Residual Fund Flow Intensity Factor
factor.formula
Fund flow intensity calculation formula:
The residual capital flow intensity calculation formula is:
in:
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The capital flow intensity at time t. Among them, $BuyVolume_i$ represents the buy volume at time i, $SellVolume_i$ represents the sell volume at time i, and $\tau$ represents the lookback period for calculating the capital flow intensity (for example, it can be set to 1, 2, 3, 5, etc.). The denominator here uses the sum of the buy and sell volumes, which can reflect the overall activity of funds compared to the original sum of the absolute values of the buy and sell differences.
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The stock return from t-20 trading days to time t, that is, the cumulative return over the past 20 trading days.
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The intercept term of the linear regression represents the expected value of the capital flow intensity when the rate of return is zero.
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The slope term of the linear regression represents the impact coefficient of changes in yield on the intensity of capital flow, that is, the sensitivity of capital flow intensity to changes in yield.
factor.explanation
The residual fund flow intensity factor is designed to separate the impact of the overall market rise and fall (represented by the 20-day return) on fund flow intensity. This factor uses a linear regression model to calculate the expected value of fund flow intensity under a given stock return, and subtracts the expected value from the actual fund flow intensity to obtain the residual. The residual reflects the independent stock selection ability of fund flow intensity itself after eliminating the impact of the overall market rise and fall. This factor not only takes into account the volume of buying and selling, but also the activity of funds. A high residual value indicates that the fund flow intensity of the stock is higher than expected, which may indicate the potential for subsequent price increases. Conversely, a low residual value indicates that the fund flow intensity of the stock is lower than expected, which may indicate the risk of subsequent price declines.