Alpha Library  /  GTJA 191  /  gtja191_049

gtja191_049

Themes & universe

reversalequity_cn1d

Formula

SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(...,12)+SUM(...,12))

Definition

id

gtja191_049

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_049

decay_horizon

12

min_warmup_bars

13

requires_sector

False

columns_required

high, low

Notes

Down-side range as share of total range over 12 days.

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_049
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025