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academic_cma

[PRICE PROXY] FF2015 CMA — investment via inverse volume growth

Themes & universe

qualityequity_usequity_cnequity_hk1d

Formula

\mathrm{zscore}_{x}\bigl(-\Delta_{60}\log(\mathrm{ts\_mean}(\mathrm{volume},\,60) + 1)\bigr)

Definition

id

academic_cma

zoo

academic

module_path

src.factors.zoo.academic.cma

decay_horizon

60

min_warmup_bars

120

requires_sector

False

columns_required

volume

Notes

[PRICE PROXY] for the Fama-French (2015) CMA (Conservative Minus Aggressive) investment factor. The original definition uses total-asset growth from fundamental data; here we use the negative 60-day change in log average volume as an activity-growth proxy, then cross-sectional z-score per date for long-short ranking. Top z-scores = volume contraction (conservative / low-growth proxy).

Run it

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