Large Order Volume Price Momentum
factor.formula
Large Order Volume Price Momentum:
Average single transaction amount:
in:
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The return rate of stock i in the jth minute of the nth trading day. This return rate is usually calculated using the closing price of the minute K-line, that is, (current minute closing price - previous minute closing price) / previous minute closing price.
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The transaction amount of stock i in the jth minute of the nth trading day. This value is the total amount of all transactions in that minute.
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The number of transactions of stock i in the jth minute of the nth trading day. This value is the number of all transactions in that minute.
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The set of serial numbers corresponding to the top 30% of minute K lines with the largest average single transaction amount on the nth trading day. When calculating the average single transaction amount, first calculate the average single transaction amount for each minute of the day, and then select the largest 30% of the minutes.
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Time window size. Indicates the number of trading days for backtesting calculation. Usually, for monthly stock selection, T is set to 20 trading days, representing about one month of trading data; for weekly stock selection, T is set to 5 trading days, representing about one week of trading data. It can be adjusted according to the specific trading frequency and backtesting requirements.
factor.explanation
This factor measures the stock price momentum driven by large transactions within a specific time window. The core logic is that the minute K-line with a higher average single transaction amount often reflects that the game between the long and short sides in the market is more intense, and large traders may open or close positions here. When a large order is traded, the price usually shows a certain trend change. Therefore, this factor selects the yield of the minute K-line corresponding to the large order to accumulate, thereby measuring the driving effect of the large order on the stock price. Studies have shown that after a large order is traded, the stock price tends to reverse, so this factor is negatively correlated with the future return of the stock, that is, the higher the value of this factor, the lower the future return of the stock may be, and vice versa. The construction of this factor can be used to capture the momentum reversal effect in the short and medium term of the market, and can be used in high-frequency trading, intraday trading or short-term strategies.