Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_087

alpha101_087

Kakushadze Alpha #87

Themes & universe

momentumequity_usequity_inequity_kr1D

Formula

max(rank(decay_linear(delta(0.37*close+0.63*vwap, 2), 3)), Ts_Rank(decay_linear(abs(correlation(IndNeutralize(adv81, industry), close, 13)), 5), 14)) * -1

Definition

id

alpha101_087

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_087

decay_horizon

5

min_warmup_bars

110

requires_sector

True

columns_required

close, vwap, volume

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_087
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025