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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))

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101 alpha factors calculate based on Alpha101

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