Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_093

alpha101_093

Kakushadze Alpha #93

Themes & universe

volumeequity_usequity_inequity_kr1D

Formula

Ts_Rank(decay_linear(correlation(IndNeutralize(vwap, industry), adv81, 17), 20), 8) / rank(decay_linear(delta(0.524*close+0.476*vwap, 3), 16))

Definition

id

alpha101_093

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_093

decay_horizon

5

min_warmup_bars

123

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_093
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025