Defining a Factor from the Negative VWAP–Volume Correlation

Summary

The document asks how to express a proposed factor in a platform's formula language. The factor is defined as the negative correlation, over a rolling interval, between a security's VWAP series and its volume series. In principle, this transforms the relationship between traded price level and activity into a cross-sectional or time-series signal, with the negative sign reversing the correlation's direction.

The post supplies no completed formula, explanation of the intended lookback window, sampling frequency, or factor normalization. It also gives no evidence that the signal predicts returns or describes how it should be combined with other factors. The request is therefore a starting point for implementation rather than a finished factor specification or tested trading method; details such as missing data handling and evaluation would need to be resolved separately.

Key ideas

• The proposed factor is the negative correlation between VWAP and volume over a rolling period.
• The sign inversion means higher positive correlation maps to a lower factor value.
• The post asks for a translation into a platform-specific factor formula but does not provide one.
• It does not specify implementation details or present evidence of predictive performance.

Tags

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