Alpha Library  /  Academic Anomalies  /  academic_hml

academic_hml

[PRICE PROXY] FF1993 HML — value via inverse 252d return

Themes & universe

valueequity_usequity_cnequity_hk1d

Formula

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

Definition

id

academic_hml

zoo

academic

module_path

src.factors.zoo.academic.hml

decay_horizon

60

min_warmup_bars

253

requires_sector

False

columns_required

close

Notes

[PRICE PROXY] for the Fama-French (1993) HML (High Minus Low) value factor. The original definition uses book-to-market ratio from fundamental data; here we use the negative 252-day total return as a long-term reversal proxy, then cross-sectional z-score per date for long-short ranking. Top z-scores = long-term underperformers (deeper value). 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_hml
vibe-trading alpha bench --zoo academic --universe csi300 --period 2020-2025