Normalized mean of large net buying strength during the opening period
factor.formula
in:
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ΔVᵢ,ₙ represents the net transaction amount of large orders for the i-th stock during the opening period (e.g., 9:30-10:00) on the n-th trading day. The net transaction amount is calculated by subtracting the large order selling transaction amount from the large order buying transaction amount. The identification of buy and sell orders is based on the transaction data of each transaction, and the buy and sell order data is synthesized by matching the buy and sell order numbers.
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Definition of large orders: A dynamic threshold method is used, based on the distribution characteristics of historical buy and sell order turnover. For example, the logarithmic mean of daily buy and sell order turnover over the past period of time plus a certain multiple of the standard deviation (for example, 1) is used as the threshold for distinguishing large orders from small orders. This method can dynamically adapt to changes in market transaction conditions and more accurately capture large orders.
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mean(ΔVᵢ,ₙ) represents the average value of the net transaction amount of large orders of the i-th stock during the opening period (e.g., 9:30-10:00) on the n-th trading day.
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std(ΔVᵢ,ₙ) represents the standard deviation of the net transaction amount of large orders of the i-th stock during the opening period of the n-th trading day (for example, 9:30-10:00). This value reflects the volatility of the net transaction amount of large orders in the time series.
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n represents the time dimension, that is, from the current trading day t to t-T+1 trading days. T represents the size of the time window for the lookback, for example, T=20 trading days for monthly stock selection and T=5 trading days for weekly stock selection. This lookback window is used to calculate the average standardized net buying strength.
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The overall meaning of the formula is: in the past T trading days, calculate the average value of the net buying strength of large orders during the opening period (i.e., mean(ΔVᵢ,ₙ) / std(ΔVᵢ,ₙ)). This factor not only takes into account the average strength of large net buying, but also its stability in time series, so as to better capture the real trading intentions of large funds.
factor.explanation
The large-order net buying strength factor is designed to measure the willingness and strength of large funds to buy during the opening hours. Generally, concentrated net buying by large funds during the opening hours is considered a signal of optimistic market sentiment or potential good news. The higher the value of this factor, the stronger the buying power of large funds during the opening hours, and the more stable the buying behavior, which often indicates that the stock has good upside potential in the short term. In addition, the standardization process makes the factor values between different stocks comparable, which can better select and sort stocks across stocks. This factor also takes into account the average strength and stability of large-order net buying, which enhances its predictive ability.