High-frequency upward fluctuation ratio
factor.formula
High-frequency upward fluctuation ratio:
in:
- :
is the stock return at the minute-level (or other high-frequency) timestamp $t$. For example, if 1-minute frequency data is used, $r_t$ represents the stock return at the $t$th minute; if 5-minute frequency data is used, $r_t$ represents the stock return at the $t$th 5-minute time period. The time frequency needs to be selected according to the actual trading strategy and data frequency. Common choices include 1 minute, 5 minutes, 10 minutes, etc.
- :
It represents the sum of all squares of positive returns over a specific period of time. It measures the strength of upward volatility in stock prices.
- :
It represents the sum of all squared returns over a specific time period, including both positive and negative returns. It measures the overall volatility of stock prices, whether prices are rising or falling.
- :
is the window period for calculating the factor value, in trading days. At any stock selection time, the factor value is the average of the indicators in the previous N days. For example, if monthly stock selection is adopted, N=20 is usually taken, that is, the average of the high-frequency upward fluctuation ratio in the past 20 trading days is calculated.
factor.explanation
The high-frequency upward volatility ratio factor is used to measure the upward volatility strength of stocks in high-frequency trading data. This factor captures the characteristics of a sharp rise in stock prices in the short term. Compared with stocks that have accumulated gains through continuous and stable small increases, stocks that have risen due to a sharp rise in the short term are often more likely to experience mean reversion, that is, subsequent price corrections. Therefore, this factor can be used as a potential risk indicator for predicting short-term reversals of stocks. A high factor value usually indicates that the recent increase in the stock has a high proportion of sharp increases, and the reversal risk is also correspondingly high. This factor can be applied to a variety of quantitative trading strategies. For example, in a pair trading strategy, you can choose stocks with low factor values for long positions and stocks with high factor values for short positions to build a pair. At the same time, this factor is also often used as a risk management tool for building a portfolio. For example, in a multi-factor model, it can be used as one of the risk factors.