59. Daily Accumulative Foreign Trading Value in VN30

Published at 1683738045.468079

Daily trading value of foreign investors on VN30 can be a key factor in determining investment direction of the derivatives market and the underlying stock market, both in short and medium terms. It’s especially important for intraday trading strategies. Below is a reference guide to make use of this value in forecasting market trends.

Important Thresholds

The thresholds in the table below are collected at the end of a trading day. During trading days, it’s possible to estimate the end-of-day value based on simple predictive models.

In the long run, investors can refer to the following percentage thresholds.

Exclude Put-through Orders

Put-through transactions do not occur through order matching. Their public prices often have no real value, so they don’t directly affect market expectations. Currently, in Vietnam, put-through orders are used to transfer assets among legal entities for various purposes outside of trading. The data on put-through orders is noisy and should be excluded to ensure data accuracy.

Combine Cumulative Charts of Foreign Investors’ Futures Contracts

The accumulation of futures contracts from foreign investors is a strong trend indicator because they tend to trade futures contracts before executing stock orders to stabilize the trading price. Thus it’s possible to combine the net trading value and the cumulative charts of foreign investors’ futures contracts for trading. The table below is a simple example.

In a more complex forecast, it’s possible to convert the net trading value into the number of futures contracts to estimate the future cash flow of foreign investors.

For example, foreign investors have a net buy volume of 200 billion VND in the market. Assume VN30 is at 1000 points, which means each future contract is priced at 100 million VND. The net buy volume is equivalent to 2000 futures contracts. On the derivatives market, if foreign investors sell 500 futures contracts, then their total trading value is still positive at 1500 futures contracts. It can still be seen as a positive sign from foreign investors to the stock market.