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alpha101_097

Kakushadze Alpha #97

Themes & universe

volumeequity_usequity_inequity_kr1D

Formula

(rank(decay_linear(delta(IndNeutralize(0.721*low+0.279*vwap, industry),3),20)) - Ts_Rank(decay_linear(Ts_Rank(correlation(Ts_Rank(low,8), Ts_Rank(adv60,17), 5), 19), 16),16)) * -1

Definition

id

alpha101_097

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_097

decay_horizon

5

min_warmup_bars

128

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_097
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025