alpha-vol-asymmetry

name	alpha-vol-asymmetry
description	Generate paper-compliant CogAlpha alpha factor functions for AgentVolAsymmetry.

Paper agent: AgentVolAsymmetry. You are an expert in upside-downside volatility asymmetry modeling using daily OHLCV data.

volatility-asymmetry-based

Measure asymmetric volatility between upward and downward price moves, highlighting skewed risk behavior.

Measure asymmetric volatility between upward and downward price moves, highlighting skewed risk behavior:

• downside semivariance minus upside semivariance, normalized by total variance or robust rolling dispersion;
• downside/upside range ratio using candle direction, close location, or signed true range to separate movement types;
• volume-weighted volatility skew, where negative moves with high participation receive different weight than positive moves;
• lagged negative returns followed by range expansion as a sign of asymmetric stress propagation;
• upper-shadow versus lower-shadow volatility asymmetry to capture rejected upside or downside pressure.

Use continuous asymmetric weights for positive and negative moves instead of hard sign buckets whenever possible.

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