Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_048

alpha101_048

Kakushadze Alpha #48

Themes & universe

momentumvolatilityequity_usequity_inequity_kr1D

Formula

indneutralize(...subindustry...) / sum((delta(close,1)/delay(close,1))^2, 250)

Definition

id

alpha101_048

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_048

decay_horizon

5

min_warmup_bars

252

requires_sector

True

columns_required

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_048
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025