An Intraday Active-Buy Ratio Factor Linked to Next-Day Returns

Summary

This factor proposal estimates intraday active buying from minute bars: when a bar closes above its open, its traded amount is counted as active buying; bars closing below their open are assigned to passive buying. The daily active-buy ratio divides the summed active-buy amount by the summed amount classified as active or passive. The proposed final factor multiplies that ratio by the following day’s close-to-close return, so a positive value reflects both a higher active-buy share and a positive next-day move.

The post provides a query implementation that aggregates minute data by instrument and trading day, then aligns each day’s ratio with the next day’s return. It explains the intended interpretation but reports no backtest results or predictive evidence. The bar direction is only a proxy for aggressor-side trading and cannot identify trade-level buyer initiation directly; bars with unchanged closes are excluded from both amount totals. Because the factor includes the next day’s return, it is a realized outcome measure rather than a signal available at that day’s close without careful date alignment.

Key ideas

• Minute bars closing above their open are treated as active-buy observations weighted by traded amount.
• The daily ratio divides the active-buy amount by amounts assigned to active or passive buying.
• The proposed factor multiplies the ratio by the next day’s close-to-close return.
• The implementation aggregates intraday observations by instrument and day before aligning next-day returns.
• The document gives no predictive performance evidence, and bar direction is an imperfect proxy for trade aggressor side.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.