Consistent buying strength of the real K-line
factor.formula
Define the entity K line:
Consistent Buy Volume Ratio (CBVR):
in:
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The threshold parameter of the real candlestick, the value range is usually [0,1]. The smaller the value of $a$, the stricter the definition of the real candlestick, that is, the gap between the opening price and the closing price needs to be smaller, the real part of the candlestick is longer, and the upper and lower shadows are shorter. This parameter reflects the sensitivity to the consistency of the real candlestick.
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On the t-ith trading day, the sum of the total trading volume of all 5-minute candlesticks that meet the definition of the real candlestick and whose closing price is higher than the opening price represents the buying volume of the real candlestick on that trading day. The purpose of this indicator is to capture the real candlestick volume with obvious buying intention in the short term.
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On the t-ith trading day, the total trading volume of all 5-minute K-lines represents the total trading activity of that trading day.
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The moving average window is the number of historical trading days used to calculate the average. By adjusting $d$, the sensitivity of the factor to short-term and long-term trends can be controlled. The larger $d$ is, the less sensitive the factor is to short-term trading fluctuations and the more it focuses on long-term trends; the smaller $d$ is, the more sensitive the factor is to short-term trading fluctuations and the more it focuses on short-term market behavior.
factor.explanation
The Consistent Buying Strength Factor (CBVR) is designed to quantify the strength of collective buying behavior in the market. When the CBVR value of a stock is high over a period of time, it means that the proportion of the stock's physical K-line buying volume is relatively large, which means that market participants have a strong willingness to buy during these time periods, and the price changes are relatively consistent, which may indicate potential market trends or price breakthrough opportunities. This consistent behavior is often related to changes in market sentiment, information disclosure or fundamental factors. This factor can help traders identify stocks that may have significant trends or breakthrough opportunities, and assist in the formulation of quantitative trading strategies. Compared with simple price fluctuations, this factor can more effectively capture changes in market sentiment and the commonality of collective behavior. It should be noted that this factor is not an absolute buy signal, and it needs to be combined with other factors and market conditions for comprehensive analysis and judgment.