def alpha50(df):
"""
Alpha#50
(-1 * ts_max(rank(correlation(rank(volume), rank(vwap), 5)), 5))
"""
return (-1 *
u.ts_max(u.rank(u.corr(u.rank(df.volume), u.rank(df.vwap), 5)), 5))
def alpha84(df):
"""
Alpha#84
SignedPower(Ts_Rank((vwap - ts_max(vwap, 15.3217)), 20.7127),
delta(close, 4.96796))
"""
return (u.ts_rank((df.vwap - u.ts_max(df.vwap, 15)),
21)**u.delta(df.close, 5))
def alpha26(df):
"""
Alpha#26
(-1 * ts_max(correlation(ts_rank(volume, 5), ts_rank(high, 5), 5), 3))
"""
return (
-1 *
u.ts_max(u.corr(u.ts_rank(df.volume, 5), u.ts_rank(df.high, 5), 5), 3))
def alpha55(df):
"""
Alpha#55
(-1 * correlation(rank(((close - ts_min(low, 12)) / (ts_max(high, 12)
- ts_min(low, 12)))), rank(volume), 6))
"""
temp1 = (df.close - u.ts_min(df.low, 12))
temp2 = (u.ts_max(df.high, 12) - u.ts_min(df.low, 12))
return (-1 * u.corr(u.rank((temp1 / temp2)), u.rank(df.volume), 6))
def alpha11(df):
"""
Alpha#11
((rank(ts_max((vwap - close), 3)) +
rank(ts_min((vwap - close), 3))) * rank(delta(volume, 3)))
"""
temp1 = u.rank(u.ts_max((df.vwap - df.close), 3))
temp2 = u.rank(u.ts_min((df.vwap - df.close), 3))
temp3 = u.rank(u.delta(df.volume, 3))
return temp1 + (temp2 * temp3)
def alpha9(df):
"""
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))))
"""
tempd1 = u.delta(df.close, 1)
tempmin = u.ts_min(tempd1, 5)
tempmax = u.ts_max(tempd1, 5)
return pd.Series(
np.where(tempmin > 0, tempd1,
np.where(tempmax < 0, tempd1, (-1 * tempd1))), df.index)
def alpha10(df):
"""
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)))))
"""
tempd1 = u.delta(df.close, 1)
tempmin = u.ts_min(tempd1, 4)
tempmax = u.ts_max(tempd1, 4)
return u.rank(
pd.Series(
np.where(tempmin > 0, tempd1,
np.where(tempmax < 0, tempd1, (-1 * tempd1))), df.index))