Alpha Library  /  GTJA 191  /  gtja191_030

gtja191_030

Themes & universe

volatilityequity_cn1d

Formula

WMA((REGRESI(CLOSE/DELAY(CLOSE,1)-1, MKT_RET, SMB, HML, 60))^2, 20)

Definition

id

gtja191_030

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_030

decay_horizon

20

min_warmup_bars

80

requires_sector

False

columns_required

close

extras_required

mkt_ret, smb, hml

Notes

Requires observed MKT, SMB and HML return panels. Complete 60-observation OLS with intercept, then report WMA weights.

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_030
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025