Alpha Library  /  GTJA 191  /  gtja191_041

gtja191_041

Themes & universe

microstructureequity_cn1d

Formula

(RANK(MAX(DELTA(VWAP,3),5))*-1)

Definition

id

gtja191_041

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_041

decay_horizon

5

min_warmup_bars

8

requires_sector

False

columns_required

volume, amount

Notes

5d max of 3d delta(vwap), ranked, negated.

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_041
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025