Intraday Volume Ratio Momentum
factor.formula
in:
- :
It is the trading volume within 30 minutes before the morning opening of the t-i day. This trading volume reflects the trading activity during the morning opening period.
- :
It is the trading volume within 30 minutes before the afternoon opening of the t-i day. This trading volume reflects the trading activity during the afternoon opening period.
- :
is the time weight factor, which is used to give different weights to the volume ratios in different time periods. The optional weight calculation method is as follows:\begin{itemize} \item \textbf{Exponential Weighting:} $w_{t-i} = \frac{1-\alpha^{i}}{1-\alpha}$. Exponential weighting emphasizes the importance of recent data, and the weight decays exponentially over time. $\alpha$ controls the speed of decay. The closer the value is to 1, the slower the decay;\item \textbf{Arithmetic Averaging:} $w_{t-i} = 1$. The arithmetic average gives the same weight to each historical point in time. \end{itemize}
- :
It is the decay strength parameter of information in exponential weighting. It is usually set to $\alpha = 1 - \frac{1}{d}$, where d is the length of the lookback period. This setting makes the decay rate slower when the lookback period is longer.
- :
is the length of the lookback period, i.e. the number of trading days considered when calculating the volume ratio momentum. It is usually set to the number of trading days looking back to the last trading day of each month. The length of the lookback period determines the sensitivity of the factor to the historical volume ratio. A longer lookback period can smooth out noise and capture longer-term trends; a shorter lookback period is more sensitive to recent changes.
factor.explanation
This factor captures market sentiment and liquidity changes based on the relative strength of intraday volume. The core logic is that under normal circumstances, the morning session is usually the most active trading period, and the trading volume is often greater than that in the afternoon. However, if a stock has a small volume in the morning, or an abnormally large volume in the afternoon, it may imply that the market's perception of it has changed. When the factor value is low (that is, the volume ratio is low), it may mean that the stock is undervalued or has a continuous inflow of funds, so it is easier to obtain higher returns in the next month. Conversely, if the trading volume in the morning is too large and the trading volume in the afternoon is insufficient, it may indicate that the stock is facing selling pressure in the short term, and future returns may be relatively weak. Therefore, this factor can be regarded as a reverse momentum indicator. Low values may indicate future positive return momentum and can be used as a reference indicator for stock selection.