Factors Directory

Quantitative Trading Factors

Proportion of active net buying during the opening period

Emotional Factors

factor.formula

Active net purchase amount definition:

in:

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    Indicates the amount of active buy transactions identified based on the transaction direction (BS sign) in the transaction data. When the buyer actively trades at the market price, the transaction record is classified as active buy. When calculating, the transaction data is usually aggregated to the minute level.

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    Indicates the amount of active selling transactions identified based on the transaction direction (BS sign) in the transaction data. When the seller actively trades at the market price, the transaction record is classified as active selling. When calculating, the transaction data is usually aggregated to the minute level.

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    It represents the net active purchase amount, which is equal to the active purchase transaction amount minus the active sale transaction amount.

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    Represents the total transaction amount, which is equal to the sum of the active buy transaction amount and the active sell transaction amount.

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    During the calculation process, the minute data that are within the price limits have been eliminated to avoid the distortion of trading volume and active buying and selling behavior caused by the price limits.

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    They represent respectively: the transaction volume data of the stock with stock code i in the j-th minute of the n-th trading day.

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    The transaction data calculated by this factor takes place within a specific period after the market opens, usually from 9:30 to 10:00, i.e. the first 30 minutes after the market opens.

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    Indicates the length of the time window for the back-test calculation, that is, the number of historical trading days used to calculate the factor. Under the monthly stock selection strategy, T=20 (approximately one month's trading days) is usually taken, and under the weekly stock selection strategy, T=5 (approximately one week's trading days) is usually taken.

factor.explanation

This factor measures the active buying strength of investors during the opening period by calculating the average proportion of active net buying of stocks during the opening period (such as the first 30 minutes) to the total trading volume over a period of time (such as the last 20 trading days). A higher factor value means that there is strong buying power during the opening period, which may indicate that the stock has upward momentum in the short term. Conversely, a lower factor value may indicate weak buying and the stock may face downward pressure in the short term. It should be noted that this factor is easily affected by the overall market sentiment and the liquidity of individual stocks. It should not be used alone. It should be considered in combination with other factors and its effectiveness should be determined in combination with backtesting results.

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