Alpha Library  /  GTJA 191  /  gtja191_181

gtja191_181

Themes & universe

volatilityequity_cn1d

Formula

SUM(((CLOSE/DELAY(CLOSE,1)-1)-MEAN(CLOSE/DELAY(CLOSE,1)-1,20))-(BENCH-MEAN(BENCH,20))^2,20)/SUM((BENCH-MEAN(BENCH,20))^3,20)

Definition

id

gtja191_181

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_181

decay_horizon

20

min_warmup_bars

40

requires_sector

False

columns_required

close

Notes

Benchmark falls back to cross-sectional mean of close.

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_181
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025