The active trading volume net ratio factor describes the active trading willingness of traders of different sizes in the market in a more detailed manner by distinguishing the trading behaviors of large and medium-sized orders and small orders. This factor assumes that large and medium-sized traders are usually considered to be institutional investors or high-net-worth investors, and their trading behaviors often reflect more professional market views and strategies; while small-order traders may represent retail investors, and their behaviors may be more affected by market sentiment. Empirical studies have shown that the active trading volume net ratio of large and medium-sized orders may show a positive stock selection effect in the high-yield range of stocks, indicating that when large and medium-sized orders show net buying, the stock return rate may be higher; conversely, the active trading volume net ratio of small orders may show a negative stock selection effect in the low-yield range of stocks, that is, when small orders show net selling, the stock return rate may be lower. Therefore, this factor can be used to capture the behavioral differences between traders of different sizes and play a role in quantitative stock selection strategies, such as building long-short strategies.