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academic_smb

[PRICE PROXY] FF1993 SMB — small-minus-big via inverse dollar-volume

Themes & universe

qualityequity_usequity_cnequity_hk1d

Formula

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

Definition

id

academic_smb

zoo

academic

module_path

src.factors.zoo.academic.smb

decay_horizon

60

min_warmup_bars

60

requires_sector

False

columns_required

close, volume

Notes

[PRICE PROXY] for the Fama-French (1993) SMB (Small Minus Big) size factor. The original definition uses market capitalization from book equity data; here we use the negative log of 60-day average dollar volume (close * volume) as a liquidity-weighted size proxy, then cross-sectional z-score per date for long-short ranking. Top z-scores = smaller / less liquid names.

Run it

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