LIQ011Factor HubLiquidity FactorsMedium
Market Depth Factor
Order-book depth: how much size the market can absorb without moving.
Formula
Depth = Σ(Bid_i * BidVol_i + Ask_i * AskVol_i), i=1..5Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
12.96%
Sharpe ratio
0.79
Max drawdown
-23.02%
Total return
238.39%
Cumulative performance（2016-09 … 2026-08）
2016 -5.7%2017 -6.4%2018 +1.6%2019 +22.9%2020 +34.6%2021 +16.4%2022 +34.8%2023 +6.8%2024 +5.1%2025 +8.7%2026 +19.1%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | SOFI | SoFi Technologies | 96993389.059 |
| 2 | TSLA | Tesla | 62190667.738 |
| 3 | NKE | Nike | 50923919.759 |
| 4 | MCHP | Microchip Technology | 48208796.629 |
| 5 | AAPL | Apple | 46682629.953 |
| 6 | RTX | RTX Corp | 39388057.550 |
| 7 | PLTR | Palantir | 35965145.264 |
| 8 | DASH | DoorDash | 35519445.092 |
| 9 | WFC | Wells Fargo | 31409605.988 |
| 10 | BAC | Bank of America | 30922655.793 |
| 11 | BHP | BHP | 25658399.580 |
| 12 | SLB | SLB | 24028254.016 |
| 13 | CVX | Chevron | 23324050.752 |
| 14 | LOW | Lowe's | 20988964.146 |
| 15 | JPM | JPMorgan Chase | 20261174.012 |
| 16 | PLD | Prologis | 19651558.011 |
| 17 | NFLX | Netflix | 16360938.981 |
| 18 | ORLY | O'Reilly Automotive | 15137254.297 |
| 19 | NET | Cloudflare | 12963578.536 |
| 20 | NVDA | NVIDIA | 10191388.138 |
| 21 | PYPL | PayPal | 10117753.904 |
| 22 | AMZN | Amazon | 10117272.990 |
| 23 | PEP | PepsiCo | 10027311.537 |
| 24 | KO | Coca-Cola | 9416218.877 |
| 25 | ENTG | Entegris | 7607048.481 |
| 26 | CCL | Carnival | 7273407.912 |
| 27 | INTU | Intuit | 7135596.990 |
| 28 | KVUE | Kenvue | 6858250.026 |
| 29 | ADBE | Adobe | 6690033.766 |
| 30 | NVO | Novo Nordisk | 6618846.282 |
Holdings computed by the exact formula above at the latest month-end observation on the deterministic research panel (2026-08).
Data export
Exports include formulas, performance statistics, the 120-month series and current holdings — everything needed to replicate results locally.