Average active selling amount per transaction
factor.formula
The calculation formula is as follows:
in:
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It is the transaction amount of stock i in the jth minute of the nth trading day. This amount includes the sum of active buying and active selling transaction amounts.
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The rate of return of stock i in the jth minute of the nth trading day, usually calculated as: (current minute price - previous minute price) / previous minute price. When the rate of return is less than 0, it indicates that the price fell in that minute, and the transaction in that minute is considered to be an active sell transaction.
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The number of transactions of stock i in the jth minute of the nth trading day. This number includes the sum of active buy and active sell transactions.
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is an indicator function. When the return rate of stock i in the jth minute of the nth trading day is less than 0, the value is 1, otherwise it is 0. This indicator function is used to distinguish active selling transactions. When the minute return rate is negative, the transaction is considered to be an active sell.
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The window period is the number of historical trading days used to calculate the factor. For example, when selecting stocks monthly, T=20 trading days; when selecting stocks weekly, T=5 trading days. This parameter controls the sensitivity of the factor to historical data. A shorter window period is more sensitive to recent market changes, while a longer window period can smooth market fluctuations.
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The total number of time segments within each trading day, that is, the number of minute-level data. For example, if 5-minute data is used, N is equal to the number of 5-minute candlesticks contained in each trading day. If 1-minute data is used, N is equal to the number of 1-minute candlesticks contained in each trading day.
factor.explanation
The factor of average single active selling amount ratio is designed to capture the strength of active selling in the market. Its basic logic is: when the minute rate of return of a stock is negative, the transaction of that minute is most likely to come from the power of active selling. This factor calculates the average amount of all active selling transactions in the past period of time and compares it with the average amount of all transactions to obtain a ratio. The larger the ratio, the stronger the active selling force in the market. This factor can capture the trading behavior of large orders within the day. When the amount of a single sale is large, it may mean that the main funds are selling. This factor has a certain predictive ability in stock selection. Generally speaking, stocks with higher values of this factor have lower returns in the future, especially when the stock price falls. If the amount of a single transaction is large, it means that there is a large order for commissioned selling, which is a signal of accelerated decline.