def alpha_25(self):
"""
formula: (-1 * ts_max(correlation(ts_rank(volume, 5), ts_rank(high, 5), 5), 3))
"""
return -1 * _utils.ts_max(_utils.correlation(
_utils.ts_rank(self.volume, window=5),
_utils.ts_rank(self.high, window=5),
window=5),
window=3).fillna(method='backfill')
def alpha_11(self):
"""
formula: ((rank(ts_max((vwap - close), 3)) + rank(ts_min((vwap - close), 3)))*rank(delta(volume, 3)))
:return:df backfilled
"""
df = (_utils.rank(_utils.ts_max(self.vwap - self.close, window=3)) +
_utils.rank(_utils.ts_min(self.vwap - self.close, window=3))
) * _utils.delta(self.volume, period=3)
return df.fillna(method='backfill')
def alpha_48(self):
"""
formula: (-1 * ts_max(rank(correlation(rank(volume), rank(vwap), 5)), 5))
:return:
"""
df = (-1 * _utils.ts_max(
_utils.rank(
_utils.correlation(_utils.rank(self.volume),
_utils.rank(self.vwap), 5)), 5))
return df.fillna(method='bfill')
def alpha_26(self):
"""
formula: (-1* ts_max(correlation(ts_rank(volume, 5), ts_rank(high, 5), 5), 3))
"""
df = _utils.correlation(_utils.ts_rank(self.volume, window=5),
_utils.ts_rank(self.high, window=5),
window=3)
df = df.replace([-np.inf, np.inf], 0)
df = -1 * _utils.ts_max(df.fillna(method='backfill'), window=3)
return df.fillna(0.5)
def alpha_10(self):
"""
formula: 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)))))
"""
delta_close = _utils.delta(self.close, period=1)
condition_1 = _utils.ts_min(delta_close, window=4) > 0
condition_2 = _utils.ts_max(delta_close, window=4) < 0
alpha = -1 * delta_close
alpha[condition_1 | condition_2] = delta_close
return _utils.rank(alpha)
def alpha_9(self):
"""
formula: ((0 < ts_min(delta(close, 1), 5)) ? delta(close, 1) : ((ts_max(delta(close, 1), 5) < 0)
? delta(close, 1) : (-1*delta(close, 1))))
"""
delta_close = _utils.delta(self.close, period=1)
condition_1 = _utils.ts_min(delta_close, window=5) > 0
condition_2 = _utils.ts_max(delta_close, window=5) < 0
alpha = -1 * delta_close
alpha[condition_1 | condition_2] = delta_close
return alpha