Giter VIP home page Giter VIP logo

alpha101's Introduction

alpha101计算

为了提高因子调用的速度，将因子计算分成两部分，

第一部分： 因子中间变量计算，提前将因子的中间变量计算完成，并且保存到数据库中

第二部分：因子计算时，直接将提取数据库中的因子中间变量，然后合成因子即可。

因子中间变量计算

如果可以直接计算出alpha因子值， 则直接计算。 如果无法直接计算， 则将可以计算的中间变量计算保存。

涉及代码: alpha101_tmp.py 核心部分：

  • 数据读取

从数据库中读取所需要的数据包括['close', 'open', 'high', 'low', 'pre_close', 'volume', 'money', 'trade_date', 'symbol'], 然后计算生成[ 'returns', 'vwap'], 这些是计算因子的基本数据。

  • 中间变量计算

读取完成之后, 按照股票分组，计算时间序列上的因子变量，然后保存到数据库中

因子合成

提取因子对应的中间变量，合成alpha101。

大部分alpaha101因子需要计算多只股票截面上的rank， 所以alpha101的因子合成需要提前指定侯选股票池， 然后再进行因子的合成计算。

涉及的代码：alpha101.py

因子简介

  • Alpha#1 (rank(Ts_ArgMax(SignedPower(((returns < 0) ? stddev(returns, 20) : close), 2.), 5)) -0.5)

  • Alpha#3 (-1 * correlation(rank(open), rank(volume), 10))

  • Alpha#4 (-1 * Ts_Rank(rank(low), 9))

  • Alpha#5 (rank((open - (sum(vwap, 10) / 10))) * (-1 * abs(rank((close - vwap)))))

  • Alpha#6 (-1 * correlation(open, volume, 10))

  • Alpha#7 ((adv20 < volume) ? ((-1 * ts_rank(abs(delta(close, 7)), 60)) * sign(delta(close, 7))) : (-1* 1))

  • Alpha#8 (-1 * rank(((sum(open, 5) * sum(returns, 5)) - delay((sum(open, 5) * sum(returns, 5)),10))))

  • Alpha#9 ((0 < ts_min(delta(close, 1), 5)) ? delta(close, 1) : ((ts_max(delta(close, 1), 5) < 0) ?delta(close, 1) : (-1 * delta(close, 1))))

  • Alpha#10 rank(((0 < ts_min(delta(close, 1), 4)) ? delta(close, 1) : ((ts_max(delta(close, 1), 4) < 0)? delta(close, 1) : (-1 * delta(close, 1)))))

  • Alpha#11 ((rank(ts_max((vwap - close), 3)) + rank(ts_min((vwap - close), 3))) *rank(delta(volume, 3)))

  • Alpha#12 (sign(delta(volume, 1)) * (-1 * delta(close, 1)))

  • Alpha#13 (-1 * rank(covariance(rank(close), rank(volume), 5)))

  • Alpha#14 ((-1 * rank(delta(returns, 3))) * correlation(open, volume, 10))

  • Alpha#15 (-1 * sum(rank(correlation(rank(high), rank(volume), 3)), 3))

  • Alpha#16 (-1 * rank(covariance(rank(high), rank(volume), 5)))

  • Alpha#17 (((-1 * rank(ts_rank(close, 10))) * rank(delta(delta(close, 1), 1))) *rank(ts_rank((volume / adv20), 5)))

  • Alpha#18 (-1 * rank(((stddev(abs((close - open)), 5) + (close - open)) + correlation(close, open,10))))

  • Alpha#19 ((-1 * sign(((close - delay(close, 7)) + delta(close, 7)))) * (1 + rank((1 + sum(returns,250)))))

  • Alpha#20 (((-1 * rank((open - delay(high, 1)))) * rank((open - delay(close, 1)))) * rank((open -delay(low, 1))))

  • Alpha#21 ((((sum(close, 8) / 8) + stddev(close, 8)) < (sum(close, 2) / 2)) ? (-1 * 1) : (((sum(close,2) / 2) < ((sum(close, 8) / 8) - stddev(close, 8))) ? 1 : (((1 < (volume / adv20)) || ((volume /adv20) == 1)) ? 1 : (-1 * 1))))

  • Alpha#22 (-1 * (delta(correlation(high, volume, 5), 5) * rank(stddev(close, 20))))

  • Alpha#23 (((sum(high, 20) / 20) < high) ? (-1 * delta(high, 2)) : 0)

  • Alpha#24 ((((delta((sum(close, 100) / 100), 100) / delay(close, 100)) < 0.05) ||((delta((sum(close, 100) / 100), 100) / delay(close, 100)) == 0.05)) ? (-1 * (close - ts_min(close,100))) : (-1 * delta(close, 3)))

  • Alpha#25 rank(((((-1 * returns) * adv20) * vwap) * (high - close)))

  • Alpha#26 (-1 * ts_max(correlation(ts_rank(volume, 5), ts_rank(high, 5), 5), 3))

  • Alpha#27 ((0.5 < rank((sum(correlation(rank(volume), rank(vwap), 6), 2) / 2.0))) ? (-1 * 1) : 1)

  • Alpha#28 scale(((correlation(adv20, low, 5) + ((high + low) / 2)) - close))

  • Alpha#29 (min(product(rank(rank(scale(log(sum(ts_min(rank(rank((-1 * rank(delta((close - 1),5))))), 2), 1))))), 1), 5) + ts_rank(delay((-1 * returns), 6), 5))

  • Alpha#30 (((1.0 - rank(((sign((close - delay(close, 1))) + sign((delay(close, 1) - delay(close, 2)))) +sign((delay(close, 2) - delay(close, 3)))))) * sum(volume, 5)) / sum(volume, 20))

  • Alpha#31 ((rank(rank(rank(decay_linear_pn((-1 * rank(rank(delta(close, 10)))), 10)))) + rank((-1 *delta(close, 3)))) + sign(scale(correlation(adv20, low, 12))))

  • Alpha#32 (scale(((sum(close, 7) / 7) - close)) + (20 * scale(correlation(vwap, delay(close, 5),230))))

  • Alpha#33 rank((-1 * ((1 - (open / close))^1)))

  • Alpha#34 rank(((1 - rank((stddev(returns, 2) / stddev(returns, 5)))) + (1 - rank(delta(close, 1)))))

  • Alpha#35 ((Ts_Rank(volume, 32) * (1 - Ts_Rank(((close + high) - low), 16))) * (1 -Ts_Rank(returns, 32)))

  • Alpha#36 (((((2.21 * rank(correlation((close - open), delay(volume, 1), 15))) + (0.7 * rank((open- close)))) + (0.73 * rank(Ts_Rank(delay((-1 * returns), 6), 5)))) + rank(abs(correlation(vwap,adv20, 6)))) + (0.6 * rank((((sum(close, 200) / 200) - open) * (close - open)))))

  • Alpha#37 (rank(correlation(delay((open - close), 1), close, 200)) + rank((open - close)))

  • Alpha#38 ((-1 * rank(Ts_Rank(close, 10))) * rank((close / open)))

  • Alpha#39 ((-1 * rank((delta(close, 7) * (1 - rank(decay_linear_pn((volume / adv20), 9)))))) * (1 +rank(sum(returns, 250))))

  • Alpha#40 ((-1 * rank(stddev(high, 10))) * correlation(high, volume, 10))

  • Alpha#41 (((high * low)^0.5) - vwap)

  • Alpha#42 (rank((vwap - close)) / rank((vwap + close)))

  • Alpha#43 (ts_rank((volume / adv20), 20) * ts_rank((-1 * delta(close, 7)), 8))

  • Alpha#44 (-1 * correlation(high, rank(volume), 5))

  • Alpha#45 (-1 * ((rank((sum(delay(close, 5), 20) / 20)) * correlation(close, volume, 2)) *rank(correlation(sum(close, 5), sum(close, 20), 2))))

  • Alpha#46 ((0.25 < (((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10))) ?(-1 * 1) : (((((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10)) < 0) ? 1 :((-1 * 1) * (close - delay(close, 1)))))

  • Alpha#47 ((((rank((1 / close)) * volume) / adv20) * ((high * rank((high - close))) / (sum(high, 5) /5))) - rank((vwap - delay(vwap, 5))))

  • Alpha#48 (indneutralize(((correlation(delta(close, 1), delta(delay(close, 1), 1), 250) *delta(close, 1)) / close), IndClass.subindustry) / sum(((delta(close, 1) / delay(close, 1))^2), 250))

  • 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#49 (((((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10)) < (-1 *0.1)) ? 1 : ((-1 * 1) * (close - delay(close, 1))))

  • Alpha#50 (-1 * ts_max(rank(correlation(rank(volume), rank(vwap), 5)), 5))

  • Alpha#51 (((((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10)) < (-1 *0.05)) ? 1 : ((-1 * 1) * (close - delay(close, 1))))

  • Alpha#52 ((((-1 * ts_min(low, 5)) + delay(ts_min(low, 5), 5)) * rank(((sum(returns, 240) -sum(returns, 20)) / 220))) * ts_rank(volume, 5))

  • Alpha#53 (-1 * delta((((close - low) - (high - close)) / (close - low)), 9))

  • Alpha#54 ((-1 * ((low - close) * (open^5))) / ((low - high) * (close^5)))

  • Alpha#55 (-1 * correlation(rank(((close - ts_min(low, 12)) / (ts_max(high, 12) - ts_min(low,12)))), rank(volume), 6))

  • Alpha#56 (0 - (1 * (rank((sum(returns, 10) / sum(sum(returns, 2), 3))) * rank((returns * cap)))))

  • 本Alpha使用了cap|市值，暂未取到该值

  • Alpha#58 (-1 * Ts_Rank(decay_linear_pn(correlation(IndNeutralize(vwap, IndClass.sector), volume,3.92795), 7.89291), 5.50322))

  • 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#59 (-1 * Ts_Rank(decay_linear_pn(correlation(IndNeutralize(((vwap * 0.728317) + (vwap *(1 - 0.728317))), IndClass.industry), volume, 4.25197), 16.2289), 8.19648))

  • 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#60 (0 - (1 * ((2 * scale(rank(((((close - low) - (high - close)) / (high - low)) * volume)))) -scale(rank(ts_argmax(close, 10))))))

  • Alpha#61 (rank((vwap - ts_min(vwap, 16.1219))) < rank(correlation(vwap, adv180, 17.9282)))

  • Alpha#62 ((rank(correlation(vwap, sum(adv20, 22.4101), 9.91009)) < rank(((rank(open) +rank(open)) < (rank(((high + low) / 2)) + rank(high))))) * -1)

  • Alpha#63 ((rank(decay_linear_pn(delta(IndNeutralize(close, IndClass.industry), 2.25164), 8.22237))- rank(decay_linear_pn(correlation(((vwap * 0.318108) + (open * (1 - 0.318108))), sum(adv180,37.2467), 13.557), 12.2883))) * -1)

  • 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#64 ((rank(correlation(sum(((open * 0.178404) + (low * (1 - 0.178404))), 12.7054),sum(adv120, 12.7054), 16.6208)) < rank(delta(((((high + low) / 2) * 0.178404) + (vwap * (1 -0.178404))), 3.69741))) * -1)

  • Alpha#65 ((rank(correlation(((open * 0.00817205) + (vwap * (1 - 0.00817205))), sum(adv60,8.6911), 6.40374)) < rank((open - ts_min(open, 13.635)))) * -1)

  • Alpha#66 ((rank(decay_linear_pn(delta(vwap, 3.51013), 7.23052)) + Ts_Rank(decay_linear_pn(((((low* 0.96633) + (low * (1 - 0.96633))) - vwap) / (open - ((high + low) / 2))), 11.4157), 6.72611)) * -1)

  • Alpha#67 ((rank((high - ts_min(high, 2.14593)))^rank(correlation(IndNeutralize(vwap,IndClass.sector), IndNeutralize(adv20, IndClass.subindustry), 6.02936))) * -1)

  • 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#68 ((Ts_Rank(correlation(rank(high), rank(adv15), 8.91644), 13.9333) <rank(delta(((close * 0.518371) + (low * (1 - 0.518371))), 1.06157))) * -1) 可能存在问题，我自己的数据测试了很多次值全为0，可能需要调整9,14这些参数？

  • Alpha#69 ((rank(ts_max(delta(IndNeutralize(vwap, IndClass.industry), 2.72412),4.79344))^Ts_Rank(correlation(((close * 0.490655) + (vwap * (1 - 0.490655))), adv20, 4.92416),9.0615)) * -1)

  • 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#70 ((rank(delta(vwap, 1.29456))^Ts_Rank(correlation(IndNeutralize(close,IndClass.industry), adv50, 17.8256), 17.9171)) * -1)

  • 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#71 max(Ts_Rank(decay_linear_pn(correlation(Ts_Rank(close, 3.43976), Ts_Rank(adv180,12.0647), 18.0175), 4.20501), 15.6948), Ts_Rank(decay_linear_pn((rank(((low + open) - (vwap +vwap)))^2), 16.4662), 4.4388))

  • Alpha#72 (rank(decay_linear_pn(correlation(((high + low) / 2), adv40, 8.93345), 10.1519)) /rank(decay_linear_pn(correlation(Ts_Rank(vwap, 3.72469), Ts_Rank(volume, 18.5188), 6.86671),2.95011)))

  • Alpha#73 (max(rank(decay_linear_pn(delta(vwap, 4.72775), 2.91864)),Ts_Rank(decay_linear_pn(((delta(((open * 0.147155) + (low * (1 - 0.147155))), 2.03608) / ((open *0.147155) + (low * (1 - 0.147155)))) * -1), 3.33829), 16.7411)) * -1)

  • Alpha#74 ((rank(correlation(close, sum(adv30, 37.4843), 15.1365)) <rank(correlation(rank(((high * 0.0261661) + (vwap * (1 - 0.0261661)))), rank(volume), 11.4791)))* -1)

  • Alpha#75 (rank(correlation(vwap, volume, 4.24304)) < rank(，(rank(low), rank(adv50),12.4413)))

  • Alpha#76 (max(rank(decay_linear_pn(delta(vwap, 1.24383), 11.8259)),Ts_Rank(decay_linear_pn(Ts_Rank(correlation(IndNeutralize(low, IndClass.sector), adv81,8.14941), 19.569), 17.1543), 19.383)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#77 min(rank(decay_linear_pn(((((high + low) / 2) + high) - (vwap + high)), 20.0451)),rank(decay_linear_pn(correlation(((high + low) / 2), adv40, 3.1614), 5.64125)))

  • Alpha#78 (rank(correlation(sum(((low * 0.352233) + (vwap * (1 - 0.352233))), 19.7428),sum(adv40, 19.7428), 6.83313))^rank(correlation(rank(vwap), rank(volume), 5.77492)))

  • Alpha#79 (rank(delta(IndNeutralize(((close * 0.60733) + (open * (1 - 0.60733))),IndClass.sector), 1.23438)) < rank(correlation(Ts_Rank(vwap, 3.60973), Ts_Rank(adv150,9.18637), 14.6644))) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#80 ((rank(Sign(delta(IndNeutralize(((open * 0.868128) + (high * (1 - 0.868128))),IndClass.industry), 4.04545)))^Ts_Rank(correlation(high, adv10, 5.11456), 5.53756)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#81 ((rank(Log(product(rank((rank(correlation(vwap, sum(adv10, 49.6054),8.47743))^4)), 14.9655))) < rank(correlation(rank(vwap), rank(volume), 5.07914))) * -1)

  • Alpha#82 (min(rank(decay_linear_pn(delta(open, 1.46063), 14.8717)),Ts_Rank(decay_linear_pn(correlation(IndNeutralize(volume, IndClass.sector), ((open * 0.634196) +(open * (1 - 0.634196))), 17.4842), 6.92131), 13.4283)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#83 ((rank(delay(((high - low) / (sum(close, 5) / 5)), 2)) * rank(rank(volume))) / (((high -low) / (sum(close, 5) / 5)) / (vwap - close)))

  • Alpha#84 SignedPower(Ts_Rank((vwap - ts_max(vwap, 15.3217)), 20.7127), delta(close,4.96796))

  • Alpha#85 (rank(correlation(((high * 0.876703) + (close * (1 - 0.876703))), adv30,9.61331))^rank(correlation(Ts_Rank(((high + low) / 2), 3.70596), Ts_Rank(volume, 10.1595),7.11408)))

  • Alpha#86 ((Ts_Rank(correlation(close, sum(adv20, 14.7444), 6.00049), 20.4195) < rank(((open+ close) - (vwap + open)))) * -1) 可能存在问题，我自己的数据测试了很多次值全为0，可能需要调整15，,6,20这些参数？

  • Alpha#87 (max(rank(decay_linear_pn(delta(((close * 0.369701) + (vwap * (1 - 0.369701))),1.91233), 2.65461)), Ts_Rank(decay_linear_pn(abs(correlation(IndNeutralize(adv81,IndClass.industry), close, 13.4132)), 4.89768), 14.4535)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#88 min(rank(decay_linear_pn(((rank(open) + rank(low)) - (rank(high) + rank(close))),8.06882)), Ts_Rank(decay_linear_pn(correlation(Ts_Rank(close, 8.44728), Ts_Rank(adv60,20.6966), 8.01266), 6.65053), 2.61957))

  • Alpha#89 (Ts_Rank(decay_linear_pn(correlation(((low * 0.967285) + (low * (1 - 0.967285))), adv10,6.94279), 5.51607), 3.79744) - Ts_Rank(decay_linear_pn(delta(IndNeutralize(vwap,IndClass.industry), 3.48158), 10.1466), 15.3012)) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#90 ((rank((close - ts_max(close, 4.66719)))^Ts_Rank(correlation(IndNeutralize(adv40,IndClass.subindustry), low, 5.38375), 3.21856)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#91 ((Ts_Rank(decay_linear_pn(decay_linear_pn(correlation(IndNeutralize(close,IndClass.industry), volume, 9.74928), 16.398), 3.83219), 4.8667) -rank(decay_linear_pn(correlation(vwap, adv30, 4.01303), 2.6809))) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#92 min(Ts_Rank(decay_linear_pn(((((high + low) / 2) + close) < (low + open)), 14.7221),18.8683), Ts_Rank(decay_linear_pn(correlation(rank(low), rank(adv30), 7.58555), 6.94024),6.80584))

  • Alpha#93 (Ts_Rank(decay_linear_pn(correlation(IndNeutralize(vwap, IndClass.industry), adv81,17.4193), 19.848), 7.54455) / rank(decay_linear_pn(delta(((close * 0.524434) + (vwap * (1 -0.524434))), 2.77377), 16.2664))) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#94 ((rank((vwap - ts_min(vwap, 11.5783)))^Ts_Rank(correlation(Ts_Rank(vwap,19.6462), Ts_Rank(adv60, 4.02992), 18.0926), 2.70756)) * -1)

  • Alpha#95 (rank((open - ts_min(open, 12.4105))) < Ts_Rank((rank(correlation(sum(((high + low)/ 2), 19.1351), sum(adv40, 19.1351), 12.8742))^5), 11.7584))

  • Alpha#96 (max(Ts_Rank(decay_linear_pn(correlation(rank(vwap), rank(volume), 3.83878),4.16783), 8.38151), Ts_Rank(decay_linear_pn(Ts_ArgMax(correlation(Ts_Rank(close, 7.45404),Ts_Rank(adv60, 4.13242), 3.65459), 12.6556), 14.0365), 13.4143)) * -1)

  • Alpha#97 ((rank(decay_linear_pn(delta(IndNeutralize(((low * 0.721001) + (vwap * (1 - 0.721001))),IndClass.industry), 3.3705), 20.4523)) - Ts_Rank(decay_linear_pn(Ts_Rank(correlation(Ts_Rank(low,7.87871), Ts_Rank(adv60, 17.255), 4.97547), 18.5925), 15.7152), 6.71659)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#98 (rank(decay_linear_pn(correlation(vwap, sum(adv5, 26.4719), 4.58418), 7.18088)) -rank(decay_linear_pn(Ts_Rank(Ts_ArgMin(correlation(rank(open), rank(adv15), 20.8187), 8.62571),6.95668), 8.07206)))

  • Alpha#99 ((rank(correlation(sum(((high + low) / 2), 19.8975), sum(adv60, 19.8975), 8.8136)) <rank(correlation(low, volume, 6.28259))) * -1)

  • Alpha#100 (0 - (1 * (((1.5 * scale(indneutralize(indneutralize(rank(((((close - low) - (high -close)) / (high - low)) * volume)), IndClass.subindustry), IndClass.subindustry))) -scale(indneutralize((correlation(close, rank(adv20), 5) - rank(ts_argmin(close, 30))),IndClass.subindustry))) * (volume / adv20)))) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#101 ((close - open) / ((high - low) + .001))

  • Alpha#45 (-1 * ((rank((sum(delay(close, 5), 20) / 20)) * correlation(close, volume, 2)) *rank(correlation(sum(close, 5), sum(close, 20), 2))))

  • Alpha#46 ((0.25 < (((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10))) ?(-1 * 1) : (((((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10)) < 0) ? 1 :((-1 * 1) * (close - delay(close, 1)))))

  • Alpha#47 ((((rank((1 / close)) * volume) / adv20) * ((high * rank((high - close))) / (sum(high, 5) /5))) - rank((vwap - delay(vwap, 5))))

  • Alpha#48 (indneutralize(((correlation(delta(close, 1), delta(delay(close, 1), 1), 250) *delta(close, 1)) / close), IndClass.subindustry) / sum(((delta(close, 1) / delay(close, 1))^2), 250)) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#49 (((((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10)) < (-1 *0.1)) ? 1 : ((-1 * 1) * (close - delay(close, 1))))

  • Alpha#50 (-1 * ts_max(rank(correlation(rank(volume), rank(vwap), 5)), 5))

  • Alpha#51 (((((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10)) < (-1 *0.05)) ? 1 : ((-1 * 1) * (close - delay(close, 1))))

  • Alpha#52 ((((-1 * ts_min(low, 5)) + delay(ts_min(low, 5), 5)) * rank(((sum(returns, 240) -sum(returns, 20)) / 220))) * ts_rank(volume, 5))

  • Alpha#53 (-1 * delta((((close - low) - (high - close)) / (close - low)), 9))

  • Alpha#54 ((-1 * ((low - close) * (open^5))) / ((low - high) * (close^5)))

  • Alpha#55 (-1 * correlation(rank(((close - ts_min(low, 12)) / (ts_max(high, 12) - ts_min(low,12)))), rank(volume), 6))

  • Alpha#56 (0 - (1 * (rank((sum(returns, 10) / sum(sum(returns, 2), 3))) * rank((returns * cap))))) 本Alpha使用了cap|市值，暂未取到该值

  • Alpha#58 (-1 * Ts_Rank(decay_linear_pn(correlation(IndNeutralize(vwap, IndClass.sector), volume,3.92795), 7.89291), 5.50322)) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#59 (-1 * Ts_Rank(decay_linear_pn(correlation(IndNeutralize(((vwap * 0.728317) + (vwap *(1 - 0.728317))), IndClass.industry), volume, 4.25197), 16.2289), 8.19648)) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#60 (0 - (1 * ((2 * scale(rank(((((close - low) - (high - close)) / (high - low)) * volume)))) -scale(rank(ts_argmax(close, 10))))))

  • Alpha#61 (rank((vwap - ts_min(vwap, 16.1219))) < rank(correlation(vwap, adv180, 17.9282)))

  • Alpha#62 ((rank(correlation(vwap, sum(adv20, 22.4101), 9.91009)) < rank(((rank(open) +rank(open)) < (rank(((high + low) / 2)) + rank(high))))) * -1)

  • Alpha#63 ((rank(decay_linear_pn(delta(IndNeutralize(close, IndClass.industry), 2.25164), 8.22237))- rank(decay_linear_pn(correlation(((vwap * 0.318108) + (open * (1 - 0.318108))), sum(adv180,37.2467), 13.557), 12.2883))) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#64 ((rank(correlation(sum(((open * 0.178404) + (low * (1 - 0.178404))), 12.7054),sum(adv120, 12.7054), 16.6208)) < rank(delta(((((high + low) / 2) * 0.178404) + (vwap * (1 -0.178404))), 3.69741))) * -1)

  • Alpha#65 ((rank(correlation(((open * 0.00817205) + (vwap * (1 - 0.00817205))), sum(adv60,8.6911), 6.40374)) < rank((open - ts_min(open, 13.635)))) * -1)

  • Alpha#66 ((rank(decay_linear_pn(delta(vwap, 3.51013), 7.23052)) + Ts_Rank(decay_linear_pn(((((low* 0.96633) + (low * (1 - 0.96633))) - vwap) / (open - ((high + low) / 2))), 11.4157), 6.72611)) * -1)

  • Alpha#67 ((rank((high - ts_min(high, 2.14593)))^rank(correlation(IndNeutralize(vwap,IndClass.sector), IndNeutralize(adv20, IndClass.subindustry), 6.02936))) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#68 ((Ts_Rank(correlation(rank(high), rank(adv15), 8.91644), 13.9333) <rank(delta(((close * 0.518371) + (low * (1 - 0.518371))), 1.06157))) * -1) 可能存在问题，我自己的数据测试了很多次值全为0，可能需要调整9,14这些参数？

  • Alpha#69 ((rank(ts_max(delta(IndNeutralize(vwap, IndClass.industry), 2.72412),4.79344))^Ts_Rank(correlation(((close * 0.490655) + (vwap * (1 - 0.490655))), adv20, 4.92416),9.0615)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#70 ((rank(delta(vwap, 1.29456))^Ts_Rank(correlation(IndNeutralize(close,IndClass.industry), adv50, 17.8256), 17.9171)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#71 max(Ts_Rank(decay_linear_pn(correlation(Ts_Rank(close, 3.43976), Ts_Rank(adv180,12.0647), 18.0175), 4.20501), 15.6948), Ts_Rank(decay_linear_pn((rank(((low + open) - (vwap +vwap)))^2), 16.4662), 4.4388))

  • Alpha#72 (rank(decay_linear_pn(correlation(((high + low) / 2), adv40, 8.93345), 10.1519)) /rank(decay_linear_pn(correlation(Ts_Rank(vwap, 3.72469), Ts_Rank(volume, 18.5188), 6.86671),2.95011)))

  • Alpha#73 (max(rank(decay_linear_pn(delta(vwap, 4.72775), 2.91864)),Ts_Rank(decay_linear_pn(((delta(((open * 0.147155) + (low * (1 - 0.147155))), 2.03608) / ((open *0.147155) + (low * (1 - 0.147155)))) * -1), 3.33829), 16.7411)) * -1)

  • Alpha#74 ((rank(correlation(close, sum(adv30, 37.4843), 15.1365)) <rank(correlation(rank(((high * 0.0261661) + (vwap * (1 - 0.0261661)))), rank(volume), 11.4791)))* -1)

  • Alpha#75 (rank(correlation(vwap, volume, 4.24304)) < rank(，(rank(low), rank(adv50),12.4413)))

  • Alpha#76 (max(rank(decay_linear_pn(delta(vwap, 1.24383), 11.8259)),Ts_Rank(decay_linear_pn(Ts_Rank(correlation(IndNeutralize(low, IndClass.sector), adv81,8.14941), 19.569), 17.1543), 19.383)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#77 min(rank(decay_linear_pn(((((high + low) / 2) + high) - (vwap + high)), 20.0451)),rank(decay_linear_pn(correlation(((high + low) / 2), adv40, 3.1614), 5.64125)))

  • Alpha#78 (rank(correlation(sum(((low * 0.352233) + (vwap * (1 - 0.352233))), 19.7428),sum(adv40, 19.7428), 6.83313))^rank(correlation(rank(vwap), rank(volume), 5.77492)))

  • Alpha#79 (rank(delta(IndNeutralize(((close * 0.60733) + (open * (1 - 0.60733))),IndClass.sector), 1.23438)) < rank(correlation(Ts_Rank(vwap, 3.60973), Ts_Rank(adv150,9.18637), 14.6644))) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#80 ((rank(Sign(delta(IndNeutralize(((open * 0.868128) + (high * (1 - 0.868128))),IndClass.industry), 4.04545)))^Ts_Rank(correlation(high, adv10, 5.11456), 5.53756)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#81 ((rank(Log(product(rank((rank(correlation(vwap, sum(adv10, 49.6054),8.47743))^4)), 14.9655))) < rank(correlation(rank(vwap), rank(volume), 5.07914))) * -1)

  • Alpha#82 (min(rank(decay_linear_pn(delta(open, 1.46063), 14.8717)),Ts_Rank(decay_linear_pn(correlation(IndNeutralize(volume, IndClass.sector), ((open * 0.634196) +(open * (1 - 0.634196))), 17.4842), 6.92131), 13.4283)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#83 ((rank(delay(((high - low) / (sum(close, 5) / 5)), 2)) * rank(rank(volume))) / (((high -low) / (sum(close, 5) / 5)) / (vwap - close)))

  • Alpha#84 SignedPower(Ts_Rank((vwap - ts_max(vwap, 15.3217)), 20.7127), delta(close,4.96796))

  • Alpha#85 (rank(correlation(((high * 0.876703) + (close * (1 - 0.876703))), adv30,9.61331))^rank(correlation(Ts_Rank(((high + low) / 2), 3.70596), Ts_Rank(volume, 10.1595),7.11408)))

  • Alpha#86 ((Ts_Rank(correlation(close, sum(adv20, 14.7444), 6.00049), 20.4195) < rank(((open+ close) - (vwap + open)))) * -1) 可能存在问题，我自己的数据测试了很多次值全为0，可能需要调整15，,6,20这些参数？

  • Alpha#87 (max(rank(decay_linear_pn(delta(((close * 0.369701) + (vwap * (1 - 0.369701))),1.91233), 2.65461)), Ts_Rank(decay_linear_pn(abs(correlation(IndNeutralize(adv81,IndClass.industry), close, 13.4132)), 4.89768), 14.4535)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#88 min(rank(decay_linear_pn(((rank(open) + rank(low)) - (rank(high) + rank(close))),8.06882)), Ts_Rank(decay_linear_pn(correlation(Ts_Rank(close, 8.44728), Ts_Rank(adv60,20.6966), 8.01266), 6.65053), 2.61957))

  • Alpha#89 (Ts_Rank(decay_linear_pn(correlation(((low * 0.967285) + (low * (1 - 0.967285))), adv10,6.94279), 5.51607), 3.79744) - Ts_Rank(decay_linear_pn(delta(IndNeutralize(vwap,IndClass.industry), 3.48158), 10.1466), 15.3012)) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#90 ((rank((close - ts_max(close, 4.66719)))^Ts_Rank(correlation(IndNeutralize(adv40,IndClass.subindustry), low, 5.38375), 3.21856)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#91 ((Ts_Rank(decay_linear_pn(decay_linear_pn(correlation(IndNeutralize(close,IndClass.industry), volume, 9.74928), 16.398), 3.83219), 4.8667) -rank(decay_linear_pn(correlation(vwap, adv30, 4.01303), 2.6809))) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#92 min(Ts_Rank(decay_linear_pn(((((high + low) / 2) + close) < (low + open)), 14.7221),18.8683), Ts_Rank(decay_linear_pn(correlation(rank(low), rank(adv30), 7.58555), 6.94024),6.80584))

  • Alpha#93 (Ts_Rank(decay_linear_pn(correlation(IndNeutralize(vwap, IndClass.industry), adv81,17.4193), 19.848), 7.54455) / rank(decay_linear_pn(delta(((close * 0.524434) + (vwap * (1 -0.524434))), 2.77377), 16.2664))) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#94 ((rank((vwap - ts_min(vwap, 11.5783)))^Ts_Rank(correlation(Ts_Rank(vwap,19.6462), Ts_Rank(adv60, 4.02992), 18.0926), 2.70756)) * -1)

  • Alpha#95 (rank((open - ts_min(open, 12.4105))) < Ts_Rank((rank(correlation(sum(((high + low)/ 2), 19.1351), sum(adv40, 19.1351), 12.8742))^5), 11.7584))

  • Alpha#96 (max(Ts_Rank(decay_linear_pn(correlation(rank(vwap), rank(volume), 3.83878),4.16783), 8.38151), Ts_Rank(decay_linear_pn(Ts_ArgMax(correlation(Ts_Rank(close, 7.45404),Ts_Rank(adv60, 4.13242), 3.65459), 12.6556), 14.0365), 13.4143)) * -1)

  • Alpha#97 ((rank(decay_linear_pn(delta(IndNeutralize(((low * 0.721001) + (vwap * (1 - 0.721001))),IndClass.industry), 3.3705), 20.4523)) - Ts_Rank(decay_linear_pn(Ts_Rank(correlation(Ts_Rank(low,7.87871), Ts_Rank(adv60, 17.255), 4.97547), 18.5925), 15.7152), 6.71659)) * -1) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#98 (rank(decay_linear_pn(correlation(vwap, sum(adv5, 26.4719), 4.58418), 7.18088)) -rank(decay_linear_pn(Ts_Rank(Ts_ArgMin(correlation(rank(open), rank(adv15), 20.8187), 8.62571),6.95668), 8.07206)))

  • Alpha#99 ((rank(correlation(sum(((high + low) / 2), 19.8975), sum(adv60, 19.8975), 8.8136)) <rank(correlation(low, volume, 6.28259))) * -1)

  • Alpha#100 (0 - (1 * (((1.5 * scale(indneutralize(indneutralize(rank(((((close - low) - (high -close)) / (high - low)) * volume)), IndClass.subindustry), IndClass.subindustry))) -scale(indneutralize((correlation(close, rank(adv20), 5) - rank(ts_argmin(close, 30))),IndClass.subindustry))) * (volume / adv20)))) 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha

  • Alpha#101 ((close - open) / ((high - low) + .001))

alpha101's People

Contributors

decode-cell avatar sthsf avatar

Stargazers

avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar

Watchers

avatar avatar avatar avatar avatar avatar avatar

Forkers

chaohong123 huning2009 skyformat99 keviswang regul777 ray-gith falconerchen jafferatgz dkl0707 xunfeng191 zhangzy817 logtest junone wyfhhh mrhat365 tianjixuetu veralyu rqym jsyzc2019 virtualpeer the5fire moln-hack fiteon u20024804

alpha101's Issues

Example of use

Is there any example on how to use this alpha101 implementation?

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    🖖 Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo D3

    Bring data to life with SVG, Canvas and HTML. 📊📈🎉

Recommend Topics

  • javascript

    JavaScript (JS) is a lightweight interpreted programming language with first-class functions.

  • web

    Some thing interesting about web. New door for the world.

  • server

    A server is a program made to process requests and deliver data to clients.

  • Machine learning

    Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google ❤️ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.