Active buying strength during the opening period
factor.formula
Active buying strength during the opening period:
Net active buying strength:
Net active trading volume:
Net buy order changes:
in:
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Calculated from transaction data, it reflects the difference between active buying and selling in a specific period of time. A positive value indicates that the active buying force is greater than the active selling force, and vice versa. It is a key indicator to measure the market's willingness to buy and sell in real time. For details, please refer to relevant factors such as the net active buying ratio/strength during the opening period.
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Calculated from the snapshot data of the market order, it reflects the difference between the increase in the number of buy orders and the increase in the number of sell orders in a specific period. A positive value indicates a stronger willingness to buy orders, and vice versa. It reflects the potential strength of market participants in their willingness to buy and sell. For details, please refer to relevant factors such as the proportion of net buy orders changed during the opening period.
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They represent the trading data of the jth minute of the i-th stock in the nth trading day. The value range of n depends on the time window (T) for calculating the factor. For example, if T is 20 trading days, n represents the nth trading day within 20 trading days from the current trading day; j represents the data at the minute level within the day.
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Indicates the time window length for back-calculation. The value of T depends on the stock selection frequency. Usually, when selecting stocks monthly, T is set to 20 trading days; when selecting stocks weekly, T is set to 5 trading days. This parameter determines the range of historical data considered when calculating the factor. A time window that is too small may cause the factor to fluctuate too much, while a time window that is too large may smooth out short-term changes in trading willingness.
factor.explanation
This factor captures the comprehensive buying intention of market participants during the opening hours by combining the net active trading volume and the change in net entrusted buy orders. The net active trading volume reflects the buying power that has been traded, while the change in net entrusted buy orders reflects the potential buying power. The difference between the two can be understood as a broader active buying intention. After standardizing the daily net active buying strength and taking the average within the time window, it can effectively smooth out daily fluctuations and better measure the strength of buying intention during the opening hours. The higher the value of this factor, the stronger the buying intention of market participants during the opening hours, indicating that the stock may be more popular in the market during this period and has stronger potential upward momentum. It should be noted that this factor is a high-frequency factor and high-frequency trading data is required for calculation.