-
Notifications
You must be signed in to change notification settings - Fork 54
Alpha101
ChannelCMT edited this page Jun 4, 2019
·
1 revision
Alpha101因子，alpha60以后的因子在补充当中。register_funcs={'RankPct':RankPct}在部分公式供如若没有用到rank,可以自行编写修改。要调用该因子可以将add_data=False修改为add_data=True。
def RankPct(df):
return df.rank(axis=1, pct=True)alpha1=dv.add_formula('alpha1_C','RankPct(Ts_Argmax(SignedPower(If(Return(close,1)<0, StdDev(Return(close,1),20),close),2),5))',add_data=True, register_funcs={'RankPct':RankPct}) alpha2=dv.add_formula('alpha2_C','-1*Correlation(RankPct(Delta(Log(volume),2)),RankPct(((close-open)/open)),6)',add_data=True, register_funcs={'RankPct':RankPct})alpha3=dv.add_formula('alpha3_C','-1*Correlation(RankPct(open), Rank(volume),10)',add_data=True, register_funcs={'RankPct':RankPct})alpha4=dv.add_formula('alpha4_C','-1*Ts_Rank(RankPct(low),9)',add_data=True,register_funcs={'RankPct':RankPct})alpha5=dv.add_formula('alpha5_C','RankPct((open-(Ts_Sum(vwap_c,10)/10)))*(-1*Abs(RankPct(close-vwap_c)))',add_data=True,register_funcs={'RankPct':RankPct})alpha6=dv.add_formula('alpha6_C','-1*Correlation(open,volume,10)',add_data=True)alpha007: ((adv20 < volume) ? ((-1 * ts_rank(abs(delta(close, 7)), 60)) * sign(delta(close, 7))) : (-1* 1))
alpha7=dv.add_formula('alpha7_C','-1*If(Ts_Mean(volume,20)<volume, (-1*Ts_Rank(Abs(Delta(close,7)),60))*Sign(Delta(close,7)),-1)',add_data=True)alpha8: (-1 * rank(((sum(open, 5) * sum(returns, 5)) - delay((sum(open, 5) * sum(returns, 5)),10))))
alpha8 = dv.add_formula('alpha8_C','-1*RankPct(((Ts_Sum(open,5)*Ts_Sum(Return(close,1),5))-Delay((Ts_Sum(open,5)*Ts_Sum(Return(close,1),5)),10)))',add_data=True,register_funcs={'RankPct':RankPct})alpha009:((0 < ts_min(delta(close, 1), 5)) ? delta(close, 1) : ((ts_max(delta(close, 1), 5) < 0) ?delta(close, 1) : (-1 * delta(close, 1))))
alpha9 = dv.add_formula('alpha9_C','If(Ts_Min(Delta(close,1),5)>0,Delta(close,1),If((Ts_Max(Delta(close,1),5)<0),Delta(close,1),(-1*Delta(close,1))))',add_data=True)alpha010: 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)))))
alpha10 = dv.add_formula('alpha10_C','If(Ts_Min(Delta(close,1),4)>0,Delta(close,1),If((Ts_Max(Delta(close,1),4)<0),Delta(close,1),(-1*Delta(close,1))))',add_data=True)alpha11: ((rank(ts_max((vwap - close), 3)) + rank(ts_min((vwap - close), 3)))*rank(delta(volume, 3)))
alpha11 = dv.add_formula('alpha11_C','RankPct(Ts_Max((vwap_c-close),3))+RankPct(Ts_Min((vwap_c-close),3))*RankPct(Delta(volume,3))',add_data=True,register_funcs={'RankPct':RankPct})alpha12 = dv.add_formula('alpha12_C','Sign(Delta(volume,1)*(-1*Delta(close,1)))',add_data=True)alpha13 = dv.add_formula('alpha13_C','-1*RankPct(Covariance(RankPct(close),RankPct(volume),5))',add_data=True,register_funcs={'RankPct':RankPct})alpha14 = dv.add_formula('alpha14_C','-1*RankPct(Delta(Return(close,1),3)*Correlation(open, volume,10))',add_data=True,register_funcs={'RankPct':RankPct})alpha15 = dv.add_formula('alpha15_C','Ts_Sum(RankPct(Correlation(RankPct(high),RankPct(volume),3)),3)',add_data=True,register_funcs={'RankPct':RankPct})alpha16 = dv.add_formula('alpha16_C','-1*RankPct(Covariance(RankPct(high),RankPct(volume),5))',add_data=True,register_funcs={'RankPct':RankPct})alpha017: (((-1 * rank(ts_rank(close, 10))) * rank(delta(delta(close, 1), 1))) *rank(ts_rank((volume / adv20), 5)))
alpha17 = dv.add_formula('alpha16_C','-1*Rank(Covariance(RankPct(high),RankPct(volume),5))',add_data=False,register_funcs={'RankPct':RankPct})alpha018: (-1 * rank(((stddev(abs((close - open)), 5) + (close - open)) + correlation(close, open,10))))
alpha18 = dv.add_formula('alpha18_C','-1*RankPct(((StdDev(Abs(close-open),5)+(close-open))+Correlation(close,open,10)))',add_data=True,register_funcs={'RankPct':RankPct})alpha019:((-1 * sign(((close - delay(close, 7)) + delta(close, 7)))) * (1 + rank((1 + sum(returns,250)))))
alpha19 = dv.add_formula('alpha19_C','((-1*Sign(((close-Delay(close,7))+Delta(close,7))))*(1+RankPct((1+Ts_Sum(Return(close,1),250)))))',add_data=True,register_funcs={'RankPct':RankPct})alpha020: (((-1 * rank((open - delay(high, 1)))) * rank((open - delay(close, 1)))) * rank((open -delay(low, 1))))
alpha20 = dv.add_formula('alpha20_C','-1*RankPct((open-Delay(high,1)))*RankPct((open-Delay(close,1)))*RankPct((open-Delay(low,1)))',add_data=True,register_funcs={'RankPct':RankPct})alpha021: ((((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))))
alpha21 = dv.add_formula('alpha21_C','If(((Ts_Sum(close,8)/8)+StdDev(close,8))<(Ts_Sum(close,2)/2),-1,If(Ts_Sum(close,2)<(Ts_Sum(close,8)-StdDev(close,8)),1,If((volume/Ts_Mean(volume,20))>=1,1,-1)))',add_data=True,register_funcs={'RankPct':RankPct})alpha22 = dv.add_formula('alpha22_C','-1*(Delta(Correlation(high,volume,5),5)*RankPct(StdDev(close,20)))',add_data=True,register_funcs={'RankPct':RankPct})alpha23 = dv.add_formula('alpha23_C','If(Ts_Sum(high,20)/20<high,-1*Delta(high,2),0)',add_data=True,register_funcs={'RankPct':RankPct})alpha024: ((((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)))
alpha24 = dv.add_formula('alpha24_C','If(Delta(Ts_Sum(close,100)/100,100)/Delay(close,100)<=0.05,-1*(close-Ts_Min(close,100)),-1*Delta(close,3))',add_data=True,register_funcs={'RankPct':RankPct})alpha25 = dv.add_formula('alpha25_C','RankPct(-1*Return(close,1)*Ts_Mean(volume,20)*vwap_c*(high-close))',add_data=True,register_funcs={'RankPct':RankPct})alpha26 = dv.add_formula('alpha26_C','-1*Ts_Max(Correlation(Ts_Rank(volume,5),Ts_Rank(high,5),5),3)',add_data=True,register_funcs={'RankPct':RankPct})alpha27 = dv.add_formula('alpha27_C','If(RankPct((Ts_Sum(Correlation(RankPct(volume), RankPct(vwap_c),6),2)/2)),-1,1)',add_data=False,register_funcs={'RankPct':RankPct})def Scale(df,k=1):
return df.mul(k).div(np.abs(df).sum())
alpha28 = dv.add_formula('alpha28_C','Scale(Correlation(Ts_Mean(volume,20),low,5)+((high+low)/2)-close)',add_data=False,register_funcs={'Scale':Scale})alpha029: 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)
alpha29 = dv.add_formula('alpha29_C','Ts_Min(Ts_Product(RankPct(RankPct(Scale(Log(Ts_Sum(Ts_Min(RankPct(RankPct((-1*RankPct(Delta((close-1),5))))),2),1))))),1),5)+Ts_Rank(Delay((-1*Return(close,1)),6),5)',add_data=True,register_funcs={'RankPct':RankPct,'Scale':Scale})alpha030:(((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))
alpha30 = dv.add_formula('alpha30_C','(((1-RankPct(((Sign((close-Delay(close,1)))+Sign((Delay(close,1)-Delay(close,2))))+Sign((Delay(close,2)-Delay(close,3))))))*Ts_Sum(volume,5))/Ts_Sum(volume,20))',add_data=True, register_funcs={'RankPct':RankPct})alpha031:((rank(rank(rank(decay_linear((-1 * rank(rank(delta(close, 10)))), 10)))) + rank((-1 *delta(close, 3)))) + sign(scale(correlation(adv20, low, 12))))
alpha31 = dv.add_formula('alpha31_C','((RankPct(RankPct(RankPct(Decay_linear((-1*RankPct(RankPct(Delta(close,10)))),10))))+RankPct((-1*Delta(close,3))))+Sign(Scale(Correlation(Ts_Mean(volume,20),low,12))))',add_data=False, register_funcs={'RankPct':RankPct,'Scale':Scale})alpha32: (scale(((sum(close, 7) / 7) - close)) + (20 * scale(correlation(vwap, delay(close, 5),230))))
alpha32 = dv.add_formula('alpha32_C','Scale(((Ts_Sum(close,7)/7)-close))+(20*Scale(Correlation(vwap_c,Delay(close,5),230)))',add_data=False, register_funcs={'RankPct':RankPct,'Scale':Scale})alpha33 = dv.add_formula('alpha33_C','RankPct((-1*((1-(open/close))^1)))',add_data=False, register_funcs={'RankPct':RankPct})alpha034: rank(((1 - rank((stddev(returns, 2) / stddev(returns, 5)))) + (1 - rank(delta(close, 1)))))
alpha34 = dv.add_formula('alpha34_C','RankPct(((1-RankPct((StdDev(Return(close,1),2)/StdDev(Return(close,1),5))))+(1-RankPct(Delta(close,1)))))',add_data=False, register_funcs={'RankPct':RankPct})alpha035:((Ts_Rank(volume, 32) * (1 - Ts_Rank(((close + high) - low), 16))) * (1 -Ts_Rank(returns, 32)))
alpha35 = dv.add_formula('alpha35_C','((Ts_Rank(volume,32)*(1-Ts_Rank(((close+high)-low),16)))*(1-Ts_Rank(Return(close,1),32)))',add_data=False, register_funcs={'RankPct':RankPct})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)))))
alpha36 = dv.add_formula('alpha36_C',' (((((2.21*RankPct(Correlation((close - open), Delay(volume, 1), 15))) + (0.7*RankPct((open- close)))) + (0.73*RankPct(Ts_Rank(Delay((-1*Return(close,1)), 6), 5)))) + RankPct(Abs(Correlation(vwap_c,Ts_Mean(volume,20), 6)))) + (0.6*RankPct((((Ts_Sum(close, 200) / 200) - open)*(close - open)))))',add_data=False, register_funcs={'RankPct':RankPct})alpha37 = dv.add_formula('alpha37_C','(RankPct(Correlation(Delay((open - close), 1), close, 200)) + RankPct((open - close)))',add_data=False, register_funcs={'RankPct':RankPct})alpha38 = dv.add_formula('alpha38_C',' ((-1*RankPct(Ts_Rank(close, 10)))*RankPct((close / open)))',add_data=False, register_funcs={'RankPct':RankPct})alpha039:((-1 * rank((delta(close, 7) * (1 - rank(decay_linear((volume / adv20), 9)))))) * (1 +rank(sum(returns, 250))))
alpha39 = dv.add_formula('alpha39_C',' ((-1*RankPct((Delta(close, 7) *(1 - RankPct(Decay_linear((volume / Ts_Mean(volume,20)), 9)))))) * (1 +RankPct(Ts_Sum(Return(close,1), 250))))',add_data=False, register_funcs={'RankPct':RankPct})alpha40 = dv.add_formula('alpha40_C','((-1 * RankPct(StdDev(high, 10))) * Correlation(high, volume, 10))',add_data=False, register_funcs={'RankPct':RankPct})alpha41 = dv.add_formula('alpha41_C','(((high * low)^0.5) - vwap)',add_data=False)alpha42 = dv.add_formula('alpha42_C','(RankPct((vwap - close)) / RankPct((vwap + close)))',add_data=False, register_funcs={'RankPct':RankPct})alpha43 = dv.add_formula('alpha43_C',' (Ts_Rank((volume / Ts_Mean(volume,20)), 20)* Ts_Rank((-1*Delta(close, 7)), 8))',add_data=False, register_funcs={'RankPct':RankPct})alpha44 = dv.add_formula('alpha44_C','(-1 * Correlation(high, RankPct(volume), 5))',add_data=False, register_funcs={'RankPct':RankPct})alpha045: (-1 * ((rank((sum(delay(close, 5), 20) / 20)) * correlation(close, volume, 2)) *rank(correlation(sum(close, 5), sum(close, 20), 2))))
alpha45 = dv.add_formula('alpha45_C','(-1*((RankPct((Ts_Sum(Delay(close, 5), 20) / 20))*Correlation(close, volume, 2)) *RankPct(Correlation(Ts_Sum(close, 5), Ts_Sum(close, 20), 2))))',add_data=False, register_funcs={'RankPct':RankPct})alpha046: ((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)))))
alpha46 = dv.add_formula('alpha46_C','If(((Delay(close,20)-Delay(close,10))/10)-((Delay(close,10)-close)/10)>0.25,-1,If(((((Delay(close,20)-Delay(close,10))/10)-((Delay(close,10)-close)/10))<0),1,-1*(close-Delay(close,1))))',add_data=False)alpha47: ((((rank((1 / close)) * volume) / adv20) * ((high * rank((high - close))) / (sum(high, 5) /5))) - rank((vwap - delay(vwap, 5))))
alpha47 = dv.add_formula('alpha47_C','((((RankPct((1 / close))*volume)/Ts_Mean(volume,20))*((high*RankPct((high-close)))/(Ts_Sum(high, 5)/5)))-RankPct((vwap_c-Delay(vwap_c, 5))))',add_data=False, register_funcs={'RankPct':RankPct})alpha049:(((((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10)) < (-1 *0.1)) ? 1 : ((-1 * 1) * (close - delay(close, 1))))
alpha49 = dv.add_formula('alpha49_C','If(((Delay(close, 20) - Delay(close, 10))/10)-((Delay(close, 10) - close)/10)<-0.1, -1, (close-Delay(close, 1)))',add_data=False)alpha50 = dv.add_formula('alpha50_C','(-1 * Ts_Max(RankPct(Correlation(RankPct(volume), RankPct(vwap_c), 5)), 5))',add_data=False, register_funcs={'RankPct':RankPct})alpha051:(((((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10)) < (-1 *0.05)) ? 1 : ((-1 * 1) * (close - delay(close, 1))))
alpha51 = dv.add_formula('alpha51_C','If(((Delay(close, 20)-Delay(close, 10))/10)-((Delay(close, 10) - close)/10) < (-0.05), 1 ,-1*(close-Delay(close, 1)))',add_data=False, register_funcs={'RankPct':RankPct})alpha052: ((((-1 * ts_min(low, 5)) + delay(ts_min(low, 5), 5)) * rank(((sum(returns, 240) -sum(returns, 20)) / 220))) * ts_rank(volume, 5))
alpha52 = dv.add_formula('alpha52_C','((((-1*Ts_Min(low, 5)) + Delay(Ts_Min(low, 5), 5))*RankPct(((Ts_Sum(Return(close,1), 240) -Ts_Sum(Return(close,1), 20)) / 220))) * Ts_Rank(volume, 5))',add_data=False, register_funcs={'RankPct':RankPct})alpha53 = dv.add_formula('alpha53_C','(-1*Delta((((close-low)-(high-close))/(close-low+0.000001)),9))',add_data=False, register_funcs={'RankPct':RankPct})alpha54 = dv.add_formula('alpha54_C','((-1*((low-close)*(open^5)))/((low-high)*(close^5)))',add_data=False, register_funcs={'RankPct':RankPct})alpha055: (-1 * correlation(rank(((close - ts_min(low, 12)) / (ts_max(high, 12) - ts_min(low,12)))), rank(volume), 6))
alpha55 = dv.add_formula('alpha55_C','(-1*Correlation(RankPct(((close-Ts_Min(low, 12))/(Ts_Max(high, 12)-Ts_Min(low,12)))),RankPct(volume), 6))',add_data=False, register_funcs={'RankPct':RankPct})alpha57 = dv.add_formula('alpha57_C','(0-(1*((close-vwap_c)/Decay_linear(RankPct(Ts_Argmax(close, 30)), 2))))',add_data=False, register_funcs={'RankPct':RankPct})alpha60: (0 - (1 * ((2 * scale(rank(((((close - low) - (high - close)) / (high - low)) * volume))))-scale(rank(ts_argmax(close, 10))))))
alpha60 = dv.add_formula('alpha60_C','(0-(1*((2*Scale(RankPct(((((close - low) - (high - close)) / (high - low)) * volume))))-Scale(RankPct(Ts_Argmax(close, 10))))))',add_data=False, register_funcs={'RankPct':RankPct, 'Scale':Scale})-
python基础
-
python进阶
-
数据格式处理
-
数据计算与展示
-
因子横截面排序分析
-
信号时间序列分析
-
CTA策略类型
-
附录：因子算法