Momentum

  • Information Discreteness (ID)

  • Capital Gains Overhang (CGO)

    • Wang, Huijun, Jinghua Yan, and Jianfeng Yu. "Reference-dependent preferences and the risk–return trade-off." Journal of Financial Economics 123.2 (2017): 395-414.

    • Definition where is week-t turnover rate (volume / outShs), is week-t close price. is reference price. Higher CGO has higher return.

    • Theory: Prospect Theory suggests that investors are risk-seeking in the loss domain and risk-averse in the gain domain relative to a reference point. Using Capital Gains Overhang (CGO) as a proxy for investors’ unrealized gains or losses, the authors find:

      • Positive risk–return relation among stocks with high CGO (i.e., investors have unrealized gains).
      • Negative risk–return relation among stocks with low CGO (i.e., investors have unrealized losses).
      • When investors are holding stocks at a loss (low CGO), they may prefer high-risk stocks, driving down prices and expected returns.
      • When investors are in a gain position (high CGO), they behave more traditionally (risk-averse), and high-risk stocks yield higher expected returns.

    • Thoughts: better to use CGO x risk proxy (TRISK / SRISK / Beta / etc) interaction.

  • Acceleration Momentum

    • Investor Attention, Visual Price Pattern, and Momentum Investing

    • Definition where is stock-i price at day-t, t=[1, ..., n] is the past 1, ..., n days. Run a regression over the past t days and obtain as acceleration momentum.

    • Trade acceleration momentum or .

    • Theory: acceleration draw investor attention and create overreaction.

  • Return Seasonality

  • Rank Momentum

    • Definition: each day take normalized (0-1) ascending rank of daily return. Each month take average, then take average within each lookback period.

  • PEAD

    • Definition: 3-day cumulative mret after earnings anouncement.

  • 振幅切割动量

    • 开源金工 | A股市场如何构造动量因子
    • Definition: 以 160 个交易日作为窗口期，将振幅较低的 个交易日的涨跌幅加总，得到动量因子， 取值范围在 。
    • Theory: 低振幅水平下涨跌幅因子呈现动量效应，高振幅水平下涨跌幅因子呈现反转效应，并且动量效应和反转效应的分布和强度具有不对称性。
    • Thoughts: filter using risk model risk * multiplier

  • Fundamental Implied Return

Run regression on the next month return:

{% math %}
R_{i, t}=\alpha_t+\sum_{k=1}^K \sum_{L=1,2,4,8} \beta_{L, t}^k M A_{i, t-1, L}^k+\varepsilon_{i, t}
{% endmath %}
Conduct prediction based on most recent fundamental factor MA and estimated coef
{% math %}
\mathrm{FIR}_{i, t}=\sum_{k=1}^K \sum_{L=1,2,4,8} \beta_{L, t}^k M A_{i, t, L}^k
{% endmath %}
  • Theory: fundamental factor momentum.

Technical Indicator

  • Rate of Change

    • Definition

    • 趋势明显的⾏情中，当 ROC 向下跌破零，卖出信号，ROC 向上突破零，买⼊信号；震荡⾏情中，当 ROC 向下跌破 MAROC/EMAROC 时，卖出信号，当 ROC 上穿 MAROC/EMAROC 时，买⼊信号。

  • ADTM

    • Definition

      N = 23
M = 8

DTM = 0 if open < open_yesterday else max( high - open, open - open_yesterday)
DBM = 0 if open > open_yesterday else max( open - low, open - open_yesterday)
STM = sum(DTM, N)
SDM = sum(DBM, N)
ADTM = (STM - SBM) / STM if STM > SBM else (STM - SBM) / SBM
ADTMMA = sum(ADTM, M)

    • Theory: ADTM指标在+1到-1之间波动。差于-0.5时为低风险区,好于+0.5时为高风险区，需注意风险。ADTM上穿ADTMMA时，购入股票；ADTM跌穿ADTMMA时，出售股票。

  • DBCD

    • Definition where N1=5, N2=16, N3=17, and is the t-N value if current time is t.

  • KDJ

    • Definition

      N = 9
M1 = 3
M2 = 3

RSV = 100 * (close - np.min(low[-N:])) / (np.max(high[-N:]) - np.min(low[-N:])) # highest high and lowest low in the past N days
K = SMA(RSV, M1, 1)
D = SMA(RSV, M2, 1)
J = J = 3*K - 2*D

    • Theory:

      • When the K line breaks above the D line on the graph, it is commonly known as the golden cross, which is a signal to buy.
      • When the K value is diminishing and then breaks below the D line from above, it is commonly called a dead cross and seen as a signal to sell.
      • When the J value is greater than 90, especially for more than five consecutive days, the stock price will at least form a short-term peak. On the contrary, when the J value is less than 10, especially for several consecutive days, the stock price will at least form a short-term bottom.

    • Thoughts: The main limitation of the KDJ is that it can generate false signals under volatile markets. We can use idio risk / realized vol / etc. to rescale RSV values for each stock.

  • ATR

    • Definition

      N = 20

TR = max(high-low, abs(high-close_prev), abs(low-close_prev))
ATR = EMA(TR, N)

    • Theory: ⽤于表⽰价格的波动程度，价格波动幅度的突破通常也预⽰着价格的突破，该指标价值越⾼，趋势改变的可能性就越⾼；该招标的价億越低，趋势的移动性就越弱。

    • Thoughts: use as indicator.

  • Chaikin Volatility

    • Definition

      N = 10
M = 10

REM = EMA(high - low, N)
CV = 100* (REM - REM_{t-M}) / REM_{t-M}

    • Theory: ⽤于股价的波动情况；⼀个相对较短时间内的波动率上升意味着市场底部的到来，⼀段相对较长时间内波动率的下降意味着市场顶部的来到，可以根据波动率预测股票未来的趋势。

    • Thoughts: use as indicator.

  • BBI

    • Definition

      M1 = 3
M2 = 6
M3 = 12
M4 = 20

BBI = ( MA(close, M1) + MA(close, M2) + MA(close, M3) + MA(close, M4) ) / 4

  • Chaikin Oscillator

    • Definition

      X = (2*close - high - low) / (high - low)
ADL = Volume * X
#ADL = ADL + ADL_prev
CO = EMA(ADL, 3) - EMA(ADL, 10)

    • Theory:

      • CO is an improvement of ADL (Accumulation/Distribution Line).
      • Monitor General Money Flow - An ADL's move higher is a signal that buying pressure is starting to prevail. On the flip side, an ADLs downward move signals increased selling pressure is beginning to gain a foothold.
      • Confirmation - You can also use the ADL to confirm the strength, and possibly the longevity, of a current move.

  • Mass Index

    • Definition:

    • Theory: surges in the mass index can correlate with turning points in the price trend.

    • Thoughts: use as indicator.

  • PSY

    • Definition where N = 12.

    • Theory: PSY 将⼀定时期内投资者趋向买⽅或卖⽅的⼼理事实转化为数值，形成⼈⽓指数，从⽽判断股价的未来趋势；通常，指标⼩于25时关注做多机会，⼤于75时关注做空机会，⼩于10为极度超卖，⼤于90为圾度超买，市场宽幅振荡时，PSY 也会25~75区间反复與破，给出⽆效信号。

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