The main transaction volume-price correlation
factor.formula
Main transaction volume-price correlation factor (TE):
in:
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It is the sequence of transaction amount per minute for a certain stock on a specific trading day. This sequence reflects the trading intensity of the main funds at different time points.
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It is a sequence of closing prices of a certain stock every minute on a specific trading day. This sequence reflects the fluctuation of stock prices during the trading period.
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It is a rank correlation function that measures the strength of the monotonic relationship between two sequences. Compared with the ordinary Pearson correlation, the rank correlation is less susceptible to outliers.
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Use rolling window calculation. When calculating the main transaction volume-price correlation factor (TE), first calculate $RankCorr(V_{minute}, P_{minute})$ for the day, and then take the average of the value over the past 20 trading days as the final main transaction volume-price correlation factor value.
factor.explanation
The main transaction volume-price correlation factor (TE) quantifies the relationship between the main funds' trading behavior and price changes by calculating the rank correlation between the minute-by-minute transaction volume sequence and the minute-by-minute closing price sequence. The higher the factor value, the positive correlation between the main transaction volume and the price. The main force is more inclined to trade at high prices, which may imply that the main force is more willing to sell and the market sentiment is cautious; the lower the factor value, the negative correlation between the main transaction volume and the price. The main force is more inclined to trade at low prices, which may imply that the main force is more willing to buy and the market sentiment is optimistic. Using the rolling average of the past 20 trading days can smooth the fluctuations of the factor and better reflect the medium-term changes in the main trading sentiment.