Normalized mean of active buying strength after opening
factor.formula
Normalized mean of active buying strength after opening:
Net active buying amount 30 minutes after opening:
in:
- :
It indicates the total active buying transaction volume of the i-th stock within 30 minutes after the opening of the n-th trading day (i.e., 9:30 to 10:00). This value is determined by the BS sign in the transaction data. The B (Buy) sign indicates active buying, which means that the seller places an order and the buyer actively completes the transaction; if there is a price limit within this minute, it will not be included.
- :
It indicates the total active selling transaction volume of the i-th stock within 30 minutes after the opening of the n-th trading day (i.e., 9:30 to 10:00). This value is determined by the BS sign in the transaction data. The S (Sell) sign indicates active selling, which means that the buyer places an order and the seller actively completes the transaction; if there is a limit down within the minute, it will not be included.
- :
It represents the active net buying amount of the ith stock within 30 minutes after the opening of the nth trading day, which is equal to the active buying transaction amount minus the active selling transaction amount.
- :
It represents the average value of the net active buying amount of the stock within 30 minutes after the daily opening within the time interval T.
- :
It represents the standard deviation of the net active buying amount of the stock 30 minutes after the daily opening within the time interval T, which is used to measure the volatility of the indicator within the time interval.
- :
represents the i-th stock.
- :
Indicates the nth trading day.
- :
Indicates the current trading day.
- :
Indicates the time window size for backtest calculation. For monthly stock selection, T=20 trading days; for weekly stock selection, T=5 trading days. The selection of the time window should be adjusted according to the specific backtesting period.
factor.explanation
The higher the value of this factor, the stronger and more stable the buying behavior of investors in the stock within 30 minutes after the market opens. This may reflect the market's positive expectations for the stock or a strong willingness to buy. In quantitative strategies, this factor can be used to identify stocks with high buying momentum and serve as one of the bases for building trading strategies. Investors can combine other fundamental and technical indicators for analysis to improve the accuracy of stock selection and the effectiveness of strategies. It should be noted that this factor only reflects the buying behavior within a period of time after the market opens, and cannot fully represent the market sentiment for the whole day.