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))