Consistent decline in volume
factor.formula
Consistency judgment conditions:
Consistent Down Volume Factor:
in:
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Consistency threshold parameter, the value range is (0,1]. \alpha The larger the value, the higher the requirement for the K-line entity, that is, the shorter the upper and lower shadows, the more obvious the K-line entity, and the fewer K-lines are judged as consistent transactions. In practice, this value can be adjusted according to the volatility of different markets and stocks, and it is usually recommended to be set between 0.2-0.4.
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Consistent down volume refers to the total volume within the 5-minute candlestick that meets the consistency condition and the closing price is lower than the opening price (i.e., down). This volume is the sum of all the 5-minute candlestick volumes that meet the conditions during the day.
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Total volume for the day, which represents the sum of all volumes on trading day t.
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The moving average period parameter indicates the average value of the consistent decline volume ratio calculated over the past trading days. This parameter is used to smooth the factor value and reduce noise. It can be adjusted according to the trading frequency. For example, daily trading can use 5-20 days as a parameter.
factor.explanation
This factor is designed to capture consistent selling behavior in the market. When a stock has a large number of consistent downward transactions over a period of time, it indicates that there may be concentrated selling pressure in the market. This consistent behavior usually indicates a shift in market sentiment towards the stock, which may be affected by new negative information or overall market sentiment. A higher factor value (negative value) represents a higher proportion of consistent downward trading volume over the past period of time, indicating greater selling pressure, which may indicate an increased risk of price declines in the short term. Conversely, the lower the factor value (closer to zero), the less selling pressure in the market. This factor can be used in conjunction with other factors as an auxiliary basis for judging trading signals, such as providing a reference when identifying oversold signals or trend reversal points.