Alpha Library  /  Academic Anomalies  /  academic_rmw

academic_rmw

[PRICE PROXY] FF2015 RMW — quality via inverse 60d volatility

Themes & universe

qualityequity_usequity_cnequity_hk1d

Formula

\mathrm{zscore}_{x}\bigl(-\mathrm{ts\_std}((\mathrm{close}_t - \mathrm{close}_{t-1}) / \mathrm{close}_{t-1},\,60)\bigr)

Definition

id

academic_rmw

zoo

academic

module_path

src.factors.zoo.academic.rmw

decay_horizon

60

min_warmup_bars

61

requires_sector

False

columns_required

close

Notes

[PRICE PROXY] for the Fama-French (2015) RMW (Robust Minus Weak) profitability factor. The original definition uses operating profitability from fundamental data; here we use the negative of 60-day return volatility as a low-vol-quality proxy, then cross-sectional z-score per date for long-short ranking. Top z-scores = lower vol (quality / robust).

Run it

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