Entity K-line consistent volume ratio
factor.formula
Entity K-line definition:
Entity K-line Consistent Volume Ratio Factor (TCVR):
in:
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It is the consistency parameter of the real candlestick, and its value range is [0, 1]. The smaller the $\alpha$ value is, the stricter the definition of the real candlestick is, requiring the larger proportion of the real part of the candlestick and the shorter the upper and lower shadows; the larger the $\alpha$ value is, the looser the definition of the real candlestick is. The general experience value is set to 0.3 - 0.5.
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It indicates the total trading volume of all 5-minute candlesticks that meet the definition of the physical candlestick on that day. It represents the concentration of market trading behavior on the physical candlestick on that day.
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It is the total trading volume of the day. It is used as a benchmark to calculate the proportion of the trading volume of the entity K-line.
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Indicates the period parameter of the moving average, in trading days. It is used to smooth time series and capture longer-term trends. For example, d=5 means calculating the average of the past five trading days.
factor.explanation
This factor captures the concentration of market trading behavior on the physical K-line. When the proportion of physical K-line trading volume (ConsistentVolume/Volume) of a stock in a period of time is high, it indicates that the market's trading behavior in this period is more convergent, that is, the market sentiment is more consistent. This phenomenon may indicate that the market has a strong consensus on the stock and may be accompanied by subsequent price trend changes. This factor can capture potential information on market sentiment and capital flow as an auxiliary tool for identifying trading opportunities. In addition, this factor can help quantitative traders identify stocks with obvious trends in the short term as a reference for building quantitative trading strategies. Note that this factor itself cannot directly predict the price direction and needs to be combined with other factors for comprehensive analysis.