Alpha Library  /  Kakushadze 101 Formulaic Alphas  /  alpha101_090

alpha101_090

Kakushadze Alpha #90

Themes & universe

volumeequity_usequity_inequity_kr1D

Formula

(rank(close-ts_max(close,5))^Ts_Rank(correlation(IndNeutralize(adv40, subindustry), low, 5), 3)) * -1

Definition

id

alpha101_090

zoo

alpha101

module_path

src.factors.zoo.alpha101.alpha_090

decay_horizon

5

min_warmup_bars

46

requires_sector

True

columns_required

low, close, 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_090
vibe-trading alpha bench --zoo alpha101 --universe csi300 --period 2020-2025