TEC011Factor HubTechnical FactorsMedium
Volume-Price Correlation Factor
Rolling correlation of volume and price: aligned flows sustain trends.
Formula
VPC = corr(收益率, 成交量变化率, 20日)Performance (Top-30 equal-weight long, monthly rebalance)
Annualized return
6.13%
Sharpe ratio
0.45
Max drawdown
-27.15%
Total return
81.34%
Cumulative performance（2016-09 … 2026-08）
2016 -3.1%2017 -14.0%2018 +6.0%2019 +12.1%2020 +18.5%2021 +2.5%2022 +24.9%2023 -4.3%2024 +0.2%2025 +18.9%2026 +5.9%
Current top-30 holdings
| # | Ticker | Company | Score |
|---|---|---|---|
| 1 | USB | U.S. Bancorp | 0.895 |
| 2 | ADP | ADP | 0.760 |
| 3 | AZO | AutoZone | 0.742 |
| 4 | PRU | Prudential Financial | 0.725 |
| 5 | MAA | Mid-America Apartment | 0.711 |
| 6 | PEG | Public Service Enterprise | 0.705 |
| 7 | PLD | Prologis | 0.702 |
| 8 | AEE | Ameren | 0.682 |
| 9 | LOW | Lowe's | 0.647 |
| 10 | KHC | Kraft Heinz | 0.638 |
| 11 | JPM | JPMorgan Chase | 0.628 |
| 12 | ALB | Albemarle | 0.623 |
| 13 | INTU | Intuit | 0.611 |
| 14 | AIG | American Intl Group | 0.611 |
| 15 | ZS | Zscaler | 0.592 |
| 16 | TJX | TJX Companies | 0.578 |
| 17 | AMC | AMC Entertainment | 0.570 |
| 18 | SBAC | SBA Communications | 0.566 |
| 19 | TPL | Texas Pacific Land | 0.565 |
| 20 | FTNT | Fortinet | 0.562 |
| 21 | AMT | American Tower | 0.552 |
| 22 | ANET | Arista Networks | 0.550 |
| 23 | NEE | NextEra Energy | 0.544 |
| 24 | VALE | Vale | 0.544 |
| 25 | LIN | Linde | 0.541 |
| 26 | DLR | Digital Realty | 0.540 |
| 27 | KMB | Kimberly-Clark | 0.530 |
| 28 | GILD | Gilead Sciences | 0.530 |
| 29 | HSY | Hershey | 0.529 |
| 30 | LNG | Cheniere Energy | 0.527 |
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.