Alpha Library  /  GTJA 191  /  gtja191_016

gtja191_016

Themes & universe

volumemicrostructureequity_cn1d

Formula

(-1 * TSMAX(RANK(CORR(RANK(VOLUME), RANK(VWAP), 5)), 5))

Definition

id

gtja191_016

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_016

decay_horizon

5

min_warmup_bars

9

requires_sector

False

columns_required

volume, amount

Notes

Max over 5d of rank of rolling rank-volume vs rank-vwap correlation.

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_016
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025