Alpha Library  /  GTJA 191  /  gtja191_048

gtja191_048

Themes & universe

volumemomentumequity_cn1d

Formula

-1*((RANK((SIGN((CLOSE-DELAY(CLOSE,1)))+SIGN((DELAY(CLOSE,1)-DELAY(CLOSE,2)))+SIGN((DELAY(CLOSE,2)-DELAY(CLOSE,3))))))*SUM(VOLUME,5))/SUM(VOLUME,20)

Definition

id

gtja191_048

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_048

decay_horizon

5

min_warmup_bars

20

requires_sector

False

columns_required

close, volume

Notes

Rank of 3d signed momentum sum times 5d/20d volume ratio, negated.

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_048
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025