๋ง์ง๋ง ์
๋ฐ์ดํธ: 2026-05-08 10:24
๐ฅ Gold Wire Signal โ 3M Rising Rule
Factor: HS 7108131010 (ํ๊ตญ ๊ด์ธ์ฒญ ๋ถ๋ฅ "๋ฐ๋์ฒด ์ ์กฐ์ฉ" ๊ธ ๋ฐ์ ํ, HBM wire bonding ์ธํ) export USD YoY (SMA-3M)
๋งค๋งค ๋ฃฐ: yoy_usd[t] > yoy_usd[t-3] (3๊ฐ์ ์ ๋ณด๋ค YoY ๋์ผ๋ฉด LONG, ์๋๋ฉด CASH)
์ 3M rising?: ๋จ์ "level > 0"๋ณด๋ค "๋ณํ" ์ ํธ๊ฐ ์์จ 80%, ์ฌ์ดํด ๋ณ๊ณก์ ๋น ๋ฅด๊ฒ ํฌ์ฐฉ. AND/OR ๊ฒฐํฉ๋ณด๋ค ๋จ์/robust.
SK Hynix์ ๊ด๊ณ: HS 7108131010 USD YoY๋ SK YoY์ ฯ=+0.72 @ lag +2M (๋ชจ๋ factor ์ค ์ต๊ฐ).
๐ ๋ฐฑํ
์คํธ ๊ฒฐ๊ณผ (2014-02 ~ 2026-03, 12.2๋
)
36.5%
ํ๊ท ์์ต๋ฅ /๊ฑฐ๋
ํ์ฌ ์์ : 2026-03
๐ข LONG
yoy_usd: +80.9% | 3M ์ : +69.1% | ์ฐจ์ด: +11.8pp
์ ํธ ON: yoy_usd๊ฐ 3๊ฐ์ ์ ๋ณด๋ค ๋์ (๊ฐ์ ์ถ์ธ)
SK Hynix ์ข
๊ฐ: 807,000 KRW | ์ ๋ต NAV: 35.8x | ๋์ BH ๋๋น +72%
๐ NAV ๋น๊ต โ ์ ๋ต vs Buy & Hold
๐ SK Hynix ์ข
๊ฐ vs Gold yoy_usd
๊ฒ์ ์ = SK Hynix ์ข
๊ฐ (์ข, log). ๋
ธ๋์ = gold yoy_usd (์ฐ, %). ๋นจ๊ฐ ์ ์ = y=0 reference. ๋
น์ ์์ = LONG ON.
Lead-lag ๋ถ์: Gold๊ฐ SK๋ฅผ ฯ=+0.71 @ +3M LEAD โ 5๊ฐ factor ์ค ๊ฐ์ฅ ๊ฐํ ์ ํ ์งํ (Forward 6M ฯ=+0.51).
๐ SK Hynix YoY vs Gold YoY (๋์ผ scale)
๊ฒ์ ์ = SK Hynix ์ข
๊ฐ YoY (%). ๋
ธ๋์ = Gold export USD YoY (%). ๋นจ๊ฐ ์ ์ = y=0.
๋ ์๊ณ์ด ๋ชจ๋ ๊ฐ์ % ์ค์ผ์ผ. Gold๊ฐ SK YoY๋ฅผ +3M LEADํ๋ ํจํด ์๊ฐ์ ํ์ธ.
๐ Factor (yoy_usd) + Signal Bands
ํ๋์ = yoy_usd ํ์ฌ. ์ ์ = 3๊ฐ์ ์ yoy_usd. ๋
น์ ์์ ๊ตฌ๊ฐ = LONG ์ ํธ ON. ํ์ = CASH.
๐ ๋งค๋งค ์ด๋ ฅ (n=16)
| ์ง์
| SK ๋งค์๊ฐ | yoy@๋งค์ | ์ฒญ์ฐ | SK ๋งค๋๊ฐ | yoy@๋งค๋ | ๋ณด์ | ์์ต๋ฅ |
|---|
at 0x000001E4877D0680>
๐ ์ต๊ทผ 30๊ฐ์ โ Signal Detail
| ์ | yoy_usd | yoy[-3] | ์ฐจ์ด | Rising? | SK ์ข
๊ฐ | Position |
| 2023-10 | +9.6% | -18.4% | +28.0pp | โ
Yes | 116,300 | ๐ข LONG |
| 2023-11 | +7.1% | -7.9% | +15.0pp | โ
Yes | 133,900 | ๐ข LONG |
| 2023-12 | +1.3% | +3.6% | -2.3pp | โ No | 141,500 | ๐ข LONG |
| 2024-01 | +13.1% | +9.6% | +3.5pp | โ
Yes | 134,700 | ๐ด CASH |
| 2024-02 | +7.9% | +7.1% | +0.8pp | โ
Yes | 156,200 | ๐ข LONG |
| 2024-03 | +5.2% | +1.3% | +3.9pp | โ
Yes | 183,000 | ๐ข LONG |
| 2024-04 | -5.6% | +13.1% | -18.7pp | โ No | 174,200 | ๐ข LONG |
| 2024-05 | -4.4% | +7.9% | -12.2pp | โ No | 189,200 | ๐ด CASH |
| 2024-06 | -5.3% | +5.2% | -10.5pp | โ No | 236,500 | ๐ด CASH |
| 2024-07 | -3.4% | -5.6% | +2.2pp | โ
Yes | 194,600 | ๐ด CASH |
| 2024-08 | -0.5% | -4.4% | +3.9pp | โ
Yes | 173,700 | ๐ข LONG |
| 2024-09 | +2.7% | -5.3% | +8.0pp | โ
Yes | 174,600 | ๐ข LONG |
| 2024-10 | +0.5% | -3.4% | +3.9pp | โ
Yes | 186,300 | ๐ข LONG |
| 2024-11 | +7.4% | -0.5% | +7.9pp | โ
Yes | 159,900 | ๐ข LONG |
| 2024-12 | +16.9% | +2.7% | +14.2pp | โ
Yes | 173,900 | ๐ข LONG |
| 2025-01 | +4.7% | +0.5% | +4.2pp | โ
Yes | 199,200 | ๐ข LONG |
| 2025-02 | +22.1% | +7.4% | +14.7pp | โ
Yes | 190,200 | ๐ข LONG |
| 2025-03 | +20.3% | +16.9% | +3.4pp | โ
Yes | 190,700 | ๐ข LONG |
| 2025-04 | +37.3% | +4.7% | +32.6pp | โ
Yes | 177,500 | ๐ข LONG |
| 2025-05 | +32.3% | +22.1% | +10.2pp | โ
Yes | 204,500 | ๐ข LONG |
| 2025-06 | +41.2% | +20.3% | +21.0pp | โ
Yes | 292,000 | ๐ข LONG |
| 2025-07 | +52.8% | +37.3% | +15.6pp | โ
Yes | 273,500 | ๐ข LONG |
| 2025-08 | +58.4% | +32.3% | +26.1pp | โ
Yes | 269,000 | ๐ข LONG |
| 2025-09 | +68.1% | +41.2% | +26.8pp | โ
Yes | 347,500 | ๐ข LONG |
| 2025-10 | +66.7% | +52.8% | +13.9pp | โ
Yes | 559,000 | ๐ข LONG |
| 2025-11 | +67.4% | +58.4% | +9.0pp | โ
Yes | 530,000 | ๐ข LONG |
| 2025-12 | +69.1% | +68.1% | +1.1pp | โ
Yes | 651,000 | ๐ข LONG |
| 2026-01 | +74.9% | +66.7% | +8.2pp | โ
Yes | 909,000 | ๐ข LONG |
| 2026-02 | +68.7% | +67.4% | +1.3pp | โ
Yes | 1,061,000 | ๐ข LONG |
| 2026-03 | +80.9% | +69.1% | +11.8pp | โ
Yes | 807,000 | ๐ข LONG |
๐ ๋งค๋งค ๋ฃฐ ์์ฝ:
- Entry (LONG): ๋งค์ ๋ง yoy_usd ํ์ธ โ 3๊ฐ์ ์ ๋ณด๋ค ๋์ผ๋ฉด ๋ค์ ๋ฌ SK Hynix ๋งค์/์ ์ง
- Exit (CASH): yoy_usd๊ฐ 3๊ฐ์ ์ ๋ณด๋ค ๋ฎ์ผ๋ฉด ๋ค์ ๋ฌ ์ฒญ์ฐ โ cash ๋ณด์
- Lookback: ์ ํธ๋ 1M lag ์ ์ฉ (tradable). ๋ฐ๊ฒฌ๋ ์ ํธ๋ก ๋ค์ ๋ฌ์ ๊ฑฐ๋.
- ๊ฑฐ๋ ๋น๋: ํ๊ท ์ฝ 16ํ / 12.2๋
= ์ฐ 1.3ํ ๊ฑฐ๋
์ฃผ์: 14๋
์น ๋ฐ์ดํฐ, 2017/2024 cycle๋ง ํ์ต. 2025-Q3 ์ดํ AI HBM ์ฌ์ดํด์ ๋ฐ์ดํฐ ์ธ ์์ญ. ๋จ์ผ factor ์ ํธ์ด๋ฏ๋ก ๋ค๋ฅธ factor (์ธก์ ๊ธฐ๊ธฐ/PCB) confirmation ๊ถ์ฅ.
๐ช 3M Spread Trade โ gold_3m vs sk_3m
๋งค๋งค ๋ฃฐ: spread = gold_3m โ sk_3m (3๊ฐ์ % change ์ฐจ์ด)
BUY: spread > 0 (gold export 3M์ด SK 3M๋ณด๋ค ๋ ๋น ๋ฅด๊ฒ ์ฑ์ฅ โ SK ๋ฐ๋ผ์ก๊ธฐ ๊ธฐ๋)
SELL: spread ≤ 0 (gold๊ฐ SK๋ณด๋ค ์ฝํจ โ cash)
์ ํธ๋ 1M lag (tradable). Original gold ๋ฃฐ (yoy 3M rising)๊ณผ ๋ณ๊ฐ์ alternative ๋ฃฐ.
7.6%
ํ๊ท ์์ต๋ฅ /๊ฑฐ๋
๐ NAV ๋น๊ต (Spread vs BH vs Original)
๐ Spread ๋งค๋งค ์ด๋ ฅ โ ์ ์ฒด 27๊ฑด
| # | ์ง์
| SK ๋งค์ | spread@๋งค์ | ์ฒญ์ฐ | SK ๋งค๋ | spread@๋งค๋ | ๋ณด์ | ์์ต๋ฅ |
|---|
| 1 | 2014-06 | 48,550 | +4.7pp | 2014-07 | 45,450 | -40.2pp | 1M | -6.4% |
| 2 | 2014-09 | 46,750 | +15.9pp | 2014-11 | 48,050 | -5.5pp | 2M | +2.8% |
| 3 | 2015-03 | 45,550 | +8.7pp | 2015-06 | 42,300 | -36.0pp | 3M | -7.1% |
| 4 | 2015-08 | 35,800 | +17.0pp | 2015-11 | 31,600 | -11.0pp | 3M | -11.7% |
| 5 | 2015-12 | 30,750 | +6.4pp | 2016-01 | 27,300 | -5.9pp | 1M | -11.2% |
| 6 | 2016-02 | 30,000 | +18.7pp | 2016-03 | 28,150 | -1.3pp | 1M | -6.2% |
| 7 | 2016-04 | 28,150 | +19.2pp | 2016-07 | 34,400 | -11.8pp | 3M | +22.2% |
| 8 | 2017-05 | 57,000 | +5.5pp | 2017-07 | 66,000 | -20.1pp | 2M | +15.8% |
| 9 | 2018-02 | 76,800 | +20.7pp | 2018-03 | 81,300 | -2.2pp | 1M | +5.9% |
| 10 | 2018-11 | 69,600 | +15.9pp | 2019-02 | 70,000 | -8.2pp | 3M | +0.6% |
| 11 | 2019-06 | 69,500 | +25.0pp | 2019-09 | 82,200 | -23.3pp | 3M | +18.3% |
| 12 | 2019-12 | 94,100 | +18.8pp | 2020-01 | 93,500 | -32.6pp | 1M | -0.6% |
| 13 | 2020-03 | 83,300 | +10.1pp | 2020-06 | 85,100 | -26.7pp | 3M | +2.2% |
| 14 | 2020-08 | 75,100 | +9.5pp | 2020-12 | 118,500 | -20.6pp | 4M | +57.8% |
| 15 | 2021-04 | 128,000 | +1.1pp | 2021-05 | 127,000 | -13.9pp | 1M | -0.8% |
| 16 | 2021-08 | 106,500 | +19.8pp | 2021-12 | 131,000 | -9.9pp | 4M | +23.0% |
| 17 | 2022-04 | 112,500 | +14.3pp | 2022-08 | 95,200 | -5.6pp | 4M | -15.4% |
| 18 | 2022-11 | 85,000 | +4.7pp | 2023-01 | 88,500 | -6.3pp | 2M | +4.1% |
| 19 | 2023-02 | 89,400 | +0.4pp | 2023-03 | 88,600 | -11.8pp | 1M | -0.9% |
| 20 | 2023-04 | 89,500 | +15.6pp | 2023-05 | 108,600 | -0.7pp | 1M | +21.3% |
| 21 | 2023-06 | 115,200 | +0.4pp | 2023-07 | 123,400 | -27.6pp | 1M | +7.1% |
| 22 | 2023-10 | 116,300 | +1.9pp | 2023-12 | 141,500 | -17.6pp | 2M | +21.7% |
| 23 | 2024-02 | 156,200 | +27.1pp | 2024-03 | 183,000 | -38.3pp | 1M | +17.2% |
| 24 | 2024-06 | 236,500 | +6.2pp | 2024-07 | 194,600 | -30.0pp | 1M | -17.7% |
| 25 | 2024-09 | 174,600 | +10.6pp | 2025-01 | 199,200 | -7.3pp | 4M | +14.1% |
| 26 | 2025-04 | 177,500 | +8.1pp | 2025-07 | 273,500 | -31.9pp | 3M | +54.1% |
| 27 | 2025-10 | 559,000 | +15.4pp | 2025-11 | 530,000 | -105.9pp | 1M | -5.2% |
| ํฉ๊ณ (27ํ): ์น 16 / ํจ 11, ํ๊ท 7.6%, ์ค์๊ฐ 2.8%, max 57.8%, min -17.7% |
9.08x NAV |
๐ ๋น๊ต โ 3๊ฐ ๋ฃฐ ๋ฐฑํ
์คํธ:
| Rule | NAV | CAGR | MDD | %long | Trades | Win% |
|---|
| Original Gold (yoy 3M rising) | 35.82x | 34.2% | -36% | 55% | 16 | 81% |
| Buy & Hold | 20.83x | 28.3% | -47% | 100% | 1 | โ |
| 3M Spread (์ด ๋ฃฐ) | 9.08x | 19.9% | -26% | 39% | 27 | 59% |
๊ฒฐ๋ก : Spread ๋ฃฐ์ NAV 9.1x๋ก BH(20.8x) ์ดํ. MDD๋ -26%๋ก BH ๋๋น 44% ์ ๊ฐ. Original gold ๋ฃฐ(35.8x)์ด ์ฐ์.
๐ฑ Samsung Electronics โ ๋์ผ spread ๋ฃฐ cross-stock test
๋งค๋งค ๋ฃฐ: spread = gold_3m โ samsung_3m (Samsung-native).
BUY: spread > 0 (gold export 3M์ด Samsung 3M๋ณด๋ค ๋น ๋ฅด๊ฒ ์ฑ์ฅ โ Samsung ๋ฐ๋ผ์ก๊ธฐ ๊ธฐ๋)
SELL: spread โค 0. Samsung 005930 ๋์ผ ๋ฃฐ ์ ์ฉ.
4.7%
ํ๊ท ์์ต๋ฅ /๊ฑฐ๋
๐ Samsung NAV ๋น๊ต
๐ Samsung Spread ๋งค๋งค ์ด๋ ฅ โ ์ ์ฒด 30๊ฑด
| # | ์ง์
| SS ๋งค์ | spread@๋งค์ | ์ฒญ์ฐ | SS ๋งค๋ | spread@๋งค๋ | ๋ณด์ | ์์ต๋ฅ |
|---|
| 1 | 2014-06 | 26,440 | +11.6pp | 2014-07 | 26,860 | -3.8pp | 1M | +1.6% |
| 2 | 2014-09 | 23,680 | +33.2pp | 2014-12 | 26,540 | -30.6pp | 3M | +12.1% |
| 3 | 2015-03 | 28,820 | +0.2pp | 2015-04 | 28,200 | -1.7pp | 1M | -2.2% |
| 4 | 2015-08 | 21,780 | +13.3pp | 2015-11 | 25,680 | -44.0pp | 3M | +17.9% |
| 5 | 2016-02 | 23,560 | +23.8pp | 2016-05 | 25,840 | -0.7pp | 3M | +9.7% |
| 6 | 2016-06 | 28,500 | +9.0pp | 2016-07 | 30,780 | -5.4pp | 1M | +8.0% |
| 7 | 2016-10 | 32,780 | +9.6pp | 2016-11 | 34,920 | -15.3pp | 1M | +6.5% |
| 8 | 2017-06 | 47,540 | +17.7pp | 2017-07 | 48,200 | -2.0pp | 1M | +1.4% |
| 9 | 2017-10 | 55,080 | +8.6pp | 2017-11 | 50,800 | -30.9pp | 1M | -7.8% |
| 10 | 2018-02 | 47,060 | +19.5pp | 2018-05 | 50,700 | -5.4pp | 3M | +7.7% |
| 11 | 2018-06 | 46,650 | +0.5pp | 2018-09 | 46,450 | -24.3pp | 3M | -0.4% |
| 12 | 2018-11 | 41,850 | +3.3pp | 2019-02 | 45,100 | -8.7pp | 3M | +7.8% |
| 13 | 2019-06 | 47,000 | +24.0pp | 2019-07 | 45,350 | -9.2pp | 1M | -3.5% |
| 14 | 2019-08 | 44,000 | +12.4pp | 2019-09 | 49,050 | -8.3pp | 1M | +11.5% |
| 15 | 2019-10 | 50,400 | +7.9pp | 2019-11 | 50,300 | -32.6pp | 1M | -0.2% |
| 16 | 2019-12 | 55,800 | +9.0pp | 2020-01 | 56,400 | -31.8pp | 1M | +1.1% |
| 17 | 2020-03 | 47,750 | +11.0pp | 2020-06 | 52,800 | -27.5pp | 3M | +10.6% |
| 18 | 2020-09 | 58,200 | +21.5pp | 2020-12 | 81,000 | -14.3pp | 3M | +39.2% |
| 19 | 2021-04 | 81,500 | +12.4pp | 2021-05 | 80,500 | -8.8pp | 1M | -1.2% |
| 20 | 2021-08 | 76,700 | +11.4pp | 2022-01 | 73,300 | -13.9pp | 5M | -4.4% |
| 21 | 2022-02 | 72,100 | +3.6pp | 2022-03 | 69,600 | -15.1pp | 1M | -3.5% |
| 22 | 2022-04 | 67,400 | +15.5pp | 2022-08 | 59,700 | -9.7pp | 4M | -11.4% |
| 23 | 2023-02 | 60,600 | +4.8pp | 2023-03 | 64,000 | -4.1pp | 1M | +5.6% |
| 24 | 2023-04 | 65,500 | +18.0pp | 2023-05 | 71,400 | -6.9pp | 1M | +9.0% |
| 25 | 2023-06 | 72,200 | +4.1pp | 2023-07 | 69,800 | -10.4pp | 1M | -3.3% |
| 26 | 2023-10 | 66,900 | +6.8pp | 2023-12 | 78,500 | -16.5pp | 2M | +17.3% |
| 27 | 2024-02 | 73,400 | +34.2pp | 2024-03 | 82,400 | -22.5pp | 1M | +12.3% |
| 28 | 2024-04 | 77,500 | +18.0pp | 2024-05 | 73,500 | -29.0pp | 1M | -5.2% |
| 29 | 2024-06 | 81,500 | +27.2pp | 2024-08 | 74,300 | -10.9pp | 2M | -8.8% |
| 30 | 2024-09 | 61,500 | +1.3pp | 2025-08 | 69,700 | -3.9pp | 11M | +13.3% |
| ํฉ๊ณ (30ํ): ์น 18 / ํจ 12, ํ๊ท 4.7%, ์ค์๊ฐ 3.6%, max 39.2%, min -11.4% |
2.53x NAV |
๐ SK Hynix vs Samsung โ ๋์ผ ๋ฃฐ ๋น๊ต:
| Stock | Spread NAV | BH NAV | Alpha | MDD (์ ๋ต / BH) | Trades | Win% |
|---|
| SK Hynix (000660) | 9.08x | 20.83x | -8.5%p | -26% / -47% | 27 | 59% |
| Samsung (005930) | 2.53x | 6.20x | -8.2%p | -29% / -38% | 30 | 60% |