Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_070

alpha101_070

Kakushadze Alpha #70

Themes & universe

momentumvolumeequity_usequity_inequity_kr1D

Formula

(rank(delta(vwap,1))^Ts_Rank(correlation(IndNeutralize(close,industry), adv50, 18), 18)) * -1

Definition

id

alpha101_070

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_070

decay_horizon

5

min_warmup_bars

84

requires_sector

True

columns_required

close, volume, vwap

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_070
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025