Alpha Library  /  GTJA 191  /  gtja191_017

gtja191_017

Themes & universe

reversalequity_cn1d

Formula

(RANK(VWAP - MAX(VWAP,15))^DELTA(CLOSE,5))

Definition

id

gtja191_017

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_017

decay_horizon

15

min_warmup_bars

15

requires_sector

False

columns_required

close, volume, amount

Notes

The base is a percentile rank in (0, 1], so a negative 5-day close change is a real power, not a complex one.

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_017
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025