Institutional Momentum Strength Factor
factor.formula
Calculate the minute-level momentum indicator $S_t$:
This indicator aims to standardize the price fluctuation range at the minute level while taking into account the impact of trading volume. The absolute value of the price fluctuation range $|R_t|$ reflects the severity of the price change, and the 0.25th root of the trading volume $V_t$ is used to smooth the trading volume, reduce the impact of extreme values of the trading volume, and thus more accurately measure the momentum strength of the minute.
Calculate the volume-weighted average price (VWAPsmart) of institutional transactions:
By identifying transactions that meet the characteristics of large orders and aggressive quotations, the transaction prices are weighted averaged by transaction volume to obtain the average transaction price of institutional transactions. The specific identification method can use order quantity thresholds or specific algorithms to more accurately capture the trading behavior of institutions.
Calculate the volume weighted average price VWAPall of all trades:
Calculates the weighted average price of all minute volumes. Represents the average cost of all trades during that time period.
Institutional Momentum Strength Factor:
This factor is the ratio of the volume-weighted average price of transactions in which institutions participate ($VWAP_{smart}$) to the volume-weighted average price of all transactions ($VWAP_{all}$). If the ratio is greater than 1, it means that the transaction price of the institution is higher than the market average price, which means that the institution actively buys during this period; if the ratio is less than 1, it means that the transaction price of the institution is lower than the market average price, which means that the institution may sell during this period.
in:
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is the rise or fall in the t-th minute, calculated as $(P_t - P_{t-1}) / P_{t-1}$, where $P_t$ is the closing price in the t-th minute, and $P_{t-1}$ is the closing price in the t-1th minute.
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is the trading volume in the tth minute, which represents the number of stocks traded in that minute.
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The volume-weighted average price of institutional transactions. The definition of institutional transactions needs to be set according to actual conditions, such as when the volume of a single transaction is greater than a certain threshold or the transaction price deviates from the market price by a certain range.
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It is the volume-weighted average price of all transactions, calculated as $\frac{\sum_{t=1}^{n} P_t * V_t}{\sum_{t=1}^{n} V_t}$, where n is the total number of minutes.
factor.explanation
The institutional momentum strength factor measures the strength and willingness of institutional funds to participate by comparing the average price of institutional transactions with the average price of all transactions. When the factor value is greater than 1, it indicates that institutional investors tend to buy at prices higher than the market average, which may indicate an upward trend in stock prices; conversely, when the factor value is less than 1, it indicates that institutional investors may tend to sell at prices lower than the market average, which may indicate a downward trend in stock prices. This factor is based on high-frequency data and can more sensitively capture the abnormal movement of institutional funds.