Active buying intention strength during the opening period
factor.formula
Active buying intention strength during the opening period:
Active buying intention:
Net active buying volume:
Net buy order increment:
in:
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It is a measure of investors' willingness to actively buy at a specific point in time. It takes into account the net active buying amount that has been traded and the increase in net entrusted buy orders that have not been traded, and more comprehensively reflects the market's willingness to buy.
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Refers to the difference between the active buying volume and the active selling volume at a specific time point. This indicator reflects the comparison of the strength of the long and short sides at the trading level. A positive value means that the active buying is stronger than the active selling, and vice versa. It is calculated through transaction data.
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Refers to the difference between the increase in buy orders and sell orders at a specific time point. This indicator reflects the comparison of long and short forces at the order level. A positive value means that the buyer's willingness to place orders is stronger than the seller, and vice versa. It is calculated through the order snapshot data of the market.
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represents the i-th stock.
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It represents the data of the jth minute in the nth trading day. The corresponding time range is a period of time after the opening, usually 9:30-10:00.
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Indicates the nth trading day.
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Indicates the length of the period for calculating the strength of active buying intention, that is, how many trading days of data are used to calculate the factor. For example, if the daily frequency is used, T is equal to 1.
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Typically, the intensity of active buying intention during the opening period uses data within 30 minutes after the opening (9:30-10:00) in order to capture the market sentiment at the beginning of the opening.
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The value of T will be different under different stock picking frequencies. For example, under monthly stock picking, T can be 20 trading days; under weekly stock picking, T can be 5 trading days. Under daily stock picking, T is 1.
factor.explanation
This factor captures the buying intention of market participants more comprehensively by combining net active buying volume and net commissioned buy order increment. Net active buying volume represents the executed buying power, while net commissioned buy order increment reflects the potential buying intention. The combination of the two can better portray the overall long sentiment of the market. The higher the intensity of active buying intention during the opening period, it usually means that market participants have a stronger willingness to buy the stock, which may indicate the potential for stock price increases. This factor is particularly suitable for capturing short-term trading opportunities.