Price quantile amplitude factor
factor.formula
Daily Range:
Where High_t represents the highest price on the tth trading day, and Low_t represents the lowest price on the tth trading day. This formula calculates the relative price volatility on the tth trading day.
High Price Amplitude Factor:
Among them, $\mathcal{S}_{high}$ represents the set of N * λ trading days with the highest closing prices; High_t and Low_t represent the highest price and the lowest price of the tth trading day respectively; N represents the total number of trading days to be traced back; λ represents the proportion of selected trading days with higher (lower) closing prices, and the default value is 0.25.
Low Price Amplitude Factor:
Among them, $\mathcal{S}_{low}$ represents the set of N * λ trading days with the lowest closing prices; High_t and Low_t represent the highest price and the lowest price of the tth trading day respectively; N represents the total number of trading days to be traced back; λ represents the proportion of selected trading days with higher (lower) closing prices, and the default value is 0.25.
Price quantile amplitude factor:
This formula calculates the difference between the high price amplitude factor and the low price amplitude factor, reflecting the difference in amplitude between the high and low price ranges.
This factor aims to capture the difference in volatility between the high and low price ranges of the market by calculating the difference between the high and low price range amplitudes. The $\lambda$ parameter controls the number of samples used to calculate the high and low price amplitudes. A higher $\lambda$ value will use more trading days for averaging, and vice versa.
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The highest price on the tth trading day
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The lowest price on the tth trading day
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Total number of trading days looked back
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The set of N * λ trading days with the highest closing prices
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The set of N * λ trading days with the lowest closing prices
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The proportion of selected trading days with higher (lower) closing prices
factor.explanation
The price quantile amplitude factor cuts the amplitude factor based on the stock price, aiming to capture the volatility distribution information of stocks in different price ranges. The high-price amplitude factor usually has a stronger negative stock selection ability, indicating that the amplitude of stocks in the high price range may indicate the risk of subsequent correction. By calculating the difference in amplitude between high and low price ranges, this factor can provide more differentiated stock selection signals. This factor assumes that there are differences in the volatility behavior of stocks in different price ranges, and this difference can be used to assist in stock selection and risk management. Compared with directly using the overall amplitude, this factor can better reflect the volatility characteristics in a specific price range, and therefore may have a stronger stock selection ability.