Alpha Library  /  GTJA 191  /  gtja191_076

gtja191_076

Themes & universe

volatilityvolumeequity_cn1d

Formula

STD(ABS((CLOSE/DELAY(CLOSE,1)-1))/VOLUME,20)/MEAN(ABS((CLOSE/DELAY(CLOSE,1)-1))/VOLUME,20)

Definition

id

gtja191_076

zoo

gtja191

module_path

src.factors.zoo.gtja191.alpha_076

decay_horizon

20

min_warmup_bars

21

requires_sector

False

columns_required

close, volume

Notes

Coefficient-of-variation of |daily return|/volume over 20 days.

Run it

pip install vibe-trading-ai
vibe-trading alpha show gtja191_076
vibe-trading alpha bench --zoo gtja191 --universe csi300 --period 2020-2025