Consistent buying strength
factor.formula
Define consistent trading (entity candlestick) conditions:
Consistent Buying Pressure (CBP):
in:
- :
Consistency parameter (Entity Threshold Coefficient). This parameter is used to define whether the K-line is a physical K-line. The larger the value, the smaller the K-line entity part (the absolute value of the difference between the opening price and the closing price) is relative to the K-line fluctuation range (the difference between the highest price and the lowest price), that is, the K-line entity part is more significant. In practical applications, it is recommended to optimize this parameter through backtesting.
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Refers to the total volume of K-lines that meet the consistent trading conditions (i.e. are judged to be real K-lines) and are rising (closing price is higher than opening price) within a given 5-minute K-line period. It represents the strength of collective consistent buying within the 5-minute period.
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Total volume for the day. Used to normalize consistent buy volume for comparison across time and stocks.
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Indicates the length of the moving average window (Moving Average Lookback Period). This parameter determines the lookback time range for calculating the consistency buying strength. The larger the value, the less sensitive the factor is to short-term trading behavior and the smoother the fluctuation. Conversely, it is more sensitive. In practical applications, it is recommended to optimize this parameter through backtesting.
factor.explanation
The Consistent Buying Strength Factor is designed to quantify the strength of collective buying behavior in the market. When a stock shows a high level of consistent buying strength over a period of time, it indicates that there may be strong unilateral buying power in the market, which usually indicates that the stock may be undergoing a price discovery process or is in the initial stage of a trend. This phenomenon may be driven by new positive news, a shift in market sentiment, or a technical breakthrough, providing traders with potential trading opportunities. This factor can capture the collective trading behavior of market participants in a short period of time and can be used as an important reference indicator in technical analysis and quantitative trading strategies.