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academic_strev

Jegadeesh 1990 short-term reversal — inverse 21d return

Themes & universe

reversalequity_usequity_cnequity_hk1d

Formula

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

Definition

id

academic_strev

zoo

academic

module_path

src.factors.zoo.academic.strev

decay_horizon

21

min_warmup_bars

22

requires_sector

False

columns_required

close

Notes

Jegadeesh (1990) one-month reversal. Negative trailing 21-day return, cross-sectional z-score per date for long-short ranking. Top z-scores = recent one-month losers, which tend to rebound. Constructed directly from prices, matching the original definition modulo the z-score wrapper.

Run it

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