Alpha Library  /  GTJA 191  /  gtja191_023

gtja191_023

Themes & universe

volatilityequity_cn1d

Formula

SMA((CLOSE>DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1)/(SMA((CLOSE>DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1) + SMA((CLOSE<=DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1)) * 100

Definition

id

gtja191_023

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_023

decay_horizon

20

min_warmup_bars

20

requires_sector

False

columns_required

close

Notes

Up-volatility share. SMA(20, m=1) of STD(20) over up/down days.

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_023
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025