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This article mainly introduces the relevant knowledge of "how to realize the trading volume index weighting strategy in My language". The editor shows you the operation process through the actual case, the operation method is simple, fast and practical. I hope this article "how to realize the trading volume index weighting strategy in My language" can help you solve the problem.

What is a volume weighted index?

A volume-weighted index is an investment index in which each investment is proportional to the trading volume of each investment target. Adding the trading volume of each investment to the index and dividing it by the total number of investments determines the value of the index. Investments with higher volume will give more weight than investments with lower volume, so they will have a greater say in the performance of the index.

Detailed explanation of trading volume weighted index

In the volume-weighted index, investments that rise from $110 to $120 will have a greater impact on the index than investments that rise from $10 to $20, even if these increases are not as large as those at low prices. Higher-volume investments have a greater impact on the index or overall direction.

For example, the Dow Jones Industrial average (DIJA) is one of the most popular volume-weighted investments, made up of 30 different investments or components. In this index, the trading volume of the investment target with higher trading volume is higher than that of the investment target with lower trading volume, so it is called volume weighted assignment.

Other weighted indices

In addition to the volume weighted index, other basic types of weighted index include value weighted index and unweighted index. For value-weighted indices, such as those in the MSCI strategic index series, the number of investment targets issued is a factor. In order to determine the weight of each investment target in the value-weighted index, the trading volume of the investment target is multiplied by the number of issued investment targets. For example, if investment A has 5000000 shares outstanding and trading volume is $15, its weight in the index is $750000000. If the transaction volume of Investment B is $30, but only 1000000 shares have been issued, with a weighting of $30000000. Therefore, in the value-weighted index, investment A has more say in how the index changes than in investment B.

In an unweighted index, all investments have the same impact on the index, regardless of their investment volume or trading volume. Any change in trading volume in the index is based on the return percentage of each component. For example, if investment An is up 30%, investment B is up 20%, investment C is up 10%, the index is up 20%, or 30 + 20 + 10 prime 3, that is, the number of investment targets in the index.

Another weighted index is the market capitalization weighted index, in which the share of each investment target is based on the market value of the issued investment target. Other types of weighting indices include income weighting, basic weighting and floating adjustments. According to investors' goals and market cognition, there are both positive and negative aspects.

Application of Trading Volume Index weighting Strategy in inventor Quantification platform

Based on the above basic concepts, we have a general understanding of the basic principles and operating mechanism of this strategy. Next, we will deploy it to the inventor quantification platform to implement this strategy in the digital money market. Let's program in the easy-to-use My language.

Data cycle: multi-cycle

Return test target: OKEX futures

Contract Type: this_week

Man ^ MA (Cpenn); B_MA:=C > MAN;S_MA:=C0.5;B_K1:=SUM ((Cmerl) * VMagne) / SUM ((Hmurl) * VMagne) > 0.5 HHV (AND B_K2 AND B_MA AND AND B_K2 AND B_MA AND H > = HHV) S_K1 AND S_K2 AND S_MA AND LBKPRICE+STOPLOSS,SP (BKVOL); B_MA AND SKLOW

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