A Composite Price, Volume, and Trend Factor
Summary
The document proposes a daily equity factor that combines three market measures: the gap between a 10-day average of amount per volume and the latest close, current volume relative to its 20-day average, and the latest close relative to its 20-day average. These components are multiplied to produce a single cross-sectional score. The accompanying query aggregates daily bars by instrument and filters invalid observations and nonpositive volume averages.
The author interprets the components as price relative to recent traded value, trading activity, and medium-term direction, and describes lower prices alongside higher volume and an upward trend as a potentially strong combination. However, the document supplies no backtest, return data, or comparison with simpler signals. Its claim that the factor can indicate undervaluation is an interpretation rather than evidence, and the product's behavior depends on the signs and scaling of its components. The method is presented as a factor recipe, not a validated trading strategy.
Key ideas
- The proposed score multiplies a price-to-recent-traded-value measure, relative volume, and a moving-average price signal.
- Daily bars are aggregated by instrument before the factor is calculated.
- A 20-day average is used to normalize volume and define the price trend component.
- The document gives no performance test to establish whether the combined score predicts returns.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.