Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_063

alpha101_063

Kakushadze Alpha #63

Themes & universe

volumemomentumequity_usequity_inequity_kr1D

Formula

(rank(decay_linear(delta(IndNeutralize(close, industry), 2), 8)) - rank(decay_linear(correlation(0.318*vwap+0.682*open, sum(adv180,37), 14), 12))) * -1

Definition

id

alpha101_063

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_063

decay_horizon

5

min_warmup_bars

240

requires_sector

True

columns_required

open, close, volume, vwap

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_063
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025