Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_079

alpha101_079

Kakushadze Alpha #79

Themes & universe

volumemomentumequity_usequity_inequity_kr1D

Formula

rank(delta(IndNeutralize(0.607*close+0.393*open, sector), 1)) < rank(correlation(Ts_Rank(vwap,4), Ts_Rank(adv150,9), 15))

Definition

id

alpha101_079

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_079

decay_horizon

5

min_warmup_bars

172

requires_sector

True

columns_required

open, 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_079
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025