Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_056

alpha101_056

Kakushadze Alpha #56

Themes & universe

momentumequity_usequity_inequity_kr1D

Formula

0 - 1*(rank(sum(returns,10)/sum(sum(returns,2),3)) * rank((returns * cap)))  [cap unavailable -> 1]

Definition

id

alpha101_056

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_056

decay_horizon

5

min_warmup_bars

11

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. Paper formula uses market 'cap' which is not part of the standard OHLCV panel; substituted by a constant 1.0 DataFrame. Result remains a valid factor but loses the cap-weighting term.

Run it

pip install vibe-trading-ai
vibe-trading alpha show alpha101_056
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025