Combining Auction Volume Share Factors for Chinese Stock Selection

Summary

This research reproduction describes factors based on the share of a Chinese stock’s trading volume occurring in the opening call auction and near the close. The opening-auction factor, OCVP, is smoothed with a simple moving average and an exponentially weighted average to reflect the declining relevance of older observations. A closing-period volume-share measure, BCVP, is then combined with the opening measure as OBCVP. The final factor is neutralized for industry and market capitalization.

The article reports that OCVP had a mean information coefficient of −5.6% and an absolute information ratio of 0.83. It says the combined factor improved the reported ranking and gives a five-group long-short result with 15.10% annualized return, a 3.03 Sharpe ratio, and 10.2% maximum drawdown. These are reported research figures, not independently verified results. The article also notes that BCVP alone had weaker monotonicity and that a later 2020–2024 backtest showed negative strategy returns despite rising excess returns. Its displayed SQL has apparent naming and weighting inconsistencies, which limit direct reproduction.

Key ideas

• OCVP measures opening call-auction volume as a share of total volume and is smoothed to form a stock-selection factor.
• An exponential weighting scheme gives more influence to recent auction observations while retaining older data.
• The proposed OBCVP combines opening-auction and closing-period volume-share information, then neutralizes industry and market-cap effects.
• The article reports stronger results for the combined factor than for either component alone, including a five-group long-short backtest.
• A later backtest is described as having negative total strategy returns, and inconsistencies in the shown SQL complicate reproduction.

Tags

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