Time-weighted average relative price position
factor.formula
Relative price position $RPP_{i,t}$:
Time-weighted average relative price position $ARPP_{i,T}$:
in:
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Represents the relative price position of stock i at time t. Its value is between 0 and 1, where 0 means the price is at the lowest point in the range and 1 means the price is at the highest point in the range.
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Represents the highest price of stock i in the specified time interval.
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Represents the lowest price of stock i in the specified time interval.
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represents the price of stock i at time t.
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It represents the time-weighted average price of stock i in the time interval [0,T]. $TWAP_{i,[0,T]} = \frac{\int_0^T P_{i,t} dt}{T}$, which can be calculated using price data at the minute level or smaller time granularity. For example, the average price of the opening, high, low and closing prices of each minute can be taken, and then the average can be calculated in the interval [0,T].
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Indicates the length of the time interval for calculating the time-weighted average price.
factor.explanation
This factor measures the time-weighted average of the relative position of a stock's price relative to the highest and lowest prices in a specified time interval. $ARPP_{i,T}$ ranges from 0 to 1. If the stock price is close to the high point of the interval most of the time, the factor value is close to 1; conversely, if the stock price is close to the low point of the interval most of the time, the factor value is close to 0. This factor can be used to identify the strength or weakness of a stock: a higher factor value usually means that the stock is strong in the interval and may be in an upward trend; a lower factor value may mean that the stock is weak in the interval and may be in a downward trend. This factor is a momentum factor that can reflect the price momentum of a stock over a period of time.