Volume-to-Turnover Factors and Their Reported Performance

Summary

This note reports results for five related quantitative factors. The starting signal standardizes the ratio of trading volume to turnover. Variants combine it with 20-period close-price variability, a momentum-style calculation based on recent price changes, or rankings of volume and turnover. The reported measures include information coefficient, cumulative and annualized return, Sharpe ratio, annualized volatility, and maximum drawdown.

The base factor has positive reported returns and Sharpe ratio, while the variants that add price variability and other transformations generally show weaker or negative returns. Some variants have higher information coefficients despite poor return statistics, illustrating that a stronger association with outcomes does not by itself imply a profitable trading rule. The note gives no market, sample period, portfolio construction details, trading costs, benchmark, or validation procedure. Its figures therefore cannot establish robustness or out-of-sample performance, and the duplicated lists do not provide additional evidence.

Key ideas

• The base signal standardizes the ratio of volume to turnover.
• Several variants combine that signal with price variability or ranked trading activity measures.
• The reported information coefficients rise for some variants even as their returns and Sharpe ratios deteriorate.
• The note omits the test period, market, implementation assumptions, and out-of-sample validation.

Tags

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