -- + - - ++ + + + + -17 -7 291 -510 9 124 480 1,302 (1.3) 1.4 164 20
현대그린푸드 | || ||| FGN FGN (0.05) 0.60 0.54 (0.40) 0.2 -0.5 7.1 0.7 (6.7) (8.6) 5.8 7.5 ++ + + - - - - + + + -3 26 106 -326 6 -43 83 453 0.1 (1.0) 80 147
GKL || ||||| ||||||| ITC FGN 0.55 0.63 0.41 (0.25) -0.5 0.7 (12.9) 4.2 (10.0) 19.6 10.1 2.1 ↑ - - + - + + + + + + 21 -70 150 -185 -30 113 228 466 (1.7) 1.6 178 18
파라다이스 Long | ITC FGN 0.91 0.85 0.89 0.37 0.3 -0.2 3.8 6.3 2.5 (1.9) 7.4 7.3 ↑ -- + + + + - - + + + -8 23 185 578 -4 -17 192 336 (0.2) (1.0) 104 146
하나투어 || ||||| ||||| ITC FGN 0.86 0.89 (0.52) (0.80) -0.7 0.5 (13.6) (4.7) 2.7 12.7 9.2 6.1 - - - + + + + + - - -5 -35 -48 502 1 33 143 -183 (1.3) 1.1 165 30
모두투어 | |||||||||||| ||||||| ITC ITC 0.69 0.66 (0.57) 0.50 -1.4 1.3 (32.5) (18.0) 0.2 18.6 8.3 6.4 ↑ - - - - + + + + + + -15 -58 -130 -118 9 28 43 78 (0.4) 0.7 117 45
대교 || Long |||| |||||| ITC FGN 0.52 0.57 (0.48) (0.36) 0.4 -0.7 11.6 24.5 36.5 (16.5) (27.4) (41.7) ↑ ↓ + + + + + - - - - - 1 3 54 102 -1 -4 -58 -101 0.9 (1.2) 31 161
LG생활건강 || Short ||||||||| || ITC ITC 0.54 0.56 0.43 0.77 -1.2 0.2 (23.6) (12.3) (11.1) 6.2 10.9 10.1 ↓ - - - - - ++ + + + - -16 -153 -337 -816 20 26 336 207 (1.5) 0.6 173 57
아모레퍼시픽 ||| Short |||||| ||||||| FGN ITC 0.63 0.45 0.98 0.97 -0.7 -0.6 (16.4) (8.3) (4.1) (18.5) (6.5) (7.9) ↓ - - - - + - - - - - -11 -114 -211 -415 -10 -116 -128 -802 (0.7) (0.2) 142 102
아모레G || Short ||||| |||||| FGN FGN (0.84) (0.79) 0.84 0.87 0.4 -0.6 13.2 8.7 14.7 (16.4) (15.4) (11.6) ↑ ↓ + + + + + ++ - - - - 29 48 139 380 -12 -67 -265 -458 0.1 0.3 75 77
에이블씨엔씨 || Long |||||||||||| ||||||| ITC ITC 0.78 0.71 0.14 0.69 1.7 -1.4 31.4 18.7 (0.8) (19.3) (4.1) 3.3 + + + + + - - - - + -17 242 499 441 -7 -140 -128 -269 0.7 (0.1) 39 97
코스맥스 ||||| ||| ||| ITC ITC 0.91 0.63 0.80 0.33 -0.7 -0.9 (7.9) 4.2 (5.1) (7.7) 0.5 8.1 -- -- + + + - - + + - -53 -24 100 130 -0 -24 63 87 (0.6) (1.1) 127 154
삼성테크윈 | Long |||||| |||| ITC ITC 0.94 0.47 (0.60) (0.16) 0.9 -0.9 15.7 13.5 11.8 (11.6) 1.1 (3.2) ↑ -- + + + + - - - - - 12 110 843 1,332 -4 -76 -31 -447 (0.1) (0.3) 91 118
한국항공우주 ||| |||||| || ITC FGN 0.86 0.85 0.67 0.90 1.1 0.9 16.9 (3.7) 0.1 6.9 (4.8) (2.4) + + + - + + ++ - - - 10 124 43 -48 11 15 -121 -402 0.1 2.7 77 2
에스원 || Short ||| | FGN FGN 0.30 (0.48) 0.90 0.79 -0.2 -0.3 (8.4) (6.7) 2.3 (4.3) (8.4) (6.1) ↓ -- - - - + ++ - - - - 5 -48 -85 -79 -10 -17 -115 -146 (0.5) 0.5 121 61
아이마켓코리아 ||| |||||||| ITC ITC 0.87 0.91 (0.52) (0.75) 0.9 -0.1 21.0 12.3 1.9 1.1 (0.7) 9.4 ↑ + + + - - ++ ++ + + + -16 70 153 -110 19 3 11 260 0.4 1.1 54 29
코웨이 ||| | |||| ITC ITC 0.84 0.95 0.58 0.68 -0.3 0.3 (5.0) 2.4 7.4 10.1 (0.3) 0.6 + - ++ + + -- + + + - 24 -53 5 256 -15 76 52 82 0.9 (0.5) 33 131
LG패션 | Short |||||||| ||||||||||| ITC ITC 0.69 0.76 (0.52) (0.53) -0.8 1.4 (20.9) (19.5) (16.8) 29.7 17.1 16.9 ↓ ↑ - - - - - + + + + + -8 -55 -196 -536 3 90 179 394 (0.5) 2.2 124 7
영원무역 |||| Long ||||||||| |||||||||| ITC ITC 0.83 0.85 (0.79) (0.82) 0.9 -0.9 23.5 12.0 24.6 (25.4) (10.6) (26.7) ↑ ↓ + + + + + - - - - - 12 36 75 532 -5 -39 -64 -478 0.6 (0.7) 44 136
한섬 Long ||| || ITC ITC 0.72 0.68 0.41 (0.39) 0.2 0.4 8.7 13.0 4.2 6.4 1.9 6.5 ↑ -- + + + + - + + + + 1 5 84 52 -1 6 8 61 (0.3) (0.5) 109 129
휠라코리아 || |||||| |||||| FGN ITC (0.14) 0.43 0.56 (0.36) 0.5 0.7 16.4 12.3 6.2 15.5 (3.8) (3.0) ↑ + + + + + ++ + - - - 9 23 60 242 0 15 -33 -164 1.0 0.2 25 80
영원무역홀딩스 ||| ||||||| | FGN FGN 0.80 0.48 0.89 0.79 0.7 -0.3 18.0 1.9 8.3 (5.0) 8.2 19.3 ↑ + + + + + ++ ++ + + - -0 2 2 12 1 0 2 14 0.2 1.7 66 12
신세계인터내셔 ||||||| ||||| ITC ITC 0.81 (0.17) (0.73) (0.51) -0.8 1.2 (18.9) (30.2) (1.2) 12.7 10.5 1.3 ↑ -- - - - + + + + + + -11 -13 -50 -42 3 7 16 20 (0.7) 0.7 140 50
한샘 |||||||||| ||||||||||| FGN FGN 0.65 0.85 0.77 0.54 -0.7 1.0 (25.4) 0.2 16.7 27.6 12.1 9.5 - - + + + + + + + - -5 -5 0 24 5 7 8 13 (1.4) 1.0 169 34
제일기획 | ||||| | FGN ITC (0.89) (0.65) 0.90 0.80 -0.5 0.1 (13.5) (23.9) (28.3) 3.0 8.7 17.4 ↓ ↑ - - - - - + ++ + + + -35 -77 -470 -998 -1 8 157 598 (0.7) 0.7 138 48
스카이라이프 |||| || ||||||| ITC FGN 0.79 0.46 (0.58) 0.41 0.2 0.9 7.5 0.4 (19.4) 18.6 5.4 13.1 ↑ -- + - - -- + + + + + -7 41 -1 -244 5 41 68 260 (0.2) 0.3 103 76
SBS | Long |||| ITC ITC 0.77 0.92 0.5 0.1 11.5 8.6 5.5 0.0 0.0 0.0 ↑ -- + + + + - - - - - 26 22 87 223 0 0 0 0 (0.2) 0.1 96 88
SBS콘텐츠허브 |||| Long ||| ||||| ITC FGN 0.73 0.49 (0.68) (0.29) 0.3 -1.2 8.8 5.4 (1.2) (13.6) (12.3) (4.0) ↑ ↓ + + + + + - - - - - -3 13 33 124 -8 -20 -42 -104 0.1 (0.7) 73 138
CJ E&M || ||| || ITC ITC 0.90 0.93 0.80 0.79 -0.5 0.7 (9.1) (3.6) 2.3 5.2 3.6 5.5 ↑ -- - - + + + + + + + -47 -81 -81 510 26 32 107 320 (1.0) 0.7 156 46
CJ CGV ||||| ||| | FGN ITC (0.96) (0.12) 0.95 (0.10) 0.2 -0.2 8.4 (7.4) (23.8) (2.8) 4.8 20.3 + + - - - - -- + + + 9 18 -162 -398 -0 -12 144 343 (0.1) (0.9) 90 142
한국전력 ||||| Short ||| |||||||||||| FGN FGN (0.17) 0.69 0.66 0.73 0.5 -1.8 8.5 2.5 7.8 (30.9) (7.2) (13.5) ↑ + + + + + - - - - - -27 254 359 3,235 -112 -890 -999 -1,971 0.5 (2.2) 49 180
한국가스공사 |||| ||| ITC FGN 0.79 0.84 0.60 0.61 -0.4 -0.1 (9.4) (5.6) 5.5 (0.6) 10.9 (1.8) ↑ -- - - ++ - ++ - + + + -68 -59 -117 105 28 -6 305 77 (1.1) 1.1 160 28
한전KPS || |||||| | ITC FGN 0.79 0.74 (0.68) (0.62) 0.7 0.0 16.8 (0.3) (17.7) 2.5 (3.1) 7.9 -- + - - - - + + + + 12 95 -26 -403 11 15 39 267 (0.1) (0.3) 94 116
지역난방공사 Long Ov erheat ||||||||||| |||||||||||| FGN FGN (0.92) (0.53) 0.95 0.34 -1.0 2.1 (29.9) (23.5) (6.5) 32.1 39.0 21.0 ↑ ++ - - - + + + + + + 1 -33 -89 -101 3 31 135 173 0.3 1.3 59 22
SK텔레콤 || ||| ||||| ITC FGN 0.42 0.89 0.07 (0.82) -0.5 0.8 (10.0) (8.5) (3.2) 13.8 12.5 4.3 -- - - + + ++ + + + - 32 -174 -663 -6 -33 233 987 902 (1.0) 1.6 155 16
KT |||| ||| | FGN ITC 0.18 (0.31) 0.34 0.35 -0.4 0.3 (8.4) 7.8 (2.3) 4.5 (1.6) (7.2) - - + + + + ++ - - - -97 -188 644 1,727 64 42 -170 -1,048 (1.5) 2.6 174 3
LG유플러스 |||||||| Long ||| ||||||| ITC FGN 0.86 0.96 (0.56) (0.79) 0.3 -0.8 7.8 4.1 12.7 (18.6) (7.7) (3.3) ↑ ↓ + + + + + - - - - - 8 98 151 1,270 -20 -227 -348 -515 0.1 (1.2) 83 157
SK브로드밴드 ||||||||| |||||||||| ITC FGN 0.73 0.61 (0.36) (0.14) 0.1 -2.3 0.4 (9.1) (8.5) (26.0) (9.4) 2.9 -- + - - + - - -
주 1: 밀접도는 추세요인과 거래(수급기여도)로 구분. 추세요인은 외국인과 기관 중 누적순매수와 주가와의 상관계수가 큰 것을 기준으로 함. 거래는 최근 1 개월간의 수급기여도가 큰 주체를 표시
주 2: Strength 는 수급기여도의 주간 평균을 표준편차화(Normalization)한 수치
자료: DataGuide, 미래에셋증권 리서치센터
- + -49 8 -114 19 -11 -48 -66 -36 (0.6) (2.4) 129 183
Mirae Asset Securities
19
FGN
FGN
19