Low volatility momentum accumulation based on amplitude threshold
factor.formula
Amplitude cutting momentum accumulation factor calculation formula:
in:
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Low-volatility trading day ratio threshold. Indicates the ratio of trading days with the lowest daily volatility during the lookback window, with a range of [50%, 70%]. This parameter reflects the sensitivity to low-volatility events. The larger the value, the more low-volatility trading days are included in the calculation.
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The number of low-volatility trading days. That is, the actual number of trading days with the lowest daily volatility ranking of A% during the lookback window period. The specific value depends on the length of the lookback window period and the value of A%.
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The stock return on the i-th low-volatility trading day. Usually calculated using the logarithmic return of the daily closing price (log(Close_t) - log(Close_{t-1})), or the simple return (Close_t - Close_{t-1}) / Close_{t-1}. This return represents the price change on that trading day.
factor.explanation
This factor starts from the perspective of trading behavior, uses intraday amplitude as a screening criterion, and selects trading days with lower volatility. The core assumption of this factor is that during periods of low amplitude, small price fluctuations may have stronger trend continuity, that is, they show a momentum effect. The study found that the returns in the low amplitude range have a significant momentum effect, while the high amplitude range shows a reversal effect. In addition, the intensity and distribution of momentum and reversal effects are often asymmetric. This factor attempts to capture the momentum effect in this low volatility environment by accumulating the returns of low amplitude days, providing effective signals for quantitative strategies.