Main transaction synchronization
factor.formula
The calculation formula of main transaction synchronization (TS) is as follows:
in:
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It is the main transaction synchronization at time t, and the value is between -1 and 1.
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It is the single transaction amount of a certain stock at time t (such as a certain minute). This value is the average transaction amount of all transaction orders within that minute.
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It is the total transaction amount of a certain stock at time t (such as a certain minute), that is, the sum of the amounts of all transaction orders within that minute.
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The function for calculating the rank correlation coefficient is the Spearman rank correlation coefficient. The rank correlation coefficient is a non-parametric indicator for measuring the strength of the monotonic relationship between two variables. It does not depend on the specific value of the data, but focuses on the order of the data. This can effectively eliminate the impact of outliers on correlation calculations.
In order to get a more stable signal, we usually smooth the calculated TS value. Here we use the moving average of 20 trading days to calculate the final main transaction synchronization factor (MTS), that is: $MTS_t = Mean(TS_{t-19}, TS_{t-18}, ..., TS_{t})$
factor.explanation
This factor measures the influence of the main funds' trading behavior on the market by calculating the rank correlation coefficient between the intraday minute-level single transaction amount and the total transaction amount. A high correlation indicates that the main funds can significantly influence the market through large transactions, and vice versa, it means that market transactions are more driven by other factors. This factor can help investors identify the activity and control ability of the main funds, so as to better grasp the market rhythm. By observing the changing trend of the MTS value, it is possible to infer the main funds' attention or strategic intentions on a certain stock. This factor is suitable for short-term trading and high-frequency strategies, and can be used as an auxiliary signal for other quantitative strategies.