Alpha Library  /  GTJA 191  /  gtja191_010

gtja191_010

Themes & universe

volatilityreversalequity_cn1d

Formula

RANK(MAX(((RET<0)?STD(RET,20):CLOSE)^2,5))

Definition

id

gtja191_010

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_010

decay_horizon

5

min_warmup_bars

25

requires_sector

False

columns_required

close

Notes

Per-day return = pct_change(1) via (close - delay(close,1))/delay(close,1).

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_010
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025