Consistent Down Volume Ratio
factor.formula
Consistency K-line judgment conditions:
Consistent Down Volume Ratio Factor:
in:
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The consistency threshold parameter is used to define the degree of the K-line entity. The larger the $\alpha$ value, the greater the proportion of the K-line entity relative to the overall fluctuation, that is, the shorter the upper and lower shadows, the more significant the K-line entity, and the higher the degree of consistency. It is usually recommended to take the value range of [0.1, 0.5], and the specific value needs to be adjusted according to the backtest results.
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The total trading volume corresponding to the K-line that meets the consistency judgment conditions and is falling (closing price is lower than opening price) within a specified time period (for example: 5-minute K-line) reflects the market's consistent selling power.
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The total trading volume for the day is used as a benchmark to calculate the proportion of consistent decline volume in the day's trading volume.
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Moving average period parameter, used to smooth the historical consistent decline volume ratio and reduce the impact of single-day fluctuations on the factor value. The recommended value range is [5, 20], and the specific value needs to be adjusted according to the backtest results.
factor.explanation
This factor is designed to capture possible collective selling behavior in the market. When a large number of consistent falling K-lines appear in stock trading over a period of time, and the trading volume of these K-lines accounts for a high proportion, it indicates that there may be consistent selling pressure in the market. This phenomenon often means that the market has negative expectations for the future trend of the stock, or is affected by some negative events, which leads to concentrated selling by investors. The higher the value of this factor (the more negative the value), the greater the selling pressure in the market, and investors should be cautious. On the contrary, if the factor value is close to 0, it indicates that the consistent falling selling behavior in the market is not obvious.
This factor can be used as an auxiliary reference for short-term trading, combined with other technical indicators or fundamental information to improve the accuracy of trading decisions. It should be noted that although consistent trading behavior may indicate potential trend opportunities, it may also be affected by short-term market sentiment or noise, so it cannot be used as the only basis for trading.