Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_082

alpha101_082

Kakushadze Alpha #82

Themes & universe

volumeequity_usequity_inequity_kr1D

Formula

min(rank(decay_linear(delta(open,1),15)), Ts_Rank(decay_linear(correlation(IndNeutralize(volume, sector), 0.634*open+0.366*open, 17), 7), 13)) * -1

Definition

id

alpha101_082

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_082

decay_horizon

5

min_warmup_bars

35

requires_sector

True

columns_required

open, volume, 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_082
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025