Proportion of large net purchases during the opening period
factor.formula
Proportion of large net purchases during the opening period:
in:
Based on the transaction data, the transaction records are aggregated into buy and sell order data by identifying active buy and sell orders. Active buy orders refer to orders traded at the seller's price, and active sell orders refer to orders traded at the buyer's price.
By counting the transaction volume of buy and sell orders over a period of time (such as multiple days), the mean and standard deviation are calculated after logarithmic processing. Mean + k times standard deviation is used as the screening threshold for large orders. The value of k can be adjusted according to market conditions and backtesting results, and is generally 1. Buy and sell orders with transaction volumes higher than this threshold are defined as large orders.
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They represent the transaction data of the jth minute of the i-th stock in the nth trading day, where j represents the minute-level time window during the opening period.
This factor selects transaction data within a specific time period after the opening (for example, 9:30 to 10:00) for calculation to capture the market sentiment and capital flow during the opening period.
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Represents the lookback period, which is used to calculate the average value of the time series. When selecting stocks monthly, T is usually 20 trading days; when selecting stocks weekly, T is usually 5 trading days. The specific value of T should be optimized according to the frequency of the strategy and the backtesting effect.
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Transaction volume of large active buy orders of the i-th stock, at the j-th minute, on the n-th trading day
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Transaction volume of large active sell orders of the i-th stock, at the j-th minute, on the n-th trading day
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Total transaction volume of the i-th stock, at the j-th minute, on the n-th trading day
factor.explanation
This factor calculates the net amount of large active buy and sell transactions during a specific opening period, and divides it by the total transaction volume. This value reflects the net inflow of large funds during the opening period. A positive value indicates that large funds are more willing to buy, and a negative value indicates that large funds are more willing to sell. Since large funds usually have a strong information advantage, their trading behavior is usually considered an important signal of market sentiment and future trends. Therefore, this factor can be used to screen stocks favored by large funds and serve as an important reference for quantitative stock selection. It should be noted that the setting of the large order threshold and the selection of the lookback period may affect the performance of the factor and need to be adjusted according to specific strategies and market conditions.