Building a Price-Volume Correlation Factor from Intraday Stock Data

Summary

This report describes a Chinese equity selection factor called CPV, built from the relationship between intraday prices and trading volume. It combines three characteristics of daily price-volume correlation: its average level, variability, and trend. The report tests alternative sampling intervals, taking observations every few minutes rather than using the original frequency, and says the factor's performance remained broadly stable and exceeded a traditional reversal benchmark across those versions.

Reported tests use A shares and CSI 500 constituents, including five-group long-short portfolios and information coefficients. The report also says that removing common style and industry effects did not eliminate the factor's historical selection ability. These are historical backtest results and a monthly performance update; the text does not provide enough detail to reproduce the factor or assess transaction costs, capacity, turnover, survivorship bias, or out-of-sample robustness. Results differ between the broad market and the index universe, so they should not be assumed to generalize across samples or future periods.

Key ideas

• CPV combines the average, variability, and trend of daily intraday price-volume correlations.
• The report compares factor construction using different minute-data sampling intervals.
• It evaluates the signal with cross-sectional information coefficients and five-group long-short portfolios.
• The reported historical results remain favorable after controlling for common style and industry effects.
• Reported performance varies by universe, and the supplied text leaves implementation and trading-cost details unclear.

Tags

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