Opening period buying strength momentum
factor.formula
Opening period buying strength momentum:
Buying Strength:
Net active buying volume:
Net buy order increment:
in:
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It represents the difference between active buying intention and potential buying intention within a specific time period, and is the core indicator to measure the buying strength of the market.
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Refers to the difference between the active buying volume and the active selling volume in a specific time period. A positive value means that the buyer is stronger than the seller, and a negative value means the opposite. This data is calculated based on transaction data, and specific references can be made to relevant factors such as Net Active Buying Ratio during the opening period.
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Refers to the difference between the increase in buy orders and sell orders in a specific time period. A positive value indicates an increase in potential buying intention, while a negative value indicates an increase in potential selling intention. This data is calculated based on the snapshot data of the market order. For details, please refer to relevant factors such as the proportion of net buy orders in the opening period
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Represents a specific stock symbol.
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Denotes the jth minute within a trading day.
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Indicates the nth trading day.
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Indicates the time window for calculating momentum. For example, when selecting stocks monthly, T is usually set to 20 trading days; when selecting stocks weekly, T is usually set to 5 trading days. The setting of this parameter should be adjusted according to the frequency of stock selection and the backtesting period.
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Mean of buying strength.
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Standard deviation of buying strength.
factor.explanation
This factor captures the buying intention of market participants more comprehensively by combining the net active buy turnover and the net buy order increment. The net buy order increment reflects the buying intention that investors have not yet fully released (i.e., potential buying), while the net active buy turnover reflects the buying orders that have actually been traded. The difference between the two reflects the dynamic changes in buying intention. The strength of buying intention and its momentum can be measured by averaging and standardizing the buying intensity over a period of time and calculating its mean. The higher the factor value, the stronger the investor's buying intention is during the opening period, and the stronger the buying intention is, which may indicate the potential momentum of stock price increases.
This factor is a momentum factor that combines microstructure and sentiment, integrating the two dimensions of trading behavior and investor sentiment. Compared with the simple volume or order factor, it can better reflect the real trading intention and trading behavior of market participants.