Proportion of large orders net amount during the opening period
factor.formula
Net amount of large orders during the opening period:
In the formula:
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The total buying transaction amount of the ith stock that is judged to be a large order within the jth minute of the nth trading day.
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The total selling transaction amount of the ith stock that is judged to be a large order within the jth minute of the nth trading day.
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The total transaction volume of the i-th stock in the j-th minute of the n-th trading day.
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Indicates a specific stock.
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Represents the minute time index within the trading day (for example, the minutes between 9:30-10:00).
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Indicates a specific trading day.
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Indicates the total number of minutes in the opening period (such as 9:30-10:00).
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The length of the historical trading day window used to calculate the factor value. When selecting stocks monthly, T is usually set to 20 trading days; when selecting stocks weekly, T is usually set to 5 trading days.
factor.explanation
This factor captures the net buying strength of large funds during the opening period. A positive value represents a net buying of large orders during the opening period, and a negative value represents a net selling of large orders. The larger the value, the stronger the willingness of large funds to buy during the opening period. The implicit assumption of this factor is that the trading behavior of large funds during the opening period may indicate the price trend of the day or in the short term, reflecting market sentiment and short-term capital flows. When using this factor, it is necessary to conduct a comprehensive analysis in combination with other factors, and pay attention to the characteristics of different market environments and stocks themselves.