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 alpha21(df):
"""
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))))
"""
decision1 = (u.ts_sum(df.close, 8) / 8 +
u.stddev(df.close, 8)) < (u.ts_sum(df.close, 2) / 2)
decision2 = (u.ts_sum(df.close, 2) / 2 <
(u.ts_sum(df.close, 8) / 8) - u.stddev(df.close, 8))
decision3 = ((1 < (df.volume / u.adv(df, 20))) |
((df.volume / u.adv(df, 20)) == 1))
return np.where(decision1, (-1 * 1),
np.where(decision2, 1, np.where(decision3, 1, (-1 * 1))))
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 alpha28(df):
"""
Alpha#28
scale(((correlation(adv20, low, 5) + ((high + low) / 2)) - close))
"""
return u.scale(((u.corr(u.adv(df, 20), df.low, 5) +
((df.high + df.low) / 2)) - df.close))
def alpha25(df):
"""
Alpha#25
rank(((((-1 * returns) * adv20) * vwap) * (high - close)))
"""
return u.rank(((((-1 * df.returns) * u.adv(df, 20)) * df.vwap) *
(df.high - df.close)))
def evaluate(self, board_old, board_new):
if board_old.is_over():
return -INF
if board_new.is_over():
return INF
_adv = adv(board_new) - adv(board_old)
_back = adv(board_new) - back(board_old)
_cent = cent(board_new) - cent(board_old)
_cntr = cntr(board_new) - cntr(board_old)
_deny = deny(board_new) - deny(board_old)
_kcent = kcent(board_new) - kcent(board_old)
_mob = mob(board_new) - mob(board_old)
_mobil = _mob - _deny
_mov = mov(board_new) - mov(board_old)
_thret = thret(board_new) - thret(board_old)
undenied_mobility = 1 if _mobil > 0 else 0
total_mobility = 1 if _mob > 0 else 0
denial_of_occ = 1 if _deny > 0 else 0
control = 1 if _cent > 0 else 0
_demmo = 1 if denial_of_occ and not total_mobility else 0
_mode_2 = 1 if undenied_mobility and not denial_of_occ else 0
_mode_3 = 1 if not undenied_mobility and denial_of_occ else 0
_moc_2 = 1 if not undenied_mobility and control else 0
_moc_3 = 1 if undenied_mobility and not control else 0
_moc_4 = 1 if not undenied_mobility and not control else 0
return sum([
_moc_2 * (-1) * (2**18),
_kcent * (2**16),
_moc_4 * (-1) * (2**14),
_mode_3 * (-1) * (2**13),
_demmo * (-1) * (2**11),
_mov * (2**8),
_adv * (-1) * (2**8),
_mode_2 * (-1) * (2**8),
_back * (-1) * (2**6),
_cntr * (2**5),
_thret * (2**5),
_moc_3 * (2**4),
piece_score_diff(board_new, board_old.active) * (2**20),
position_score(board_new, board_old.active) * (2**14),
])
def alpha39(df):
"""
Alpha#39
"""
temp = (-1 * u.rank(
(u.delta(df.close, 7) *
(1 - u.rank(u.decay_linear((df.volume / u.adv(df, 20)), 9))))))
return (temp * (1 + u.rank(u.ts_sum(df.returns, 250))))
def alpha61(df):
"""
Alpha#61
(rank((vwap - ts_min(vwap, 16.1219))) < rank(correlation(vwap, adv180, 17.9282)))
Rounded the days to int since partial lookback
"""
return (u.rank((df.vwap - u.ts_min(df.vwap, 16))) < u.rank(
u.corr(df.vwap, u.adv(df, 180), 18)))
def alpha75(df):
"""
Alpha#75(df)
(rank(correlation(vwap, volume, 4.24304))
< rank(correlation(rank(low), rank(adv50), 12.4413)))
"""
temp1 = u.rank(u.corr(df.vwap, df.volume, 4))
temp2 = u.rank(u.corr(u.rank(df.low), u.rank(u.adv(df, 50)), 12))
return (temp1 < temp2)
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 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 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 alpha47(df):
"""
Alpha#47
((((rank((1 / close)) * volume) / adv20) *
((high * rank((high - close))) / (sum(high, 5) / 5))) - rank((vwap - delay(vwap, 5))))
"""
temp1 = ((u.rank((1 / df.close)) * df.volume) / u.adv(df, 20))
temp2 = ((df.high * u.rank(
(df.high - df.close))) / (u.ts_sum(df.high, 5) / 5))
return ((temp1 * temp2) - u.rank((df.vwap - u.delay(df.vwap, 5))))
def alpha62(df):
"""
Alpha#62
((rank(correlation(vwap, sum(adv20, 22.4101), 9.91009)) < rank(((rank(open)
+ rank(open)) < (rank(((high + low) / 2)) + rank(high))))) * -1)
"""
temp1 = u.rank(u.corr(df.vwap, u.ts_sum(u.adv(df, 20), 22), 10))
temp2 = u.rank(((u.rank(df.open) + u.rank(df.open)) < (u.rank(
((df.high + df.low) / 2)) + u.rank(df.high))))
return ((temp1 < temp2) * -1)
def alpha78(df):
"""
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)))
"""
temp1 = u.ts_sum(((df.low * 0.352233) + (df.vwap * (1 - 0.352233))), 20)
temp2 = u.rank(u.corr(u.rank(df.vwap), u.rank(df.volume), 6))
temp3 = u.rank(u.corr(temp1, u.ts_sum(u.adv(df, 40), 20), 7))
return (temp3**temp2)
def alpha65(df):
"""
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)
"""
temp1 = (df.open * 0.00817205) + (df.vwap * (1 - 0.00817205))
temp2 = u.rank((df.open - u.ts_min(df.open, 14)))
return ((u.rank(u.corr(temp1, u.ts_sum(u.adv(df, 60), 9), 6)) < temp2) *
-1)
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 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 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 alpha99(df):
"""
Alpha#99
((rank(correlation(sum(((high + low) / 2), 19.8975), sum(adv60, 19.8975), 8.8136))
< rank(correlation(low, volume, 6.28259))) * -1)
"""
temp1 = u.rank(
u.corr(u.ts_sum(((df.high + df.low) / 2), 20),
u.ts_sum(u.adv(df, 60), 20), 9))
temp2 = u.rank(u.corr(df.low, df.volume, 6))
return pd.Series(np.where(temp1 < temp2, temp1 * -1, temp2 * -1),
index=df.index)
def alpha74(df):
"""
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)
"""
temp1 = u.rank(u.corr(df.close, u.ts_sum(u.adv(df, 30), 37), 15))
temp2 = u.rank(
u.corr(u.rank(((df.high * 0.0261661) + (df.vwap * (1 - 0.0261661)))),
u.rank(df.volume), 11))
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 alpha64(df):
"""
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)
"""
temp1 = u.ts_sum(((df.open * 0.178404) + (df.low * (1 - 0.178404))), 13)
temp2 = u.rank(u.corr(temp1, u.ts_sum(u.adv(df, 120), 18), 17))
temp3 = u.rank(
u.delta(((((df.high + df.low) / 2) * 0.178404) + (df.vwap *
(1 - 0.178404))), 4))
return ((temp2 < temp3) * -1)
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 alpha81(df):
"""
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)
"""
temp = u.rank(
np.log(
u.product(
u.rank(
u.rank(u.corr(df.vwap, u.ts_sum(u.adv(df, 10), 50),
8))**4), 15)))
return ((temp < u.rank(u.corr(u.rank(df.vwap), u.rank(df.volume), 5))) *
-1)
def alpha77(df):
"""
Alpha#77
min(rank(decay_linear(((((high + low) / 2) + high) - (vwap + high)), 20.0451)),
rank(decay_linear(correlation(((high + low) / 2), adv40, 3.1614), 5.64125)))
"""
temp1 = u.rank(
u.decay_linear(
((((df.high + df.low) / 2) + df.high) - (df.vwap + df.high)),
20.0451))
temp2 = u.rank(
u.decay_linear(u.corr(((df.high + df.low) / 2), u.adv(df, 40), 3),
5.64125))
return pd.Series(np.where(temp1 > temp2, temp1, temp2), index=df.index)
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 alpha31(df):
"""
Alpha#31
((rank(rank(rank(decay_linear((-1 * rank(rank(delta(close, 10)))), 10))))
+ rank((-1 * delta(close, 3)))) + sign(scale(correlation(adv20, low, 12))))
"""
temp1 = u.rank(
u.rank(
u.rank(
u.decay_linear((-1 * u.rank(u.rank(u.delta(df.close, 10)))),
10))))
temp2 = u.rank((-1 * u.delta(df.close, 3))) + np.sign(
u.scale(u.corr(u.adv(df, 20), df.low, 12)))
return temp1 + temp2
