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academic_mkt_rf

[PRICE PROXY] Market factor (Sharpe 1964) — 21d demeaned return

Themes & universe

momentumequity_usequity_cnequity_hk1d

Formula

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

Definition

id

academic_mkt_rf

zoo

academic

module_path

src.factors.zoo.academic.mkt_rf

decay_horizon

21

min_warmup_bars

22

requires_sector

False

columns_required

close

Notes

[PRICE PROXY] for the Sharpe (1964) / Fama-French market factor (MKT-RF). The original definition uses value-weighted market excess returns; here we use a 21-day per-stock total return and cross-sectional z-score per date for long-short ranking. Top z-scores = strong recent winners; bottom = losers.

Run it

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