Alpha Library  /  GTJA 191  /  gtja191_166

gtja191_166

Themes & universe

volatilityequity_cn1d

Formula

-20*(20-1)^1.5*SUM(CLOSE/DELAY(CLOSE,1)-1-MEAN(CLOSE/DELAY(CLOSE,1)-1,20),20)/((20-1)*(20-2)*(SUM((CLOSE/DELAY(CLOSE,1)-1)^2,20))^1.5)

Definition

id

gtja191_166

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_166

decay_horizon

20

min_warmup_bars

40

requires_sector

False

columns_required

close

Notes

Skewness-style; constants from report.

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_166
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025