Cumulative momentum based on low amplitude cutting
factor.formula
The low amplitude cumulative momentum factor calculation formula is:
In the formula:
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The percentage of low-volatility trading days indicates the percentage of trading days with the smallest intraday volatility in the past 160 trading days, and the value range is [50%, 70%]. For example, when A% is 50%, the 80 trading days with the smallest intraday volatility in the past 160 trading days are selected.
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The number of low-volatility trading days is equal to the past 160 trading days multiplied by A%. For example, when A% is 50%, n is 80.
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The stock return rate on the i-th trading day is calculated as (closing price of the day - closing price of the previous day) / closing price of the previous day, which represents the percentage change in the stock price on that day.
factor.explanation
This factor starts from the perspective of trading behavior, uses intraday volatility as a screening criterion, and extracts the momentum effect accumulated under low-amplitude conditions. Studies have shown that on low-amplitude trading days, the rise and fall of stocks often have momentum characteristics, that is, stocks that rose in the previous period are more likely to continue to rise on low-amplitude trading days; vice versa. High-amplitude trading days may show a reversal effect. This factor attempts to capture the momentum effect on low-amplitude trading days, and the intensity and distribution of the rise and fall effects under low and high amplitudes are asymmetric.