Alpha Library  /  GTJA 191  /  gtja191_190

gtja191_190

Themes & universe

momentumequity_cn1d

Formula

LOG((COUNT(CLOSE/DELAY(CLOSE,1)-1>(CLOSE/DELAY(CLOSE,19))^(1/20)-1,20) - 1) * SUMIF((CLOSE/DELAY(CLOSE,1)-1-(CLOSE/DELAY(CLOSE,19))^(1/20)-1)^2, ..., 20) / ((COUNT(...) ) * SUMIF(..., ..., 20)))

Definition

id

gtja191_190

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_190

decay_horizon

20

min_warmup_bars

39

requires_sector

False

columns_required

close

Notes

Complex log of ratio of conditional squared deviations.

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_190
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025