Normalized mean of active buying strength after opening
factor.formula
Normalized mean of active buying strength after opening:
Net active buying volume:
in:
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The net active buying volume of the i-th stock in the specified time period (usually 30 minutes) after the opening of the market on the n-th trading day. This value is equal to the active buying volume minus the active selling volume. The determination of active buying/selling volume is based on the BS sign in the transaction data, where B represents active buying (the buyer actively trades at the seller's price) and S represents active selling (the seller actively trades at the buyer's price). To avoid the impact of extreme prices, the transaction volume data of the up and down limit minutes has been eliminated.
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The average of the net active buying volume of the ith stock in a specified time period (usually 30 minutes) after the opening of the market on the nth trading day. Here, the average of the minute-level net active buying volume in this time period is taken.
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The standard deviation of the net active buying volume of the ith stock in the specified time period (usually 30 minutes) after the opening of the market on the nth trading day. Here, the standard deviation of the minute-level net active buying volume in this time period is calculated to measure the volatility of the net active buying volume in this time period.
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The mean of the net active buying transaction volume of the ith stock within a specified time period (usually 30 minutes) after the opening of the market on the nth trading day, divided by the standard deviation, is used to measure the standardized value of the active buying strength of the stock within the time period. The higher the value, the stronger and more stable the active buying intention of the stock within a period of time after the opening of the market.
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The length of the time window for the back-test calculation. For monthly stock selection, T is usually set to 20 trading days; for weekly stock selection, T is usually set to 5 trading days. This parameter determines how many past trading days of net active buying transactions are considered when calculating the factor value.
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Current trading day.
factor.explanation
This factor reflects the market's willingness and strength to actively buy stocks at the opening stage by calculating the standardized average of net active buying transactions after the opening over a period of time. Standardization makes the factor values between different stocks comparable, thereby better capturing market sentiment and buying momentum. This factor can be used as an important reference in stock selection strategies to help identify stocks with strong buying momentum.