Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_089

alpha101_089

Kakushadze Alpha #89

Themes & universe

volumemomentumequity_usequity_inequity_kr1D

Formula

Ts_Rank(decay_linear(correlation(low, adv10, 7), 6), 4) - Ts_Rank(decay_linear(delta(IndNeutralize(vwap, industry),3),10),15)

Definition

id

alpha101_089

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_089

decay_horizon

5

min_warmup_bars

27

requires_sector

True

columns_required

low, 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_089
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025