Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_059

alpha101_059

Kakushadze Alpha #59

Themes & universe

volumeequity_usequity_inequity_kr1D

Formula

-1 * Ts_Rank(decay_linear(correlation(IndNeutralize(vwap*0.728+vwap*0.272, industry), volume, 4), 16), 8)

Definition

id

alpha101_059

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_059

decay_horizon

5

min_warmup_bars

26

requires_sector

True

columns_required

volume, vwap, close

Notes

Industry neutralization implemented via per-row sector group demean (panel['sector'] required). When sector tag is absent the registry rejects via SkipAlpha; the compute() also has a degraded global demean fallback. This is a partial approximation of the paper's IndClass.industry/subindustry/sector neutralization.

Run it

pip install vibe-trading-ai
vibe-trading alpha show alpha101_059
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025