def alpha43(df):
"""
Alpha#43
(ts_rank((volume / adv20), 20) * ts_rank((-1 * delta(close, 7)), 8))
"""
return (u.ts_rank((df.volume / u.adv(df, 20)), 20) * u.ts_rank(
(-1 * u.delta(df.close, 7)), 8))
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 alpha35(df):
"""
Alpha#35
((Ts_Rank(volume, 32) * (1 - Ts_Rank(((close + high) - low), 16))) *
(1 - Ts_Rank(returns, 32)))
"""
return ((u.ts_rank(df.volume, 32) * (1 - u.ts_rank(((df.close + df.high) - df.low), 16))) \
* (1 - u.ts_rank(df.returns, 32)))
def alpha17(df):
"""
Alpha#17
(((-1 * rank(ts_rank(close, 10))) * rank(delta(delta(close, 1), 1))) *
rank(ts_rank((volume / adv20), 5)))
"""
temp1 = (-1 * u.rank(u.ts_rank(df.close, 10)))
temp2 = u.rank(u.delta(u.delta(df.close, 1), 1))
temp3 = u.rank(u.ts_rank((df.volume / u.adv(df, 20)), 5))
return ((temp1 * temp2) * temp3)
def alpha94(df):
"""
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)
"""
temp1 = u.rank((df.vwap - u.ts_min(df.vwap, 12)))
temp2 = u.ts_rank(
u.corr(u.ts_rank(df.vwap, 20), u.ts_rank(u.adv(df, 60), 4), 18), 3)
return ((temp1**temp2) * -1)
def alpha71(df):
"""
Alpha#71
max(Ts_Rank(decay_linear(correlation(Ts_Rank(close, 3.43976),
Ts_Rank(adv180, 12.0647), 18.0175), 4.20501), 15.6948), Ts_Rank(decay_linear((rank(((low + open)
- (vwap + vwap)))^2), 16.4662), 4.4388))
"""
temp1 = u.corr(u.ts_rank(df.close, 3), u.ts_rank(u.adv(df, 180), 12), 18)
temp2 = u.ts_rank(
u.decay_linear((u.rank(((df.low + df.open) - (df.vwap + df.vwap)))**2),
16.4662), 4)
return pd.Series(np.where(temp1 > temp2, temp1, temp2), df.index)
def alpha96(df):
"""
Alpha#96
(max(Ts_Rank(decay_linear(correlation(rank(vwap), rank(volume), 3.83878),
4.16783), 8.38151), Ts_Rank(decay_linear(Ts_ArgMax(correlation(Ts_Rank(close, 7.45404),
Ts_Rank(adv60, 4.13242), 3.65459), 12.6556), 14.0365), 13.4143)) * -1)
"""
temp1 = u.ts_rank(
u.decay_linear(u.corr(u.rank(df.vwap), u.rank(df.volume), 4), 4.16783),
8)
temp2 = u.corr(u.ts_rank(df.close, 7), u.ts_rank(u.adv(df, 60), 4), 4)
temp3 = u.ts_rank(u.decay_linear(u.ts_argmax(temp2, 13), 14.0365), 13)
return pd.Series(np.where(temp1 > temp3, temp1, temp3), index=df.index)
def alpha92(df):
"""
Alpha#92
min(Ts_Rank(decay_linear(((((high + low) / 2) + close) < (low + open)), 14.7221),
18.8683), Ts_Rank(decay_linear(correlation(rank(low), rank(adv30), 7.58555), 6.94024),
6.80584))
"""
temp1 = u.ts_rank(
u.decay_linear(((((df.high + df.low) / 2) + df.close) <
(df.low + df.open)), 14.7221), 19)
temp2 = u.ts_rank(
u.decay_linear(u.corr(u.rank(df.low), u.rank(u.adv(df, 30)), 8),
6.94024), 7)
return pd.Series(np.where(temp1 < temp2, temp1, temp2), index=df.index)
def alpha85(df):
"""
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)))
"""
temp1 = u.rank(
u.corr(((df.high * 0.876703) + (df.close * (1 - 0.876703))),
u.adv(df, 30), 10))
temp2 = u.rank(
u.corr(u.ts_rank(((df.high + df.low) / 2), 4),
u.ts_rank(df.volume, 10), 7))
return (temp1**temp2)
def alpha72(df):
"""
Alpha#72
(rank(decay_linear(correlation(((high + low) / 2), adv40, 8.93345), 10.1519)) /
rank(decay_linear(correlation(Ts_Rank(vwap, 3.72469),
Ts_Rank(volume, 18.5188), 6.86671),2.95011)))
"""
temp1 = u.rank(
u.decay_linear(u.corr(((df.high + df.low) / 2), u.adv(df, 40), 9), 10))
temp2 = u.rank(
u.decay_linear(
u.corr(u.ts_rank(df.vwap, 4), u.ts_rank(df.volume, 19), 7),
2.95011))
return (temp1 / temp2)
def alpha88(df):
"""
Alpha#88
min(rank(decay_linear(((rank(open) + rank(low)) - (rank(high) + rank(close))),
8.06882)), Ts_Rank(decay_linear(correlation(Ts_Rank(close, 8.44728), Ts_Rank(adv60,
20.6966), 8.01266), 6.65053), 2.61957))
"""
temp1 = u.rank(
u.decay_linear(((u.rank(df.open) + u.rank(df.low)) -
(u.rank(df.high) + u.rank(df.close))), 8))
temp2 = u.ts_rank(
u.decay_linear(
u.corr(u.ts_rank(df.close, 8), u.ts_rank(u.adv(df, 60), 21), 8),
6.65053), 3)
return pd.Series(np.where(temp1 < temp2, temp1, temp2), index=df.index)
def alpha38(df):
"""
Alpha#38
((-1 * rank(Ts_Rank(close, 10))) * rank((close / open)))
"""
return ((-1 * u.rank(u.ts_rank(df.close, 10))) * u.rank(
(df.close / df.open)))
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 alpha86(df):
"""
Alpha#86
((Ts_Rank(correlation(close, sum(adv20, 14.7444), 6.00049), 20.4195)
< rank(((open + close) - (vwap + open)))) * -1)
"""
temp1 = u.ts_rank(u.corr(df.close, u.ts_sum(u.adv(df, 20), 15), 6), 20)
temp2 = u.rank(((df.open + df.close) - (df.vwap + df.open)))
return ((temp1 < temp2) * -1)
def alpha95(df):
"""
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))
"""
temp1 = u.rank((df.open - u.ts_min(df.open, 12)))
temp2 = u.corr(u.ts_sum(((df.high + df.low) / 2), 19),
u.ts_sum(u.adv(df, 40), 19), 13)
return (temp1 < u.ts_rank((u.rank(temp2)**5), 12))
def alpha7(df):
"""
Alpha#7
((adv20 < volume) ? ((-1 * ts_rank(abs(delta(close, 7)), 60)) * sign(delta(close, 7))) :
(-1 * 1))
"""
iftrue = ((-1 * u.ts_rank(abs(u.delta(df.close, 7)), 60)) *
np.sign(u.delta(df.close, 7)))
return pd.Series(np.where(u.adv(df, 20) < df.volume, iftrue, (-1 * 1)),
index=df.index)
def alpha52(df):
"""
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))
"""
temp1 = ((-1 * u.ts_min(df.low, 5)) + u.delay(u.ts_min(df.low, 5), 5))
temp2 = u.rank(
((u.ts_sum(df.returns, 240) - u.ts_sum(df.returns, 20)) / 220))
return ((temp1 * temp2) * u.ts_rank(df.volume, 5))
def alpha68(df):
"""
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)
"""
temp1 = u.ts_rank(u.corr(u.rank(df.high), u.rank(u.adv(df, 15)), 9), 14)
temp2 = u.rank(
u.delta(((df.close * 0.518371) + (df.low * (1 - 0.518371))), 1))
return u.rank(
u.delta(((df.close * 0.518371) + (df.low * (1 - 0.518371))), 1))
def alpha73(df):
"""
Alpha#73
(max(rank(decay_linear(delta(vwap, 4.72775), 2.91864)),
Ts_Rank(decay_linear(((delta(((open * 0.147155) + (low * (1 - 0.147155))), 2.03608)
/ ((open * 0.147155) + (low * (1 - 0.147155)))) * -1), 3.33829), 16.7411)) * -1)
"""
temp1 = u.rank(u.decay_linear(u.delta(df.vwap, 5), 2.91864))
temp2 = u.delta(((df.open * 0.147155) + (df.low * (1 - 0.147155))), 2)
temp3 = ((df.open * 0.147155) + (df.low * (1 - 0.147155)))
temp4 = u.ts_rank(u.decay_linear(((temp2 / temp3) * -1), 2), 17)
return pd.Series(np.where(temp1 > temp4, temp1 * -1, temp4 * -1), df.index)
def alpha66(df):
"""
Alpha#66
((rank(decay_linear(delta(vwap, 3.51013), 7.23052))
+ Ts_Rank(decay_linear(((((low * 0.96633)
+ (low * (1 - 0.96633))) - vwap) / (open - ((high + low) / 2))), 11.4157), 6.72611)) * -1)
"""
temp1 = u.rank(u.decay_linear(u.delta(df.vwap, 4), 7.23052))
temp2 = (((df.low * 0.96633) + (df.low * (1 - 0.96633))) - df.vwap)
temp3 = (df.open - ((df.high + df.low) / 2))
return ((temp1 + u.ts_rank(u.decay_linear(
(temp2 / temp3), 11.4157), 7)) * -1)
def alpha98(df):
"""
Alpha#98
(rank(decay_linear(correlation(vwap, sum(adv5, 26.4719), 4.58418), 7.18088)) -
rank(decay_linear(Ts_Rank(Ts_ArgMin(correlation(rank(open), rank(adv15), 20.8187), 8.62571),
6.95668), 8.07206)))
"""
temp1 = u.ts_rank(
u.ts_argmin(u.corr(u.rank(df.open), u.rank(u.adv(df, 15)), 21), 9), 7)
temp2 = u.rank(u.decay_linear(temp1, 8.07206))
temp3 = u.rank(
u.decay_linear(u.corr(df.vwap, u.ts_sum(u.adv(df, 5), 26), 5), 7))
return (temp3 - temp2)
def alpha36(df):
"""
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)))))
"""
temp1 = (2.21 *
u.rank(u.corr((df.close - df.open), u.delay(df.volume, 1), 15)))
temp2 = (0.7 * u.rank((df.open - df.close)))
temp3 = (0.73 * u.rank(u.ts_rank(u.delay((-1 * df.returns), 6), 5)))
temp4 = u.rank(abs(u.corr(df.vwap, u.adv(df, 20), 6)))
temp5 = (0.6 * u.rank(
(((sum(df.close, 200) / 200) - df.open) * (df.close - df.open))))
return ((((temp1 + temp2) + temp3) + temp4) + temp5)
def alpha29(df):
"""
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))
"""
temp1 = u.scale(
np.log(
u.ts_sum(
u.ts_min(
u.rank(u.rank((-1 * u.rank(u.delta((df.close - 1), 5))))),
2), 1)))
temp2 = u.product(u.rank(u.rank(temp1)), 1)
temp3 = u.ts_rank(u.delay((-1 * df.returns), 6), 5)
return (np.where(temp1 < temp2, temp1, temp2) + temp3)
def alpha4(df):
"""
Alpha #4
(-1 * Ts_Rank(rank(low), 9))
"""
return (-1 * u.ts_rank(u.rank(df.low), 9))