Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_100

alpha101_100

Kakushadze Alpha #100

Themes & universe

volumemomentumequity_usequity_inequity_kr1D

Formula

0 - 1*((1.5*scale(IN(IN(rank(((close-low)-(high-close))/(high-low)*volume), subind), subind)) - scale(IN(correlation(close, rank(adv20), 5) - rank(ts_argmin(close,30)), subind))) * (volume/adv20))

Definition

id

alpha101_100

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_100

decay_horizon

5

min_warmup_bars

30

requires_sector

True

columns_required

high, low, close, volume

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_100
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025