Relative strength of daily average negative trading volume
factor.formula
in:
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The transaction amount of stock i in the jth minute of the nth trading day. The transaction amount refers to the total amount of all transactions of the stock in that minute.
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It is the rate of return of stock i in the jth minute of the nth trading day, indicating the increase or decrease of the minute relative to the previous minute. The calculation formula is: $r_{i,j,n} = \frac{price_{i,j,n} - price_{i,j-1,n}}{price_{i,j-1,n}}$, where $price_{i,j,n}$ represents the average transaction price of stock i in the jth minute of the nth day.
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The number of transactions for stock i in the jth minute of the nth trading day. The number of transactions refers to the total number of all transactions for the stock in that minute.
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is an indicator function. When the return rate $r_{i,j,n}$ of stock i in the jth minute of the nth trading day is less than 0, the function value is 1; otherwise, it is 0. It is used to filter out active selling transactions (negative transactions).
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The time window for looking back is in trading days. For monthly stock selection, usually T=20 trading days; for weekly stock selection, usually T=5 trading days. This parameter defines the time range for calculating factor values.
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The number of minutes in each trading day. For example, if it is a one-day trading day, N=240 (4 hours, 1 data per minute)
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It is the total number of all stocks in the market and is used to calculate the market average.
factor.explanation
This factor calculates the relative strength of the daily average negative turnover ratio of a stock over a period of time. Specifically, first, we calculate the ratio of the daily negative turnover (i.e., active selling turnover) of a stock to the total single turnover, which reflects the relative strength of active selling on that day. Next, we average the daily average negative turnover ratio over a period of time (e.g., 20 trading days) to obtain the average negative turnover ratio of the stock during that period. Finally, we compare the average with the average negative turnover ratio of the market average over the same period, calculate its relative strength, and thus obtain the final factor value. This factor aims to capture the intensity of active selling in the market. The higher the value, the higher the negative turnover ratio of the stock in the past period of time relative to the market average, which may indicate that there is a certain amount of selling pressure on the stock, or it may be that the main funds are bottom-fishing against the trend. On the contrary, if the value is low, it may indicate that the market is less willing to sell the stock. This factor can reflect market sentiment and capital flows, and serve as a reference for quantitative stock selection and risk control.