Northbound Fund Trading Behavior Factors
factor.formula
Average Holding Value (MHold):
Calculating the average daily market value of northbound funds' holdings over the past 20 trading days aims to measure the overall allocation scale of northbound funds in the stock.
Net Inflow Volatility Ratio (DV2DV_STD):
The ratio of the average daily net inflow of northbound funds over the past 20 trading days to the standard deviation of the daily net inflow is calculated to measure the stability of the net inflow of northbound funds. The higher the ratio, the more stable the net inflow, which may indicate that northbound funds have a higher preference for the stock.
Peak Price Net Inflow Ratio (DV2Hold_MAXCP):
The ratio of the average daily net inflow of northbound funds in the three trading days with the highest stock prices in the past 20 trading days to the average daily holding value of northbound funds in the past 20 trading days is calculated to measure the inflow intensity of northbound funds when the stock price is high. The higher the ratio, the more northbound funds continue to flow in at high prices, which may indicate that they have strong confidence in the long-term value of the stock.
Peak Volume Net Inflow Ratio (DV2ABSDV_MAXVOL):
The ratio of the average daily net inflow of northbound funds in the three trading days with the highest trading volume in the past 20 trading days to the absolute value of the average daily net inflow of northbound funds in the past 20 trading days is calculated to measure the inflow intensity of northbound funds when trading volume increases. The higher the ratio, the more northbound funds continue to flow in when the stock has a large trading volume, which may indicate that they have a strong expectation of the short-term momentum of the stock.
in:
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The average value of the daily northbound funds’ holdings over the past 20 trading days. $H_t$ represents the northbound funds’ holdings on the tth trading day.
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The ratio of the average daily net inflow of northbound funds over the past 20 trading days to the standard deviation of the daily net inflow. $F_t$ represents the net inflow of northbound funds on the tth trading day.
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The ratio of the average daily net inflow of northbound funds on the three trading days with the highest stock prices in the past 20 trading days to the average daily holding value of northbound funds in the past 20 trading days. Among them, $Top3_{Price}$ represents the three trading days with the highest stock prices, $F_t$ represents the net inflow of northbound funds on the tth trading day, and $H_t$ represents the holding value of northbound funds on the tth trading day.
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The ratio of the average daily net inflow of northbound funds on the three trading days with the highest trading volume in the past 20 trading days to the absolute value of the average daily net inflow of northbound funds in the past 20 trading days. Among them, $Top3_{Volume}$ represents the three trading days with the highest trading volume, and $F_t$ represents the net inflow of northbound funds on the tth trading day.
factor.explanation
This group of factors aims to characterize the trading behavior of northbound funds and their impact on the A-share market. If a stock has a continuous and stable inflow of northbound funds (high $DV2DV_{STD}$), it indicates that northbound funds have a continuous preference for it, which may indicate the potential for future returns of the stock. When the stock price is high, if there is still a large amount of northbound funds flowing in (high $DV2Hold_{MAXCP}$), it indicates that northbound funds still think the stock is attractive or have high expectations for the long-term value of the stock. In addition, if northbound funds accelerate their inflows when the stock is trading on a large volume (high $DV2ABSDV_{MAXVOL}$), it may indicate that northbound funds are optimistic about the short-term momentum of the stock. These factors can help investors understand the investment logic of northbound funds and serve as an effective tool for building quantitative investment strategies. It should be noted that these factors should be used in conjunction with other fundamental and technical factors to form a more comprehensive investment judgment.