IndNeutralize：alpha101计算
alpha101计算
本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha...Alpha#59(-1*Ts_Rank(decay_linear_pn(correlation(IndNeutralize(((vwap ...。其他文章還包含有：「101FormulaicAlphas」、「101FormulaicAlphas」、「AlphaCompiler」、「alpha101README.mdatdevelop」、「alpha101README.mdatmaster」、「ALPHA」、「GitHub」、「WorldQuant101Alpha因子的流批一体实现」、「预测股票市场的101个alpha因子的...
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101 Formulaic Alphas
https://arxiv.org
IndClass = a generic placeholder for a binary industry classification such as GICS, BICS, NAICS,. SIC, etc., in indneutralize(x, IndClass.level) ...
101 Formulaic Alphas
https://github.com
IndClass, a generic placeholder for a binary industry classification such as GICS, BICS, NAICS, SIC, etc., in indneutralize(x, IndClass.level), ...
Alpha Compiler
https://pbharrin.github.io
Given an alpha equation, this tool generates Python code to be used on Quantopian's platform or in Zipline. The code generated can be cut and pasted directly ...
alpha101README.md at develop
https://github.com
本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha ... Alpha#59 (-1 * Ts_Rank(decay_linear_pn(correlation(IndNeutralize(((vwap ...
alpha101README.md at master
https://github.com
Alpha#48 (indneutralize(((correlation(delta(close, 1), delta(delay(close, 1), ... 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha.
ALPHA
https://zhuanlan.zhihu.com
Alpha#76 计算逻辑：(max(rank(decay_linear(delta(vwap, 1.24383), 11.8259)),Ts_Rank(decay_linear(Ts_Rank(correlation(IndNeutralize(low, ...
GitHub
https://github.com
Alpha#48 (indneutralize(((correlation(delta(close, 1), delta(delay(close, 1), ... 本Alpha使用了美股特有行业数据，indneutralize函数无法构建，无法实现此Alpha.
WorldQuant 101 Alpha 因子的流批一体实现
https://zhuanlan.zhihu.com
其中，IndNeutralize 是在行业分类的维度上进行计算，correlation, Ts_Rank, adv，delta是在时间序列的纵向维度上计算和比较，rank 是在股票之间的横向维度上计算和 ...
预测股票市场的101个alpha因子的解读与总结
http://www.qianshancapital.com
基于scale、indneutralize的横截面维度上的鲁棒性增强手段. ○套利手段. ○横截面排序（择股套利）. ○时间序列排序（择时套利）.