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academic_carhart_mom

Carhart 1997 momentum — 12m-1m return

Themes & universe

momentumequity_usequity_cnequity_hk1d

Formula

\mathrm{zscore}_{x}\bigl((\mathrm{close}_{t-21} - \mathrm{close}_{t-252})/\mathrm{close}_{t-252}\bigr)

Definition

id
academic_carhart_mom
zoo
academic
module_path
src.factors.zoo.academic.carhart_mom
decay_horizon
60
min_warmup_bars
253
requires_sector
False
columns_required
close

Notes

Carhart (1997) UMD momentum factor. Return from 12 months ago to 1 month ago, so the most recent month is skipped and today's price never enters; cross-sectional z-score per date for long-short ranking. Top z-scores = winners. Constructed directly from prices, so this matches the original definition modulo the z-score wrapper. Canonical 252d window; declared decay_horizon=60 due to registry schema cap (le=60); real signal horizon=252.

Run it

pip install vibe-trading-ai
vibe-trading alpha show academic_carhart_mom
vibe-trading alpha bench --zoo academic --universe csi300 --period 2020-2025